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, 2015 – June 30, 2015
Item 1: Reports to Shareholders
Semiannual Report | June 30, 2015
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. | 8 |
Tax-Managed Capital Appreciation Fund. | 70 |
Tax-Managed Small-Cap Fund. | 90 |
About Your Fund’s Expenses. | 109 |
Trustees Approve Advisory Arrangements. | 111 |
Glossary. | 112 |
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 | |
Six Months Ended June 30, 2015 | |
Total | |
Returns | |
Vanguard Tax-Managed Balanced Fund | 1.22% |
Tax-Managed Balanced Composite Index | 1.03 |
Mixed-Asset Target Allocation Moderate Funds Average | 1.05 |
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 | 2.38% |
Institutional Shares | 2.38 |
Russell 1000 Index | 1.71 |
Multi-Cap Core Funds Average | 1.77 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Tax-Managed Small-Cap Fund | |
Admiral Shares | 4.15% |
Institutional Shares | 4.18 |
S&P SmallCap 600 Index | 4.16 |
Small-Cap Core Funds Average | 3.61 |
Small-Cap Core 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 are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
1
Chairman’s Letter
Dear Shareholder,
For the six months ended June 30, 2015, U.S. stocks navigated several challenges to end the period with modest results. In general, large-capitalization stocks trailed small-cap stocks during the period and value stocks lagged their growth-oriented counterparts. The broad U.S. bond market finished the period in negative territory.
In this investment environment, returns for the Vanguard Tax-Managed Funds ranged from about 1% for the Tax-Managed Balanced Fund to about 4% for the Tax-Managed Small-Cap Fund. The Tax-Managed Capital Appreciation Fund fell between the two, returning about 2%.
The performance of the Tax-Managed Small-Cap Fund closely tracked that of its benchmark index. The Tax-Managed Balanced Fund and the Tax-Managed Capital Appreciation Fund ended the period a bit ahead of their respective benchmark indexes. Each fund outpaced its peer group.
On a separate note, all three funds covered in this report will begin paying a dividend each quarter rather than once a year. The change, which we announced in the spring and which will take effect in the third quarter of 2015, should align distributions more closely with those of the other Vanguard stock index funds and help the funds operate more efficiently.
2
U.S. stocks held onto gains despite fading at the finish
U.S. stocks traveled a choppy course en route to return about 2% for the half year as Greece’s debt drama intensified. Mixed economic news, stock valuations perceived as high by some investors, and the strong U.S. dollar’s negative effect on the profits of U.S.-based multinational companies also unsettled markets. On the other side of the ledger, investors seemed reassured by the Federal Reserve’s careful approach to a potential rise in short-term interest rates, by other nations’ monetary stimulus programs, and by corporate earnings that generally surpassed forecasts.
International stocks returned about 5% for U.S. investors; results would have been higher if not for the dollar’s strength against many foreign currencies. Returns for the developed markets of the Pacific region, led by Japan, surpassed those of Europe and emerging markets.
After bursting from the gate, bond prices lost momentum
Strong results in January didn’t hold up for the broad U.S. taxable bond market, which returned –0.10% for the half year after declining in four of the six months. The yield of the 10-year Treasury note ended June at 2.33%, up from 2.19% six months earlier. (Bond prices and yields move in opposite directions.)
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –5.43% as the dollar’s strength limited returns. Without this
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2015 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 1.71% | 7.37% | 17.58% |
Russell 2000 Index (Small-caps) | 4.75 | 6.49 | 17.08 |
Russell 3000 Index (Broad U.S. market) | 1.94 | 7.29 | 17.54 |
FTSE All-World ex US Index (International) | 4.61 | -4.36 | 8.16 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -0.10% | 1.86% | 3.35% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 0.11 | 3.00 | 4.50 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.02 | 0.05 |
CPI | |||
Consumer Price Index | 1.63% | 0.12% | 1.83% |
3
currency effect, returns were just marginally negative. As investors grew more confident about Europe’s economic growth, European bond yields bounced back from their very low (and in some cases, negative) levels.
Returns were negligible for money market funds and savings accounts, which remained handcuffed by the Fed’s target of 0%–0.25% for short-term rates.
Health care stocks and small-caps led the market for the period
Vanguard’s three tax-managed domestic funds share a tax-efficient objective, while offering investors exposure to different areas of the U.S. financial markets. 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.
As I mentioned, smaller-cap stocks trumped larger-caps for the most recent six months. Results for mid-cap stocks fell in the middle. Not surprisingly, the Tax-Managed Small-Cap Fund—which, as its name suggests, invests primarily in stocks of smaller companies—was the trio’s top performer, returning about 4%. The fund, which tracks the S&P SmallCap 600 Index, notched gains in six of its ten market sectors.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Admiral | Institutional | Peer Group | |
Shares | Shares | Average | |
Tax-Managed Balanced Fund | 0.12% | — | 0.88% |
Tax-Managed Capital Appreciation Fund | 0.12 | 0.08% | 1.21 |
Tax-Managed Small-Cap Fund | 0.12 | 0.08 | 1.29 |
The fund expense ratios shown are from the prospectus dated April 29, 2015, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2015, the funds’ annualized expense ratios were: for the Tax-Managed Balanced Fund, 0.10%; for the Tax-Managed Capital Appreciation Fund, 0.10% for Admiral Shares and 0.06% for Institutional Shares; and for the Tax-Managed Small-Cap Fund, 0.10% for Admiral Shares and 0.06% for Institutional Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2014.
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
The Tax-Managed Capital Appreciation Fund, which tracks the Russell 1000 Index and invests in the mid- and large- cap segments of the stock market, was next in line, returning about 2%.
The Tax-Managed Balanced Fund, which is invested about 50% in mid- and large-cap stocks and about 50% in tax-exempt municipal bonds, was the laggard of the group, returning about 1%. Results for the fund’s equity portfolio, which also tracks the Russell 1000 Index, were similar to those of the Tax-Managed Capital Appreciation Fund. The fund’s fixed income portion, which tracks the Barclays 1–15 Year Municipal Bond Index, was flat for the period.
On the sector level, health care was the broad market leader, adding most to performance in all three funds. Health care stocks, which were generally strong across the board, received a boost in late June when the Supreme Court upheld a key provision of the Affordable Care Act. Pharmaceutical and biotechnology companies benefited as new and innovative drugs have come to market and strong research has contributed to their pipelines. Stocks of large managed-care providers rose as speculation intensified about consolidation within the industry. Medical equipment and medical supply companies also performed well.
Consumer discretionary stocks also added significantly to the returns of each fund. The sector benefited as improvements in the U.S. economy and labor markets and lower gasoline prices made funds available for other purchases.
Energy and utilities holdings were among the biggest detractors for all three funds. Oil and gas stocks pared their losses from earlier periods as oil prices bounced back a bit, but returns were still negative. Utilities lost ground as investors who last year had favored high-yielding utility stocks focused on other opportunities, given the possibility of a rise in interest rates later this year. In the Tax-Managed Small-Cap Fund, materials stocks also took a toll on performance.
As your investment costs go down, your chance for success can go up
Being an investor can be frustrating at times: You’re planning for your financial future, but some factors—for example, the financial markets—are beyond your control. Although you can’t control the markets, you do have some choice in how much you pay to invest in them. And what you pay can greatly affect your chance for investing success.
At Vanguard, as you know, we take minimizing costs seriously. Indeed, that’s one of our four investment principles. (You can read more in Vanguard’s Principles for Investing Success, available at vanguard.com/research.) Paying less in expenses has an intuitive, immediate appeal.
Less obvious, perhaps, is the enormous advantage that low costs can offer over time.
5
Imagine two well-diversified portfolios, each with a starting balance of $100,000 and each earning a yearly return of 6%, which is reinvested over a 30-year period. In one scenario, the investor pays 0.25% of assets every year, while in the other the investor pays 0.90%. (Keep in mind that this is a hypothetical example and doesn’t represent any particular investment.)
After 30 years, the lower-cost portfolio has a balance of more than $530,000, while the higher-cost portfolio has a balance of almost $440,000. What might seem like a trifling cost difference at the start becomes a meaningful difference in the long termin this example, nearly $100,000.
Increasingly, investors recognize the importance of minimizing costs. According to Morningstar, over the past ten years,
95% of mutual fund cash flows have gone into funds ranked in the lowest 20% in terms of their expenses. We’re pleased to see this trend, because it means investors are keeping more of their returns and, by doing so, they’ve given themselves a better chance of reaching their goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 15, 2015
6
Your Fund’s Performance at a Glance | ||||
December 31, 2014, Through June 30, 2015 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Tax-Managed Balanced Fund | $26.79 | $26.86 | $0.257 | $0.000 |
Vanguard Tax-Managed Capital Appreciation | ||||
Fund | ||||
Admiral Shares | $103.82 | $106.27 | $0.017 | $0.000 |
Institutional Shares | 51.59 | 52.81 | 0.009 | 0.000 |
Vanguard Tax-Managed Small-Cap Fund | ||||
Admiral Shares | $45.78 | $47.67 | $0.009 | $0.000 |
Institutional Shares | 45.88 | 47.79 | 0.009 | 0.000 |
7
Tax-Managed Balanced Fund
Fund Profile
As of June 30, 2015
Equity and Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
Russell | Market | ||
1000 | FA | ||
Fund | Index | Index | |
Number of Stocks | 750 | 1,029 | 3,854 |
Median Market Cap | $50.7B | $59.2B | $49.5B |
Price/Earnings Ratio | 21.3x | 21.0x | 21.6x |
Price/Book Ratio | 2.8x | 2.8x | 2.8x |
Return on Equity | 18.2% | 18.1% | 17.4% |
Earnings Growth | |||
Rate | 12.7% | 11.5% | 11.6% |
Dividend Yield | 1.7% | 2.0% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 8% | — | — |
Ticker Symbol | VTMFX | — | — |
Expense Ratio1 | 0.12% | — | — |
30-Day SEC Yield | 1.78% | — | — |
Short-Term | |||
Reserves | 0.0% | — | — |
Fixed Income Characteristics | |||
Barclays Barclays | |||
1-15 Year | Municipal | ||
Municipal | Bond | ||
Fund | Index | Index | |
Number of Bonds | 1,370 | 38,828 | 47,834 |
Yield to Maturity | |||
(before expenses) | 1.9% | 1.9% | 2.3% |
Average Coupon | 4.2% | 4.8% | 4.8% |
Average Duration | 4.7 years | 4.9 years | 6.7 years |
Average Stated | |||
Maturity | 8.5 years | 7.9 years | 13.0 years |
Total Fund Volatility Measures | ||
DJ | ||
Tax-Managed | U.S. Total | |
Balanced | Market | |
Comp Index | FA Index | |
R-Squared | 0.99 | 0.86 |
Beta | 0.99 | 0.48 |
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 | 3.5% | |
Microsoft Corp. | Computer Services | |
Software & Systems | 1.6 | |
Exxon Mobil Corp. | Oil: Integrated | 1.5 |
Google Inc. | Computer Services | |
Software & Systems | 1.5 | |
Berkshire Hathaway Inc. Insurance: Multi-Line | 1.2 | |
Johnson & Johnson | Pharmaceuticals | 1.2 |
Wells Fargo & Co. | Banks: Diversified | 1.1 |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 1.1 | |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.1 | |
Walt Disney Co. | Entertainment | 1.0 |
Top Ten | 14.8% | |
Top Ten as % of Total Net Assets | 7.1% |
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 29, 2015, and represents estimated costs for the current fiscal year. For the six months ended June 30, 2015, the annualized expense ratio was 0.10%.
8
Tax-Managed Balanced Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index FA Index | ||
Consumer | |||
Discretionary | 14.7% | 14.8% | 15.0% |
Consumer Staples | 7.8 | 7.7 | 7.3 |
Energy | 7.5 | 7.6 | 7.2 |
Financial Services | 19.3 | 19.1 | 19.6 |
Health Care | 14.8 | 15.0 | 15.0 |
Materials & | |||
Processing | 4.2 | 3.9 | 4.1 |
Producer Durables | 10.5 | 10.7 | 10.8 |
Technology | 16.4 | 16.3 | 16.2 |
Utilities | 4.8 | 4.9 | 4.8 |
Distribution by Credit Quality (% of fixed | |||
income portfolio) | |||
AAA | 19.0% | ||
AA | 55.7 | ||
A | 18.2 | ||
BBB | 6.0 | ||
BB | 0.3 | ||
Not Rated | 0.8 | ||
Credit-quality ratings are obtained from Moody's and S&P, and the | |||
higher rating for each issue is shown. "Not Rated" is used to | |||
classify securities for which a rating is not available. Not rated | |||
securities include a fund's investment in Vanguard Market Liquidity | |||
Fund or Vanguard Municipal Cash Management Fund, each of | |||
which invests in high-quality money market instruments and may | |||
serve as a cash management vehicle for the Vanguard funds, | |||
trusts, and accounts. For more information about these ratings, see | |||
the Glossary entry for Credit Quality. |
Equity Investment Focus
Distribution by Stated Maturity | |
(% of fixed income portfolio) | |
Under 1 Year | 15.9% |
1 - 3 Years | 17.3 |
3 - 5 Years | 14.8 |
5 - 10 Years | 47.3 |
10 - 20 Years | 4.7 |
Largest Area Concentrations (% of fixed income | |
portfolio) | |
California | 15.4% |
New York | 15.2 |
Texas | 8.4 |
Pennsylvania | 5.7 |
Illinois | 5.1 |
Florida | 3.6 |
New Jersey | 3.5 |
Arizona | 3.3 |
Maryland | 3.3 |
Massachusetts | 3.0 |
Top Ten | 66.5% |
"Largest Area Concentration" figures exclude any fixed income | |
futures contracts. |
9
Tax-Managed Balanced Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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.
See Financial Highlights for dividend and capital gains information.
10
Tax-Managed Balanced Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2015
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (47.5%) | |||
Consumer Discretionary (7.0%) | |||
Walt Disney Co. | 87,166 | 9,949 | |
* | Amazon.com Inc. | 20,142 | 8,743 |
Comcast Corp. Class A | 119,645 | 7,195 | |
Home Depot Inc. | 60,199 | 6,690 | |
Wal-Mart Stores Inc. | 69,249 | 4,912 | |
Starbucks Corp. | 84,926 | 4,553 | |
* | eBay Inc. | 71,044 | 4,280 |
Time Warner Inc. | 47,196 | 4,125 | |
Lowe’s Cos. Inc. | 55,715 | 3,731 | |
NIKE Inc. Class B | 34,294 | 3,704 | |
* | Priceline Group Inc. | 3,038 | 3,498 |
Twenty-First Century Fox | |||
Inc. Class A | 107,351 | 3,494 | |
Costco Wholesale Corp. | 24,417 | 3,298 | |
McDonald’s Corp. | 32,274 | 3,068 | |
TJX Cos. Inc. | 41,786 | 2,765 | |
* | DIRECTV | 28,818 | 2,674 |
Ford Motor Co. | 142,400 | 2,137 | |
Johnson Controls Inc. | 43,000 | 2,130 | |
CBS Corp. Class B | 33,913 | 1,882 | |
Target Corp. | 22,045 | 1,800 | |
Dollar General Corp. | 22,000 | 1,710 | |
Macy’s Inc. | 25,294 | 1,707 | |
* | O’Reilly Automotive Inc. | 7,512 | 1,698 |
Time Warner Cable Inc. | 9,243 | 1,647 | |
Yum! Brands Inc. | 18,105 | 1,631 | |
Ross Stores Inc. | 32,208 | 1,566 | |
* | AutoZone Inc. | 2,321 | 1,548 |
Estee Lauder Cos. Inc. | |||
Class A | 17,318 | 1,501 | |
General Motors Co. | 43,400 | 1,446 | |
* | Dollar Tree Inc. | 16,788 | 1,326 |
* | Hilton Worldwide Holdings | ||
Inc. | 44,850 | 1,236 | |
Marriott International Inc. | |||
Class A | 16,583 | 1,234 | |
Hanesbrands Inc. | 36,400 | 1,213 | |
Harley-Davidson Inc. | 20,690 | 1,166 |
Market | |||
Value• | |||
Shares | ($000) | ||
Tractor Supply Co. | 12,914 | 1,161 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 14,307 | 1,160 | |
Expedia Inc. | 10,491 | 1,147 | |
Royal Caribbean Cruises Ltd. | 14,547 | 1,145 | |
* | DISH Network Corp. Class A | 16,905 | 1,145 |
BorgWarner Inc. | 20,052 | 1,140 | |
* | Tesla Motors Inc. | 4,220 | 1,132 |
Advance Auto Parts Inc. | 7,064 | 1,125 | |
Newell Rubbermaid Inc. | 27,218 | 1,119 | |
* | Bed Bath & Beyond Inc. | 16,200 | 1,117 |
PVH Corp. | 9,183 | 1,058 | |
Signet Jewelers Ltd. | 8,100 | 1,039 | |
* | Jarden Corp. | 19,607 | 1,015 |
Lennar Corp. Class A | 19,623 | 1,002 | |
DR Horton Inc. | 36,422 | 996 | |
Carnival Corp. | 19,950 | 985 | |
Lear Corp. | 8,600 | 965 | |
* | Sirius XM Holdings Inc. | 258,000 | 962 |
Polaris Industries Inc. | 6,400 | 948 | |
Wyndham Worldwide Corp. | 11,500 | 942 | |
Harman International | |||
Industries Inc. | 7,907 | 940 | |
Fortune Brands Home & | |||
Security Inc. | 19,825 | 908 | |
Service Corp. International | 30,800 | 906 | |
* | WABCO Holdings Inc. | 7,296 | 903 |
Family Dollar Stores Inc. | 11,066 | 872 | |
* | Toll Brothers Inc. | 22,800 | 871 |
Domino’s Pizza Inc. | 7,600 | 862 | |
Coach Inc. | 24,420 | 845 | |
Dunkin’ Brands Group Inc. | 15,292 | 841 | |
Scripps Networks | |||
Interactive Inc. Class A | 12,268 | 802 | |
Gap Inc. | 20,985 | 801 | |
* | Starz | 17,904 | 801 |
Aaron’s Inc. | 21,611 | 783 | |
Gentex Corp. | 45,370 | 745 | |
Kohl’s Corp. | 11,385 | 713 | |
* | NVR Inc. | 530 | 710 |
CST Brands Inc. | 17,266 | 674 |
11
Tax-Managed Balanced Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Dillard’s Inc. Class A | 6,213 | 654 | |
Wendy’s Co. | 57,670 | 650 | |
Brinker International Inc. | 10,837 | 625 | |
Thor Industries Inc. | 11,000 | 619 | |
* | Michael Kors Holdings Ltd. | 14,100 | 593 |
* | TripAdvisor Inc. | 6,391 | 557 |
John Wiley & Sons Inc. | |||
Class A | 9,618 | 523 | |
* | Liberty Media Corp. | 13,608 | 489 |
* | Vista Outdoor Inc. | 10,772 | 484 |
Viacom Inc. Class B | 7,227 | 467 | |
* | Netflix Inc. | 657 | 432 |
* | Liberty Media Corp. Class A | 11,947 | 431 |
* | Discovery Communications | ||
Inc. | 13,841 | 430 | |
* | Visteon Corp. | 4,000 | 420 |
Ralph Lauren Corp. Class A | 3,073 | 407 | |
Comcast Corp. Special | |||
Class A | 6,476 | 388 | |
* | Liberty Ventures Class A | 9,144 | 359 |
Omnicom Group Inc. | 4,800 | 334 | |
Las Vegas Sands Corp. | 5,400 | 284 | |
* | News Corp. Class A | 19,237 | 281 |
* | Panera Bread Co. Class A | 1,500 | 262 |
Lamar Advertising Co. | |||
Class A | 4,400 | 253 | |
* | Liberty Broadband Corp. | 4,681 | 239 |
* | Discovery Communications | ||
Inc. Class A | 6,841 | 228 | |
* | Liberty Interactive Corp. QVC | ||
Group Class A | 6,038 | 168 | |
Outfront Media Inc. | 6,329 | 160 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 2,800 | 157 | |
* | Liberty Broadband Corp. | ||
Class A | 2,986 | 152 | |
* | MGM Resorts International | 8,013 | 146 |
* | Murphy USA Inc. | 2,175 | 121 |
* | Fossil Group Inc. | 1,400 | 97 |
* | AMC Networks Inc. Class A | 1,073 | 88 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 140 | 85 | |
* | LKQ Corp. | 1,900 | 57 |
* | Mohawk Industries Inc. | 300 | 57 |
* | Charter Communications Inc. | ||
Class A | 300 | 51 | |
* | Under Armour Inc. Class A | 600 | 50 |
* | Ulta Salon Cosmetics & | ||
Fragrance Inc. | 300 | 46 | |
* | Madison Square Garden Co. | ||
Class A | 500 | 42 | |
* | CarMax Inc. | 600 | 40 |
* | Tempur Sealy International | ||
Inc. | 600 | 40 | |
* | Sally Beauty Holdings Inc. | 1,200 | 38 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Live Nation Entertainment | ||
Inc. | 1,300 | 36 | |
* | AutoNation Inc. | 500 | 31 |
Lennar Corp. Class B | 680 | 29 | |
* | Hyatt Hotels Corp. Class A | 500 | 28 |
* | HomeAway Inc. | 900 | 28 |
* | Urban Outfitters Inc. | 800 | 28 |
* | Avis Budget Group Inc. | 600 | 26 |
* | Cabela’s Inc. | 500 | 25 |
* | Sears Holdings Corp. | 900 | 24 |
Wynn Resorts Ltd. | 200 | 20 | |
H&R Block Inc. | 500 | 15 | |
* | Pandora Media Inc. | 900 | 14 |
Cablevision Systems Corp. | |||
Class A | 394 | 9 | |
152,854 | |||
Consumer Staples (3.7%) | |||
Procter & Gamble Co. | 117,649 | 9,205 | |
PepsiCo Inc. | 77,790 | 7,261 | |
Coca-Cola Co. | 180,564 | 7,084 | |
CVS Health Corp. | 61,692 | 6,470 | |
Philip Morris International | |||
Inc. | 58,694 | 4,705 | |
Walgreens Boots Alliance | |||
Inc. | 51,878 | 4,381 | |
Mondelez International Inc. | |||
Class A | 95,237 | 3,918 | |
Colgate-Palmolive Co. | 53,170 | 3,478 | |
Altria Group Inc. | 66,980 | 3,276 | |
Kroger Co. | 32,500 | 2,357 | |
Archer-Daniels-Midland Co. | 42,173 | 2,034 | |
Kraft Foods Group Inc. | 23,859 | 2,031 | |
* | Monster Beverage Corp. | 10,838 | 1,452 |
Constellation Brands Inc. | |||
Class A | 12,287 | 1,426 | |
Mead Johnson Nutrition Co. | 15,413 | 1,391 | |
Brown-Forman Corp. | |||
Class B | 13,088 | 1,311 | |
Whole Foods Market Inc. | 31,600 | 1,246 | |
Dr Pepper Snapple Group | |||
Inc. | 16,632 | 1,212 | |
Bunge Ltd. | 13,530 | 1,188 | |
Hershey Co. | 13,200 | 1,173 | |
Tyson Foods Inc. Class A | 27,310 | 1,164 | |
* | WhiteWave Foods Co. | ||
Class A | 22,166 | 1,083 | |
McCormick & Co. Inc. | 13,347 | 1,080 | |
Church & Dwight Co. Inc. | 13,255 | 1,075 | |
JM Smucker Co. | 9,651 | 1,046 | |
Clorox Co. | 10,000 | 1,040 | |
Coca-Cola Enterprises Inc. | 23,586 | 1,025 | |
Molson Coors Brewing Co. | |||
Class B | 14,000 | 977 | |
Hormel Foods Corp. | 15,892 | 896 | |
* | Hain Celestial Group Inc. | 13,600 | 896 |
12
Tax-Managed Balanced Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Energizer Holdings Inc. | 6,665 | 877 | |
Keurig Green Mountain Inc. | 11,429 | 876 | |
Ingredion Inc. | 10,286 | 821 | |
Kimberly-Clark Corp. | 6,972 | 739 | |
* | Herbalife Ltd. | 12,627 | 696 |
General Mills Inc. | 5,114 | 285 | |
* | Sprouts Farmers Market Inc. | 6,800 | 183 |
81,358 | |||
Energy (3.5%) | |||
Exxon Mobil Corp. | 189,815 | 15,793 | |
Chevron Corp. | 78,032 | 7,528 | |
Schlumberger Ltd. | 55,167 | 4,755 | |
EOG Resources Inc. | 32,356 | 2,833 | |
Anadarko Petroleum Corp. | 31,490 | 2,458 | |
ConocoPhillips | 36,692 | 2,253 | |
Phillips 66 | 26,406 | 2,127 | |
Baker Hughes Inc. | 29,750 | 1,836 | |
Kinder Morgan Inc. | 47,583 | 1,827 | |
Marathon Petroleum Corp. | 33,682 | 1,762 | |
Apache Corp. | 27,914 | 1,609 | |
Occidental Petroleum Corp. | 20,404 | 1,587 | |
Halliburton Co. | 34,325 | 1,478 | |
Pioneer Natural Resources | |||
Co. | 10,069 | 1,396 | |
Noble Energy Inc. | 31,198 | 1,331 | |
Hess Corp. | 19,004 | 1,271 | |
* | Cheniere Energy Inc. | 18,000 | 1,247 |
Cabot Oil & Gas Corp. | 38,304 | 1,208 | |
* | Concho Resources Inc. | 10,400 | 1,184 |
EQT Corp. | 13,897 | 1,130 | |
* | Cameron International Corp. | 20,752 | 1,087 |
Devon Energy Corp. | 17,854 | 1,062 | |
* | FMC Technologies Inc. | 25,186 | 1,045 |
Cimarex Energy Co. | 8,976 | 990 | |
Range Resources Corp. | 18,846 | 931 | |
* | Newfield Exploration Co. | 24,827 | 897 |
* | Dresser-Rand Group Inc. | 10,122 | 862 |
* | Whiting Petroleum Corp. | 25,100 | 843 |
Energen Corp. | 11,630 | 794 | |
Nabors Industries Ltd. | 52,990 | 765 | |
* | Continental Resources Inc. | 18,028 | 764 |
World Fuel Services Corp. | 14,600 | 700 | |
QEP Resources Inc. | 37,598 | 696 | |
Superior Energy Services | |||
Inc. | 32,721 | 688 | |
SM Energy Co. | 14,872 | 686 | |
Rowan Cos. plc Class A | 30,883 | 652 | |
* | WPX Energy Inc. | 51,600 | 634 |
CONSOL Energy Inc. | 29,005 | 631 | |
* | Gulfport Energy Corp. | 15,400 | 620 |
* | Antero Resources Corp. | 17,200 | 591 |
Patterson-UTI Energy Inc. | 30,402 | 572 | |
* | Rice Energy Inc. | 27,400 | 571 |
Helmerich & Payne Inc. | 7,915 | 557 | |
Williams Cos. Inc. | 9,320 | 535 | |
HollyFrontier Corp. | 12,492 | 533 |
Market | |||
Value• | |||
Shares | ($000) | ||
ONEOK Inc. | 13,384 | 528 | |
Valero Energy Corp. | 8,400 | 526 | |
National Oilwell Varco Inc. | 7,929 | 383 | |
California Resources Corp. | 60,961 | 368 | |
* | Southwestern Energy Co. | 15,000 | 341 |
Murphy Oil Corp. | 6,700 | 278 | |
Marathon Oil Corp. | 8,482 | 225 | |
* | First Solar Inc. | 1,400 | 66 |
Chesapeake Energy Corp. | 2,400 | 27 | |
* | SunPower Corp. Class A | 800 | 23 |
* | NOW Inc. | 882 | 17 |
Restaurant Brands | |||
International LP | 189 | 7 | |
78,108 | |||
Financial Services (9.2%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 94,677 | 12,887 | |
Wells Fargo & Co. | 209,159 | 11,763 | |
JPMorgan Chase & Co. | 164,601 | 11,153 | |
Citigroup Inc. | 159,443 | 8,808 | |
Bank of America Corp. | 460,717 | 7,841 | |
Visa Inc. Class A | 107,296 | 7,205 | |
MasterCard Inc. Class A | 55,600 | 5,198 | |
Goldman Sachs Group Inc. | 24,135 | 5,039 | |
American International | |||
Group Inc. | 75,800 | 4,686 | |
American Express Co. | 42,659 | 3,315 | |
Morgan Stanley | 80,860 | 3,137 | |
Simon Property Group Inc. | 16,828 | 2,912 | |
Capital One Financial Corp. | 28,392 | 2,498 | |
American Tower | |||
Corporation | 26,573 | 2,479 | |
Charles Schwab Corp. | 71,805 | 2,344 | |
PNC Financial Services | |||
Group Inc. | 22,900 | 2,190 | |
US Bancorp | 49,700 | 2,157 | |
Aon plc | 18,900 | 1,884 | |
Allstate Corp. | 28,000 | 1,816 | |
Equity Residential | 24,950 | 1,751 | |
Public Storage | 8,972 | 1,654 | |
SunTrust Banks Inc. | 38,029 | 1,636 | |
Crown Castle International | |||
Corp. | 19,667 | 1,579 | |
* | Fiserv Inc. | 18,742 | 1,552 |
AvalonBay Communities Inc. | 9,600 | 1,535 | |
Moody’s Corp. | 14,200 | 1,533 | |
Boston Properties Inc. | 11,881 | 1,438 | |
Hartford Financial Services | |||
Group Inc. | 33,900 | 1,409 | |
Discover Financial Services | 24,229 | 1,396 | |
Vornado Realty Trust | 14,600 | 1,386 | |
* | Alliance Data Systems Corp. | 4,587 | 1,339 |
Ameriprise Financial Inc. | 10,680 | 1,334 | |
Fidelity National Information | |||
Services Inc. | 21,281 | 1,315 | |
Lincoln National Corp. | 21,630 | 1,281 |
13
Tax-Managed Balanced Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Progressive Corp. | 44,997 | 1,252 | |
Franklin Resources Inc. | 25,275 | 1,239 | |
KeyCorp | 80,218 | 1,205 | |
General Growth Properties | |||
Inc. | 46,700 | 1,198 | |
Intercontinental Exchange | |||
Inc. | 5,321 | 1,190 | |
Essex Property Trust Inc. | 5,473 | 1,163 | |
Loews Corp. | 29,416 | 1,133 | |
Equifax Inc. | 11,358 | 1,103 | |
T. Rowe Price Group Inc. | 14,000 | 1,088 | |
Weyerhaeuser Co. | 34,166 | 1,076 | |
MetLife Inc. | 18,840 | 1,055 | |
* | CBRE Group Inc. Class A | 28,473 | 1,054 |
Comerica Inc. | 20,200 | 1,037 | |
SL Green Realty Corp. | 9,359 | 1,029 | |
* | E*TRADE Financial Corp. | 34,200 | 1,024 |
Travelers Cos. Inc. | 10,589 | 1,024 | |
Bank of New York Mellon | |||
Corp. | 24,232 | 1,017 | |
State Street Corp. | 13,069 | 1,006 | |
First Republic Bank | 15,600 | 983 | |
* | SVB Financial Group | 6,600 | 950 |
CIT Group Inc. | 20,400 | 948 | |
Global Payments Inc. | 9,114 | 943 | |
Federal Realty Investment | |||
Trust | 7,319 | 938 | |
* | Signature Bank | 6,400 | 937 |
Prologis Inc. | 25,200 | 935 | |
Regions Financial Corp. | 90,215 | 935 | |
TD Ameritrade Holding Corp. | 25,261 | 930 | |
* | Arch Capital Group Ltd. | 13,850 | 927 |
Unum Group | 25,927 | 927 | |
Host Hotels & Resorts Inc. | 46,699 | 926 | |
Jones Lang LaSalle Inc. | 5,412 | 925 | |
Zions Bancorporation | 29,151 | 925 | |
* | Markel Corp. | 1,151 | 922 |
Torchmark Corp. | 15,822 | 921 | |
* | Affiliated Managers Group | ||
Inc. | 4,184 | 915 | |
Total System Services Inc. | 21,600 | 902 | |
MSCI Inc. Class A | 14,434 | 888 | |
SEI Investments Co. | 17,947 | 880 | |
East West Bancorp Inc. | 19,469 | 873 | |
* | Realogy Holdings Corp. | 18,600 | 869 |
Voya Financial Inc. | 18,500 | 860 | |
Reinsurance Group of | |||
America Inc. Class A | 8,870 | 842 | |
Everest Re Group Ltd. | 4,600 | 837 | |
WR Berkley Corp. | 15,743 | 818 | |
Extra Space Storage Inc. | 12,500 | 815 | |
Fifth Third Bancorp | 38,275 | 797 | |
HCC Insurance Holdings Inc. | 10,264 | 789 | |
FactSet Research Systems | |||
Inc. | 4,799 | 780 | |
Synovus Financial Corp. | 25,242 | 778 |
Market | |||
Value• | |||
Shares | ($000) | ||
City National Corp. | 8,600 | 777 | |
NASDAQ OMX Group Inc. | 15,873 | 775 | |
Assurant Inc. | 11,500 | 771 | |
First Horizon National Corp. | 48,740 | 764 | |
Commerce Bancshares Inc. | 16,288 | 762 | |
* | Forest City Enterprises Inc. | ||
Class A | 34,413 | 761 | |
* | Synchrony Financial | 23,044 | 759 |
* | Alleghany Corp. | 1,609 | 754 |
Leucadia National Corp. | 30,733 | 746 | |
White Mountains Insurance | |||
Group Ltd. | 1,138 | 745 | |
Legg Mason Inc. | 14,354 | 740 | |
Equity LifeStyle Properties | |||
Inc. | 13,800 | 726 | |
Brown & Brown Inc. | 22,061 | 725 | |
Lazard Ltd. Class A | 12,825 | 721 | |
Associated Banc-Corp | 35,327 | 716 | |
Taubman Centers Inc. | 10,300 | 716 | |
StanCorp Financial Group | |||
Inc. | 9,400 | 711 | |
CBOE Holdings Inc. | 12,400 | 710 | |
* | Howard Hughes Corp. | 4,900 | 703 |
BlackRock Inc. | 2,012 | 696 | |
Chubb Corp. | 7,300 | 695 | |
Apartment Investment & | |||
Management Co. | 18,776 | 693 | |
TCF Financial Corp. | 41,300 | 686 | |
Raymond James Financial | |||
Inc. | 11,434 | 681 | |
Douglas Emmett Inc. | 25,134 | 677 | |
TFS Financial Corp. | 39,800 | 669 | |
Post Properties Inc. | 12,000 | 652 | |
Assured Guaranty Ltd. | 26,594 | 638 | |
Morningstar Inc. | 7,828 | 623 | |
RenaissanceRe Holdings Ltd. | 6,098 | 619 | |
McGraw Hill Financial Inc. | 6,100 | 613 | |
American Homes 4 Rent | |||
Class A | 38,000 | 610 | |
Allied World Assurance Co. | |||
Holdings AG | 13,344 | 577 | |
Huntington Bancshares Inc. | 50,700 | 573 | |
* | Popular Inc. | 19,800 | 571 |
Tanger Factory Outlet | |||
Centers Inc. | 17,300 | 548 | |
Aflac Inc. | 8,800 | 547 | |
Prudential Financial Inc. | 5,512 | 482 | |
LPL Financial Holdings Inc. | 10,200 | 474 | |
WP GLIMCHER Inc. | 34,741 | 470 | |
DDR Corp. | 29,107 | 450 | |
Brixmor Property Group Inc. | 19,000 | 440 | |
Ventas Inc. | 6,500 | 404 | |
Hanover Insurance Group | |||
Inc. | 5,014 | 371 | |
Dun & Bradstreet Corp. | 2,900 | 354 | |
CNA Financial Corp. | 8,693 | 332 |
14
Tax-Managed Balanced Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
ACE Ltd. | 3,000 | 305 | |
BOK Financial Corp. | 4,040 | 281 | |
Retail Properties of America | |||
Inc. | 19,700 | 274 | |
CME Group Inc. | 2,895 | 269 | |
HCP Inc. | 7,300 | 266 | |
Interactive Brokers Group | |||
Inc. | 6,300 | 262 | |
BB&T Corp. | 5,800 | 234 | |
ProAssurance Corp. | 5,000 | 231 | |
Annaly Capital Management | |||
Inc. | 19,500 | 179 | |
Marsh & McLennan Cos. | |||
Inc. | 2,900 | 164 | |
Health Care REIT Inc. | 2,300 | 151 | |
* | Santander Consumer USA | ||
Holdings Inc. | 5,400 | 138 | |
FNF Group | 3,247 | 120 | |
Hospitality Properties Trust | 3,122 | 90 | |
* | Genworth Financial Inc. | ||
Class A | 10,500 | 80 | |
Navient Corp. | 2,200 | 40 | |
* | CoreLogic Inc. | 1,000 | 40 |
* | Ally Financial Inc. | 1,600 | 36 |
* | Vantiv Inc. Class A | 900 | 34 |
Gaming and Leisure | |||
Properties Inc. | 900 | 33 | |
* | FleetCor Technologies Inc. | 200 | 31 |
Equinix Inc. | 102 | 26 | |
* | Zillow Group Inc. Class A | 200 | 17 |
Cullen/Frost Bankers Inc. | 200 | 16 | |
People’s United Financial | |||
Inc. | 400 | 7 | |
201,509 | |||
Health Care (7.0%) | |||
Johnson & Johnson | 124,344 | 12,119 | |
Gilead Sciences Inc. | 80,702 | 9,449 | |
Pfizer Inc. | 270,287 | 9,063 | |
Merck & Co. Inc. | 118,021 | 6,719 | |
Amgen Inc. | 40,955 | 6,287 | |
UnitedHealth Group Inc. | 50,113 | 6,114 | |
Bristol-Myers Squibb Co. | 86,260 | 5,740 | |
* | Allergan plc | 17,483 | 5,305 |
* | Biogen Inc. | 13,081 | 5,284 |
* | Celgene Corp. | 44,324 | 5,130 |
Medtronic plc | 64,510 | 4,780 | |
AbbVie Inc. | 64,299 | 4,320 | |
* | Express Scripts Holding Co. | 42,449 | 3,775 |
Thermo Fisher Scientific Inc. | 23,967 | 3,110 | |
McKesson Corp. | 13,686 | 3,077 | |
Aetna Inc. | 21,855 | 2,786 | |
Cigna Corp. | 17,162 | 2,780 | |
Abbott Laboratories | 54,800 | 2,690 | |
Anthem Inc. | 16,126 | 2,647 | |
Eli Lilly & Co. | 30,400 | 2,538 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Regeneron | ||
Pharmaceuticals Inc. | 4,920 | 2,510 | |
* | Alexion Pharmaceuticals Inc. | 12,686 | 2,293 |
Stryker Corp. | 21,749 | 2,079 | |
* | Illumina Inc. | 9,500 | 2,074 |
* | HCA Holdings Inc. | 22,744 | 2,063 |
Humana Inc. | 10,500 | 2,008 | |
* | Vertex Pharmaceuticals Inc. | 15,600 | 1,926 |
Perrigo Co. plc | 9,900 | 1,830 | |
* | Mylan NV | 25,956 | 1,761 |
Zoetis Inc. | 35,780 | 1,725 | |
AmerisourceBergen Corp. | |||
Class A | 15,306 | 1,628 | |
* | Hospira Inc. | 15,860 | 1,407 |
St. Jude Medical Inc. | 19,235 | 1,405 | |
Zimmer Biomet Holdings Inc. | 12,470 | 1,362 | |
* | BioMarin Pharmaceutical Inc. | 9,600 | 1,313 |
Universal Health Services | |||
Inc. Class B | 8,817 | 1,253 | |
CR Bard Inc. | 6,965 | 1,189 | |
* | Mallinckrodt plc | 10,075 | 1,186 |
* | Endo International plc | 14,669 | 1,168 |
Agilent Technologies Inc. | 29,807 | 1,150 | |
Cardinal Health Inc. | 13,245 | 1,108 | |
* | Boston Scientific Corp. | 62,000 | 1,097 |
* | DaVita HealthCare Partners | ||
Inc. | 13,800 | 1,097 | |
Omnicare Inc. | 11,493 | 1,083 | |
Cooper Cos. Inc. | 5,484 | 976 |
* | Laboratory Corp. of America |
Holdings | 7,471 | 906 | |
DENTSPLY International Inc. | 17,283 | 891 | |
PerkinElmer Inc. | 16,300 | 858 | |
* | QIAGEN NV | 33,200 | 823 |
* | Intuitive Surgical Inc. | 1,590 | 770 |
* | Quintiles Transnational | ||
Holdings Inc. | 10,600 | 770 | |
Bio-Techne Corp. | 7,300 | 719 | |
Hill-Rom Holdings Inc. | 13,022 | 707 | |
Patterson Cos. Inc. | 13,300 | 647 | |
* | Tenet Healthcare Corp. | 10,925 | 632 |
Quest Diagnostics Inc. | 8,019 | 582 | |
* | Cerner Corp. | 8,010 | 553 |
* | Varian Medical Systems Inc. | 6,100 | 514 |
Becton Dickinson and Co. | 3,358 | 476 | |
* | Charles River Laboratories | ||
International Inc. | 5,500 | 387 | |
1 | Baxter International Inc. | 8,900 | 338 |
* | Edwards Lifesciences Corp. | 1,319 | 188 |
* | Alkermes plc | 2,300 | 148 |
* | Intercept Pharmaceuticals Inc. | 450 | 109 |
* | Centene Corp. | 800 | 64 |
* | Jazz Pharmaceuticals plc | 300 | 53 |
* | United Therapeutics Corp. | 300 | 52 |
* | Incyte Corp. | 500 | 52 |
15
Tax-Managed Balanced Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Alnylam Pharmaceuticals Inc. | 400 | 48 |
* | Hologic Inc. | 1,200 | 46 |
* | Health Net Inc. | 700 | 45 |
* | VCA Inc. | 800 | 43 |
* | Catamaran Corp. | 700 | 43 |
* | Alere Inc. | 800 | 42 |
* | Sirona Dental Systems Inc. | 400 | 40 |
* | Community Health Systems | ||
Inc. | 600 | 38 | |
* | Align Technology Inc. | 600 | 38 |
* | MEDNAX Inc. | 500 | 37 |
* | Veeva Systems Inc. Class A | 1,300 | 36 |
* | LifePoint Health Inc. | 400 | 35 |
* | Premier Inc. Class A | 900 | 35 |
* | Medivation Inc. | 300 | 34 |
* | Envision Healthcare Holdings | ||
Inc. | 800 | 32 | |
* | Seattle Genetics Inc. | 600 | 29 |
* | Henry Schein Inc. | 200 | 28 |
* | Brookdale Senior Living Inc. | 800 | 28 |
* | Allscripts Healthcare | ||
Solutions Inc. | 1,900 | 26 | |
* | IDEXX Laboratories Inc. | 400 | 26 |
* | athenahealth Inc. | 200 | 23 |
154,395 | |||
Materials & Processing (2.0%) | |||
Monsanto Co. | 26,908 | 2,868 | |
Precision Castparts Corp. | 9,752 | 1,949 | |
Ecolab Inc. | 16,800 | 1,900 | |
PPG Industries Inc. | 15,100 | 1,732 | |
Sherwin-Williams Co. | 5,810 | 1,598 | |
EI du Pont de Nemours & | |||
Co. | 24,728 | 1,581 | |
Praxair Inc. | 12,852 | 1,536 | |
Dow Chemical Co. | 29,200 | 1,494 | |
LyondellBasell Industries NV | |||
Class A | 13,538 | 1,401 | |
Ingersoll-Rand plc | 20,400 | 1,375 | |
Sigma-Aldrich Corp. | 9,280 | 1,293 | |
CF Industries Holdings Inc. | 19,560 | 1,257 | |
Celanese Corp. Class A | 16,040 | 1,153 | |
Sealed Air Corp. | 21,800 | 1,120 | |
Vulcan Materials Co. | 13,034 | 1,094 | |
Ball Corp. | 13,818 | 969 | |
* | WR Grace & Co. | 9,200 | 923 |
* | Crown Holdings Inc. | 17,141 | 907 |
Martin Marietta Materials Inc. | 5,886 | 833 | |
Airgas Inc. | 7,619 | 806 | |
Valspar Corp. | 9,800 | 802 | |
Hexcel Corp. | 15,900 | 791 | |
Lennox International Inc. | 7,200 | 775 | |
Cytec Industries Inc. | 12,666 | 767 | |
FMC Corp. | 14,398 | 757 | |
Ashland Inc. | 6,198 | 756 | |
Newmont Mining Corp. | 31,866 | 744 | |
Southern Copper Corp. | 24,900 | 732 |
Market | |||
Value• | |||
Shares | ($000) | ||
Eagle Materials Inc. | 9,100 | 695 | |
NewMarket Corp. | 1,550 | 688 | |
* | Owens-Illinois Inc. | 29,800 | 684 |
Valmont Industries Inc. | 5,611 | 667 | |
United States Steel Corp. | 29,682 | 612 | |
Westlake Chemical Corp. | 8,400 | 576 | |
Albemarle Corp. | 10,400 | 575 | |
Silgan Holdings Inc. | 10,642 | 562 | |
* | Armstrong World Industries | ||
Inc. | 10,403 | 554 | |
Tahoe Resources Inc. | 43,199 | 524 | |
Owens Corning | 11,700 | 483 | |
Reliance Steel & Aluminum | |||
Co. | 7,600 | 460 | |
Freeport-McMoRan Inc. | 17,694 | 330 | |
Nucor Corp. | 7,400 | 326 | |
Scotts Miracle-Gro Co. | |||
Class A | 5,042 | 299 | |
Mosaic Co. | 5,600 | 262 | |
International Paper Co. | 4,943 | 235 | |
Eastman Chemical Co. | 2,640 | 216 | |
Fastenal Co. | 4,725 | 199 | |
Air Products & Chemicals | |||
Inc. | 1,200 | 164 | |
Royal Gold Inc. | 2,600 | 160 | |
* | USG Corp. | 5,000 | 139 |
43,323 | |||
Producer Durables (5.0%) | |||
General Electric Co. | 441,309 | 11,726 | |
Union Pacific Corp. | 43,852 | 4,182 | |
United Technologies Corp. | 32,076 | 3,558 | |
3M Co. | 22,500 | 3,472 | |
Boeing Co. | 25,020 | 3,471 | |
Honeywell International Inc. | 33,800 | 3,447 | |
Danaher Corp. | 36,351 | 3,111 | |
FedEx Corp. | 17,676 | 3,012 | |
Accenture plc Class A | 23,200 | 2,245 | |
Delta Air Lines Inc. | 51,700 | 2,124 | |
CSX Corp. | 65,000 | 2,122 | |
United Parcel Service Inc. | |||
Class B | 19,500 | 1,890 | |
Automatic Data Processing | |||
Inc. | 22,574 | 1,811 | |
Southwest Airlines Co. | 47,557 | 1,574 | |
* | United Continental Holdings | ||
Inc. | 28,800 | 1,527 | |
Roper Technologies Inc. | 8,010 | 1,381 | |
General Dynamics Corp. | 9,191 | 1,302 | |
Cummins Inc. | 9,721 | 1,275 | |
Pall Corp. | 10,100 | 1,257 | |
AMETEK Inc. | 22,000 | 1,205 | |
Caterpillar Inc. | 13,500 | 1,145 | |
Textron Inc. | 25,611 | 1,143 | |
* | TransDigm Group Inc. | 5,010 | 1,126 |
Rockwell Collins Inc. | 12,100 | 1,117 |
16
Tax-Managed Balanced Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Verisk Analytics Inc. | ||
Class A | 14,700 | 1,070 | |
* | Waters Corp. | 8,218 | 1,055 |
* | Mettler-Toledo International | ||
Inc. | 3,020 | 1,031 | |
Lockheed Martin Corp. | 5,503 | 1,023 | |
Xerox Corp. | 94,355 | 1,004 | |
Expeditors International of | |||
Washington Inc. | 21,466 | 990 | |
* | Spirit AeroSystems Holdings | ||
Inc. Class A | 17,600 | 970 | |
Raytheon Co. | 10,049 | 962 | |
Wabtec Corp. | 10,106 | 952 | |
WW Grainger Inc. | 3,982 | 942 | |
JB Hunt Transport Services | |||
Inc. | 11,010 | 904 | |
Towers Watson & Co. | |||
Class A | 7,100 | 893 | |
AO Smith Corp. | 12,200 | 878 | |
* | Stericycle Inc. | 6,554 | 878 |
Xylem Inc. | 23,239 | 861 | |
AGCO Corp. | 15,037 | 854 | |
Cintas Corp. | 10,050 | 850 | |
Carlisle Cos. Inc. | 8,400 | 841 | |
Fluor Corp. | 15,858 | 841 | |
IDEX Corp. | 10,529 | 827 | |
Flowserve Corp. | 15,613 | 822 | |
* | AECOM | 24,734 | 818 |
* | Quanta Services Inc. | 28,295 | 815 |
Allegion plc | 13,433 | 808 | |
American Airlines Group Inc. | 20,200 | 807 | |
Robert Half International Inc. | 14,500 | 805 | |
Chicago Bridge & Iron Co. | |||
NV | 15,288 | 765 | |
B/E Aerospace Inc. | 13,711 | 753 | |
Triumph Group Inc. | 11,400 | 752 | |
* | HD Supply Holdings Inc. | 21,300 | 749 |
* | Jacobs Engineering Group | ||
Inc. | 18,295 | 743 | |
Ryder System Inc. | 8,500 | 743 | |
Huntington Ingalls Industries | |||
Inc. | 6,569 | 740 | |
Landstar System Inc. | 10,585 | 708 | |
Babcock & Wilcox Co. | 21,519 | 706 | |
Toro Co. | 10,318 | 699 | |
Nordson Corp. | 8,950 | 697 | |
Pentair plc | 10,087 | 694 | |
Kansas City Southern | 7,600 | 693 | |
Manitowoc Co. Inc. | 35,200 | 690 | |
Air Lease Corp. Class A | 20,100 | 681 | |
FLIR Systems Inc. | 22,000 | 678 | |
ADT Corp. | 20,000 | 671 | |
* | WESCO International Inc. | 9,719 | 667 |
Lincoln Electric Holdings Inc. | 10,723 | 653 | |
Waste Connections Inc. | 13,800 | 650 | |
Emerson Electric Co. | 11,700 | 649 |
Market | |||
Value• | |||
Shares | ($000) | ||
Republic Services Inc. | |||
Class A | 16,510 | 647 | |
Regal Beloit Corp. | 8,800 | 639 | |
ITT Corp. | 15,069 | 631 | |
Oshkosh Corp. | 14,447 | 612 | |
* | Keysight Technologies Inc. | 17,803 | 555 |
Deere & Co. | 5,600 | 544 | |
Stanley Black & Decker Inc. | 4,927 | 519 | |
Trinity Industries Inc. | 19,500 | 515 | |
ManpowerGroup Inc. | 5,650 | 505 | |
Donaldson Co. Inc. | 13,286 | 476 | |
CH Robinson Worldwide Inc. | 7,611 | 475 | |
National Instruments Corp. | 14,511 | 428 | |
SPX Corp. | 5,597 | 405 | |
Orbital ATK Inc. | 5,386 | 395 | |
L-3 Communications | |||
Holdings Inc. | 3,289 | 373 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 5,300 | 370 | |
Illinois Tool Works Inc. | 3,700 | 340 | |
Copa Holdings SA Class A | 3,938 | 325 | |
Paychex Inc. | 6,600 | 309 | |
Covanta Holding Corp. | 14,400 | 305 | |
Eaton Corp. plc | 3,900 | 263 | |
Norfolk Southern Corp. | 2,700 | 236 | |
Lexmark International Inc. | |||
Class A | 5,300 | 234 | |
KBR Inc. | 10,782 | 210 | |
Joy Global Inc. | 4,200 | 152 | |
* | Middleby Corp. | 1,000 | 112 |
* | United Rentals Inc. | 1,200 | 105 |
Kennametal Inc. | 3,000 | 102 | |
Northrop Grumman Corp. | 500 | 79 | |
* | Zebra Technologies Corp. | 400 | 44 |
* | CoStar Group Inc. | 200 | 40 |
* | IHS Inc. Class A | 300 | 39 |
* | Spirit Airlines Inc. | 600 | 37 |
* | Genpact Ltd. | 1,700 | 36 |
* | Old Dominion Freight Line | ||
Inc. | 500 | 34 | |
* | Kirby Corp. | 400 | 31 |
* | Genesee & Wyoming Inc. | ||
Class A | 300 | 23 | |
109,650 | |||
Technology (7.8%) | |||
Apple Inc. | 293,315 | 36,789 | |
Microsoft Corp. | 375,656 | 16,585 | |
* | Facebook Inc. Class A | 112,700 | 9,666 |
* | Google Inc. Class A | 14,912 | 8,053 |
* | Google Inc. Class C | 14,702 | 7,653 |
Oracle Corp. | 159,790 | 6,440 | |
International Business | |||
Machines Corp. | 37,503 | 6,100 | |
Intel Corp. | 199,300 | 6,062 | |
Cisco Systems Inc. | 199,015 | 5,465 | |
QUALCOMM Inc. | 67,900 | 4,253 |
17
Tax-Managed Balanced Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
EMC Corp. | 105,936 | 2,796 | |
* | Salesforce.com inc | 37,512 | 2,612 |
* | Adobe Systems Inc. | 31,396 | 2,543 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 38,296 | 2,339 | |
* | Yahoo! Inc. | 59,266 | 2,329 |
Avago Technologies Ltd. | |||
Class A | 16,735 | 2,225 | |
Hewlett-Packard Co. | 69,273 | 2,079 | |
Intuit Inc. | 19,124 | 1,927 | |
Broadcom Corp. Class A | 37,143 | 1,912 | |
Texas Instruments Inc. | 35,546 | 1,831 | |
Skyworks Solutions Inc. | 15,100 | 1,572 | |
Applied Materials Inc. | 78,880 | 1,516 | |
Altera Corp. | 29,152 | 1,493 | |
Amphenol Corp. Class A | 24,992 | 1,449 | |
Corning Inc. | 71,577 | 1,412 | |
* | Electronic Arts Inc. | 19,000 | 1,263 |
* | SBA Communications Corp. | ||
Class A | 10,911 | 1,254 | |
Lam Research Corp. | 14,800 | 1,204 | |
Activision Blizzard Inc. | 47,560 | 1,151 | |
Symantec Corp. | 48,539 | 1,128 | |
Western Digital Corp. | 14,200 | 1,114 | |
* | SunEdison Inc. | 37,200 | 1,113 |
* | Citrix Systems Inc. | 15,428 | 1,082 |
Juniper Networks Inc. | 39,200 | 1,018 | |
NVIDIA Corp. | 50,100 | 1,007 | |
CDK Global Inc. | 18,558 | 1,002 | |
Analog Devices Inc. | 15,396 | 988 | |
Computer Sciences Corp. | 15,000 | 985 | |
* | Autodesk Inc. | 19,108 | 957 |
NetApp Inc. | 29,171 | 921 | |
* | Synopsys Inc. | 18,000 | 912 |
IAC/InterActiveCorp | 11,200 | 892 | |
Motorola Solutions Inc. | 14,167 | 812 | |
DST Systems Inc. | 6,430 | 810 | |
Xilinx Inc. | 18,129 | 801 | |
* | NCR Corp. | 26,400 | 795 |
Amdocs Ltd. | 14,500 | 792 | |
Brocade Communications | |||
Systems Inc. | 65,800 | 782 | |
* | Cadence Design Systems | ||
Inc. | 39,700 | 780 | |
* | CommScope Holding Co. | ||
Inc. | 25,254 | 770 | |
* | VeriSign Inc. | 12,228 | 755 |
* | Freescale Semiconductor | ||
Ltd. | 17,900 | 715 | |
Teradyne Inc. | 36,800 | 710 | |
* | Ingram Micro Inc. | 28,100 | 703 |
Avnet Inc. | 17,000 | 699 | |
* | Teradata Corp. | 18,036 | 667 |
Sabre Corp. | 27,900 | 664 | |
Dolby Laboratories Inc. | |||
Class A | 16,100 | 639 |
Market | |||
Value• | |||
Shares | ($000) | ||
Solera Holdings Inc. | 12,190 | 543 | |
Atmel Corp. | 52,800 | 520 | |
* | Twitter Inc. | 13,400 | 485 |
* | ON Semiconductor Corp. | 28,800 | 337 |
Linear Technology Corp. | 7,300 | 323 | |
Maxim Integrated Products | |||
Inc. | 5,500 | 190 | |
* | Arrow Electronics Inc. | 3,300 | 184 |
CA Inc. | 5,007 | 147 | |
* | Palo Alto Networks Inc. | 400 | 70 |
* | IPG Photonics Corp. | 500 | 43 |
* | Fortinet Inc. | 1,000 | 41 |
* | IMS Health Holdings Inc. | 1,200 | 37 |
* | F5 Networks Inc. | 300 | 36 |
* | Splunk Inc. | 500 | 35 |
* | Tableau Software Inc. | ||
Class A | 300 | 35 | |
* | Gartner Inc. | 400 | 34 |
* | Red Hat Inc. | 400 | 30 |
* | Micron Technology Inc. | 1,600 | 30 |
* | JDS Uniphase Corp. | 2,600 | 30 |
* | ServiceNow Inc. | 400 | 30 |
* | FireEye Inc. | 600 | 29 |
* | EchoStar Corp. Class A | 600 | 29 |
* | Informatica Corp. | 600 | 29 |
* | Akamai Technologies Inc. | 400 | 28 |
* | SolarWinds Inc. | 600 | 28 |
* | ARRIS Group Inc. | 900 | 28 |
* | NetSuite Inc. | 300 | 27 |
* | ANSYS Inc. | 300 | 27 |
* | VeriFone Systems Inc. | 800 | 27 |
* | Rackspace Hosting Inc. | 700 | 26 |
* | PTC Inc. | 600 | 25 |
* | Groupon Inc. Class A | 4,600 | 23 |
* | Workday Inc. Class A | 300 | 23 |
* | Zynga Inc. Class A | 7,300 | 21 |
* | LinkedIn Corp. Class A | 100 | 21 |
* | VMware Inc. Class A | 200 | 17 |
* | Yelp Inc. Class A | 300 | 13 |
170,587 | |||
Utilities (2.3%) | |||
Verizon Communications | |||
Inc. | 187,200 | 8,725 | |
AT&T Inc. | 216,766 | 7,700 | |
NextEra Energy Inc. | 26,697 | 2,617 | |
Duke Energy Corp. | 32,430 | 2,290 | |
Dominion Resources Inc. | 27,808 | 1,860 | |
Southern Co. | 41,900 | 1,756 | |
Sempra Energy | 17,029 | 1,685 | |
* | Level 3 Communications | ||
Inc. | 31,510 | 1,660 | |
PG&E Corp. | 29,335 | 1,440 | |
Edison International | 24,908 | 1,384 | |
Exelon Corp. | 40,100 | 1,260 | |
NiSource Inc. | 27,000 | 1,231 | |
* | T-Mobile US Inc. | 29,700 | 1,151 |
18
Tax-Managed Balanced Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Public Service Enterprise | |||
Group Inc. | 28,200 | 1,108 | |
American Water Works Co. | |||
Inc. | 18,828 | 916 | |
AES Corp. | 68,369 | 907 | |
American Electric Power Co. | |||
Inc. | 16,500 | 874 | |
NRG Energy Inc. | 37,624 | 861 | |
WEC Energy Group Inc. | 18,832 | 847 | |
CMS Energy Corp. | 26,527 | 845 | |
UGI Corp. | 22,878 | 788 | |
* | Calpine Corp. | 42,410 | 763 |
OGE Energy Corp. | 26,686 | 762 | |
ITC Holdings Corp. | 23,010 | 740 | |
National Fuel Gas Co. | 12,501 | 736 |
Market | |||
Value• | |||
Shares | ($000) | ||
Telephone & Data Systems Inc. | |||
24,730 | 727 | ||
Aqua America Inc. | 28,978 | 710 | |
Alliant Energy Corp. | 12,113 | 699 | |
Xcel Energy Inc. | 21,000 | 676 | |
* | United States Cellular Corp. | 14,915 | 562 |
Questar Corp. | 26,733 | 559 | |
Consolidated Edison Inc. | 6,400 | 370 | |
AGL Resources Inc. | 6,000 | 279 | |
MDU Resources Group Inc. | 9,950 | 194 | |
49,682 | |||
Total Common Stocks | |||
(Cost $604,809) | 1,041,466 |
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Tax-Exempt Municipal Bonds (52.6%) | ||||
Alabama (0.1%) | ||||
Alabama 21st Century Authority | ||||
Tobacco Settlement Revenue | 5.000% | 6/1/20 | 500 | 570 |
Alabama Incentives Financing | ||||
Authority Special Obligation Revenue | 5.000% | 9/1/32 | 380 | 420 |
Alabama Public School & College Authority | ||||
Capital Improvement Revenue | 5.000% | 12/1/17 (Prere.) | 500 | 548 |
Alabama Public School & College Authority | ||||
Capital Improvement Revenue | 5.000% | 12/1/17 (Prere.) | 500 | 548 |
Jefferson County AL Sewer Revenue | 5.000% | 10/1/23 | 500 | 554 |
Jefferson County AL Sewer Revenue | 0.000% | 10/1/25 (4) | 500 | 322 |
2,962 | ||||
Alaska (0.0%) | ||||
Alaska Housing Finance Corp. General | ||||
Housing Revenue | 5.000% | 12/1/29 | 500 | 580 |
Arizona (1.8%) | ||||
Arizona Board Regents Arizona State | ||||
University System COP | 5.000% | 7/1/22 (14) | 1,500 | 1,616 |
Arizona Board Regents Arizona State | ||||
University System Revenue | 5.875% | 7/1/18 (Prere.) | 100 | 114 |
Arizona COP | 5.000% | 10/1/18 (4) | 500 | 560 |
Arizona Health Facilities Authority Revenue | ||||
(Banner Health) | 5.000% | 1/1/25 | 500 | 543 |
Arizona School Facilities Board COP | 5.500% | 9/1/23 | 500 | 564 |
Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/21 | 2,240 | 2,649 |
Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/23 | 1,955 | 2,356 |
Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/24 | 2,000 | 2,424 |
Arizona Transportation Board Excise Tax Revenue | ||||
(Maricopa County Regional Area) | 5.000% | 7/1/17 (Prere.) | 500 | 542 |
Arizona Transportation Board Excise Tax Revenue | ||||
(Maricopa County Regional Area) | 5.000% | 7/1/20 (Prere.) | 500 | 583 |
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/22 | 2,005 | 2,387 |
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/32 | 500 | 567 |
19
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Chandler AZ GO | 5.000% | 7/1/23 | 1,000 | 1,211 |
Glendale AZ Industrial Development Authority | ||||
Revenue (Midwestern University) | 5.000% | 5/15/30 | 275 | 302 |
Glendale AZ Senior Excise Tax Revenue | 5.000% | 7/1/18 | 1,100 | 1,223 |
Maricopa County AZ School District No. 28 | ||||
(Kyrene Elementary) GO | 1.000% | 7/1/19 | 900 | 982 |
Mesa AZ Excise Tax Revenue | 5.000% | 7/1/27 | 2,500 | 2,688 |
Phoenix AZ Civic Improvement Corp. | ||||
Airport Revenue | 5.000% | 7/1/24 | 300 | 343 |
Phoenix AZ Civic Improvement Corp. | ||||
Water System Revenue | 5.000% | 7/1/15 (Prere.) | 500 | 500 |
Phoenix AZ Civic Improvement Corp. | ||||
Water System Revenue | 5.000% | 7/1/25 | 1,000 | 1,204 |
Phoenix AZ Civic Improvement Corp. | ||||
Water System Revenue | 5.000% | 7/1/26 | 4,065 | 4,842 |
Pima County AZ Sewer Revenue | 5.000% | 7/1/20 | 500 | 582 |
Regional Public Transportation Authority | ||||
Arizona Excise Tax Revenue (Maricopa | ||||
County Public Transportation) | 5.250% | 7/1/24 | 1,000 | 1,230 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 1/1/16 (Prere.) | 2,000 | 2,047 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 1/1/28 | 750 | 840 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 12/1/28 | 500 | 576 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 12/1/29 | 2,000 | 2,284 |
Salt Verde AZ Financial Corp. Gas Revenue | 5.250% | 12/1/24 | 870 | 1,012 |
Salt Verde AZ Financial Corp. Gas Revenue | 5.250% | 12/1/28 | 510 | 589 |
University Medical Center Corp. Arizona | ||||
Hospital Revenue | 5.000% | 7/1/19 (ETM) | 500 | 571 |
Yavapai County AZ Industrial Development | ||||
Authority Hospital Facility Revenue | ||||
(Northern Arizona Healthcare System) | 5.250% | 10/1/22 | 500 | 581 |
38,512 | ||||
California (8.1%) | ||||
ABAG Finance Authority for Nonprofit Corps. | ||||
California Revenue (Episcopal Senior | ||||
Communities) | 5.000% | 7/1/22 | 500 | 562 |
ABAG Finance Authority for Nonprofit Corps. | ||||
California Revenue (Jackson Laboratory) | 5.000% | 7/1/21 | 760 | 875 |
Alameda CA Corridor Transportation | ||||
Authority Revenue | 5.300% | 10/1/23 (2) | 200 | 217 |
Alameda CA Corridor Transportation | ||||
Authority Revenue | 0.000% | 10/1/30 (2) | 740 | 362 |
Alameda CA Corridor Transportation | ||||
Authority Revenue | 0.000% | 10/1/32 (14) | 1,650 | 783 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 4/1/16 (Prere.) | 500 | 518 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 10/1/30 | 500 | 566 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 4/1/31 | 500 | 570 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 4/1/31 | 1,000 | 1,122 |
20
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
2 Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) PUT | 0.670% | 4/1/20 | 1,000 | 990 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) PUT | 1.875% | 4/1/20 | 1,500 | 1,517 |
2 Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) PUT | 0.770% | 4/1/21 | 1,000 | 990 |
2 Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) PUT | 0.970% | 5/1/23 | 1,000 | 983 |
Brea CA Public Financing Authority Tax | ||||
Allocation Revenue | 7.000% | 9/1/23 | 1,105 | 1,205 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/16 | 500 | 520 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/17 | 500 | 540 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/18 | 165 | 184 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/18 | 500 | 557 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/20 | 575 | 672 |
California Department of Water Resources | ||||
Water System Revenue (Central Valley Project) | 5.000% | 6/1/18 (Prere.) | 480 | 536 |
California Department of Water Resources | ||||
Water System Revenue (Central Valley Project) | 5.000% | 12/1/24 | 500 | 617 |
California Department of Water Resources | ||||
Water System Revenue (Central Valley Project) | 5.000% | 12/1/28 | 20 | 22 |
California Economic Recovery GO | 5.000% | 7/1/18 (ETM) | 390 | 437 |
California Economic Recovery GO | 5.000% | 7/1/18 | 110 | 124 |
California Economic Recovery GO | 5.000% | 7/1/19 (Prere.) | 500 | 574 |
California Economic Recovery GO | 5.000% | 7/1/19 (ETM) | 500 | 574 |
California Economic Recovery GO | 5.250% | 7/1/19 (Prere.) | 315 | 365 |
California Economic Recovery GO | 5.250% | 7/1/19 (Prere.) | 185 | 214 |
California Economic Recovery GO | 5.000% | 7/1/22 | 500 | 522 |
California Educational Facilities Authority | ||||
Revenue (University of San Francisco) | 6.125% | 10/1/30 | 500 | 609 |
California GO | 6.000% | 2/1/16 | 500 | 517 |
California GO | 5.000% | 11/1/16 | 350 | 371 |
California GO | 5.000% | 3/1/17 | 500 | 536 |
California GO | 6.000% | 4/1/18 | 500 | 570 |
California GO | 5.000% | 9/1/18 | 500 | 527 |
California GO | 5.000% | 11/1/18 (14) | 500 | 549 |
California GO | 5.000% | 6/1/19 (14) | 500 | 541 |
California GO | 5.000% | 2/1/20 | 500 | 579 |
California GO | 5.000% | 10/1/20 | 2,000 | 2,347 |
California GO | 5.000% | 9/1/21 | 500 | 594 |
California GO | 5.000% | 10/1/21 | 250 | 265 |
California GO | 5.000% | 12/1/22 | 1,635 | 1,960 |
California GO | 5.000% | 10/1/23 | 1,000 | 1,205 |
California GO | 5.000% | 11/1/23 | 1,155 | 1,393 |
California GO | 5.000% | 11/1/25 | 2,000 | 2,394 |
California GO | 5.000% | 12/1/25 | 1,000 | 1,191 |
California GO | 5.500% | 3/1/26 | 500 | 557 |
California GO | 5.000% | 6/1/27 (14) | 500 | 537 |
California GO | 4.500% | 8/1/27 | 85 | 89 |
California GO | 5.000% | 9/1/27 | 500 | 526 |
California GO | 5.000% | 2/1/28 | 690 | 792 |
21
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
California GO | 4.500% | 8/1/28 (2) | 725 | 762 |
California GO | 5.750% | 4/1/29 | 500 | 574 |
California GO | 5.000% | 9/1/29 | 495 | 550 |
California GO | 5.000% | 9/1/29 (2) | 500 | 514 |
California GO | 5.000% | 10/1/29 | 3,500 | 3,841 |
California GO | 5.000% | 11/1/29 | 1,700 | 1,959 |
California GO | 5.250% | 3/1/30 | 500 | 577 |
California GO | 5.250% | 9/1/30 | 500 | 574 |
California GO | 5.000% | 2/1/32 | 500 | 560 |
California GO | 5.000% | 6/1/32 | 370 | 395 |
California GO | 5.000% | 10/1/32 | 1,875 | 2,145 |
California GO PUT | 4.000% | 12/1/17 | 2,400 | 2,535 |
California GO VRDO | 0.060% | 7/8/15 LOC | 2,000 | 2,000 |
California Health Facilities Financing Authority | ||||
Revenue (Adventist Health System/West) | 5.000% | 3/1/23 | 1,000 | 1,168 |
California Health Facilities Financing Authority | ||||
Revenue (Catholic Healthcare West) | 5.250% | 3/1/22 | 300 | 353 |
California Health Facilities Financing Authority | ||||
Revenue (Cedars-Sinai Medical Center) | 5.000% | 8/15/17 | 500 | 545 |
California Health Facilities Financing Authority | ||||
Revenue (Children’s Hospital of Los Angeles) | 5.000% | 11/15/23 | 1,000 | 1,113 |
California Health Facilities Financing Authority | ||||
Revenue (Lucile Salter Packard Children’s | ||||
Hospital at Stanford) | 5.000% | 8/15/20 | 325 | 379 |
California Health Facilities Financing Authority | ||||
Revenue (Rady Children’s Hospital) | 5.000% | 8/15/31 | 965 | 1,096 |
California Health Facilities Financing Authority | ||||
Revenue (Sutter Health) | 5.500% | 8/15/26 | 500 | 580 |
California Health Facilities Financing Authority | ||||
Revenue (Sutter Health) | 5.000% | 8/15/30 | 110 | 118 |
California Infrastructure & Economic | ||||
Development Bank Revenue (Bay Area | ||||
Toll Bridges Seismic Retrofit) | 5.000% | 1/1/28 (Prere.) | 500 | 624 |
2 California Infrastructure & Economic | ||||
Development Bank Revenue | ||||
(J. Paul Getty Trust) PUT | 0.350% | 4/1/16 | 1,000 | 998 |
3 California Municipal Finance Authority Revenue | ||||
(Anaheim Electric Utility Distribution System) | 5.000% | 10/1/30 | 965 | 1,107 |
California Municipal Finance Authority Revenue | ||||
(University of La Verne) | 6.125% | 6/1/30 | 500 | 582 |
California Public Works Board Lease Revenue | ||||
(Davidson Library) | 5.000% | 3/1/23 (Prere.) | 20 | 24 |
California Public Works Board Lease Revenue | ||||
(Department of Corrections) | 5.000% | 6/1/22 | 1,000 | 1,186 |
California Public Works Board Lease Revenue | ||||
(Department of Corrections) | 5.000% | 6/1/27 | 1,000 | 1,146 |
California Public Works Board Lease Revenue | ||||
(Judicial Council Projects) | 5.000% | 10/1/26 | 1,000 | 1,171 |
California Public Works Board Lease Revenue | ||||
(Judicial Council Projects) | 5.000% | 3/1/28 | 300 | 340 |
California Public Works Board Lease Revenue | ||||
(Judicial Council Projects) | 5.125% | 12/1/29 | 250 | 287 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 10/1/16 (Prere.) | 100 | 106 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 10/1/16 (Prere.) | 40 | 42 |
22
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 3/1/18 (Prere.) | 200 | 222 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 4/1/19 (Prere.) | 70 | 80 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 4/1/19 (Prere.) | 120 | 137 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 12/1/21 (Prere.) | 35 | 42 |
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 | 1,160 |
California Public Works Board Lease Revenue | ||||
(Various Capital Projects) | 5.000% | 11/1/31 | 1,000 | 1,131 |
California Public Works Board Lease Revenue | ||||
(Various Capital Projects) | 5.000% | 4/1/32 | 350 | 392 |
California State University Systemwide Revenue | 5.750% | 11/1/27 | 500 | 579 |
California State University Systemwide Revenue | 5.250% | 11/1/29 | 300 | 343 |
California State University Systemwide Revenue | 5.000% | 11/1/30 | 1,000 | 1,150 |
California State University Systemwide Revenue | 5.000% | 11/1/34 | 2,000 | 2,290 |
California Statewide Communities Development | ||||
Authority Revenue (Buck Institute for | ||||
Age Research) | 3.000% | 11/15/16 | 250 | 258 |
California Statewide Communities Development | ||||
Authority Revenue (Buck Institute for | ||||
Age Research) | 4.000% | 11/15/17 | 275 | 294 |
California Statewide Communities Development | ||||
Authority Revenue (Kaiser Permanente) | 5.250% | 8/1/31 | 1,500 | 1,563 |
Chabot-Las Positas CA Community College | ||||
District GO | 5.000% | 8/1/31 | 1,000 | 1,136 |
Chaffey CA Community College District GO | 5.000% | 6/1/23 | 840 | 1,010 |
Chino CA Public Financing Authority Special | ||||
Tax Revenue | 5.000% | 9/1/30 (4) | 800 | 887 |
Chula Vista CA Municipal Financing Authority | ||||
Special Tax Revenue | 5.500% | 9/1/27 | 1,000 | 1,154 |
Citrus CA Community College District GO | 0.000% | 8/1/34 | 1,000 | 725 |
Colton CA Public Financing Authority Electric | ||||
Revenue | 5.000% | 4/1/28 | 500 | 559 |
Contra Costa CA Community College District GO | 5.000% | 8/1/31 | 1,000 | 1,143 |
Contra Costa CA Municipal Water District | ||||
Revenue | 5.000% | 10/1/33 | 1,000 | 1,131 |
2 Contra Costa CA Transportation Authority | ||||
Sales Tax Revenue PUT | 0.493% | 12/15/15 | 1,600 | 1,600 |
Corona-Norco CA Unified School District | ||||
Special Tax Revenue (Community Facilities | ||||
District No. 98-1) | 5.000% | 9/1/22 | 970 | 1,121 |
Foothill/Eastern Transportation Corridor | ||||
Agency California Toll Road Revenue | 0.000% | 1/15/29 | 1,390 | 1,029 |
Golden State Tobacco Securitization Corp. | ||||
California Revenue | 5.000% | 6/1/33 | 1,500 | 1,679 |
La Quinta CA Redevelopment Agency Tax | ||||
Allocation Revenue | 5.000% | 9/1/26 | 1,500 | 1,677 |
La Verne CA (Brethren Hillcrest Homes) COP | 5.000% | 5/15/26 | 350 | 382 |
Long Beach CA Finance Authority Natural Gas | ||||
Purchase Revenue | 5.250% | 11/15/19 | 75 | 84 |
23
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Long Beach CA Finance Authority Natural Gas | ||||
Purchase Revenue | 5.250% | 11/15/23 | 330 | 380 |
Long Beach CA Unified School District GO | 0.000% | 8/1/24 (12) | 1,290 | 962 |
Los Angeles CA Community College District GO | 5.000% | 8/1/16 (Prere.) | 1,045 | 1,098 |
Los Angeles CA Community College District GO | 5.000% | 8/1/18 (Prere.) | 500 | 561 |
Los Angeles CA Community College District GO | 5.000% | 8/1/22 | 1,000 | 1,202 |
Los Angeles CA Community College District GO | 5.000% | 8/1/29 | 1,300 | 1,522 |
Los Angeles CA Community College District GO | 5.000% | 8/1/30 | 1,000 | 1,165 |
Los Angeles CA Community College District GO | 4.000% | 8/1/32 | 1,000 | 1,046 |
Los Angeles CA Department of Airports | ||||
International Airport Revenue | 5.000% | 5/15/27 | 500 | 575 |
Los Angeles CA Department of Water & | ||||
Power Revenue | 5.000% | 7/1/15 (Prere.) | 1,500 | 1,500 |
Los Angeles CA Department of Water & | ||||
Power Revenue | 5.000% | 7/1/24 | 500 | 572 |
Los Angeles CA Municipal Improvement Corp. | ||||
Lease Revenue (Police Headquarters Facility) | 4.750% | 1/1/31 (14) | 1,175 | 1,226 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/17 (Prere.) | 1,825 | 1,981 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/20 | 1,700 | 1,995 |
Los Angeles CA Unified School District GO | 4.500% | 7/1/22 (4) | 1,535 | 1,646 |
Los Angeles CA Unified School District GO | 4.500% | 7/1/24 (4) | 1,500 | 1,605 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/26 | 500 | 566 |
Los Angeles CA Unified School District GO | 4.500% | 1/1/28 (14) | 745 | 793 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/29 | 500 | 566 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/29 | 500 | 566 |
Los Angeles CA Unified School District GO | 4.750% | 7/1/32 (4) | 1,475 | 1,563 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/32 (4) | 650 | 696 |
Los Angeles CA Wastewater System Revenue | 5.000% | 6/1/29 | 500 | 564 |
Los Angeles County CA Metropolitan | ||||
Transportation Authority Sales Tax Revenue | 5.000% | 7/1/19 | 560 | 645 |
Los Angeles County CA Public Works Financing | ||||
Authority Lease Revenue | 5.000% | 8/1/26 | 500 | 568 |
Los Angeles County CA Public Works Financing | ||||
Authority Lease Revenue | 5.000% | 9/1/31 (14) | 1,500 | 1,561 |
Los Angeles County CA Redevelopment Authority | ||||
Tax Allocation Revenue (Hollywood/North | ||||
Hollywood Redevelopment Project) | 5.000% | 7/1/20 | 1,500 | 1,743 |
Marysville CA Revenue (Fremont-Rideout | ||||
Health Group) | 5.250% | 1/1/24 | 600 | 678 |
2 Metropolitan Water District of Southern | ||||
California Revenue PUT | 0.450% | 3/27/18 | 1,585 | 1,577 |
Milpitas CA Redevelopment Agency Successor | ||||
Agency Tax Allocation Revenue | 5.000% | 9/1/31 | 1,130 | 1,315 |
Newport Mesa CA Unified School District GO | 0.000% | 8/1/30 | 630 | 361 |
Oakland CA Redevelopment Agency Tax | ||||
Allocation Revenue (Central District Project) | 5.000% | 9/1/22 | 500 | 584 |
Orange County CA Development Agency Tax | ||||
Allocation Revenue (Santa Ana Heights Project) | 5.000% | 3/1/21 | 1,170 | 1,344 |
Orange County CA Transportation Authority | ||||
Toll Road Revenue | 5.000% | 8/15/29 | 1,250 | 1,423 |
Palomar CA Community College District GO | 4.750% | 5/1/17 (Prere.) | 1,600 | 1,721 |
Palomar Pomerado Health California GO | 0.000% | 8/1/22 (14) | 1,000 | 805 |
Palomar Pomerado Health California GO | 0.000% | 8/1/26 (12) | 1,040 | 680 |
Palomar Pomerado Health California GO | 0.000% | 8/1/32 (12) | 700 | 331 |
Poway CA Unified School District GO | 5.000% | 8/1/24 | 1,750 | 2,118 |
24
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 | 104 |
Riverside County CA Transportation Commission | ||||
Sales Tax Revenue | 5.250% | 6/1/29 | 1,000 | 1,180 |
Riverside County CA Transportation Commission | ||||
Toll Revenue | 0.000% | 6/1/30 | 2,415 | 1,201 |
Roseville CA Natural Gas Financing Authority | ||||
Gas Revenue | 5.000% | 2/15/16 | 100 | 102 |
Roseville CA Natural Gas Financing Authority | ||||
Gas Revenue | 5.000% | 2/15/23 | 140 | 157 |
Roseville CA Natural Gas Financing Authority | ||||
Gas Revenue | 5.000% | 2/15/25 | 245 | 277 |
Sacramento CA Municipal Utility District | ||||
Financing Authority Revenue | ||||
(Cosumnes Project) | 5.125% | 7/1/16 (Prere.) | 1,000 | 1,048 |
Sacramento CA Municipal Utility District Revenue | 5.000% | 8/15/27 (4) | 500 | 556 |
Sacramento CA Municipal Utility District Revenue | ||||
VRDO | 0.070% | 7/8/15 LOC | 1,200 | 1,200 |
Sacramento CA Regional Transit District | ||||
Farebox Revenue | 5.000% | 3/1/23 | 500 | 562 |
Sacramento County CA Airport Revenue | 5.625% | 7/1/29 | 500 | 558 |
Sacramento County CA Sanitation Districts | ||||
Financing Authority Revenue | 5.000% | 8/1/25 | 435 | 531 |
Sacramento County CA Sanitation Districts | ||||
Financing Authority Revenue | 5.000% | 8/1/27 | 575 | 685 |
San Bernardino County CA Transportation | ||||
Authority Revenue | 5.000% | 3/1/31 | 500 | 561 |
San Diego CA Community College District GO | 5.000% | 8/1/29 | 1,000 | 1,163 |
San Diego CA Community College District GO | 5.000% | 8/1/31 | 500 | 568 |
San Diego CA Public Facilities Financing | ||||
Authority Sewer Revenue | 5.000% | 5/15/28 | 500 | 565 |
San Diego CA Public Facilities Financing | ||||
Authority Water Revenue | 5.250% | 8/1/28 | 500 | 579 |
San Diego CA Unified School District GO | 0.000% | 7/1/27 | 500 | 325 |
San Diego CA Unified School District GO | 5.000% | 7/1/27 | 1,130 | 1,344 |
San Diego CA Unified School District GO | 5.500% | 7/1/27 (4) | 500 | 634 |
San Diego CA Unified School District GO | 0.000% | 7/1/28 | 500 | 311 |
San Diego CA Unified School District GO | 0.000% | 7/1/29 | 500 | 297 |
San Diego CA Unified School District GO | 0.000% | 7/1/30 | 100 | 56 |
San Diego County CA Regional Airport | ||||
Authority Revenue | 5.000% | 7/1/30 (4) | 500 | 567 |
San Diego County CA Regional Transportation | ||||
Commission Sales Tax Revenue | 5.000% | 4/1/31 | 560 | 632 |
San Francisco CA Bay Area Rapid Transit | ||||
District Sales Tax Revenue | 4.000% | 7/1/21 | 350 | 396 |
San Francisco CA City & County (Earthquake | ||||
Safety & Emergency Response) GO | 5.000% | 6/15/20 (Prere.) | 500 | 586 |
San Francisco CA City & County International | ||||
Airport Revenue | 5.250% | 5/1/22 | 500 | 572 |
San Francisco CA City & County International | ||||
Airport Revenue | 5.000% | 5/1/27 | 225 | 263 |
San Francisco CA City & County International | ||||
Airport Revenue | 5.000% | 5/1/30 | 500 | 560 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 5.500% | 11/1/30 | 500 | 596 |
25
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 5.000% | 11/1/32 | 1,000 | 1,158 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 5.000% | 11/1/34 | 1,245 | 1,401 |
San Francisco CA City & County Redevelopment | ||||
Financing Authority Tax Allocation Revenue | ||||
(Mission Bays Redevelopment Project) | 4.000% | 8/1/15 | 140 | 140 |
San Francisco CA City & County Redevelopment | ||||
Financing Authority Tax Allocation Revenue | ||||
(Mission Bays Redevelopment Project) | 5.000% | 8/1/16 | 600 | 628 |
San Francisco CA City & County Unified School | ||||
District GO | 4.000% | 6/15/32 | 965 | 989 |
San Jose CA Airport Revenue | 5.000% | 3/1/27 | 500 | 574 |
San Jose CA Redevelopment Agency Tax | ||||
Allocation Revenue | 5.000% | 8/1/19 (14) | 1,000 | 1,017 |
San Jose CA Redevelopment Agency Tax | ||||
Allocation Revenue | 6.500% | 8/1/28 | 700 | 761 |
Southern California Public Power Authority | ||||
Revenue (Milford Wind Corridor Phase I Project) | 5.000% | 7/1/26 | 1,000 | 1,145 |
Southern California Public Power Authority | ||||
Revenue (Natural Gas Project) | 5.000% | 11/1/15 | 245 | 248 |
State Center California Community College | ||||
District GO | 5.000% | 8/1/17 (Prere.) | 1,000 | 1,088 |
State Center California Community College | ||||
District GO | 5.000% | 8/1/29 | 1,000 | 1,174 |
Turlock CA Public Financing Authority Water | ||||
Revenue | 4.750% | 5/1/32 | 2,000 | 2,158 |
University of California Revenue | 4.750% | 5/15/16 (Prere.) | 155 | 163 |
University of California Revenue | 5.000% | 5/15/16 (Prere.) | 500 | 525 |
University of California Revenue | 5.000% | 5/15/16 (Prere.) | 500 | 525 |
University of California Revenue | 5.000% | 5/15/17 (Prere.) | 500 | 545 |
University of California Revenue | 5.000% | 5/15/23 | 1,000 | 1,173 |
University of California Revenue | 5.000% | 5/15/23 | 1,000 | 1,207 |
University of California Revenue | 5.000% | 5/15/28 | 1,000 | 1,162 |
University of California Revenue | 5.000% | 5/15/28 | 1,000 | 1,186 |
University of California Revenue | 4.000% | 5/15/33 | 1,000 | 1,034 |
University of California Revenue PUT | 5.000% | 5/15/23 | 3,625 | 4,377 |
West Contra Costa CA Unified School District GO | 5.000% | 8/1/28 | 1,185 | 1,364 |
177,588 | ||||
Colorado (0.5%) | ||||
Board of Governors of the Colorado State | ||||
University System Enterprise Revenue | 5.000% | 3/1/23 | 300 | 357 |
Colorado (UCDHSC Fitzsimons Academic | ||||
Projects) COP | 5.000% | 11/1/21 | 500 | 582 |
Colorado Health Facilities Authority Revenue | ||||
(Catholic Health Initiatives) | 5.250% | 2/1/31 | 2,500 | 2,751 |
Colorado Health Facilities Authority Revenue | ||||
(Covenant Retirement Community Inc.) | 5.000% | 12/1/27 | 500 | 528 |
Colorado Springs CO Utility System Revenue | 5.000% | 11/15/28 | 500 | 580 |
Denver CO City & County Airport Revenue | 5.000% | 11/15/20 | 500 | 582 |
Denver CO City & County Airport Revenue | 5.000% | 11/15/26 | 430 | 488 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.250% | 9/1/18 (14) | 1,500 | 1,650 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 0.000% | 9/1/23 (14) | 1,000 | 776 |
26
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.500% | 9/1/24 (14) | 300 | 303 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.375% | 9/1/26 | 1,000 | 1,112 |
University of Colorado Enterprise | ||||
System Revenue | 5.000% | 6/1/29 | 500 | 569 |
10,278 | ||||
Connecticut (0.8%) | ||||
Connecticut GO | 5.000% | 7/15/15 | 1,000 | 1,002 |
Connecticut GO | 5.000% | 11/1/16 | 410 | 434 |
Connecticut GO | 5.000% | 4/15/21 | 500 | 581 |
Connecticut GO | 5.000% | 11/15/22 | 1,935 | 2,282 |
Connecticut GO | 5.000% | 4/15/24 | 500 | 584 |
Connecticut GO | 5.000% | 9/1/26 | 1,000 | 1,162 |
Connecticut GO | 5.000% | 3/15/27 | 1,000 | 1,164 |
Connecticut GO | 5.000% | 4/15/28 | 500 | 571 |
Connecticut GO | 5.000% | 3/1/32 | 2,950 | 3,306 |
Connecticut GO | 5.000% | 10/15/32 | 705 | 798 |
Connecticut Health & Educational Facilities | ||||
Authority Revenue (Hartford Healthcare) | 5.000% | 7/1/26 | 500 | 552 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 2/1/16 | 110 | 113 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 9/1/23 | 1,000 | 1,199 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 11/1/25 | 500 | 555 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 9/1/30 | 1,500 | 1,725 |
Hartford CT GO | 5.000% | 4/1/30 | 435 | 488 |
University of Connecticut GO | 5.000% | 2/15/27 | 635 | 745 |
University of Connecticut GO | 5.000% | 2/15/28 | 510 | 594 |
17,855 | ||||
Delaware (0.1%) | ||||
Delaware GO | 5.000% | 2/1/19 | 600 | 683 |
Delaware GO | 5.000% | 7/1/20 | 600 | 704 |
Delaware GO | 5.000% | 10/1/20 | 700 | 826 |
2,213 | ||||
District of Columbia (0.1%) | ||||
District of Columbia GO | 5.000% | 6/1/21 (4) | 500 | 548 |
District of Columbia Income Tax Revenue | 5.000% | 12/1/26 | 655 | 759 |
District of Columbia Income Tax Revenue | 5.250% | 12/1/27 | 500 | 575 |
District of Columbia Income Tax Revenue | 5.000% | 12/1/30 | 500 | 572 |
Metropolitan Washington DC/VA Airports | ||||
Authority Airport System Revenue | 5.000% | 10/1/24 | 500 | 575 |
3,029 | ||||
Florida (1.9%) | ||||
Brevard County FL Health Facilities Authority | ||||
Revenue (Health First Inc. Project) | 5.000% | 4/1/16 (Prere.) | 530 | 549 |
Brevard County FL School Board COP | 5.000% | 7/1/25 | 1,000 | 1,160 |
Broward County FL Airport System Revenue | 5.000% | 10/1/28 | 400 | 445 |
Broward County FL Airport System Revenue | 5.375% | 10/1/29 | 500 | 571 |
Broward County FL Airport System Revenue | 5.500% | 10/1/31 | 1,000 | 1,141 |
Citizens Property Insurance Corp. Florida | ||||
Revenue (Coastal Account) | 5.250% | 6/1/17 | 435 | 469 |
27
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Citizens Property Insurance Corp. Florida | ||||
Revenue (Coastal Account) | 5.500% | 6/1/17 | 1,295 | 1,403 |
Citizens Property Insurance Corp. Florida | ||||
Revenue (Coastal Account) | 5.000% | 6/1/20 | 1,000 | 1,128 |
Citizens Property Insurance Corp. Florida | ||||
Revenue (Personal Lines Account/Commercial | ||||
Lines Account) | 5.000% | 6/1/20 | 450 | 513 |
Florida Board of Education Lottery Revenue | 5.000% | 7/1/15 (Prere.) | 255 | 258 |
Florida Board of Education Lottery Revenue | 5.000% | 7/1/16 (2) | 245 | 248 |
Florida Board of Education Lottery Revenue | 5.000% | 7/1/18 | 500 | 558 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 4.000% | 6/1/16 | 300 | 310 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/19 | 220 | 252 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/21 | 750 | 886 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/22 | 500 | 572 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/24 | 500 | 543 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/24 | 600 | 716 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 4.500% | 6/1/34 | 300 | 312 |
Florida Department of Environmental | ||||
Protection & Preservation Revenue | 5.000% | 7/1/15 (14) | 625 | 625 |
Florida Department of Transportation GO | 5.000% | 7/1/19 | 545 | 626 |
Florida Turnpike Authority Revenue | 5.000% | 7/1/19 | 500 | 572 |
Fort Myers FL Improvement Revenue | 4.750% | 12/1/16 (Prere.) | 70 | 74 |
Fort Myers FL Improvement Revenue | 4.750% | 12/1/31 (14) | 30 | 31 |
Hillsborough County FL Industrial Development | ||||
Authority Hospital Revenue (Tampa General | ||||
Hospital Project) | 5.000% | 10/1/28 | 500 | 555 |
Jacksonville FL Electric Authority Electric | ||||
System Revenue VRDO | 0.070% | 7/8/15 | 1,200 | 1,200 |
Jacksonville FL Electric Authority Water & | ||||
Sewer Revenue | 5.000% | 10/1/31 | 500 | 561 |
Jacksonville FL Special Revenue | 5.000% | 10/1/28 | 1,000 | 1,149 |
Jacksonville FL Special Revenue | 5.000% | 10/1/32 | 500 | 560 |
Lakeland FL Educational Facilities Revenue | ||||
(Florida Southern College Project) | 5.000% | 9/1/31 | 880 | 927 |
Miami Beach FL Health Facilities Authority | ||||
Revenue (Mount Sinai Medical Center) | 5.000% | 11/15/27 | 1,000 | 1,102 |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 4.875% | 10/1/24 | 500 | 559 |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 5.000% | 10/1/30 | 1,000 | 1,128 |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 5.000% | 10/1/30 | 585 | 639 |
Miami-Dade County FL Health Facilities Authority | ||||
Hospital Revenue (Miami Children’s Hospital) | 5.000% | 8/1/25 | 1,000 | 1,125 |
Miami-Dade County FL Public Facilities Revenue | ||||
(Jackson Memorial Hospital) | 5.000% | 6/1/22 (14) | 2,000 | 2,005 |
Miami-Dade County FL School Board COP | 5.000% | 11/1/16 (Prere.) | 115 | 122 |
Miami-Dade County FL School Board COP | 5.000% | 11/1/16 (Prere.) | 1,300 | 1,376 |
Miami-Dade County FL School Board COP | 5.000% | 11/1/16 (Prere.) | 640 | 678 |
28
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Miami-Dade County FL Seaport Revenue | 5.750% | 10/1/28 | 1,500 | 1,744 |
Miami-Dade County FL Special Obligation | ||||
Revenue | 5.000% | 10/1/24 | 1,000 | 1,144 |
Miami-Dade County FL Special Obligation | ||||
Revenue | 5.000% | 10/1/30 | 500 | 550 |
Miami-Dade County FL Water & Sewer Revenue | 5.000% | 10/1/17 (Prere.) | 500 | 546 |
Orange County FL Health Facilities Authority | ||||
Revenue (Nemours Foundation Project) | 5.000% | 1/1/19 | 500 | 558 |
Orlando & Orange County FL Expressway | ||||
Authority Revenue | 5.000% | 7/1/30 | 500 | 563 |
Osceola County FL Expressway System Revenue | ||||
(Poinciana Parkway Project) | 0.000% | 10/1/19 | 815 | 704 |
Osceola County FL Expressway System Revenue | ||||
(Poinciana Parkway Project) | 0.000% | 10/1/20 | 1,270 | 1,034 |
Palm Beach County FL Health Facilities Authority | ||||
Hospital Revenue (BRRH Corp. Obligated Group) | 5.000% | 12/1/25 | 540 | 611 |
Polk County FL Constitutional Fuel Tax Revenue | 5.000% | 12/1/20 (14) | 590 | 626 |
St. Johns County FL Water & Sewer Revenue | 0.000% | 6/1/24 | 1,110 | 851 |
Sumter County FL Industrial Development | ||||
Authority Hospital Revenue (Central Florida | ||||
Health Alliance Project) | 4.000% | 7/1/16 | 265 | 273 |
Sunshine State Governmental Financing | ||||
Commission Florida Revenue (Miami Dade | ||||
County Program) | 5.000% | 9/1/26 | 1,000 | 1,149 |
Tampa FL Cigarette Tax Allocation Revenue | ||||
(H. Lee Moffitt Cancer Center Project) | 5.000% | 9/1/26 | 200 | 227 |
Tampa FL Health System Revenue | ||||
(Baycare Health System) | 5.000% | 11/15/33 | 1,535 | 1,705 |
Tampa FL Hospital Revenue | 5.000% | 7/1/23 | 750 | 849 |
Tohopekaliga FL Water Authority Utility System | ||||
Revenue | 5.750% | 10/1/30 | 500 | 603 |
41,385 | ||||
Georgia (1.0%) | ||||
Athens-Clarke County GA Unified Government | ||||
Water & Sewerage Revenue | 4.000% | 1/1/32 | 1,000 | 1,031 |
Atlanta GA Airport Revenue | 5.000% | 1/1/16 | 525 | 537 |
Atlanta GA Airport Revenue | 5.000% | 1/1/33 | 2,000 | 2,241 |
Atlanta GA Development Authority Revenue | 5.000% | 7/1/29 | 1,000 | 1,131 |
Atlanta GA Water & Wastewater Revenue | 5.000% | 11/1/25 | 1,250 | 1,500 |
Atlanta GA Water & Wastewater Revenue | 5.750% | 11/1/27 (4) | 500 | 641 |
Burke County GA Development Authority | ||||
Pollution Control Revenue (Georgia Power Co. | ||||
Plant Vogtle Project) PUT | 1.750% | 6/1/17 | 500 | 505 |
Cobb County GA Kennestone Hospital Authority | ||||
Revenue | 5.000% | 4/1/24 | 400 | 458 |
DeKalb County GA Water & Sewer Revenue | 5.250% | 10/1/31 | 500 | 575 |
Georgia GO | 5.000% | 9/1/15 (Prere.) | 500 | 504 |
Georgia GO | 5.000% | 4/1/16 | 500 | 518 |
Georgia GO | 5.000% | 5/1/16 | 500 | 520 |
Georgia GO | 5.000% | 7/1/16 | 500 | 523 |
Georgia GO | 5.000% | 7/1/16 | 400 | 419 |
Georgia GO | 5.750% | 8/1/17 | 500 | 552 |
Georgia GO | 5.000% | 10/1/19 | 750 | 867 |
3 Georgia GO | 5.000% | 2/1/20 | 1,375 | 1,598 |
Georgia GO | 5.000% | 7/1/22 | 500 | 571 |
29
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Georgia GO | 5.000% | 5/1/25 | 500 | 565 |
Georgia Road & Tollway Authority Revenue | 5.000% | 6/1/17 | 650 | 702 |
Gwinnett County GA School District GO | 5.000% | 2/1/17 (ETM) | 500 | 534 |
Gwinnett County GA School District GO | 5.000% | 2/1/28 | 500 | 600 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.000% | 3/15/16 | 590 | 605 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.125% | 9/15/16 | 80 | 84 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.250% | 9/15/18 | 100 | 110 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.000% | 3/15/19 | 395 | 432 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.000% | 3/15/21 | 500 | 556 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.000% | 3/15/22 | 400 | 445 |
Municipal Electric Authority Georgia Revenue | ||||
(Combined Cycle Project) | 5.000% | 11/1/17 | 365 | 399 |
Municipal Electric Authority Georgia Revenue | ||||
(Project One) | 5.250% | 1/1/17 | 525 | 561 |
Private Colleges & University Authority of | ||||
Georgia Revenue (Emory University) | 5.000% | 9/1/28 | 500 | 567 |
20,851 | ||||
Guam (0.1%) | ||||
Guam Government Waterworks Authority Water | ||||
& Waste Water System Revenue | 5.250% | 7/1/23 | 1,000 | 1,162 |
Guam Government Waterworks Authority Water | ||||
& Waste Water System Revenue | 5.250% | 7/1/33 | 1,305 | 1,446 |
Guam International Airport Authority Revenue | 5.000% | 10/1/21 | 350 | 403 |
3,011 | ||||
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 | 346 |
Hawaii Department of Budget & Finance Special | ||||
Purpose Revenue (Hawaii Pacific Health | ||||
Obligated Group) | 5.000% | 7/1/21 | 400 | 466 |
Hawaii GO | 5.000% | 11/1/16 | 200 | 212 |
Hawaii GO | 5.000% | 4/1/17 (Prere.) | 55 | 59 |
Hawaii GO | 5.000% | 4/1/19 (2) | 445 | 477 |
Hawaii GO | 5.000% | 12/1/21 | 375 | 445 |
Hawaii GO | 5.000% | 8/1/24 | 1,765 | 2,142 |
Hawaii GO | 5.000% | 8/1/25 | 1,500 | 1,801 |
Hawaii GO | 5.000% | 6/1/29 | 500 | 565 |
Hawaii GO | 5.000% | 8/1/29 | 1,500 | 1,749 |
Hawaii GO | 5.000% | 12/1/29 | 500 | 571 |
Hawaii Pacific Health Revenue | 5.000% | 7/1/19 | 575 | 642 |
Honolulu HI City & County GO | 5.000% | 7/1/17 (Prere.) | 500 | 542 |
Honolulu HI City & County GO | 5.000% | 10/1/20 | 2,050 | 2,403 |
Honolulu HI City & County GO | 5.000% | 12/1/30 | 310 | 358 |
30
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Honolulu HI City & County GO | 5.250% | 8/1/31 | 500 | 578 |
Honolulu HI City & County GO | 5.250% | 8/1/33 | 1,245 | 1,427 |
University of Hawaii Revenue | 5.000% | 10/1/27 | 500 | 564 |
15,630 | ||||
Idaho (0.0%) | ||||
Idaho Health Facilities Authority Revenue | ||||
(Trinity Health Group) | 6.125% | 12/1/18 (Prere.) | 105 | 122 |
Illinois (2.7%) | ||||
Chicago IL Board of Education GO | 5.250% | 12/1/17 (14) | 775 | 815 |
Chicago IL Board of Education GO | 5.000% | 12/1/18 (2) | 295 | 306 |
Chicago IL Board of Education GO | 5.000% | 12/1/19 (2) | 1,075 | 1,098 |
Chicago IL Board of Education GO | 5.000% | 12/1/19 (14) | 210 | 224 |
Chicago IL Board of Education GO | 5.000% | 12/1/21 (2) | 1,515 | 1,528 |
Chicago IL Board of Education GO | 5.250% | 12/1/21 (14) | 500 | 539 |
Chicago IL Board of Education GO | 5.000% | 12/1/24 (4) | 100 | 103 |
Chicago IL Board of Education GO | 5.250% | 12/1/24 (4) | 500 | 517 |
Chicago IL Board of Education GO | 5.250% | 12/1/26 (12) | 500 | 511 |
Chicago IL Board of Education GO | 4.750% | 12/1/29 (4) | 105 | 105 |
Chicago IL Board of Education GO | 4.750% | 12/1/31 (4) | 50 | 50 |
Chicago IL GO | 5.000% | 12/1/16 (2) | 500 | 515 |
Chicago IL GO | 5.500% | 1/1/17 (4) | 500 | 519 |
Chicago IL GO | 5.000% | 1/1/19 (2) | 500 | 508 |
Chicago IL Metropolitan Water Reclamation | ||||
District GO | 5.000% | 12/1/29 | 1,190 | 1,234 |
Chicago IL Metropolitan Water Reclamation | ||||
District GO | 5.000% | 12/1/31 | 500 | 550 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/16 | 200 | 203 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/17 | 200 | 207 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/18 | 200 | 210 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/19 | 250 | 263 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/20 | 300 | 317 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/22 | 300 | 317 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/17 (14) | 370 | 394 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/24 (4) | 500 | 543 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/24 | 200 | 228 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/24 (14) | 500 | 512 |
Chicago IL O’Hare International Airport Revenue | 5.500% | 1/1/26 | 1,000 | 1,137 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/29 (14) | 1,500 | 1,534 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/32 | 500 | 546 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/33 (14) | 1,540 | 1,569 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/33 (4) | 275 | 294 |
Chicago IL O’Hare International Airport Revenue | 4.750% | 1/1/34 (4) | 50 | 53 |
Chicago IL Park District GO | 5.000% | 1/1/19 | 1,115 | 1,196 |
Chicago IL Park District GO | 5.000% | 1/1/19 | 750 | 804 |
Chicago IL Wastewater Transmission Revenue | 5.000% | 1/1/29 | 1,350 | 1,416 |
Chicago IL Waterworks Revenue | 5.000% | 11/1/30 | 1,000 | 1,068 |
Chicago IL Waterworks Revenue | 5.000% | 11/1/36 (2) | 1,000 | 1,017 |
Cook County IL GO | 5.000% | 11/15/21 | 500 | 533 |
Cook County IL GO | 5.000% | 11/15/28 | 500 | 527 |
Cook County IL GO | 5.250% | 11/15/28 | 500 | 529 |
Cook County IL GO | 4.750% | 11/15/30 (2) | 200 | 203 |
Illinois Finance Authority Revenue | ||||
(Advocate Health Care Network) | 5.000% | 8/1/26 | 1,500 | 1,713 |
31
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Illinois Finance Authority Revenue | ||||
(Advocate Health Care Network) | 5.000% | 8/1/33 | 2,550 | 2,804 |
Illinois Finance Authority Revenue | ||||
(Art Institute of Chicago) | 4.000% | 3/1/16 | 500 | 511 |
Illinois Finance Authority Revenue | ||||
(Ascension Health Credit Group) | 5.000% | 11/15/32 | 500 | 552 |
Illinois Finance Authority Revenue | ||||
(Centegra Health System) | 5.000% | 9/1/29 | 1,300 | 1,374 |
Illinois Finance Authority Revenue | ||||
(Northwestern Community Hospital) | 5.750% | 8/15/30 | 95 | 108 |
Illinois Finance Authority Revenue | ||||
(OSF Healthcare System) | 4.000% | 5/15/16 | 450 | 463 |
Illinois Finance Authority Revenue | ||||
(Rehabilitation Institute of Chicago) | 5.500% | 7/1/28 | 2,000 | 2,287 |
Illinois Finance Authority Revenue | ||||
(Rush University Medical Center) | 5.000% | 11/15/33 | 1,000 | 1,095 |
Illinois Finance Authority Revenue | ||||
(Trinity Health Corp.) | 5.000% | 12/1/30 | 500 | 555 |
Illinois Finance Authority Revenue | ||||
(University of Chicago) | 5.000% | 10/1/29 | 500 | 557 |
Illinois Finance Authority Revenue | ||||
(University of Chicago) | 5.000% | 10/1/35 | 1,000 | 1,122 |
Illinois GO | 5.000% | 1/1/17 | 330 | 345 |
Illinois GO | 5.000% | 1/1/18 | 500 | 530 |
Illinois GO | 5.000% | 1/1/20 (4) | 200 | 219 |
Illinois GO | 5.000% | 1/1/21 (4) | 710 | 771 |
Illinois GO | 5.000% | 8/1/21 | 500 | 542 |
Illinois GO | 5.500% | 7/1/24 | 1,000 | 1,104 |
Illinois GO | 5.000% | 6/1/26 | 500 | 514 |
Illinois GO | 5.250% | 2/1/30 | 1,900 | 1,989 |
Illinois GO | 5.250% | 7/1/31 | 1,000 | 1,039 |
Illinois GO | 5.000% | 9/1/31 | 3,000 | 3,040 |
Illinois Regional Transportation Authority Revenue | 6.250% | 7/1/23 (4) | 500 | 628 |
Illinois Sales Tax Revenue | 5.500% | 6/15/17 (3) | 500 | 545 |
Illinois Toll Highway Authority Revenue | 5.000% | 7/1/16 (Prere.) | 500 | 523 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/28 | 500 | 557 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/30 | 1,000 | 1,101 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/32 | 500 | 547 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/19 (14) | 1,120 | 1,022 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/21 (14) | 1,000 | 833 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/26 (4) | 500 | 324 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/27 (4) | 250 | 153 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 12/15/31 (14) | 290 | 139 |
Railsplitter Tobacco Settlement Authority | ||||
Illinois Tobacco Settlement Revenue | 5.250% | 6/1/20 | 1,215 | 1,393 |
Railsplitter Tobacco Settlement Authority | ||||
Illinois Tobacco Settlement Revenue | 5.500% | 6/1/23 | 1,060 | 1,222 |
Railsplitter Tobacco Settlement Authority | ||||
Illinois Tobacco Settlement Revenue | 6.000% | 6/1/28 | 400 | 470 |
32
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Romeoville IL Revenue (Lewis University Project) | 5.000% | 10/1/28 | 1,000 | 1,098 |
Will County IL Community High School District | ||||
No. 210 (Lincoln-Way) GO | 5.000% | 1/1/30 | 500 | 547 |
Will County IL Community High School District | ||||
No. 210 (Lincoln-Way) GO | 0.000% | 1/1/33 | 750 | 339 |
59,417 | ||||
Indiana (0.7%) | ||||
Indiana Bond Bank Special Program Gas Revenue | 5.250% | 10/15/16 | 250 | 262 |
Indiana Finance Authority Highway Revenue | 4.500% | 12/1/23 (14) | 2,500 | 2,640 |
Indiana Finance Authority Hospital Revenue | ||||
(Indiana University Health Obligated Group) | 5.000% | 12/1/22 | 1,100 | 1,296 |
Indiana Finance Authority Hospital Revenue | ||||
(Indiana University Health Obligated Group) | 5.000% | 12/1/33 | 1,390 | 1,521 |
Indiana Finance Authority Revenue (Community | ||||
Foundation of Northwest Indiana Obligated Group) | 5.000% | 3/1/25 | 690 | 768 |
Indiana Finance Authority Revenue | ||||
(Marquette Project) | 5.000% | 3/1/24 | 1,645 | 1,807 |
Indiana Finance Authority Revenue | ||||
(Marquette Project) | 5.000% | 3/1/25 | 650 | 713 |
Indiana Finance Authority Revenue | ||||
(Stadium Project) | 5.250% | 2/1/30 | 1,000 | 1,158 |
Indiana Finance Authority Revenue | ||||
(State Revolving Fund) | 5.000% | 2/1/18 | 500 | 553 |
Indiana Finance Authority Revenue | ||||
(State Revolving Fund) | 5.000% | 2/1/32 | 500 | 565 |
Indiana Finance Authority Wastewater Utility | ||||
Revenue (CWA Authority Project) | 5.000% | 10/1/23 | 550 | 652 |
Indiana Finance Authority Wastewater Utility | ||||
Revenue (CWA Authority Project) | 5.000% | 10/1/32 | 500 | 553 |
Indiana Health & Educational Facility Financing | ||||
Authority Hospital Revenue (Clarian Health | ||||
Obligated Group) | 5.000% | 2/15/25 | 290 | 298 |
Indiana Office Building Commission Facilities | ||||
Revenue (New Castle Correctional Facility) | 5.250% | 7/1/19 (14) | 500 | 573 |
Indiana University Student Fee Revenue | 5.000% | 8/1/18 (Prere.) | 100 | 112 |
Indiana University Student Fee Revenue | 5.000% | 6/1/19 | 445 | 510 |
Richmond IN Hospital Authority Revenue | ||||
(Reid Hospital & Health Care Services Inc.) | 5.000% | 1/1/24 | 700 | 807 |
14,788 | ||||
Iowa (0.1%) | ||||
Iowa Finance Authority Midwestern Disaster | ||||
Area Revenue (Iowa Fertilizer Co. Project) | 5.000% | 12/1/19 | 750 | 802 |
Iowa Finance Authority Midwestern Disaster | ||||
Area Revenue (Iowa Fertilizer Co. Project) | 5.500% | 12/1/22 | 1,750 | 1,851 |
Iowa Special Obligation Revenue (Ijobs Program) | 5.000% | 6/1/24 | 220 | 249 |
2,902 | ||||
Kansas (0.6%) | ||||
2 Kansas Department of Transportation | ||||
Highway Revenue | 0.370% | 9/1/15 | 2,000 | 2,000 |
Kansas Department of Transportation | ||||
Highway Revenue | 5.000% | 9/1/20 | 1,000 | 1,177 |
Kansas Department of Transportation | ||||
Highway Revenue | 5.000% | 9/1/22 | 500 | 558 |
33
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Kansas Department of Transportation | ||||
Highway Revenue | 5.000% | 9/1/25 | 500 | 607 |
Kansas Department of Transportation | ||||
Highway Revenue | 5.000% | 9/1/26 | 700 | 842 |
Kansas Development Finance Authority Hospital | ||||
Revenue (Adventist Health System/Sunbelt | ||||
Obligated Group) | 5.000% | 11/15/24 | 100 | 109 |
Kansas Development Finance Authority Revenue | 5.000% | 5/1/25 | 1,335 | 1,547 |
Kansas Development Finance Authority Revenue | 5.000% | 5/1/27 | 1,585 | 1,804 |
Kansas Development Finance Authority Revenue | 5.000% | 4/1/32 | 1,325 | 1,456 |
Leavenworth County KS Unified School | ||||
District GO | 4.500% | 9/1/19 (12) | 500 | 564 |
University of Kansas Hospital Authority Health | ||||
Facilities Improvement Revenue | 5.000% | 9/1/16 (Prere.) | 45 | 47 |
University of Kansas Hospital Authority Health | ||||
Facilities Improvement Revenue | 5.000% | 9/1/16 | 1,250 | 1,315 |
University of Kansas Hospital Authority Health | ||||
Facilities Improvement Revenue | 5.000% | 9/1/17 | 855 | 898 |
Wichita KS Hospital Facilities Revenue | ||||
(Via Christi Health System Inc.) | 5.000% | 11/15/21 (Prere.) | 500 | 593 |
Wyandotte County/Kansas City KS Unified | ||||
Government Utility System Revenue | 5.000% | 9/1/23 | 500 | 584 |
14,101 | ||||
Kentucky (0.7%) | ||||
Kentucky Economic Development Finance | ||||
Authority Health System Revenue | ||||
(Norton Healthcare Inc. & Affiliates) | 0.000% | 10/1/25 (14) | 1,140 | 769 |
Kentucky Economic Development Finance | ||||
Authority Hospital Revenue (Baptist Healthcare | ||||
System Obligated Group) | 5.625% | 8/15/27 | 1,200 | 1,322 |
Kentucky Municipal Power Agency Power | ||||
System Revenue | 5.000% | 9/1/29 (14) | 1,000 | 1,117 |
Kentucky Property & Building Commission | ||||
Revenue | 5.250% | 10/1/15 (4) | 150 | 152 |
Kentucky Property & Building Commission | ||||
Revenue | 5.000% | 8/1/19 | 1,000 | 1,136 |
Kentucky Property & Building Commission | ||||
Revenue | 5.375% | 11/1/23 | 500 | 564 |
Kentucky Property & Building Commission | ||||
Revenue | 5.000% | 11/1/26 (4) | 500 | 553 |
Kentucky Public Transportation Infrastructure | ||||
Authority Toll Revenue (Downtown Crossing | ||||
Project) BAN | 0.000% | 7/1/21 | 1,325 | 1,057 |
Kentucky Public Transportation Infrastructure | ||||
Authority Toll Revenue (Downtown Crossing | ||||
Project) BAN | 0.000% | 7/1/22 | 810 | 611 |
Kentucky Turnpike Authority Economic | ||||
Development Road Revenue (Revitalization | ||||
Project) | 4.000% | 7/1/17 | 500 | 532 |
Kentucky Turnpike Authority Economic | ||||
Development Road Revenue (Revitalization | ||||
Project) | 5.000% | 7/1/18 | 2,255 | 2,513 |
Kentucky Turnpike Authority Economic | ||||
Development Road Revenue (Revitalization | ||||
Project) | 5.000% | 7/1/25 | 305 | 344 |
34
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Kentucky Turnpike Authority Economic | ||||
Development Road Revenue (Revitalization | ||||
Project) | 5.000% | 7/1/28 | 1,000 | 1,161 |
Warren County KY Revenue (Western Kentucky | ||||
University Student Life Foundation Inc. Project) | ||||
VRDO | 0.080% | 7/8/15 LOC | 2,700 | 2,700 |
14,531 | ||||
Louisiana (0.5%) | ||||
Bossier City LA Utilities Revenue | 5.000% | 10/1/22 | 500 | 589 |
Bossier City LA Utilities Revenue | 5.000% | 10/1/23 | 500 | 593 |
Jefferson Parish LA Environmental Facilities & | ||||
Community Development Authority Revenue | 5.000% | 4/1/18 | 405 | 446 |
Louisiana Citizens Property Insurance Corp. | ||||
Assessment Revenue | 5.000% | 6/1/22 (2) | 500 | 519 |
Louisiana Gasoline & Fuel Tax Revenue | 5.000% | 5/1/16 (Prere.) | 500 | 519 |
Louisiana GO | 5.000% | 5/1/16 (Prere.) | 500 | 520 |
Louisiana GO | 5.000% | 5/1/16 (Prere.) | 500 | 520 |
Louisiana Public Facilities Authority Revenue | ||||
(Ochsner Clinic Foundation Project) | 5.000% | 5/15/16 | 1,260 | 1,305 |
Louisiana State University Revenue | 5.000% | 7/1/23 | 400 | 473 |
New Orleans LA GO | 5.000% | 12/1/31 | 500 | 535 |
New Orleans LA GO | 5.125% | 12/1/33 (17) | 1,645 | 1,768 |
New Orleans LA Sewage Service Revenue | 5.000% | 6/1/24 | 900 | 1,043 |
St. Charles Parish LA Gulf Opportunity Zone | ||||
Revenue (Valero Energy Corp.) PUT | 4.000% | 6/1/22 | 1,000 | 1,083 |
9,913 | ||||
Maine (0.2%) | ||||
Maine Health & Higher Educational Facilities | ||||
Authority Revenue (Bowdoin College) VRDO | 0.090% | 7/8/15 LOC | 4,100 | 4,100 |
Portland ME Airport Revenue | 5.000% | 1/1/20 (4) | 500 | 565 |
4,665 | ||||
Maryland (1.7%) | ||||
Baltimore County MD GO | 5.000% | 8/1/21 | 1,435 | 1,709 |
Baltimore MD Consolidated Public | ||||
Improvement GO | 5.000% | 10/15/28 | 650 | 758 |
Baltimore MD Project Revenue | 5.000% | 7/1/24 | 2,000 | 2,428 |
Howard County MD GO | 5.000% | 2/15/22 | 750 | 886 |
Howard County MD GO | 5.000% | 8/15/24 | 200 | 237 |
Maryland Department of Transportation Revenue | 5.000% | 2/15/18 | 500 | 553 |
Maryland Department of Transportation Revenue | 5.000% | 2/15/19 | 1,955 | 2,220 |
Maryland Department of Transportation Revenue | 5.000% | 2/15/20 | 1,090 | 1,265 |
Maryland GO | 5.000% | 8/1/15 | 500 | 502 |
Maryland GO | 5.000% | 8/1/15 (Prere.) | 500 | 502 |
Maryland GO | 5.000% | 8/1/16 (Prere.) | 450 | 472 |
Maryland GO | 5.000% | 11/1/16 | 105 | 111 |
Maryland GO | 5.000% | 3/15/17 | 500 | 538 |
Maryland GO | 5.000% | 7/15/17 | 610 | 663 |
Maryland GO | 5.000% | 8/1/17 | 500 | 545 |
Maryland GO | 5.250% | 8/15/17 | 500 | 548 |
Maryland GO | 5.250% | 3/1/18 | 200 | 223 |
Maryland GO | 5.000% | 3/1/19 | 1,200 | 1,367 |
Maryland GO | 5.000% | 3/15/19 (Prere.) | 500 | 568 |
Maryland GO | 5.250% | 8/1/20 | 1,000 | 1,187 |
Maryland GO | 4.000% | 8/1/21 | 1,000 | 1,129 |
Maryland GO | 5.000% | 8/1/21 | 870 | 1,016 |
35
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Maryland GO | 5.000% | 8/1/22 | 1,500 | 1,803 |
Maryland GO | 4.000% | 8/1/23 | 1,115 | 1,265 |
Maryland GO | 5.000% | 8/1/23 | 2,500 | 3,040 |
Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Anne Arundel Health | ||||
System) | 5.000% | 7/1/27 | 500 | 559 |
Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Johns Hopkins Health | ||||
System Obligated Group) | 5.000% | 7/1/24 | 500 | 584 |
2 Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Johns Hopkins Health | ||||
System Obligated Group) PUT | 1.273% | 11/15/16 | 2,000 | 2,016 |
Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Loyola University) | 5.000% | 10/1/16 | 575 | 607 |
Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Maryland Institute College | ||||
of Art) | 5.000% | 6/1/20 | 500 | 566 |
3 Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Meritus Medical Center, Inc.) | 5.000% | 7/1/33 | 1,215 | 1,308 |
Maryland Transportation Authority Facilities | ||||
Projects Revenue | 5.000% | 7/1/22 | 500 | 566 |
Maryland Transportation Authority GAN | 5.000% | 3/1/16 | 465 | 480 |
Maryland Transportation Authority GAN | 5.250% | 3/1/16 | 585 | 605 |
Maryland Transportation Authority GAN | 5.250% | 3/1/18 | 700 | 780 |
Maryland Transportation Authority GAN | 5.250% | 3/1/20 | 500 | 566 |
Montgomery County MD GO | 5.000% | 7/1/17 | 500 | 543 |
Montgomery County MD GO | 5.000% | 11/1/17 | 500 | 549 |
Montgomery County MD GO | 5.000% | 8/1/20 | 2,045 | 2,402 |
Prince Georges County MD GO | 5.000% | 9/15/23 | 500 | 596 |
38,262 | ||||
Massachusetts (1.6%) | ||||
Boston MA GO | 5.000% | 4/1/20 | 780 | 910 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.000% | 7/1/18 (Prere.) | 500 | 558 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.250% | 7/1/22 | 480 | 581 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.500% | 7/1/26 (14) | 400 | 503 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.250% | 7/1/28 | 500 | 621 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.000% | 7/1/31 | 915 | 1,110 |
Massachusetts College Building Authority | ||||
Revenue | 5.000% | 5/1/16 (Prere.) | 500 | 519 |
Massachusetts College Building Authority | ||||
Revenue | 5.250% | 5/1/29 | 445 | 500 |
Massachusetts Department of Transportation | ||||
Metropolitan Highway System Revenue | 5.000% | 1/1/23 | 500 | 559 |
Massachusetts Development Finance Agency | ||||
Revenue (Emerson College) | 5.500% | 1/1/30 | 450 | 504 |
Massachusetts Development Finance Agency | ||||
Revenue (Harvard University) | 5.000% | 1/1/20 | 355 | 413 |
Massachusetts Development Finance Agency | ||||
Revenue (Milford Regional Medical Center) | 5.000% | 7/15/17 | 300 | 317 |
Massachusetts Development Finance Agency | ||||
Revenue (Milford Regional Medical Center) | 5.000% | 7/15/18 | 200 | 215 |
36
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Massachusetts Development Finance Agency | ||||
Revenue (UMass Memorial Medical Center) | 5.125% | 7/1/26 | 720 | 785 |
Massachusetts Educational Financing Authority | ||||
Education Loan Revenue | 5.500% | 1/1/22 | 300 | 337 |
Massachusetts GO | 5.000% | 8/1/15 | 500 | 502 |
2 Massachusetts GO | 0.520% | 9/1/15 | 1,500 | 1,500 |
Massachusetts GO | 4.750% | 8/1/16 (Prere.) | 500 | 523 |
Massachusetts GO | 5.500% | 11/1/16 | 500 | 534 |
Massachusetts GO | 5.250% | 8/1/17 (Prere.) | 800 | 871 |
Massachusetts GO | 5.500% | 10/1/18 | 500 | 571 |
Massachusetts GO | 5.000% | 7/1/20 | 500 | 569 |
Massachusetts GO | 5.000% | 8/1/20 | 500 | 586 |
Massachusetts GO | 5.250% | 8/1/20 | 300 | 355 |
Massachusetts GO | 5.500% | 10/1/20 | 500 | 601 |
Massachusetts GO | 5.500% | 10/1/20 (14) | 500 | 601 |
Massachusetts GO | 5.000% | 8/1/22 | 1,000 | 1,201 |
Massachusetts GO | 5.250% | 8/1/23 | 500 | 615 |
Massachusetts GO | 0.736% | 11/1/25 | 1,380 | 1,333 |
Massachusetts GO | 5.000% | 3/1/26 | 500 | 559 |
3 Massachusetts GO | 5.000% | 7/1/26 | 1,375 | 1,682 |
Massachusetts GO | 5.000% | 4/1/29 | 500 | 572 |
Massachusetts GO | 4.000% | 11/1/30 | 1,980 | 2,056 |
2 Massachusetts GO PUT | 0.370% | 8/1/17 | 1,000 | 995 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Harvard University) | 5.000% | 12/15/28 | 500 | 573 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Lahey Clinic Medical Center) | 5.000% | 8/15/15 (14) | 500 | 503 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Partners Healthcare System) | ||||
VRDO | 0.060% | 7/8/15 | 700 | 700 |
Massachusetts Port Authority Revenue | 5.000% | 7/1/17 | 415 | 450 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 195 | 196 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 65 | 65 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 305 | 307 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 415 | 417 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 20 | 20 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 600 | 604 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 5/15/19 | 500 | 571 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 10/15/20 | 225 | 264 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 5/15/21 | 900 | 1,061 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/23 | 495 | 589 |
Massachusetts Special Obligation Dedicated | ||||
Tax Revenue | 5.500% | 1/1/26 (3) | 500 | 612 |
Massachusetts Turnpike Authority Revenue | ||||
(Metropolitan Highway System) | 0.000% | 1/1/29 (14) | 300 | 195 |
37
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.000% | 8/1/19 | 240 | 276 |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.250% | 8/1/20 | 200 | 237 |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.250% | 8/1/21 | 500 | 602 |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.250% | 8/1/30 | 625 | 783 |
Massachusetts Water Resources Authority | ||||
Revenue | 5.000% | 8/1/25 | 895 | 1,032 |
34,715 | ||||
Michigan (1.1%) | ||||
Birmingham MI City School District GO | 5.000% | 5/1/22 | 740 | 871 |
Dearborn MI School District GO | 5.000% | 5/1/34 | 1,200 | 1,343 |
Detroit MI City School District GO | 5.250% | 5/1/28 (4) | 500 | 570 |
Detroit MI Water & Sewerage Department | ||||
Sewage Disposal System Revenue | 5.000% | 7/1/22 | 370 | 414 |
Detroit MI Water & Sewerage Department | ||||
Sewage Disposal System Revenue | 5.000% | 7/1/23 | 1,025 | 1,136 |
Detroit MI Water & Sewerage Department | ||||
Sewage Disposal System Revenue | 5.000% | 7/1/32 | 1,000 | 1,056 |
Michigan Building Authority Revenue | 5.000% | 10/15/20 (4) | 500 | 569 |
Michigan Finance Authority Hospital Revenue | ||||
Bonds (Trinity Health Credit Group) | 5.000% | 12/1/35 | 920 | 1,011 |
Michigan Finance Authority Revenue | 5.000% | 10/1/22 | 500 | 571 |
Michigan Finance Authority Revenue | ||||
(Detroit Water & Sewer) | 5.000% | 7/1/23 (4) | 1,000 | 1,142 |
Michigan Finance Authority Revenue | ||||
(Detroit Water & Sewer) | 5.000% | 7/1/29 | 1,500 | 1,625 |
Michigan Finance Authority Revenue | ||||
(Detroit Water & Sewer) | 5.000% | 7/1/33 | 1,000 | 1,066 |
Michigan Finance Authority Revenue | ||||
(Sparrow Obligated Group) | 5.000% | 11/15/27 | 500 | 548 |
Michigan Finance Authority Revenue | ||||
(State Clean Water Revolving Fund) | 5.000% | 10/1/27 | 1,000 | 1,163 |
Michigan Finance Authority Revenue | ||||
(State Clean Water Revolving Fund) | 5.000% | 10/1/31 | 500 | 570 |
Michigan Finance Authority Revenue | ||||
(Unemployment Obligation Assessment) | 5.000% | 1/1/18 | 500 | 551 |
Michigan Finance Authority Revenue | ||||
(Unemployment Obligation Assessment) | 5.000% | 1/1/22 | 2,000 | 2,180 |
Michigan GO | 5.000% | 5/1/18 | 500 | 556 |
Michigan GO | 5.500% | 11/1/25 | 595 | 669 |
Michigan State University Revenue | 5.000% | 8/15/20 | 1,040 | 1,214 |
Michigan Trunk Line Revenue | 5.000% | 11/1/21 | 500 | 571 |
Royal Oak MI Hospital Finance Authority | ||||
Hospital Revenue (William Beaumont Hospital) | 5.000% | 9/1/25 | 1,400 | 1,586 |
2 University of Michigan Revenue PUT | 0.500% | 4/2/18 | 1,000 | 995 |
Wayne County MI Airport Authority Revenue | ||||
(Detroit Metropolitan Wayne County Airport) | 5.000% | 12/1/16 | 500 | 529 |
Wayne County MI Airport Authority Revenue | ||||
(Detroit Metropolitan Wayne County Airport) | 4.500% | 12/1/25 (14) | 1,000 | 1,064 |
23,570 |
38
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Minnesota (0.3%) | ||||
Minneapolis MN Special School District | ||||
No. 1 COP | 5.000% | 2/1/26 | 1,855 | 2,146 |
Minnesota GO | 5.000% | 8/1/15 | 500 | 502 |
Minnesota GO | 5.000% | 10/1/17 (ETM) | 10 | 11 |
Minnesota GO | 5.000% | 10/1/17 | 490 | 537 |
Minnesota GO | 5.000% | 8/1/19 | 500 | 575 |
Minnesota GO | 5.000% | 11/1/20 | 325 | 372 |
Minnesota GO | 5.000% | 8/1/21 | 500 | 569 |
Southern Minnesota Municipal Power Agency | ||||
Power Supply System Revenue | 5.250% | 1/1/30 | 500 | 551 |
University of Minnesota Revenue | 5.000% | 8/1/19 | 500 | 574 |
University of Minnesota Revenue | 5.250% | 12/1/29 | 500 | 581 |
6,418 | ||||
Mississippi (0.3%) | ||||
DeSoto County MS School District GO | 5.000% | 5/1/19 | 370 | 422 |
Mississippi GO | 5.500% | 12/1/18 | 750 | 861 |
Mississippi GO | 5.000% | 10/1/19 | 2,000 | 2,309 |
Mississippi GO | 5.000% | 10/1/27 | 1,000 | 1,194 |
Mississippi State University Educational | ||||
Building Corp. Revenue | 5.000% | 8/1/32 | 1,000 | 1,124 |
5,910 | ||||
Missouri (0.4%) | ||||
Curators of the University of Missouri System | ||||
Facilities Revenue | 5.000% | 11/1/15 (Prere.) | 130 | 132 |
Curators of the University of Missouri System | ||||
Facilities Revenue | 5.000% | 11/1/26 | 370 | 376 |
Jackson County MO Special Obligation Revenue | ||||
(Truman Sports Complex Project) | 5.000% | 12/1/27 | 1,520 | 1,756 |
Jackson County MO Special Obligation Revenue | ||||
(Truman Sports Complex Project) | 5.000% | 12/1/29 | 1,000 | 1,144 |
Missouri Health & Educational Facilities Authority | ||||
Health Facilities Revenue (SSM Health System) | 5.000% | 6/1/25 | 1,000 | 1,168 |
Missouri Health & Educational Facilities Authority | ||||
Revenue (Mercy Health) | 5.000% | 11/15/34 | 1,500 | 1,636 |
Missouri Health & Educational Facilities Authority | ||||
Revenue (Mercy Health) VRDO | 0.421% | 6/1/31 (2) | 500 | 458 |
Missouri Highways & Transportation Commission | ||||
Road Revenue | 5.000% | 5/1/17 | 500 | 540 |
Missouri Highways & Transportation Commission | ||||
Road Revenue | 5.250% | 5/1/17 (Prere.) | 350 | 379 |
Missouri Highways & Transportation Commission | ||||
Road Revenue | 5.000% | 2/1/23 | 600 | 724 |
Missouri Highways & Transportation Commission | ||||
Road Revenue | 5.000% | 5/1/23 | 500 | 565 |
8,878 | ||||
Nebraska (0.3%) | ||||
Central Plains Energy Project Nebraska Gas | ||||
Project Revenue (Project No. 1) | 5.250% | 12/1/18 | 160 | 179 |
Central Plains Energy Project Nebraska Gas | ||||
Supply Revenue PUT | 5.000% | 12/1/19 | 2,000 | 2,266 |
39
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Lincoln County NE Hospital Authority No. 1 | ||||
Hospital Revenue (Great Plains Regional | ||||
Medical Center Project) | 5.000% | 11/1/23 | 750 | 842 |
Lincoln NE Electric System Revenue | 5.000% | 9/1/25 | 400 | 470 |
Municipal Energy Agency of Nebraska Power | ||||
Supply System Revenue | 5.000% | 4/1/31 | 345 | 381 |
Nebraska Public Power District Revenue | 5.000% | 1/1/30 | 1,000 | 1,119 |
Nebraska Public Power District Revenue | 5.000% | 1/1/32 | 1,500 | 1,668 |
Omaha NE Public Power District Electric | ||||
Revenue | 4.000% | 2/1/16 | 350 | 358 |
7,283 | ||||
Nevada (0.6%) | ||||
Carson City NV Hospital Revenue (Carson Tahoe | ||||
Regional Medical Center) | 5.000% | 9/1/33 | 1,500 | 1,584 |
Clark County NV GO | 5.000% | 12/1/29 | 500 | 567 |
Clark County NV Highway Improvement Motor | ||||
Vehicle Fuel Tax Revenue | 5.000% | 7/1/27 | 500 | 559 |
Clark County NV Passenger Facility Charge | ||||
Revenue (Las Vegas McCarran International | ||||
Airport) | 5.000% | 7/1/15 | 155 | 155 |
Clark County NV Passenger Facility Charge | ||||
Revenue (Las Vegas McCarran International | ||||
Airport) | 4.500% | 7/1/20 | 455 | 510 |
Clark County NV School District GO | 5.000% | 6/15/18 | 1,690 | 1,848 |
Clark County NV School District GO | 5.000% | 6/15/22 | 2,000 | 2,178 |
Clark County NV School District GO | 5.000% | 6/15/23 | 1,175 | 1,278 |
Nevada Capital Improvement & Cultural Affairs GO | 5.000% | 12/1/17 (Prere.) | 500 | 549 |
Nevada GO | 5.000% | 11/1/23 | 1,465 | 1,762 |
Nevada GO | 5.000% | 11/1/25 | 1,015 | 1,223 |
Reno NV Health Facility Revenue (Dignity Health | ||||
Obligated Group) | 5.250% | 7/1/31 | 1,100 | 1,153 |
13,366 | ||||
New Hampshire (0.2%) | ||||
Manchester NH General Airport Revenue | 5.000% | 1/1/17 | 500 | 525 |
New Hampshire Health & Education Facilities | ||||
Authority Hospital Revenue (Catholic Medical | ||||
Center) | 5.000% | 7/1/32 | 2,740 | 2,810 |
New Hampshire Health & Education Facilities | ||||
Authority Revenue (Southern New Hampshire | ||||
Medical Center) | 5.000% | 10/1/32 | 1,865 | 1,956 |
New Hampshire Municipal Bond Bank Revenue | 5.000% | 8/15/16 | 115 | 121 |
5,412 | ||||
New Jersey (1.8%) | ||||
Garden State Preservation Trust New Jersey | ||||
Revenue (Open Space & Farmland Preservation) | 0.000% | 11/1/21 (4) | 500 | 430 |
Garden State Preservation Trust New Jersey | ||||
Revenue (Open Space & Farmland Preservation) | 0.000% | 11/1/22 (4) | 500 | 417 |
Jersey City NJ GO | 5.000% | 3/1/21 | 480 | 545 |
Morris County NJ Improvement Authority School | ||||
District Revenue (Morris Hills Regional District | ||||
Project) | 5.000% | 10/1/23 | 495 | 592 |
New Jersey COP | 5.250% | 6/15/30 | 465 | 487 |
New Jersey Economic Development Authority | ||||
Revenue (Cigarette Tax) | 5.000% | 6/15/19 | 700 | 769 |
40
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New Jersey Economic Development Authority | ||||
Revenue (Cigarette Tax) | 5.000% | 6/15/26 | 1,500 | 1,631 |
New Jersey Economic Development Authority | ||||
Revenue (Motor Vehicle Surcharges) | 5.250% | 7/1/26 (14) | 500 | 587 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.250% | 12/15/15 (ETM) | 205 | 210 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.250% | 12/15/15 (14) | 295 | 301 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.250% | 9/1/24 | 300 | 320 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.000% | 3/1/28 | 2,095 | 2,170 |
New Jersey Economic Development Authority | ||||
Revenue(New Jersey Transit Light Rail Transit | ||||
System Project) | 5.000% | 5/1/17 | 500 | 525 |
New Jersey Economic Development Authority | ||||
Sublease Revenue (New Jersey Transit Corp. | ||||
Light Rail Transit System Project) | 5.000% | 5/1/18 | 500 | 534 |
New Jersey Economic Development Authority | ||||
Sublease Revenue (New Jersey Transit Corp. | ||||
Light Rail Transit System Project) | 5.000% | 5/1/19 | 500 | 544 |
New Jersey Educational Facilities Authority | ||||
Revenue (University Medical & Dentistry) | 6.500% | 6/1/19 (Prere.) | 195 | 233 |
New Jersey GO | 5.250% | 7/1/15 (4) | 1,500 | 1,500 |
New Jersey GO | 5.250% | 7/15/15 (2) | 500 | 501 |
New Jersey GO | 5.000% | 8/15/15 | 790 | 794 |
New Jersey GO | 5.250% | 7/1/16 (14) | 500 | 521 |
New Jersey GO | 5.000% | 8/1/16 | 440 | 459 |
New Jersey GO | 5.250% | 7/15/18 (2) | 500 | 551 |
New Jersey GO | 5.000% | 8/15/19 | 750 | 836 |
New Jersey Health Care Facilities Financing | ||||
Authority Lease Revenue (Greystone Park | ||||
Psychiatric Hospital Project) | 5.000% | 9/15/24 | 500 | 532 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Barnabas Health) | 5.000% | 7/1/18 | 250 | 273 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Barnabas Health) | 5.000% | 7/1/22 | 1,000 | 1,146 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Barnabas Health) | 5.000% | 7/1/25 | 900 | 1,005 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Hackensack University | ||||
Medical Center) | 5.000% | 1/1/18 (4) | 385 | 420 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Hackensack University | ||||
Medical Center) | 5.000% | 1/1/19 | 500 | 549 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Meridian Health System | ||||
Obligated Group) | 5.000% | 7/1/21 | 640 | 745 |
New Jersey Higher Education Assistance | ||||
Authority Student Loan Revenue | 5.000% | 12/1/16 | 245 | 259 |
New Jersey Higher Education Assistance | ||||
Authority Student Loan Revenue | 5.250% | 12/1/28 | 305 | 322 |
New Jersey Sports & Exposition Authority | ||||
Revenue | 5.000% | 9/1/16 | 200 | 208 |
New Jersey Transportation Corp. COP | 5.000% | 9/15/15 (Prere.) | 500 | 505 |
New Jersey Transportation Corp. COP | 5.500% | 9/15/15 (ETM) | 200 | 202 |
41
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/15 (2) | 250 | 255 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/15 (14) | 625 | 639 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.000% | 12/15/16 | 275 | 288 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/17 (4) | 150 | 163 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/18 (4) | 1,135 | 1,263 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.000% | 12/15/19 | 650 | 712 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/20 (3) | 2,500 | 2,800 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.250% | 12/15/21 (14) | 245 | 272 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/21 (12) | 150 | 172 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/23 | 605 | 677 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 0.000% | 12/15/26 (2) | 2,000 | 1,164 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 6/15/31 | 500 | 531 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.000% | 6/15/32 | 700 | 716 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.250% | 6/15/32 | 1,000 | 1,053 |
New Jersey Turnpike Authority Revenue | 5.000% | 1/1/22 | 500 | 556 |
New Jersey Turnpike Authority Revenue | 5.000% | 1/1/31 | 1,000 | 1,112 |
New Jersey Turnpike Authority Revenue | 5.000% | 1/1/32 | 1,000 | 1,112 |
South Jersey Transportation Authority New Jersey | ||||
Transportation System Revenue | 5.000% | 11/1/25 | 500 | 543 |
Tobacco Settlement Financing Corp. New Jersey | ||||
Revenue | 5.000% | 6/1/18 | 1,500 | 1,600 |
Tobacco Settlement Financing Corp. New Jersey | ||||
Revenue | 5.000% | 6/1/19 | 100 | 107 |
Tobacco Settlement Financing Corp. New Jersey | ||||
Revenue | 0.000% | 6/1/41 | 1,000 | 239 |
Tobacco Settlement Financing Corp. New Jersey | ||||
Revenue | 0.000% | 6/1/41 | 7,100 | 1,776 |
West Deptford Township NJ GO | 5.000% | 7/1/27 (4) | 635 | 680 |
40,053 | ||||
New Mexico (0.2%) | ||||
Farmington NM Pollution Control Revenue | ||||
(Arizona Public Service Co. Four Corners Project) | 4.700% | 9/1/24 | 1,750 | 1,909 |
New Mexico Educational Assistance Foundation | ||||
Revenue | 5.000% | 12/1/19 | 500 | 576 |
New Mexico Finance Authority Transportation | ||||
Revenue | 5.000% | 6/15/23 | 500 | 572 |
New Mexico Hospital Equipment Loan Council | ||||
Hospital System Revenue (Presbyterian | ||||
Healthcare Services) | 5.000% | 8/1/28 | 1,350 | 1,528 |
4,585 |
42
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York (8.0%) | ||||
Erie County NY Industrial Development Agency | ||||
School Facility Revenue (Buffalo City School | ||||
District Project) | 5.000% | 5/1/18 | 500 | 555 |
Erie County NY Industrial Development Agency | ||||
School Facility Revenue (Buffalo City School | ||||
District Project) | 5.000% | 5/1/19 | 500 | 569 |
Erie County NY Industrial Development Agency | ||||
School Facility Revenue (Buffalo City School | ||||
District Project) | 5.250% | 5/1/31 | 500 | 571 |
Long Island NY Power Authority Electric System | ||||
Revenue | 5.000% | 12/1/17 | 630 | 670 |
Long Island NY Power Authority Electric System | ||||
Revenue | 5.000% | 12/1/18 (14) | 400 | 424 |
Long Island NY Power Authority Electric System | ||||
Revenue | 5.250% | 4/1/19 | 400 | 453 |
Long Island NY Power Authority Electric System | ||||
Revenue | 5.000% | 5/1/19 (14) | 500 | 528 |
Long Island NY Power Authority Electric System | ||||
Revenue | 5.000% | 4/1/23 | 575 | 627 |
Long Island NY Power Authority Electric System | ||||
Revenue | 5.000% | 9/1/24 | 45 | 51 |
Long Island NY Power Authority Electric System | ||||
Revenue | 5.000% | 12/1/24 (14) | 940 | 974 |
2 Long Island NY Power Authority Electric System | ||||
Revenue PUT | 0.779% | 11/1/18 | 1,000 | 1,004 |
Monroe County NY Industrial Development Corp. | ||||
Mortgage Revenue (Unity Hospital Rochester | ||||
Project) | 5.500% | 8/15/23 | 825 | 830 |
Nassau County NY GO | 5.000% | 4/1/23 | 1,000 | 1,164 |
Nassau County NY Interim Finance Authority | ||||
Sales Tax Revenue VRDO | 0.070% | 7/8/15 | 19,000 | 19,000 |
New York City NY GO | 5.000% | 8/1/15 (Prere.) | 575 | 577 |
New York City NY GO | 5.000% | 8/1/15 (Prere.) | 320 | 321 |
New York City NY GO | 5.000% | 9/1/15 (Prere.) | 490 | 494 |
New York City NY GO | 5.000% | 2/1/16 | 105 | 108 |
New York City NY GO | 5.000% | 8/1/16 (Prere.) | 5 | 5 |
New York City NY GO | 5.000% | 8/1/16 | 500 | 525 |
New York City NY GO | 5.000% | 2/1/17 (Prere.) | 5 | 5 |
New York City NY GO | 5.000% | 2/1/17 | 500 | 533 |
New York City NY GO | 5.250% | 8/1/17 | 700 | 764 |
New York City NY GO | 5.000% | 9/1/17 | 10 | 10 |
New York City NY GO | 5.000% | 2/1/18 | 495 | 529 |
New York City NY GO | 5.250% | 8/15/18 (Prere.) | 40 | 45 |
New York City NY GO | 5.000% | 8/1/19 | 1,065 | 1,212 |
New York City NY GO | 5.000% | 8/1/19 | 1,500 | 1,707 |
New York City NY GO | 5.000% | 8/1/19 | 500 | 544 |
New York City NY GO | 5.000% | 8/1/20 | 2,935 | 3,402 |
New York City NY GO | 5.250% | 9/1/20 | 1,000 | 1,125 |
New York City NY GO | 5.000% | 8/1/21 | 515 | 606 |
New York City NY GO | 5.000% | 8/1/21 | 380 | 447 |
New York City NY GO | 5.000% | 8/1/21 | 2,000 | 2,354 |
New York City NY GO | 5.000% | 8/1/22 | 500 | 591 |
New York City NY GO | 5.000% | 10/1/22 | 500 | 585 |
New York City NY GO | 5.000% | 8/1/23 (14) | 180 | 181 |
New York City NY GO | 5.000% | 8/1/23 | 1,505 | 1,795 |
43
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York City NY GO | 5.000% | 8/1/23 | 380 | 450 |
New York City NY GO | 5.250% | 8/15/24 | 460 | 513 |
New York City NY GO | 5.000% | 8/1/25 | 330 | 331 |
New York City NY GO | 5.000% | 8/1/25 | 750 | 865 |
New York City NY GO | 5.000% | 8/1/26 | 1,000 | 1,161 |
New York City NY GO | 5.000% | 8/1/26 | 500 | 578 |
New York City NY GO | 5.000% | 8/15/26 | 475 | 525 |
2 New York City NY GO | 0.470% | 8/1/27 | 2,000 | 1,995 |
New York City NY GO | 5.000% | 5/15/28 | 480 | 540 |
New York City NY GO | 5.000% | 8/1/28 | 495 | 518 |
New York City NY GO | 5.000% | 8/1/28 | 400 | 454 |
New York City NY GO | 5.500% | 11/15/28 | 300 | 341 |
New York City NY GO | 5.625% | 4/1/29 | 840 | 962 |
New York City NY GO | 5.000% | 5/15/29 | 500 | 562 |
New York City NY GO | 5.000% | 8/1/30 | 1,000 | 1,139 |
New York City NY GO | 5.000% | 3/1/31 | 1,340 | 1,509 |
New York City NY GO | 5.000% | 8/1/31 | 365 | 414 |
New York City NY GO | 4.500% | 8/1/35 (2) | 1,500 | 1,505 |
New York City NY GO VRDO | 0.020% | 7/1/15 | 1,500 | 1,500 |
New York City NY GO VRDO | 0.020% | 7/1/15 LOC | 5,415 | 5,415 |
New York City NY Health & Hospital Corp. | ||||
Revenue (Health System) | 5.000% | 2/15/24 | 1,500 | 1,683 |
New York City NY Health & Hospital Corp. | ||||
Revenue (Health System) | 5.000% | 2/15/30 | 500 | 548 |
New York City NY Housing Development Corp. | ||||
Multi-Family Housing Revenue | 5.250% | 7/1/29 | 1,000 | 1,139 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/16 (Prere.) | 500 | 522 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 0.000% | 6/15/18 | 750 | 721 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/27 | 1,200 | 1,430 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/27 | 500 | 563 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 4.750% | 6/15/30 | 255 | 277 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/30 | 500 | 570 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/31 | 500 | 566 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | ||||
VRDO | 0.020% | 7/1/15 | 500 | 500 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | ||||
VRDO | 0.030% | 7/1/15 | 2,000 | 2,000 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.000% | 7/15/24 | 500 | 589 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.250% | 1/15/25 | 500 | 562 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.250% | 1/15/26 | 500 | 562 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.000% | 7/15/28 | 1,730 | 2,025 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.125% | 1/15/29 | 1,070 | 1,197 |
44
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.000% | 7/15/29 | 2,000 | 2,324 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.000% | 7/15/32 | 250 | 281 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 8/1/16 (Prere.) | 280 | 294 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 5/1/17 (Prere.) | 330 | 356 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 5/1/17 (Prere.) | 335 | 361 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 5/1/17 (Prere.) | 660 | 712 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 5/1/17 (Prere.) | 330 | 356 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 2/1/18 (ETM) | 200 | 220 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/18 | 170 | 183 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/23 | 165 | 178 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/24 | 170 | 182 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/25 | 340 | 365 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/25 | 400 | 465 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 5/1/29 | 850 | 972 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 2/1/30 | 500 | 567 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.250% | 2/1/30 | 500 | 582 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 2/1/31 | 500 | 569 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 5/1/31 | 300 | 340 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/31 | 500 | 571 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 8/1/32 | 1,250 | 1,424 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/32 | 500 | 569 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 8/1/34 | 1,450 | 1,642 |
New York City NY Transitional Finance Authority | ||||
Recovery Revenue VRDO | 0.020% | 7/1/15 | 2,000 | 2,000 |
New York Liberty Development Corp. Revenue | 5.000% | 11/15/31 | 1,000 | 1,130 |
New York Liberty Development Corp. Revenue | ||||
(7 World Trade Center Project) | 5.000% | 9/15/31 | 1,000 | 1,151 |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.000% | 11/15/21 | 210 | 247 |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.250% | 11/15/21 (14) | 300 | 358 |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.000% | 11/15/23 | 500 | 547 |
45
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.000% | 11/15/27 (14) | 110 | 120 |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.000% | 11/15/28 | 500 | 547 |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.000% | 11/15/30 | 500 | 571 |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.000% | 11/15/30 | 500 | 564 |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.250% | 11/15/30 | 500 | 574 |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.000% | 11/15/32 | 500 | 558 |
New York Metropolitan Transportation Authority | ||||
Revenue | 5.000% | 11/15/33 | 1,500 | 1,675 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Petroleum Tax) | 5.250% | 11/15/24 | 600 | 693 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 5.000% | 11/15/16 (Prere.) | 500 | 531 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) VRDO | 0.020% | 7/2/15 LOC | 1,300 | 1,300 |
New York Metropolitan Transportation Authority | ||||
Revenue (Service Contract) | 5.500% | 7/1/15 | 500 | 500 |
New York Metropolitan Transportation Authority | ||||
Revenue (Service Contract) | 5.750% | 1/1/17 (14) | 560 | 603 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 5.500% | 11/15/18 | 490 | 525 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 5.000% | 11/15/31 | 1,165 | 1,308 |
2 New York Metropolitan Transportation Authority | ||||
Revenue PUT | 0.653% | 11/1/15 | 600 | 600 |
2 New York Metropolitan Transportation Authority | ||||
Revenue PUT | 0.430% | 11/15/17 | 1,500 | 1,492 |
New York State Dormitory Authority Lease | ||||
Revenue (City of New York Court Facilities) | 5.500% | 5/15/24 (2) | 500 | 617 |
New York State Dormitory Authority Lease | ||||
Revenue (City of New York Court Facilities) | 5.500% | 5/15/27 (2) | 500 | 625 |
New York State Dormitory Authority Lease | ||||
Revenue (Mental Health Services Facilities) | 5.000% | 8/15/21 | 500 | 576 |
New York State Dormitory Authority Revenue | ||||
(City University System) | 5.000% | 7/1/24 | 400 | 449 |
New York State Dormitory Authority Revenue | ||||
(Fordham University) | 5.000% | 7/1/25 (4) | 250 | 275 |
New York State Dormitory Authority Revenue | ||||
(Memorial Sloan-Kettering Cancer Center) | 5.000% | 7/1/30 | 500 | 519 |
New York State Dormitory Authority Revenue | ||||
(Mental Health Services Facilities Improvement) | 5.000% | 8/15/15 | 100 | 101 |
New York State Dormitory Authority Revenue | ||||
(Mount Sinai Hospital Obligated Group) | 5.000% | 7/1/23 | 500 | 568 |
New York State Dormitory Authority Revenue | ||||
(Mount Sinai School of Medicine of New York | ||||
University) | 5.000% | 7/1/24 (14) | 500 | 540 |
New York State Dormitory Authority Revenue | ||||
(New York University Hospitals Center) | 5.000% | 7/1/20 | 1,735 | 1,806 |
New York State Dormitory Authority Revenue | ||||
(New York University) | 6.000% | 7/1/19 (14) | 500 | 586 |
46
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York State Dormitory Authority Revenue | ||||
(North Shore - Long Island Jewish Obligated | ||||
Group) | 5.000% | 5/1/26 | 500 | 555 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/17 | 500 | 535 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/20 | 200 | 227 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/23 | 1,000 | 1,178 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/23 | 1,500 | 1,792 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/24 | 1,000 | 1,176 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/26 | 1,040 | 1,245 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 12/15/26 | 500 | 588 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/28 | 500 | 546 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/30 | 2,000 | 2,286 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/32 | 500 | 560 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/33 | 300 | 335 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/34 | 2,000 | 2,252 |
New York State Dormitory Authority Revenue | ||||
(School Districts Financing Program) | 5.000% | 10/1/20 | 500 | 583 |
New York State Dormitory Authority Revenue | ||||
(School Districts Financing Program) | 5.000% | 10/1/21 (4) | 390 | 460 |
New York State Dormitory Authority Revenue | ||||
(Service Contract) | 5.000% | 7/1/16 | 275 | 288 |
New York State Dormitory Authority Revenue | ||||
(Service Contract) | 5.000% | 7/1/22 | 500 | 565 |
New York State Dormitory Authority Revenue | ||||
(The New School) | 5.250% | 7/1/30 | 500 | 564 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & Drinking Water | ||||
Revolving Funds) | 5.000% | 6/15/22 | 500 | 541 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & Drinking Water | ||||
Revolving Funds) | 5.000% | 6/15/24 | 365 | 420 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & Drinking Water | ||||
Revolving Funds) | 5.000% | 6/15/25 | 500 | 586 |
New York State GO | 4.500% | 2/1/17 | 500 | 531 |
New York State GO | 4.500% | 2/1/18 | 500 | 546 |
New York State GO | 4.500% | 2/1/19 | 500 | 558 |
New York State GO | 5.000% | 2/15/30 | 315 | 361 |
New York State Local Government Assistance | ||||
Corp. Revenue | 5.000% | 4/1/21 | 500 | 570 |
New York State Thruway Authority Revenue | 5.000% | 1/1/20 (14) | 500 | 547 |
New York State Thruway Authority Revenue | 5.000% | 1/1/21 (14) | 490 | 536 |
New York State Thruway Authority Revenue | 5.000% | 4/1/21 (2) | 2,185 | 2,211 |
New York State Thruway Authority Revenue | 5.000% | 1/1/30 | 500 | 561 |
47
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York State Thruway Authority Revenue | 5.000% | 1/1/32 (14) | 600 | 647 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 10/1/15 (Prere.) | 65 | 66 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 10/1/15 (Prere.) | 65 | 66 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/18 (2) | 435 | 440 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/24 | 500 | 559 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/25 (2) | 435 | 440 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/26 (2) | 500 | 535 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/16 | 225 | 233 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/19 | 500 | 567 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/20 | 500 | 580 |
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% | 12/15/15 | 400 | 409 |
New York State Urban Development Corp. | ||||
Revenue | 5.000% | 12/15/18 | 500 | 565 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/15 | 275 | 281 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 3/15/18 | 1,890 | 2,092 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/18 | 600 | 677 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.500% | 3/15/22 (14) | 530 | 644 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 3/15/24 | 1,325 | 1,590 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/25 | 1,500 | 1,643 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 3/15/26 | 2,000 | 2,359 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 3/15/31 | 2,000 | 2,269 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 3/15/33 | 1,485 | 1,669 |
New York State Urban Development Corp. | ||||
Revenue (Service Contract) | 5.000% | 1/1/18 | 540 | 594 |
Port Authority of New York & New Jersey | ||||
Revenue | 5.000% | 7/15/26 | 500 | 554 |
Port Authority of New York & New Jersey | ||||
Revenue | 5.000% | 9/1/26 | 1,750 | 2,092 |
Port Authority of New York & New Jersey | ||||
Revenue | 5.000% | 5/1/28 | 1,250 | 1,411 |
Suffolk County NY Economic Development Corp. | ||||
Revenue (Catholic Health Services) | 5.000% | 7/1/21 | 1,545 | 1,773 |
Suffolk County NY Economic Development Corp. | ||||
Revenue (Catholic Health Services) | 5.000% | 7/1/27 | 1,370 | 1,516 |
48
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Tobacco Settlement Financing Corp. New York | ||||
Revenue | 5.000% | 6/1/22 | 500 | 521 |
Triborough Bridge & Tunnel Authority New York | ||||
Revenue | 5.250% | 11/15/15 | 500 | 510 |
Triborough Bridge & Tunnel Authority New York | ||||
Revenue | 5.000% | 11/15/25 | 500 | 557 |
Utility Debt Securitization Authority New York | ||||
Revenue | 5.000% | 12/15/33 | 1,600 | 1,836 |
Westchester County NY GO | 5.000% | 7/1/20 (ETM) | 55 | 64 |
Westchester County NY GO | 5.000% | 7/1/20 | 445 | 522 |
Westchester County NY Health Care Corp. | ||||
Revenue | 5.000% | 11/1/30 | 500 | 536 |
175,495 | ||||
North Carolina (0.9%) | ||||
Cary NC Combined Enterprise System Revenue | 5.000% | 12/1/27 | 500 | 589 |
Charlotte NC Water & Sewer System Revenue | 5.000% | 12/1/20 | 235 | 277 |
Durham County NC GO | 5.000% | 4/1/20 | 685 | 799 |
Mecklenburg County NC GO | 5.000% | 3/1/17 | 500 | 537 |
Mecklenburg County NC Public Facilities Corp. | ||||
Revenue (Annual Appropriation) | 5.000% | 3/1/19 (Prere.) | 500 | 567 |
North Carolina Capital Improvement Revenue | 5.000% | 5/1/19 | 555 | 633 |
North Carolina Capital Improvement Revenue | 5.000% | 5/1/29 | 500 | 570 |
North Carolina Eastern Municipal Power Agency | ||||
Power Systems Revenue | 6.000% | 1/1/18 (2) | 510 | 571 |
North Carolina Eastern Municipal Power Agency | ||||
Power Systems Revenue | 5.000% | 1/1/26 | 500 | 556 |
North Carolina GAN | 5.000% | 3/1/25 | 1,000 | 1,171 |
North Carolina GAN | 5.000% | 3/1/27 | 1,000 | 1,151 |
North Carolina GO | 5.000% | 3/1/16 | 500 | 516 |
North Carolina GO | 5.000% | 3/1/17 | 520 | 558 |
North Carolina GO | 5.000% | 3/1/18 | 500 | 552 |
North Carolina GO | 5.000% | 6/1/19 | 2,000 | 2,294 |
North Carolina GO | 5.000% | 3/1/20 | 275 | 320 |
North Carolina GO | 4.000% | 6/1/20 | 500 | 562 |
North Carolina GO | 5.000% | 5/1/22 | 250 | 300 |
North Carolina Infrastructure Financial Corp. | ||||
Capital Improvements COP | 5.000% | 2/1/17 (Prere.) | 2,000 | 2,133 |
North Carolina Medical Care Commission | ||||
Health Care Facilities Revenue (Vidant Health) | 5.000% | 6/1/21 | 1,000 | 1,152 |
North Carolina Medical Care Commission | ||||
Hospital Revenue (Southeastern Regional | ||||
Medical Center) | 5.000% | 6/1/24 | 600 | 669 |
North Carolina Municipal Power Agency Revenue | 5.000% | 1/1/30 | 500 | 552 |
Orange County NC Public Facilities Co. Revenue | 5.000% | 10/1/24 | 500 | 589 |
2 University of North Carolina University System | ||||
Revenue PUT | 0.873% | 12/1/17 | 1,100 | 1,104 |
Wake County NC GO | 4.000% | 2/1/18 | 695 | 751 |
Wake County NC GO | 5.000% | 3/1/18 | 500 | 554 |
Wake County NC Public Improvement GO | 5.000% | 3/1/16 | 100 | 103 |
20,130 | ||||
Ohio (1.5%) | ||||
Allen County OH Hospital Facilities Revenue | ||||
(Catholic Healthcare Partners) | 5.000% | 9/1/16 | 500 | 525 |
American Municipal Power Ohio Inc. Revenue | ||||
(Fremont Energy Center Project) | 5.250% | 2/15/27 | 570 | 656 |
49
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
American Municipal Power Ohio Inc. Revenue | ||||
(Hydroelectric Projects) | 5.250% | 2/15/18 | 500 | 553 |
Buckeye Tobacco Settlement Financing Authority | ||||
Ohio Revenue | 5.000% | 6/1/16 | 200 | 206 |
Buckeye Tobacco Settlement Financing Authority | ||||
Ohio Revenue | 5.000% | 6/1/17 | 190 | 201 |
Butler County OH Hospital Facilities Revenue | ||||
(Kettering Health Network) | 5.250% | 4/1/31 | 500 | 545 |
Butler County OH Hospital Facilities Revenue | ||||
(UC Health) | 5.250% | 11/1/29 | 435 | 488 |
Cleveland OH Airport System Revenue | 5.000% | 1/1/16 (2) | 250 | 255 |
Cleveland OH Airport System Revenue | 5.250% | 1/1/18 (2) | 260 | 284 |
Cleveland OH Airport System Revenue | 5.000% | 1/1/31 (4) | 500 | 522 |
Cleveland OH Public Power System Revenue | 5.000% | 11/15/16 (Prere.) | 265 | 281 |
Cleveland OH Public Power System Revenue | 5.000% | 11/15/20 (14) | 235 | 249 |
Columbus OH GO | 5.000% | 9/1/15 | 1,300 | 1,310 |
Columbus OH GO | 5.000% | 7/1/25 | 535 | 632 |
Cuyahoga County OH Sales Tax Revenue | 5.000% | 12/1/27 | 1,000 | 1,183 |
Fairfield County OH Hospital Facilities Revenue | ||||
(Fairfield Medical Center) | 5.125% | 6/15/33 | 615 | 654 |
Franklin County OH Convention Facilities | ||||
Authority Revenue | 5.000% | 12/1/20 | 1,000 | 1,168 |
Franklin County OH Convention Facilities | ||||
Authority Revenue | 5.000% | 12/1/28 | 1,680 | 1,944 |
Greater Cleveland OH Regional Transit Authority | ||||
Sales Tax Revenue | 5.000% | 12/1/18 | 350 | 394 |
Hamilton County OH Economic Development | ||||
Revenue (King Highland Community Urban | ||||
Redevelopment Corp. - University of Cincinnati | ||||
Lessee Project) | 5.000% | 6/1/16 (Prere.) | 1,225 | 1,276 |
Hamilton County OH Hospital Facilities Revenue | ||||
(UC Health) | 5.000% | 2/1/21 | 200 | 227 |
Hamilton County OH Sales Tax Revenue | 4.500% | 12/1/15 (2) | 350 | 356 |
Kent State University OH Revenue | 5.000% | 5/1/23 (12) | 500 | 561 |
Lucas County OH Hospital Revenue | ||||
(ProMedica Healthcare Obligated Group) | 5.000% | 11/15/26 | 500 | 567 |
Lucas County OH Hospital Revenue | ||||
(ProMedica Healthcare Obligated Group) | 5.250% | 11/15/27 | 1,500 | 1,718 |
Montgomery County OH Revenue | ||||
(Miami Valley Hospital) VRDO | 0.030% | 7/1/15 | 1,300 | 1,300 |
Ohio Building Authority Revenue | ||||
(Administration Building Fund) | 5.000% | 10/1/20 | 100 | 117 |
Ohio Capital Facilities Lease-Appropriation | ||||
Revenue (Mental Health Facilities Improvement | ||||
Fund Proje | 5.000% | 2/1/22 | 750 | 878 |
Ohio Common Schools GO | 5.000% | 6/15/16 (Prere.) | 750 | 783 |
Ohio GO | 5.000% | 9/15/15 | 3,165 | 3,197 |
Ohio GO | 5.000% | 3/15/16 (Prere.) | 260 | 269 |
Ohio GO | 5.000% | 8/1/23 | 500 | 595 |
Ohio GO | 5.000% | 8/1/24 | 500 | 605 |
Ohio Higher Education GO | 5.000% | 8/1/17 | 770 | 838 |
Ohio Higher Education GO | 5.000% | 8/1/21 | 500 | 592 |
Ohio Higher Educational Facility Commission | ||||
Revenue (Case Western Reserve University | ||||
Project) | 5.000% | 12/1/22 | 550 | 656 |
50
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Ohio Higher Educational Facility Commission | ||||
Revenue (University of Dayton Project) | 5.000% | 12/1/16 (Prere.) | 1,000 | 1,063 |
Ohio Major New State Infrastructure Project | ||||
Revenue | 5.000% | 12/15/15 | 550 | 562 |
Ohio State University General Receipts Revenue | 5.000% | 12/1/16 (ETM) | 30 | 32 |
Ohio State University General Receipts Revenue | 5.000% | 12/1/16 | 470 | 500 |
Ohio Turnpike Commission Turnpike Revenue | 5.500% | 2/15/20 (14) | 1,000 | 1,177 |
Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/28 | 1,000 | 1,128 |
Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/31 | 500 | 561 |
Ohio Water Development Authority Pollution | ||||
Control Revenue (Water Quality) | 5.250% | 6/1/19 | 435 | 503 |
Penta Career Center Ohio COP | 5.250% | 4/1/23 | 125 | 145 |
32,256 | ||||
Oklahoma (0.1%) | ||||
Oklahoma City OK GO | 5.000% | 3/1/24 | 525 | 608 |
Oklahoma Turnpike Authority Revenue | 5.000% | 1/1/31 | 300 | 339 |
University of Oklahoma Revenue | 5.000% | 7/1/31 | 475 | 537 |
1,484 | ||||
Oregon (0.4%) | ||||
Clackamas County OR School District No. 46 GO | 0.000% | 6/15/32 | 1,670 | 867 |
Deschutes & Jefferson Counties OR School | ||||
District No. 2J GO | 0.000% | 6/15/31 | 750 | 417 |
Multnomah County OR School District GO | 5.000% | 6/15/19 | 1,680 | 1,921 |
Oregon Department of Administrative Services | ||||
Lottery Revenue | 5.000% | 4/1/25 | 1,370 | 1,646 |
Oregon Department of Administrative Services | ||||
Lottery Revenue | 5.250% | 4/1/31 | 500 | 571 |
Oregon Facilities Authority Revenue (PeaceHealth) | 5.000% | 11/15/16 | 150 | 159 |
Oregon Facilities Authority Revenue (PeaceHealth) | 5.000% | 11/15/17 | 250 | 274 |
Oregon GO | 5.000% | 5/1/23 | 500 | 594 |
Oregon GO (Veterans Welfare) VRDO | 0.030% | 7/1/15 | 2,100 | 2,100 |
Portland OR Sewer System Revenue | 5.000% | 6/15/22 (4) | 500 | 553 |
9,102 | ||||
Pennsylvania (3.0%) | ||||
Allegheny County PA Higher Education Building | ||||
Authority University Revenue | ||||
(Duquesne University) | 5.500% | 3/1/29 | 325 | 365 |
Allegheny County PA Hospital Development | ||||
Authority Revenue (University of Pittsburgh | ||||
Medical Center) | 5.000% | 5/15/18 | 500 | 553 |
Allegheny County PA Hospital Development | ||||
Authority Revenue (University of Pittsburgh | ||||
Medical Center) | 0.906% | 2/1/21 | 870 | 870 |
Allegheny County PA Hospital Development | ||||
Authority Revenue (University of Pittsburgh | ||||
Medical Center) | 5.375% | 8/15/29 | 210 | 234 |
Allegheny County PA Port Authority Revenue | 5.750% | 3/1/29 | 500 | 585 |
Allentown PA Neighborhood Improvement Zone | ||||
Development Authority Tax Revenue | 5.000% | 5/1/24 | 1,000 | 1,093 |
Beaver County PA Industrial Development | ||||
Authority Pollution Control Revenue | ||||
(FirstEnergy Generation Project) PUT | 2.500% | 6/1/17 | 500 | 506 |
Central Bradford PA Progress Authority Revenue | ||||
(Guthrie Healthcare System) | 5.500% | 12/1/31 | 500 | 577 |
Chester County PA GO | 5.000% | 11/15/31 | 750 | 868 |
51
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Commonwealth Financing Authority Pennsylvania | ||||
Revenue | 5.000% | 6/1/32 | 500 | 548 |
Dallas PA Area Muni Authority University | ||||
Revenue (Misericordia University Project) | 4.000% | 5/1/17 | 415 | 434 |
East Hempfield Township PA Industrial | ||||
Development Authority Revenue (Millersville | ||||
University Student Housing Project) | 5.000% | 7/1/29 | 1,000 | 1,073 |
Emmaus PA General Authority Revenue VRDO | 0.070% | 7/8/15 LOC | 1,400 | 1,400 |
Lower Merion PA School District GO | 5.000% | 9/1/18 | 1,500 | 1,682 |
Monroeville PA Finance Authority Revenue | ||||
(UPMC Health System) | 5.000% | 2/15/19 | 500 | 561 |
Montgomery County PA Higher Education & | ||||
Health Authority Hospital Revenue | ||||
(Abington Memorial Hospital) | 5.000% | 6/1/31 | 500 | 543 |
Montgomery County PA Higher Education & | ||||
Health Authority Revenue (Arcadia University) | 3.000% | 4/1/16 | 200 | 203 |
Montgomery County PA Industrial Development | ||||
Authority Health Services Revenue | ||||
(Albert Einstein Healthcare Network) | 5.000% | 1/15/23 | 1,015 | 1,118 |
Montgomery County PA Industrial Development | ||||
Authority Retirement Community Revenue | ||||
(ACTS Retirement- Life Communities Obligated | ||||
Group) | 5.000% | 11/15/25 | 1,250 | 1,344 |
Pennsylvania Economic Development | ||||
Financing Authority Health System Revenue | ||||
(Albert Einstein Healthcare Network) | 6.250% | 10/15/19 (Prere.) | 1,000 | 1,165 |
Pennsylvania Economic Development | ||||
Financing Authority Unemployment | ||||
Compensation Revenue | 4.000% | 1/1/18 | 750 | 808 |
Pennsylvania Economic Development | ||||
Financing Authority Unemployment | ||||
Compensation Revenue | 5.000% | 1/1/21 | 1,330 | 1,488 |
Pennsylvania GO | 5.000% | 1/1/16 (Prere.) | 100 | 102 |
Pennsylvania GO | 5.000% | 3/1/16 | 100 | 103 |
Pennsylvania GO | 5.000% | 7/1/16 | 400 | 418 |
Pennsylvania GO | 5.000% | 7/1/16 | 120 | 125 |
Pennsylvania GO | 5.000% | 8/1/17 (Prere.) | 500 | 543 |
Pennsylvania GO | 5.000% | 7/1/20 | 500 | 574 |
Pennsylvania GO | 5.000% | 11/15/20 | 250 | 288 |
Pennsylvania GO | 5.375% | 7/1/21 | 500 | 589 |
Pennsylvania GO | 5.000% | 11/15/22 | 500 | 579 |
Pennsylvania GO | 5.000% | 8/15/24 | 1,000 | 1,176 |
Pennsylvania GO | 5.000% | 4/15/28 | 500 | 558 |
Pennsylvania GO | 4.000% | 8/15/30 (4) | 1,000 | 1,033 |
Pennsylvania GO | 5.000% | 10/15/32 | 1,000 | 1,126 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Drexel University) VRDO | 0.030% | 7/1/15 LOC | 1,200 | 1,200 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Foundation for Indiana | ||||
University of Pennsylvania Student Housing) | 5.000% | 7/1/17 (10) | 500 | 517 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Philadelphia University) | 5.000% | 6/1/19 | 740 | 817 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Philadelphia University) | 5.500% | 6/1/20 | 1,000 | 1,030 |
52
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Slippery Rock University | ||||
Foundation) | 4.500% | 7/1/28 (10) | 1,090 | 1,091 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (St. Joseph’s University) | 5.000% | 11/1/24 | 200 | 225 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Temple University) | 5.000% | 4/1/32 | 500 | 555 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Trustees of the | ||||
University of Pennsylvania) | 5.000% | 9/1/19 (Prere.) | 500 | 572 |
Pennsylvania State University Revenue | 5.000% | 3/1/25 | 500 | 572 |
Pennsylvania State University Revenue | 5.000% | 8/15/27 | 1,000 | 1,088 |
Pennsylvania Turnpike Commission Oil | ||||
Franchise Tax Revenue | 5.000% | 12/1/24 | 1,000 | 1,179 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/16 (Prere.) | 1,000 | 1,042 |
2 Pennsylvania Turnpike Commission Revenue | 1.050% | 12/1/21 | 1,215 | 1,211 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/21 | 345 | 392 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/27 | 1,000 | 1,149 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/29 | 1,050 | 1,161 |
Pennsylvania Turnpike Commission Revenue | 0.000% | 12/1/30 | 1,330 | 1,391 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/32 | 2,000 | 2,225 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/34 | 1,000 | 1,103 |
Philadelphia PA Airport Revenue | 5.000% | 6/15/23 | 1,120 | 1,254 |
3 Philadelphia PA Authority for Industrial | ||||
Development Revenue (Temple University) | 5.000% | 4/1/24 | 1,000 | 1,122 |
3 Philadelphia PA GO | 5.000% | 8/1/26 | 1,885 | 2,159 |
Philadelphia PA Hospitals & Higher Education | ||||
Facilities Authority Hospital Revenue | ||||
(Children’s Hospital of Philadelphia Project) VRDO | 0.030% | 7/1/15 | 7,280 | 7,280 |
Philadelphia PA Hospitals & Higher Education | ||||
Facilities Authority Hospital Revenue | ||||
(Children’s Hospital of Philadelphia Project) VRDO | 0.030% | 7/1/15 | 1,700 | 1,700 |
Philadelphia PA Hospitals & Higher Education | ||||
Facilities Authority Hospital Revenue | ||||
(Temple University Health System | ||||
Obligated Group) | 6.250% | 7/1/23 | 500 | 531 |
Philadelphia PA Hospitals & Higher Education | ||||
Facilities Authority Hospital Revenue | ||||
(Temple University Health System | ||||
Obligated Group) | 5.500% | 7/1/30 | 245 | 251 |
Philadelphia PA Municipal Authority Revenue | 6.375% | 4/1/29 | 500 | 569 |
Philadelphia PA School District GO | 5.000% | 8/1/20 (2) | 500 | 502 |
Philadelphia PA School District GO | 5.000% | 9/1/21 | 1,035 | 1,153 |
Philadelphia PA School District GO | 5.250% | 9/1/22 | 500 | 560 |
Philadelphia PA School District GO | 5.000% | 9/1/31 | 940 | 1,023 |
Philadelphia PA Water & Waste Water Revenue | 5.000% | 8/1/22 (4) | 560 | 635 |
Philadelphia PA Water & Waste Water Revenue | 5.000% | 7/1/26 | 1,000 | 1,160 |
St. Mary Hospital Authority Pennsylvania Health | ||||
System Revenue (Catholic Health Initiatives) | 5.000% | 11/15/26 | 1,000 | 1,120 |
University of Pittsburgh of the Commonwealth | ||||
System of Higher Education Pennsylvania | ||||
Revenue (University Capital Project) | 5.250% | 9/15/24 | 500 | 574 |
West Shore PA Area Authority Hospital Revenue | ||||
(Holy Spirit Hospital of the Sisters of Christian | ||||
Charity Project) | 6.250% | 1/1/31 | 80 | 94 |
65,439 |
53
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Puerto Rico (0.2%) | ||||
Puerto Rico Electric Power Authority Revenue | 5.000% | 7/1/21 (14) | 500 | 483 |
Puerto Rico Electric Power Authority Revenue | 5.250% | 7/1/22 (14) | 500 | 488 |
Puerto Rico GO | 6.000% | 7/1/27 (14) | 500 | 500 |
Puerto Rico Highway and Transportation | ||||
Authority Revenue | 5.250% | 7/1/21 (13)(3) | 500 | 576 |
Puerto Rico Public Finance Corp. Revenue | 6.000% | 8/1/26 (ETM) | 1,000 | 1,275 |
3,322 | ||||
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 | 531 |
Charleston SC Educational Excellence Financing | ||||
Corp. Revenue (Charleston County School | ||||
District, South Carolina Project) | 5.000% | 12/1/23 | 500 | 599 |
Columbia SC Waterworks & Sewer System | ||||
Revenue | 5.000% | 2/1/27 | 250 | 285 |
Greenville County SC School District GO | 5.000% | 12/1/27 | 500 | 529 |
Laurens County SC School District No. 55 | ||||
Installment Purchase Revenue | 5.250% | 12/1/30 | 2,080 | 2,111 |
Myrtle Beach SC Hospitality Fee Revenue | 5.000% | 6/1/25 | 1,000 | 1,162 |
Piedmont SC Municipal Power Agency Revenue | 0.000% | 1/1/24 (14) | 1,600 | 1,226 |
South Carolina Association of Governmental | ||||
Organizations Educational Facilities Corp. | ||||
Revenue (Pickens School District) | 5.000% | 12/1/26 | 1,420 | 1,646 |
South Carolina GO | 5.000% | 4/1/20 | 450 | 525 |
South Carolina Jobs Economic Development | ||||
Authority Hospital Revenue (Palmetto Health) | 5.250% | 8/1/24 (4) | 500 | 543 |
South Carolina Jobs Economic Development | ||||
Authority Hospital Revenue (Palmetto Health) | 5.250% | 8/1/26 | 1,000 | 1,128 |
South Carolina Public Service Authority Revenue | 5.000% | 1/1/16 (ETM) | 130 | 133 |
South Carolina Public Service Authority Revenue | 5.000% | 1/1/29 | 500 | 549 |
10,967 | ||||
South Dakota (0.1%) | ||||
Educational Enhancement Funding Corp. | ||||
South Dakota Tobacco Settlement Revenue | 5.000% | 6/1/25 | 2,000 | 2,261 |
Tennessee (0.7%) | ||||
Chattanooga TN Health Educational & Housing | ||||
Facility Board Revenue (Catholic Health Initiatives) | 5.000% | 1/1/33 | 1,500 | 1,609 |
Chattanooga-Hamilton County TN Hospital | ||||
Authority Hospital Revenue | 5.000% | 10/1/27 | 1,000 | 1,091 |
Memphis TN Electric System Revenue | 5.000% | 12/1/17 | 500 | 549 |
Memphis TN GO | 5.000% | 5/1/30 | 500 | 565 |
Metropolitan Government of Nashville & | ||||
Davidson County TN GO | 5.000% | 7/1/21 | 625 | 725 |
Metropolitan Government of Nashville & | ||||
Davidson County TN Health & Educational | ||||
Facilities Board Revenue (Blakeford at Green Hills) | 5.000% | 7/1/27 | 500 | 533 |
Metropolitan Government of Nashville & | ||||
Davidson County TN Health & Educational | ||||
Facilities Board Revenue (Vanderbilt University) | 5.000% | 10/1/15 | 350 | 354 |
Metropolitan Government of Nashville & | ||||
Davidson County TN Water & Sewer Revenue | 5.000% | 7/1/20 | 500 | 582 |
Shelby County TN GO | 5.000% | 3/1/19 | 500 | 569 |
Shelby County TN GO | 5.000% | 4/1/19 (ETM) | 100 | 114 |
54
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Shelby County TN GO | 5.000% | 4/1/19 | 400 | 456 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 9/1/16 | 500 | 522 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/17 | 250 | 264 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/17 | 500 | 541 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/18 | 725 | 804 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/22 | 1,115 | 1,273 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/24 | 1,500 | 1,684 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/24 | 375 | 431 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/25 | 715 | 801 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/26 | 585 | 670 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/27 | 1,000 | 1,121 |
Tennessee GO | 5.000% | 8/1/20 | 625 | 734 |
15,992 | ||||
Texas (4.4%) | ||||
Arlington TX GO | 5.000% | 8/15/19 | 1,920 | 2,203 |
Austin TX Combined Utility System Revenue | 0.000% | 5/15/18 (14) | 1,000 | 955 |
Austin TX Community College District Public | ||||
Facilities Corp. Lease Revenue | 5.000% | 8/1/27 | 1,000 | 1,158 |
Austin TX Water & Wastewater System Revenue | 5.000% | 11/15/21 | 500 | 593 |
Austin TX Water & Wastewater System Revenue | 5.000% | 11/15/24 | 275 | 314 |
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 | 561 |
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 | 543 |
Clifton TX Higher Education Finance Corp. | ||||
Revenue (Baylor University) | 5.250% | 3/1/29 | 200 | 225 |
Cypress-Fairbanks TX Independent School | ||||
District GO | 5.000% | 2/15/17 (Prere.) | 455 | 486 |
Cypress-Fairbanks TX Independent School | ||||
District GO | 5.000% | 2/15/25 | 500 | 579 |
Cypress-Fairbanks TX Independent School | ||||
District GO | 5.000% | 2/15/30 | 45 | 48 |
Dallas TX Area Rapid Transit Sales Tax Revenue | 4.500% | 12/1/27 | 500 | 528 |
Dallas TX Area Rapid Transit Sales Tax Revenue | 5.000% | 12/1/27 | 500 | 576 |
Dallas TX Independent School District GO | 5.000% | 2/15/23 | 485 | 569 |
Dallas TX Independent School District GO | 5.000% | 8/15/34 | 1,350 | 1,358 |
Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/15 (2) | 485 | 491 |
Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/17 | 200 | 219 |
Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/21 | 1,090 | 1,291 |
Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/22 | 330 | 389 |
Dallas-Fort Worth TX International Airport | ||||
Revenue | 5.000% | 11/1/16 | 515 | 545 |
Dallas-Fort Worth TX International Airport | ||||
Revenue | 5.250% | 11/1/29 | 1,000 | 1,154 |
Eagle Mountain & Saginaw TX Independent | ||||
School District GO | 4.550% | 8/15/16 (Prere.) | 705 | 738 |
Eagle Mountain & Saginaw TX Independent | ||||
School District GO | 4.550% | 8/15/37 (4) | 795 | 821 |
El Paso TX Water & Sewer Revenue | 5.000% | 3/1/22 | 765 | 903 |
Fort Worth TX Water & Sewer Revenue | 5.000% | 2/15/25 | 450 | 522 |
Grand Parkway Transportation Corp. Texas | ||||
System Toll Revenue | 0.000% | 10/1/30 | 1,550 | 1,199 |
55
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Harris County TX Flood Control District GO | 5.250% | 10/1/18 | 435 | 494 |
Harris County TX GO | 5.000% | 10/1/23 | 500 | 572 |
Harris County TX GO | 5.000% | 10/1/23 | 300 | 352 |
Harris County TX GO | 5.000% | 8/15/32 | 1,000 | 1,142 |
Harris County TX Sports Authority Revenue | 5.000% | 11/15/22 | 945 | 1,084 |
2 Harris County TX Toll Road Revenue | 0.850% | 8/15/18 | 1,000 | 1,003 |
Harris County TX Toll Road Revenue | 5.000% | 8/15/27 | 500 | 566 |
Harris County TX Toll Road Revenue | 5.000% | 8/15/32 | 500 | 562 |
Houston TX Airport System Revenue | 5.000% | 7/1/19 (14) | 1,000 | 1,081 |
Houston TX Airport System Revenue | 5.000% | 7/1/26 (14) | 3,000 | 3,214 |
Houston TX Community College System GO | 5.000% | 2/15/27 | 1,000 | 1,004 |
Houston TX GO | 5.000% | 3/1/20 | 500 | 564 |
Houston TX Hotel Occupancy Tax & Special | ||||
Revenue (Convention & Entertainment Facilities) | 5.000% | 9/1/24 | 1,000 | 1,169 |
Houston TX Independent School District GO | 5.000% | 7/15/15 (4) | 500 | 501 |
Houston TX Independent School District GO | 5.000% | 2/15/20 | 1,105 | 1,279 |
Houston TX Utility System Revenue | 5.000% | 5/15/25 | 1,000 | 1,192 |
Houston TX Utility System Revenue | 5.000% | 11/15/28 (4) | 500 | 544 |
2 Houston TX Utility System Revenue PUT | 0.670% | 8/1/16 | 1,000 | 1,003 |
2 Houston TX Utility System Revenue PUT | 0.970% | 5/1/20 | 1,000 | 999 |
Katy TX Independent School District GO | 5.000% | 2/15/20 | 2,000 | 2,138 |
Lake Travis TX Independent School District GO | 5.000% | 2/15/32 | 500 | 569 |
Laredo TX Community College District GO | 5.000% | 8/1/25 | 1,000 | 1,183 |
Lone Star College System Texas GO | 5.000% | 8/15/19 (Prere.) | 250 | 287 |
Lower Colorado River Authority Texas | ||||
Transmission Contract Revenue | ||||
(LCRA Transmission Services Corp.) | 5.000% | 5/15/28 | 1,150 | 1,310 |
Lubbock TX GO | 5.000% | 2/15/23 | 500 | 591 |
Mesquite TX Health Facilities Development | ||||
Corp. Retirement Facility Revenue | ||||
(Christian Care Centers Inc. Project) | 5.000% | 2/15/24 | 350 | 369 |
New Hope TX Cultural Education Facilities | ||||
Student Housing Revenue (Tarleton State | ||||
University Project) | 4.000% | 4/1/17 | 245 | 253 |
New Hope TX Cultural Education Facilities | ||||
Student Housing Revenue (Tarleton State | ||||
University Project) | 4.000% | 4/1/19 | 495 | 519 |
New Hope TX Cultural Education Facilities | ||||
Student Housing Revenue (Tarleton State | ||||
University Project) | 5.000% | 4/1/23 | 200 | 219 |
New Hope TX Cultural Education Facilities | ||||
Student Housing Revenue (Tarleton State | ||||
University Project) | 5.000% | 4/1/24 | 210 | 229 |
New Hope TX Cultural Education Facilities | ||||
Finance Corp. First Mortgage Revenue | ||||
(Morningside Ministries Project) | 6.250% | 1/1/33 | 1,640 | 1,820 |
New Hope TX Cultural Education Facilities | ||||
Finance Corp. Student Housing Revenue | ||||
(Tarleton State University Project) | 5.000% | 4/1/25 | 240 | 262 |
North East TX Independent School District GO | 5.250% | 2/1/22 | 500 | 599 |
North Texas Tollway Authority System Revenue | 4.000% | 9/1/15 | 1,400 | 1,409 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/18 (Prere.) | 440 | 494 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/18 (Prere.) | 440 | 494 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/20 | 60 | 67 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/25 | 60 | 67 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/28 | 250 | 286 |
56
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
North Texas Tollway Authority System Revenue | 5.500% | 9/1/28 | 500 | 590 |
North Texas Tollway Authority System Revenue | 5.000% | 1/1/30 | 500 | 550 |
North Texas Tollway Authority System Revenue | 5.000% | 1/1/31 | 500 | 548 |
North Texas Tollway Authority System Revenue | 5.000% | 1/1/32 | 1,740 | 1,914 |
North Texas Tollway Authority System Revenue | 5.000% | 1/1/33 | 1,500 | 1,644 |
North Texas Tollway Authority System Revenue | 5.000% | 1/1/34 | 1,575 | 1,721 |
SA Energy Acquisition Public Facility Corp. Texas | ||||
Gas Supply Revenue | 5.250% | 8/1/17 | 500 | 539 |
SA Energy Acquisition Public Facility Corp. Texas | ||||
Gas Supply Revenue | 5.500% | 8/1/19 | 500 | 565 |
Sam Rayburn TX Municipal Power Agency | ||||
Revenue | 5.000% | 10/1/19 | 210 | 238 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/16 (Prere.) | 905 | 930 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/19 | 500 | 568 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/21 | 500 | 586 |
San Antonio TX GO | 5.000% | 8/1/20 | 125 | 146 |
San Antonio TX GO | 5.000% | 2/1/22 | 1,000 | 1,163 |
San Antonio TX GO | 5.000% | 2/1/24 | 500 | 579 |
2 San Antonio TX Water Revenue PUT | 0.750% | 11/1/16 | 1,000 | 1,002 |
2 San Antonio TX Water Revenue PUT | 0.470% | 11/1/17 | 1,500 | 1,495 |
Southwest Texas Higher Education Authority Inc. | ||||
Revenue (Southern Methodist University Project) | 5.000% | 10/1/16 (2) | 260 | 274 |
Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Hospital Revenue | ||||
(Methodist Hospitals of Dallas) | 5.250% | 10/1/31 | 1,000 | 1,151 |
Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Revenue (CHRISTUS Health) | 6.250% | 7/1/28 (12) | 325 | 368 |
Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Revenue (Texas Health Resources) | 5.000% | 2/15/26 | 1,735 | 1,840 |
Texas A&M University System Revenue | ||||
Financing System Revenue | 5.000% | 5/15/26 | 500 | 566 |
Texas GO | 4.000% | 4/1/18 | 400 | 433 |
Texas GO | 5.000% | 10/1/22 | 1,000 | 1,199 |
Texas GO | 5.000% | 10/1/27 | 1,400 | 1,647 |
Texas GO | 5.000% | 10/1/28 | 1,330 | 1,555 |
Texas GO | 5.000% | 8/1/31 | 500 | 572 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.250% | 12/15/17 | 550 | 596 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.250% | 12/15/21 | 240 | 274 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.000% | 12/15/22 | 405 | 465 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.000% | 12/15/23 | 380 | 432 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.250% | 12/15/23 | 190 | 220 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.250% | 12/15/24 | 495 | 576 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.000% | 12/15/25 | 1,850 | 2,076 |
Texas Municipal Power Agency Revenue | 0.000% | 9/1/15 (14) | 1,500 | 1,499 |
Texas Public Finance Authority Revenue | ||||
(Texas Southern University) | 5.000% | 11/1/21 (15) | 1,000 | 1,116 |
Texas Public Finance Authority Revenue | ||||
(Unemployment Compensation) | 5.000% | 7/1/15 (Prere.) | 500 | 500 |
57
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Texas Public Finance Authority Revenue | ||||
(Unemployment Compensation) | 4.000% | 1/1/18 | 1,000 | 1,036 |
Texas Tech University System Financing System | ||||
Revenue | 5.000% | 2/15/28 | 500 | 554 |
Texas Transportation Commission GO | 5.000% | 10/1/22 | 1,175 | 1,409 |
2 Texas Transportation Commission Mobility | ||||
Fund GO PUT | 0.450% | 10/1/18 | 1,500 | 1,498 |
Texas Transportation Commission Mobility | ||||
Fund GO VRDO | 0.040% | 7/8/15 | 1,110 | 1,110 |
Texas Transportation Commission Revenue | 4.750% | 4/1/16 (Prere.) | 500 | 517 |
Texas Transportation Commission Revenue | 5.000% | 4/1/16 (Prere.) | 500 | 518 |
Texas Transportation Commission Revenue | 5.000% | 4/1/16 (Prere.) | 500 | 518 |
Texas Turnpike Authority Central Texas Turnpike | ||||
System Revenue | 0.000% | 8/15/20 (ETM) | 285 | 260 |
Texas Turnpike Authority Central Texas Turnpike | ||||
System Revenue | 0.000% | 8/15/20 (2) | 525 | 466 |
Texas Water Financial Assistance GO | 5.000% | 8/1/24 | 500 | 556 |
Texas Water Financial Assistance GO | 5.000% | 8/1/25 | 500 | 556 |
Texas Water Financial Assistance GO | 5.000% | 8/1/27 | 500 | 555 |
University of Texas Permanent University Fund | ||||
Revenue | 5.000% | 7/1/19 | 1,225 | 1,405 |
University of Texas System Revenue Financing | ||||
System Revenue | 4.750% | 2/15/17 (Prere.) | 820 | 873 |
University of Texas System Revenue Financing | ||||
System Revenue | 5.000% | 8/15/19 | 325 | 374 |
University of Texas System Revenue Financing | ||||
System Revenue | 5.000% | 8/15/21 | 500 | 595 |
University of Texas System Revenue Financing | ||||
System Revenue | 4.750% | 8/15/30 | 1,180 | 1,245 |
Williamson County TX GO | 5.000% | 2/15/23 | 230 | 272 |
97,094 | ||||
Utah (0.4%) | ||||
Central Utah Water Conservancy District GO | 5.000% | 4/1/30 | 500 | 564 |
Murray UT Hospital Revenue | ||||
(IHC Health Services) VRDO | 0.030% | 7/1/15 | 1,400 | 1,400 |
Utah Associated Municipal Power Systems | ||||
Revenue (Horse Butte Wind Project) | 5.000% | 9/1/32 | 350 | 386 |
Utah GO | 5.000% | 7/1/16 | 500 | 524 |
Utah GO | 5.000% | 7/1/16 | 615 | 644 |
Utah GO | 4.500% | 7/1/19 | 2,000 | 2,261 |
Utah GO | 5.000% | 7/1/19 | 615 | 707 |
Utah Transit Authority Sales Tax Revenue | 5.000% | 6/15/26 | 1,000 | 1,213 |
7,699 | ||||
Virgin Islands (0.0%) | ||||
Virgin Islands Public Finance Authority Revenue | 5.000% | 10/1/29 | 500 | 540 |
Virginia (1.0%) | ||||
Arlington County VA GO | 5.000% | 8/1/17 | 750 | 817 |
Arlington County VA GO | 5.000% | 8/15/19 | 1,535 | 1,770 |
Arlington County VA GO | 5.000% | 8/1/23 | 600 | 715 |
Chesapeake VA Toll Road Revenue | 5.000% | 7/15/21 | 500 | 567 |
Chesterfield County VA GO | 5.000% | 1/1/22 | 900 | 1,072 |
Fairfax County VA GO | 4.000% | 10/1/19 | 2,000 | 2,230 |
Fairfax County VA GO | 5.000% | 10/1/23 | 1,255 | 1,530 |
Fairfax County VA GO | 5.000% | 10/1/24 | 1,365 | 1,681 |
Fairfax County VA Public Improvement GO | 5.000% | 10/1/17 | 500 | 547 |
58
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Fairfax County VA Public Improvement GO | 5.000% | 4/1/21 | 300 | 355 |
Fairfax County VA Public Improvement GO | 5.000% | 4/1/23 | 500 | 606 |
Fairfax County VA Water Authority Revenue | 5.000% | 4/1/25 | 500 | 588 |
Norfolk VA Water Revenue | 5.000% | 11/1/31 | 500 | 561 |
Roanoke VA Economic Development Authority | ||||
Hospital Revenue (Carilion Clinic Obligated Group) | 5.000% | 7/1/30 | 500 | 551 |
Virginia College Building Authority Educational | ||||
Facilities Revenue (21st Century College & | ||||
Equipment Programs) | 5.000% | 2/1/17 | 200 | 214 |
Virginia College Building Authority Educational | ||||
Facilities Revenue (Public Higher Education | ||||
Financing Program) | 5.000% | 9/1/15 | 1,000 | 1,008 |
Virginia College Building Authority Educational | ||||
Facilities Revenue (Public Higher Education | ||||
Financing Program) | 5.000% | 9/1/19 | 1,570 | 1,808 |
Virginia College Building Authority Educational | ||||
Facilities Revenue (Public Higher Education | ||||
Financing Program) | 5.000% | 9/1/22 | 355 | 424 |
Virginia Public Building Authority Public Facilities | ||||
Revenue | 5.000% | 8/1/19 | 1,495 | 1,717 |
Virginia Public School Authority Revenue | 5.000% | 8/1/19 | 500 | 575 |
Virginia Public School Authority Revenue | 4.000% | 8/1/20 | 1,700 | 1,905 |
21,241 | ||||
Washington (1.5%) | ||||
Energy Northwest Washington Electric Revenue | ||||
(Columbia Generating Station) | 5.000% | 7/1/20 | 500 | 582 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 1) | 5.250% | 7/1/16 | 1,000 | 1,049 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 1) | 5.000% | 7/1/17 | 500 | 543 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 3) | 5.000% | 7/1/15 | 100 | 100 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 3) | 5.000% | 7/1/16 | 865 | 906 |
King County WA GO | 5.000% | 1/1/19 | 150 | 170 |
King County WA GO | 5.000% | 7/1/20 | 1,250 | 1,461 |
King County WA GO | 5.000% | 1/1/24 | 500 | 583 |
King County WA Sewer Revenue | 5.000% | 1/1/20 | 1,000 | 1,156 |
Port of Seattle WA Revenue | 5.000% | 3/1/20 (14) | 665 | 668 |
Port of Seattle WA Revenue | 5.000% | 8/1/29 | 250 | 284 |
Seattle WA GO | 5.000% | 6/1/21 | 1,000 | 1,179 |
Seattle WA Water System Revenue | 5.000% | 5/1/19 | 1,460 | 1,667 |
Snohomish County WA School District No. 201 GO | 5.250% | 12/1/26 | 1,760 | 1,991 |
University of Washington Revenue | 5.000% | 4/1/31 | 335 | 382 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/17 (Prere.) | 500 | 542 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/18 (Prere.) | 425 | 475 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/23 | 375 | 441 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/27 | 1,000 | 1,182 |
Washington Economic Development Finance | ||||
Authority Lease Revenue (Washington | ||||
Biomedical Research Properties 2) | 5.000% | 6/1/25 | 1,080 | 1,296 |
Washington GO | 5.700% | 10/1/15 (4) | 110 | 112 |
Washington GO | 5.000% | 2/1/16 | 500 | 514 |
Washington GO | 5.000% | 7/1/16 (Prere.) | 500 | 523 |
Washington GO | 5.000% | 7/1/17 | 200 | 217 |
Washington GO | 5.000% | 7/1/18 (Prere.) | 500 | 558 |
59
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Washington GO | 5.000% | 7/1/18 | 675 | 755 |
Washington GO | 0.000% | 6/1/20 (14) | 500 | 454 |
Washington GO | 5.000% | 7/1/20 | 1,000 | 1,167 |
Washington GO | 5.000% | 8/1/20 | 500 | 574 |
Washington GO | 5.000% | 7/1/22 | 1,350 | 1,605 |
Washington GO | 5.000% | 7/1/23 | 1,000 | 1,200 |
Washington GO | 5.000% | 7/1/25 | 1,500 | 1,797 |
Washington GO | 5.000% | 7/1/25 | 500 | 586 |
Washington GO | 5.000% | 2/1/32 | 500 | 562 |
Washington Health Care Facilities Authority | ||||
Revenue (Central Washington Health Services | ||||
Association) | 5.000% | 7/1/30 | 1,760 | 1,880 |
Washington Health Care Facilities Authority | ||||
Revenue (Providence Health & Services) | 5.000% | 10/1/31 (14) | 2,000 | 2,082 |
Washington Health Care Facilities Authority | ||||
Revenue (Providence Health & Services) | 5.000% | 10/1/33 | 880 | 965 |
Washington State University General Revenue | 5.000% | 10/1/31 | 500 | 571 |
32,779 | ||||
West Virginia (0.0%) | ||||
West Virginia Hospital Finance Authority Hospital | ||||
Revenue (Charleston Area Medical Center Inc.) | 5.125% | 9/1/23 | 1,000 | 1,094 |
Wisconsin (0.7%) | ||||
Milwaukee WI GO | 4.000% | 3/15/19 | 1,000 | 1,096 |
Milwaukee WI GO | 4.000% | 3/15/20 | 1,000 | 1,109 |
Wisconsin Annual Appropriation Revenue | 5.625% | 5/1/28 | 460 | 530 |
Wisconsin GO | 4.000% | 9/1/15 | 970 | 976 |
Wisconsin GO | 5.000% | 5/1/16 | 500 | 520 |
Wisconsin GO | 5.000% | 5/1/18 (Prere.) | 500 | 555 |
Wisconsin GO | 5.000% | 5/1/19 | 1,335 | 1,524 |
Wisconsin GO | 5.000% | 5/1/20 | 1,000 | 1,164 |
Wisconsin GO | 5.000% | 5/1/21 | 750 | 883 |
Wisconsin GO | 5.000% | 5/1/24 | 500 | 590 |
Wisconsin GO | 5.000% | 5/1/26 | 2,210 | 2,572 |
Wisconsin Health & Educational Facilities | ||||
Authority Revenue (Aspirus, Inc. Obligated | ||||
Group) | 5.000% | 8/15/25 | 1,570 | 1,791 |
Wisconsin Health & Educational Facilities | ||||
Authority Revenue (Marquette University) | 5.000% | 10/1/30 | 500 | 557 |
Wisconsin Public Power System Power Supply | ||||
System Revenue | 5.000% | 7/1/32 | 500 | 557 |
Wisconsin Transportation Revenue | 5.000% | 7/1/23 | 500 | 600 |
15,024 | ||||
Total Tax-Exempt Municipal Bonds (Cost $1,124,471) | 1,154,704 | |||
Total Investments (100.1%) (Cost $1,729,280) | 2,196,170 | |||
Other Assets and Liabilities (-0.1%) | ||||
Other Assets | 24,803 | |||
Liabilities | (26,163) | |||
(1,360) | ||||
Net Assets (100%) | ||||
Applicable to 81,714,376 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,194,810 | |||
Net Asset Value Per Share | $26.86 |
60
Tax-Managed Balanced Fund | |
At June 30, 2015, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,728,495 |
Undistributed Net Investment Income | 368 |
Accumulated Net Realized Losses | (943) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 466,890 |
Futures Contracts | — |
Net Assets | 2,194,810 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The market value of Baxter International Inc. (“Baxter”) is adjusted by $284,000 to account for the when-issued sale on June 30, 2015, of
shares of Baxalta Inc. to be received through a spin-off from Baxter. The Baxalta Inc. shares were sold because Baxalta Inc. is not part of
the benchmark index, and the when-issued sale was settled on July 7, 2015, after receipt of the shares from Baxter.
2 Adjustable-rate security.
3 Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2015.
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.
61
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.
62
Tax-Managed Balanced Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2015 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 8,360 |
Interest | 14,225 |
Total Income | 22,585 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 94 |
Management and Administrative | 757 |
Marketing and Distribution | 152 |
Custodian Fees | 15 |
Shareholders’ Reports | 21 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,040 |
Net Investment Income | 21,545 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 5,134 |
Futures Contracts | 105 |
Realized Net Gain (Loss) | 5,239 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (3,479) |
Futures Contracts | — |
Change in Unrealized Appreciation (Depreciation) | (3,479) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 23,305 |
1 Dividends are net of foreign withholding taxes of $2,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
63
Tax-Managed Balanced Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2015 | 2014 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 21,545 | 35,322 |
Realized Net Gain (Loss) | 5,239 | (4,111) |
Change in Unrealized Appreciation (Depreciation) | (3,479) | 122,292 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 23,305 | 153,503 |
Distributions | ||
Net Investment Income | (20,278) | (34,862) |
Realized Capital Gain | — | — |
Total Distributions | (20,278) | (34,862) |
Capital Share Transactions | ||
Issued | 369,102 | 478,055 |
Issued in Lieu of Cash Distributions | 17,352 | 29,911 |
Redeemed | (105,762) | (116,048) |
Net Increase (Decrease) from Capital Share Transactions | 280,692 | 391,918 |
Total Increase (Decrease) | 283,719 | 510,559 |
Net Assets | ||
Beginning of Period | 1,911,091 | 1,400,532 |
End of Period1 | 2,194,810 | 1,911,091 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $368,000 and ($899,000).
See accompanying Notes, which are an integral part of the Financial Statements.
64
Tax-Managed Balanced Fund | ||||||
Financial Highlights | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $26.79 | $24.90 | $22.25 | $20.55 | $19.96 | $18.75 |
Investment Operations | ||||||
Net Investment Income | .275 | .547 | .517 | .525 | .519 | .496 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .052 | 1.879 | 2.647 | 1.696 | .585 | 1.210 |
Total from Investment Operations | .327 | 2.426 | 3.164 | 2.221 | 1.104 | 1.706 |
Distributions | ||||||
Dividends from Net Investment Income1 | (.257) | (.536) | (.514) | (.521) | (.514) | (.496) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.257) | (.536) | (.514) | (.521) | (.514) | (.496) |
Net Asset Value, End of Period | $26.86 | $26.79 | $24.90 | $22.25 | $20.55 | $19.96 |
Total Return 2 | 1.22% | 9.81% | 14.34% | 10.87% | 5.58% | 9.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,195 | $1,911 | $1,401 | $1,015 | $797 | $733 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.12% | 0.12% | 0.12% | 0.15% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.08% | 2.15% | 2.21% | 2.43% | 2.55% | 2.58% |
Portfolio Turnover Rate | 8% | 8% | 9% | 7% | 12% | 23% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 For tax purposes, nontaxable dividends represent 63%, 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.
65
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 fund also 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 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 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 six months ended June 30, 2015, 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.
66
Tax-Managed Balanced Fund
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 for the period ended June 30, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $3 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 June 30, 2015, 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 June 30, 2015, the fund had contributed capital of $192,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.08% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
67
Tax-Managed Balanced Fund
The following table summarizes the market value of the fund’s investments as of June 30, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,041,466 | — | — |
Tax-Exempt Municipal Bonds | — | 1,154,704 | — |
Futures Contracts—Liabilities1 | — | — | — |
Total | 1,041,466 | 1,154,704 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2015, 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 S&P 500 Index | September 2015 | 10 | 1,027 | — |
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 six months ended June 30, 2015, the fund realized $607,000 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 gains to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2014, 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 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 June 30, 2015, the cost of investment securities for tax purposes was $1,729,297,000. Net unrealized appreciation of investment securities for tax purposes was $466,873,000, consisting of unrealized gains of $473,236,000 on securities that had risen in value since their purchase and $6,363,000 in unrealized losses on securities that had fallen in value since their purchase.
68
Tax-Managed Balanced Fund
F. During the six months ended June 30, 2015, the fund purchased $403,384,000 of investment securities and sold $87,418,000 of investment securities, other than temporary cash investments. Sales include $4,189,000 in connection with in-kind redemptions of the fund’s capital shares.
G. Capital shares issued and redeemed were: | ||
Six Months Ended | Year Ended | |
June 30, 2015 | December 31, 2014 | |
Shares | Shares | |
(000) | (000) | |
Issued | 13,635 | 18,435 |
Issued in Lieu of Cash Distributions | 642 | 1,141 |
Redeemed | (3,903) | (4,485) |
Net Increase (Decrease) in Shares Outstanding | 10,374 | 15,091 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2015, that would require recognition or disclosure in these financial statements.
69
Tax-Managed Capital Appreciation Fund
Fund Profile | |||
As of June 30, 2015 | |||
Share-Class Characteristics | |||
Admiral | Institutional | ||
Shares | Shares | ||
Ticker Symbol | VTCLX | VTCIX | |
Expense Ratio1 | 0.12% | 0.08% | |
30-Day SEC Yield | 1.67% | 1.71% | |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
Russell | Market | ||
1000 | FA | ||
Fund | Index | Index | |
Number of Stocks | 726 | 1,029 | 3,854 |
Median Market Cap | $53.6B | $59.2B | $49.5B |
Price/Earnings Ratio | 21.1x | 21.0x | 21.6x |
Price/Book Ratio | 2.8x | 2.8x | 2.8x |
Return on Equity | 18.2% | 18.1% | 17.4% |
Earnings Growth | |||
Rate | 12.1% | 11.5% | 11.6% |
Dividend Yield | 1.8% | 2.0% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 5% | — | — |
Short-Term | |||
Reserves | 0.2% | — | — |
Volatility Measures | ||
DJ | ||
Russell | U.S. Total | |
1000 | Market | |
Index | FA Index | |
R-Squared | 1.00 | 1.00 |
Beta | 1.01 | 0.99 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer | |
Technology | 3.5% | |
Exxon Mobil Corp. | Oil: Integrated | 1.6 |
Microsoft Corp. | Computer Services | |
Software & Systems | 1.6 | |
Google Inc. | Computer Services | |
Software & Systems | 1.6 | |
Wells Fargo & Co. | Banks: Diversified | 1.2 |
Berkshire Hathaway Inc. Insurance: Multi-Line | 1.2 | |
Johnson & Johnson | Pharmaceuticals | 1.2 |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 1.2 | |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.2 | |
Procter & Gamble Co. | Personal Care | 1.0 |
Top Ten | 15.3% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2015, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2015, the annualized expense ratios were 0.10% for Admiral Shares and 0.06% for Institutional Shares.
70
Tax-Managed Capital Appreciation Fund
Sector Diversification (% of equity exposure)
DJ | |||
U.S. | |||
Total | |||
Russell | Market | ||
1000 | FA | ||
Fund | Index | Index | |
Consumer Discretionary 15.0% | 14.8% | 15.0% | |
Consumer Staples | 7.8 | 7.7 | 7.3 |
Energy | 7.5 | 7.6 | 7.2 |
Financial Services | 19.3 | 19.1 | 19.6 |
Health Care | 14.7 | 15.0 | 15.0 |
Materials & Processing | 4.0 | 3.9 | 4.1 |
Producer Durables | 10.7 | 10.7 | 10.8 |
Technology | 16.5 | 16.3 | 16.2 |
Utilities | 4.5 | 4.9 | 4.8 |
71
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.
See Financial Highlights for dividend and capital gains information.
72
Tax-Managed Capital Appreciation Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2015
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 (99.9%)1 | |||
Consumer Discretionary (14.9%) | |||
Walt Disney Co. | 542,636 | 61,936 | |
* | Amazon.com Inc. | 123,270 | 53,510 |
Home Depot Inc. | 445,800 | 49,542 | |
Comcast Corp. Class A | 755,371 | 45,428 | |
Wal-Mart Stores Inc. | 488,128 | 34,623 | |
McDonald’s Corp. | 306,260 | 29,116 | |
Starbucks Corp. | 533,304 | 28,593 | |
Time Warner Inc. | 305,349 | 26,691 | |
* | eBay Inc. | 440,698 | 26,548 |
NIKE Inc. Class B | 243,200 | 26,270 | |
Lowe’s Cos. Inc. | 357,400 | 23,935 | |
Costco Wholesale Corp. | 161,425 | 21,802 | |
Twenty-First Century Fox | |||
Inc. Class A | 637,530 | 20,748 | |
* | Priceline Group Inc. | 16,601 | 19,114 |
Ford Motor Co. | 1,209,933 | 18,161 | |
* | DIRECTV | 186,409 | 17,297 |
Time Warner Cable Inc. | 94,542 | 16,845 | |
Yum! Brands Inc. | 159,210 | 14,342 | |
General Motors Co. | 392,726 | 13,090 | |
* | O’Reilly Automotive Inc. | 54,848 | 12,395 |
Johnson Controls Inc. | 245,200 | 12,145 | |
* | AutoZone Inc. | 16,590 | 11,064 |
Viacom Inc. Class B | 171,033 | 11,056 | |
Ross Stores Inc. | 206,584 | 10,042 | |
Target Corp. | 122,300 | 9,983 | |
* | Dollar Tree Inc. | 123,738 | 9,774 |
Estee Lauder Cos. Inc. | |||
Class A | 112,300 | 9,732 | |
* | Tesla Motors Inc. | 32,770 | 8,791 |
* | CarMax Inc. | 131,243 | 8,690 |
Marriott International Inc. | |||
Class A | 115,575 | 8,598 | |
TJX Cos. Inc. | 127,996 | 8,469 | |
Royal Caribbean Cruises | |||
Ltd. | 104,800 | 8,247 | |
Advance Auto Parts Inc. | 50,702 | 8,076 |
Market | |||
Value• | |||
Shares | ($000) | ||
Starwood Hotels & | |||
Resorts Worldwide Inc. | 95,418 | 7,737 | |
Hanesbrands Inc. | 231,944 | 7,728 | |
* | Mohawk Industries Inc. | 40,100 | 7,655 |
* | Liberty Interactive Corp. | ||
QVC Group Class A | 274,726 | 7,624 | |
Expedia Inc. | 68,906 | 7,535 | |
* | Bed Bath & Beyond Inc. | 105,015 | 7,244 |
* | Netflix Inc. | 10,930 | 7,180 |
BorgWarner Inc. | 125,365 | 7,126 | |
* | WABCO Holdings Inc. | 53,541 | 6,624 |
CBS Corp. Class B | 117,780 | 6,537 | |
* | Sirius XM Holdings Inc. | 1,746,425 | 6,514 |
Goodyear Tire & Rubber | |||
Co. | 199,793 | 6,024 | |
DR Horton Inc. | 218,469 | 5,977 | |
* | TripAdvisor Inc. | 67,256 | 5,861 |
Lennar Corp. Class A | 114,153 | 5,826 | |
Hasbro Inc. | 77,100 | 5,766 | |
Dollar General Corp. | 73,900 | 5,745 | |
Interpublic Group of Cos. | |||
Inc. | 294,400 | 5,673 | |
Gap Inc. | 148,547 | 5,670 | |
* | Discovery | ||
Communications Inc. | 182,374 | 5,668 | |
* | Hilton Worldwide Holdings | ||
Inc. | 203,900 | 5,617 | |
PVH Corp. | 48,631 | 5,602 | |
* | Tempur Sealy International | ||
Inc. | 83,350 | 5,493 | |
Darden Restaurants Inc. | 77,080 | 5,479 | |
* | NVR Inc. | 4,050 | 5,427 |
Las Vegas Sands Corp. | 100,440 | 5,280 | |
Harman International | |||
Industries Inc. | 43,600 | 5,186 | |
Brinker International Inc. | 88,250 | 5,088 | |
* | Toll Brothers Inc. | 132,160 | 5,047 |
Aaron’s Inc. | 133,673 | 4,840 | |
Foot Locker Inc. | 70,600 | 4,731 |
73
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
PulteGroup Inc. | 233,330 | 4,702 | |
* | MGM Resorts International | 250,798 | 4,577 |
Harley-Davidson Inc. | 79,598 | 4,485 | |
Lamar Advertising Co. | |||
Class A | 76,386 | 4,391 | |
Kohl’s Corp. | 68,850 | 4,311 | |
Dillard’s Inc. Class A | 40,246 | 4,233 | |
Ralph Lauren Corp. Class A | 30,800 | 4,077 | |
Scripps Networks | |||
Interactive Inc. Class A | 59,478 | 3,888 | |
* | AutoNation Inc. | 60,925 | 3,837 |
Macy’s Inc. | 56,800 | 3,832 | |
* | Hyatt Hotels Corp. Class A | 64,383 | 3,650 |
Gentex Corp. | 214,504 | 3,522 | |
CST Brands Inc. | 90,029 | 3,516 | |
Omnicom Group Inc. | 50,600 | 3,516 | |
* | Under Armour Inc. Class A | 40,000 | 3,338 |
* | Liberty Ventures Class A | 78,415 | 3,079 |
* | Vista Outdoor Inc. | 66,200 | 2,972 |
John Wiley & Sons Inc. | |||
Class A | 53,700 | 2,920 | |
* | Avis Budget Group Inc. | 62,158 | 2,740 |
KAR Auction Services Inc. | 71,953 | 2,691 | |
Nordstrom Inc. | 32,300 | 2,406 | |
* | News Corp. Class A | 159,382 | 2,325 |
* | Liberty Media Corp. | 64,154 | 2,303 |
Carnival Corp. | 42,100 | 2,079 | |
* | Starz | 36,277 | 1,622 |
Comcast Corp. Special | |||
Class A | 26,219 | 1,572 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 27,300 | 1,530 | |
* | Madison Square Garden Co. | ||
Class A | 16,186 | 1,351 | |
* | AMC Networks Inc. Class A | 16,186 | 1,325 |
* | Liberty Media Corp. Class A | 32,077 | 1,156 |
* | Liberty Broadband Corp. | 20,848 | 1,067 |
Coach Inc. | 25,900 | 896 | |
GameStop Corp. Class A | 20,430 | 878 | |
Wynn Resorts Ltd. | 8,000 | 789 | |
Outfront Media Inc. | 23,411 | 591 | |
Best Buy Co. Inc. | 15,759 | 514 | |
* | Visteon Corp. | 4,600 | 483 |
* | Liberty Broadband Corp. | ||
Class A | 8,019 | 409 | |
* | Sears Holdings Corp. | 15,237 | 407 |
Lennar Corp. Class B | 8,300 | 358 | |
Cablevision Systems Corp. | |||
Class A | 14,944 | 358 | |
Mattel Inc. | 12,557 | 323 | |
* | Taylor Morrison Home Corp. | ||
Class A | 13,300 | 271 | |
* | Ulta Salon Cosmetics & | ||
Fragrance Inc. | 1,700 | 263 | |
* | Jarden Corp. | 4,050 | 210 |
* | LKQ Corp. | 6,700 | 203 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Sally Beauty Holdings Inc. | 6,400 | 202 |
* | Charter Communications | ||
Inc. Class A | 1,100 | 188 | |
* | Murphy USA Inc. | 3,300 | 184 |
* | Live Nation Entertainment | ||
Inc. | 6,700 | 184 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 300 | 181 | |
* | DISH Network Corp. | ||
Class A | 2,600 | 176 | |
* | Panera Bread Co. Class A | 1,000 | 175 |
* | Urban Outfitters Inc. | 4,600 | 161 |
Staples Inc. | 9,495 | 145 | |
Nielsen NV | 3,000 | 134 | |
* | Cabela’s Inc. | 2,600 | 130 |
* | Hertz Global Holdings Inc. | 7,000 | 127 |
Fortune Brands Home & | |||
Security Inc. | 2,546 | 117 | |
* | Discovery Communications | ||
Inc. Class A | 2,100 | 70 | |
Nu Skin Enterprises Inc. | |||
Class A | 993 | 47 | |
976,344 | |||
Consumer Staples (7.8%) | |||
Procter & Gamble Co. | 798,478 | 62,473 | |
Coca-Cola Co. | 1,145,800 | 44,950 | |
PepsiCo Inc. | 469,139 | 43,789 | |
CVS Health Corp. | 398,354 | 41,779 | |
Philip Morris International | |||
Inc. | 426,809 | 34,217 | |
Walgreens Boots Alliance | |||
Inc. | 302,300 | 25,526 | |
Mondelez International Inc. | |||
Class A | 608,501 | 25,034 | |
Altria Group Inc. | 422,823 | 20,680 | |
Colgate-Palmolive Co. | 303,755 | 19,869 | |
Kroger Co. | 221,700 | 16,075 | |
Archer-Daniels-Midland Co. | 243,273 | 11,731 | |
Constellation Brands Inc. | |||
Class A | 87,020 | 10,096 | |
* | Monster Beverage Corp. | 73,400 | 9,837 |
Kraft Foods Group Inc. | 106,194 | 9,041 | |
Brown-Forman Corp. | |||
Class B | 83,503 | 8,365 | |
Dr Pepper Snapple Group | |||
Inc. | 109,700 | 7,997 | |
Mead Johnson Nutrition | |||
Co. | 88,169 | 7,955 | |
Clorox Co. | 72,120 | 7,502 | |
Tyson Foods Inc. Class A | 174,584 | 7,443 |
* | WhiteWave Foods Co. |
Class A | 149,340 | 7,300 |
Church & Dwight Co. Inc. | 84,188 | 6,830 |
Coca-Cola Enterprises Inc. | 153,000 | 6,646 |
Bunge Ltd. | 74,355 | 6,528 |
Hershey Co. | 72,600 | 6,449 |
74
Tax-Managed Capital Appreciation Fund | ||||
Market | ||||
Value• | ||||
Shares | ($000) | |||
Edgewell Personal Care | ||||
Co. | 45,169 | 5,942 | ||
Hormel Foods Corp. | 105,200 | 5,930 | ||
McCormick & Co. Inc. | 70,300 | 5,691 | ||
Keurig Green Mountain Inc. | 70,883 | 5,432 | ||
JM Smucker Co. | 49,024 | 5,315 | ||
Molson Coors Brewing Co. | ||||
Class B | 71,900 | 5,019 | ||
General Mills Inc. | 88,800 | 4,948 | ||
Kimberly-Clark Corp. | 45,440 | 4,815 | ||
Campbell Soup Co. | 97,400 | 4,641 | ||
Ingredion Inc. | 54,900 | 4,382 | ||
* | Hain Celestial Group Inc. | 49,300 | 3,247 | |
Whole Foods Market Inc. | 65,680 | 2,590 | ||
Kellogg Co. | 22,800 | 1,430 | ||
Pilgrim’s Pride Corp. | 51,600 | 1,185 | ||
Sysco Corp. | 17,111 | 618 | ||
ConAgra Foods Inc. | 11,200 | 490 | ||
* | Rite Aid Corp. | 23,400 | 195 | |
* | Sprouts Farmers Market | |||
Inc. | 4,800 | 130 | ||
510,112 | ||||
Energy (7.5%) | ||||
Exxon Mobil Corp. | 1,288,164 | 107,175 | ||
Chevron Corp. | 569,538 | 54,943 | ||
Schlumberger Ltd. | 324,236 | 27,946 | ||
ConocoPhillips | 297,832 | 18,290 | ||
EOG Resources Inc. | 206,600 | 18,088 | ||
Anadarko Petroleum Corp. | 198,223 | 15,473 | ||
Occidental Petroleum | ||||
Corp. | 190,339 | 14,803 | ||
Phillips 66 | 157,963 | 12,725 | ||
Baker Hughes Inc. | 187,671 | 11,579 | ||
Kinder Morgan Inc. | 301,303 | 11,567 | ||
Valero Energy Corp. | 182,480 | 11,423 | ||
Pioneer Natural Resources | ||||
Co. | 65,742 | 9,118 | ||
* | Cheniere Energy Inc. | 121,545 | 8,418 | |
Hess Corp. | 123,200 | 8,240 | ||
Cabot Oil & Gas Corp. | 247,740 | 7,814 | ||
* | Concho Resources Inc. | 66,400 | 7,560 | |
Williams Cos. Inc. | 128,600 | 7,380 | ||
National Oilwell Varco Inc. | 146,541 | 7,075 | ||
EQT Corp. | 85,900 | 6,987 | ||
* | Dresser-Rand Group Inc. | 76,955 | 6,555 | |
* | Cameron International | |||
Corp. | 122,202 | 6,400 | ||
Cimarex Energy Co. | 56,501 | 6,233 | ||
Noble Energy Inc. | 144,000 | 6,146 | ||
Range Resources Corp. | 117,800 | 5,817 | ||
Halliburton Co. | 128,600 | 5,539 | ||
* | Whiting Petroleum Corp. | 163,680 | 5,500 | |
* | Newfield Exploration Co. | 140,001 | 5,057 | |
Energen Corp. | 71,500 | 4,883 | ||
Marathon Petroleum Corp. | 92,900 | 4,860 | ||
Devon Energy Corp. | 78,575 | 4,674 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | FMC Technologies Inc. | 107,100 | 4,444 |
Superior Energy Services | |||
Inc. | 210,183 | 4,422 | |
* | Continental Resources Inc. | 103,285 | 4,378 |
QEP Resources Inc. | 236,051 | 4,369 | |
World Fuel Services Corp. | 90,147 | 4,323 | |
CONSOL Energy Inc. | 195,913 | 4,259 | |
SM Energy Co. | 90,907 | 4,193 | |
Helmerich & Payne Inc. | 57,980 | 4,083 | |
* | Kosmos Energy Ltd. | 433,989 | 3,658 |
* | Cobalt International | ||
Energy Inc. | 343,444 | 3,335 | |
California Resources Corp. | 434,535 | 2,625 | |
Patterson-UTI Energy Inc. | 135,089 | 2,542 | |
Marathon Oil Corp. | 92,900 | 2,466 | |
Tesoro Corp. | 26,500 | 2,237 | |
* | Rice Energy Inc. | 104,400 | 2,175 |
Rowan Cos. plc Class A | 80,600 | 1,701 | |
* | WPX Energy Inc. | 77,400 | 950 |
* | NOW Inc. | 36,635 | 729 |
* | Southwestern Energy Co. | 29,609 | 673 |
* | Gulfport Energy Corp. | 15,112 | 608 |
Apache Corp. | 6,854 | 395 | |
486,833 | |||
Financial Services (19.3%) | |||
Wells Fargo & Co. | 1,451,001 | 81,604 | |
* | Berkshire Hathaway Inc. | ||
Class B | 591,125 | 80,458 | |
JPMorgan Chase & Co. | 1,111,121 | 75,290 | |
Bank of America Corp. | 3,367,623 | 57,317 | |
Citigroup Inc. | 1,007,805 | 55,671 | |
Visa Inc. Class A | 674,392 | 45,285 | |
MasterCard Inc. Class A | 350,450 | 32,760 | |
American International | |||
Group Inc. | 491,946 | 30,412 | |
American Express Co. | 300,500 | 23,355 | |
Goldman Sachs Group Inc. | 109,200 | 22,800 | |
Simon Property Group Inc. | 111,220 | 19,243 | |
US Bancorp | 401,300 | 17,416 | |
American Tower | |||
Corporation | 166,200 | 15,505 | |
Charles Schwab Corp. | 453,999 | 14,823 | |
Prudential Financial Inc. | 161,904 | 14,170 | |
State Street Corp. | 164,978 | 12,703 | |
McGraw Hill Financial Inc. | 117,000 | 11,753 | |
Discover Financial | |||
Services | 202,200 | 11,651 | |
Crown Castle International | |||
Corp. | 138,623 | 11,131 | |
* | Fiserv Inc. | 133,700 | 11,074 |
Ameriprise Financial Inc. | 87,960 | 10,989 | |
Aflac Inc. | 172,500 | 10,730 | |
Public Storage | 58,140 | 10,719 | |
Capital One Financial Corp. | 117,800 | 10,363 | |
SunTrust Banks Inc. | 235,290 | 10,122 | |
Travelers Cos. Inc. | 101,877 | 9,847 |
75
Tax-Managed Capital Appreciation Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Morgan Stanley | 227,325 | 8,818 | |
Boston Properties Inc. | 72,725 | 8,803 | |
Lincoln National Corp. | 143,986 | 8,527 | |
Intercontinental Exchange | |||
Inc. | 37,569 | 8,401 | |
Franklin Resources Inc. | 166,200 | 8,149 | |
Equity Residential | 115,600 | 8,112 | |
Fidelity National Information | |||
Services Inc. | 130,478 | 8,064 | |
* | CBRE Group Inc. Class A | 209,990 | 7,770 |
* | E*TRADE Financial Corp. | 257,379 | 7,709 |
Fifth Third Bancorp | 368,920 | 7,681 | |
General Growth Properties | |||
Inc. | 298,643 | 7,663 | |
Essex Property Trust Inc. | 35,848 | 7,618 | |
Moody’s Corp. | 70,100 | 7,568 | |
Progressive Corp. | 267,900 | 7,456 | |
AvalonBay Communities | |||
Inc. | 46,175 | 7,382 | |
* | Markel Corp. | 9,176 | 7,347 |
KeyCorp | 486,169 | 7,302 | |
Aon plc | 72,800 | 7,257 | |
T. Rowe Price Group Inc. | 92,978 | 7,227 | |
Equifax Inc. | 74,000 | 7,185 | |
Loews Corp. | 182,080 | 7,012 | |
Jones Lang LaSalle Inc. | 40,177 | 6,870 | |
Host Hotels & Resorts Inc. | 341,972 | 6,781 | |
Global Payments Inc. | 65,417 | 6,767 | |
MSCI Inc. Class A | 109,064 | 6,713 | |
HCC Insurance Holdings | |||
Inc. | 87,200 | 6,700 | |
* | Affiliated Managers Group | ||
Inc. | 30,550 | 6,678 | |
MetLife Inc. | 118,542 | 6,637 | |
Allstate Corp. | 102,300 | 6,636 | |
Weyerhaeuser Co. | 209,214 | 6,590 | |
TD Ameritrade Holding | |||
Corp. | 174,400 | 6,421 | |
SL Green Realty Corp. | 58,110 | 6,386 | |
* | Arch Capital Group Ltd. | 95,300 | 6,381 |
First Republic Bank | 100,857 | 6,357 | |
PNC Financial Services | |||
Group Inc. | 64,988 | 6,216 | |
Leucadia National Corp. | 251,589 | 6,109 | |
* | Signature Bank | 41,700 | 6,104 |
CIT Group Inc. | 130,535 | 6,069 | |
SEI Investments Co. | 123,770 | 6,068 | |
East West Bancorp Inc. | 134,700 | 6,037 | |
Torchmark Corp. | 102,975 | 5,995 | |
Unum Group | 166,800 | 5,963 | |
Zions Bancorporation | 187,184 | 5,940 | |
Principal Financial Group | |||
Inc. | 113,500 | 5,821 | |
M&T Bank Corp. | 46,286 | 5,783 | |
Federal Realty Investment | |||
Trust | 44,921 | 5,754 |
Market | |||
Value• | |||
Shares | ($000) | ||
NASDAQ OMX Group Inc. | 114,892 | 5,608 | |
* | Alleghany Corp. | 11,959 | 5,606 |
* | Howard Hughes Corp. | 38,899 | 5,584 |
Reinsurance Group of | |||
America Inc. Class A | 58,819 | 5,580 | |
* | Realogy Holdings Corp. | 118,991 | 5,559 |
Total System Services Inc. | 131,159 | 5,479 | |
Raymond James Financial | |||
Inc. | 89,650 | 5,341 | |
CME Group Inc. | 55,950 | 5,207 | |
Extra Space Storage Inc. | 79,100 | 5,159 | |
Bank of New York Mellon | |||
Corp. | 121,203 | 5,087 | |
WR Berkley Corp. | 97,596 | 5,068 | |
Assurant Inc. | 75,300 | 5,045 | |
First Horizon National Corp. | 319,894 | 5,013 | |
BlackRock Inc. | 14,450 | 4,999 | |
* | Forest City Enterprises Inc. | ||
Class A | 216,591 | 4,787 | |
* | CoreLogic Inc. | 116,846 | 4,638 |
Equity LifeStyle Properties | |||
Inc. | 87,862 | 4,620 | |
White Mountains Insurance | |||
Group Ltd. | 7,015 | 4,594 | |
TFS Financial Corp. | 272,520 | 4,584 | |
Taubman Centers Inc. | 64,962 | 4,515 | |
Dun & Bradstreet Corp. | 36,200 | 4,416 | |
Commerce Bancshares Inc. | 91,480 | 4,279 | |
* | SLM Corp. | 426,482 | 4,209 |
* | Popular Inc. | 140,844 | 4,065 |
Prologis Inc. | 109,525 | 4,063 | |
Apartment Investment & | |||
Management Co. | 108,443 | 4,005 | |
American Homes 4 Rent | |||
Class A | 248,100 | 3,980 | |
Alexandria Real Estate | |||
Equities Inc. | 45,430 | 3,973 | |
Plum Creek Timber Co. Inc. | 97,800 | 3,968 | |
Douglas Emmett Inc. | 145,267 | 3,913 | |
Brown & Brown Inc. | 118,600 | 3,897 | |
StanCorp Financial Group | |||
Inc. | 50,600 | 3,826 | |
Cullen/Frost Bankers Inc. | 47,600 | 3,740 | |
Hanover Insurance Group | |||
Inc. | 49,600 | 3,672 | |
* | Alliance Data Systems Corp. | 12,200 | 3,562 |
Brixmor Property Group Inc. | 150,000 | 3,470 | |
Associated Banc-Corp | 170,670 | 3,459 | |
Post Properties Inc. | 63,600 | 3,458 | |
Hospitality Properties Trust | 119,270 | 3,437 | |
Interactive Brokers Group | |||
Inc. | 82,120 | 3,413 | |
Eaton Vance Corp. | 86,202 | 3,373 | |
DDR Corp. | 216,364 | 3,345 | |
Camden Property Trust | 42,400 | 3,149 | |
Lazard Ltd. Class A | 55,686 | 3,132 |
76
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Chubb Corp. | 30,900 | 2,940 | |
Broadridge Financial | |||
Solutions Inc. | 58,725 | 2,937 | |
Retail Properties of | |||
America Inc. | 209,357 | 2,916 | |
* | SVB Financial Group | 19,300 | 2,779 |
BOK Financial Corp. | 38,571 | 2,684 | |
Hartford Financial Services | |||
Group Inc. | 64,184 | 2,668 | |
CNA Financial Corp. | 69,500 | 2,656 | |
Legg Mason Inc. | 47,500 | 2,448 | |
Navient Corp. | 131,845 | 2,401 | |
BB&T Corp. | 53,000 | 2,136 | |
ACE Ltd. | 20,902 | 2,125 | |
American Financial Group | |||
Inc. | 32,200 | 2,094 | |
Jack Henry & Associates | |||
Inc. | 31,457 | 2,035 | |
Digital Realty Trust Inc. | 28,440 | 1,896 | |
Northern Trust Corp. | 19,050 | 1,457 | |
Bank of Hawaii Corp. | 20,100 | 1,340 | |
FNF Group | 25,361 | 938 | |
Iron Mountain Inc. | 28,895 | 896 | |
People’s United Financial | |||
Inc. | 42,614 | 691 | |
WP GLIMCHER Inc. | 48,524 | 657 | |
* | Santander Consumer USA | ||
Holdings Inc. | 25,100 | 642 | |
Invesco Ltd. | 12,010 | 450 | |
Western Union Co. | 11,625 | 236 | |
Equinix Inc. | 818 | 208 | |
* | FleetCor Technologies Inc. | 1,200 | 187 |
* | Vantiv Inc. Class A | 4,700 | 180 |
1,262,492 | |||
Health Care (14.7%) | |||
Johnson & Johnson | 816,098 | 79,537 | |
Gilead Sciences Inc. | 496,000 | 58,072 | |
Pfizer Inc. | 1,682,287 | 56,407 | |
Merck & Co. Inc. | 761,068 | 43,328 | |
* | Allergan plc | 133,073 | 40,382 |
UnitedHealth Group Inc. | 328,662 | 40,097 | |
Amgen Inc. | 254,937 | 39,138 | |
Bristol-Myers Squibb Co. | 506,644 | 33,712 | |
* | Biogen Inc. | 81,441 | 32,897 |
* | Celgene Corp. | 279,038 | 32,294 |
AbbVie Inc. | 410,761 | 27,599 | |
* | Express Scripts Holding | ||
Co. | 273,395 | 24,316 | |
Medtronic plc | 311,004 | 23,045 | |
Abbott Laboratories | 407,600 | 20,005 | |
Thermo Fisher Scientific | |||
Inc. | 149,018 | 19,337 | |
McKesson Corp. | 85,772 | 19,282 | |
Aetna Inc. | 144,422 | 18,408 | |
Anthem Inc. | 111,816 | 18,353 | |
Cigna Corp. | 112,300 | 18,193 |
Market | ||
Value• | ||
Shares | ($000) | |
Eli Lilly & Co. | 193,109 | 16,123 |
* | Regeneron Pharmaceuticals |
Inc. | 30,895 | 15,760 | |
* | Alexion Pharmaceuticals Inc. | 85,585 | 15,471 |
Humana Inc. | 69,800 | 13,351 | |
* | Vertex Pharmaceuticals Inc. | 103,788 | 12,816 |
Becton Dickinson and Co. | 88,470 | 12,532 | |
* | Mylan NV | 183,570 | 12,457 |
Cardinal Health Inc. | 145,512 | 12,172 | |
Perrigo Co. plc | 64,011 | 11,831 | |
AmerisourceBergen Corp. | |||
Class A | 106,600 | 11,336 | |
Zoetis Inc. | 228,682 | 11,027 | |
Stryker Corp. | 109,200 | 10,436 | |
St. Jude Medical Inc. | 131,832 | 9,633 | |
* | Incyte Corp. | 89,116 | 9,287 |
* | Hospira Inc. | 103,240 | 9,158 |
Baxter International Inc. | 127,341 | 8,905 | |
Zimmer Biomet Holdings | |||
Inc. | 81,170 | 8,866 | |
Universal Health Services | |||
Inc. Class B | 60,400 | 8,583 | |
* | Henry Schein Inc. | 53,700 | 7,632 |
Agilent Technologies Inc. | 188,151 | 7,259 | |
* | Endo International plc | 88,447 | 7,045 |
CR Bard Inc. | 39,593 | 6,759 | |
* | Laboratory Corp. of | ||
America Holdings | 53,910 | 6,535 | |
Cooper Cos. Inc. | 33,500 | 5,962 | |
PerkinElmer Inc. | 109,504 | 5,764 | |
Quest Diagnostics Inc. | 72,800 | 5,279 | |
* | QIAGEN NV | 209,702 | 5,199 |
Teleflex Inc. | 37,000 | 5,012 | |
* | Health Net Inc. | 78,100 | 5,008 |
DENTSPLY International Inc. | 95,800 | 4,939 | |
Bio-Techne Corp. | 46,700 | 4,599 | |
* | Bruker Corp. | 198,444 | 4,050 |
Omnicare Inc. | 40,900 | 3,855 | |
Patterson Cos. Inc. | 73,530 | 3,577 | |
* | HCA Holdings Inc. | 35,500 | 3,221 |
* | Varian Medical Systems Inc. | 30,000 | 2,530 |
* | Boston Scientific Corp. | 111,650 | 1,976 |
* | Medivation Inc. | 14,754 | 1,685 |
* | Mallinckrodt plc | 6,525 | 768 |
* | DaVita HealthCare Partners | ||
Inc. | 6,700 | 532 | |
* | Intuitive Surgical Inc. | 1,030 | 499 |
* | BioMarin Pharmaceutical | ||
Inc. | 2,600 | 356 | |
* | Centene Corp. | 4,400 | 354 |
* | United Therapeutics Corp. | 1,900 | 331 |
|
* | Alnylam Pharmaceuticals Inc. | 2,500 | 300 |
* | Brookdale Senior Living Inc. | 8,400 | 291 |
* | Edwards Lifesciences Corp. | 1,800 | 256 |
* | VCA Inc. | 4,500 | 245 |
77
Tax-Managed Capital Appreciation Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Hologic Inc. | 6,100 | 232 |
* | Quintiles Transnational | ||
Holdings Inc. | 3,100 | 225 | |
* | Community Health Systems | ||
Inc. | 3,500 | 220 | |
* | Catamaran Corp. | 3,600 | 220 |
* | Illumina Inc. | 1,000 | 218 |
* | Charles River Laboratories | ||
International Inc. | 3,100 | 218 | |
* | LifePoint Health Inc. | 2,500 | 217 |
* | Premier Inc. Class A | 5,600 | 215 |
* | Cerner Corp. | 3,100 | 214 |
* | Alkermes plc | 3,300 | 212 |
* | Alere Inc. | 4,000 | 211 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 1,400 | 211 | |
* | MEDNAX Inc. | 2,800 | 208 |
* | Seattle Genetics Inc. | 4,200 | 203 |
* | Tenet Healthcare Corp. | 3,300 | 191 |
* | Sirona Dental Systems Inc. | 1,900 | 191 |
* | Align Technology Inc. | 2,900 | 182 |
* | Jazz Pharmaceuticals plc | 1,000 | 176 |
* | Veeva Systems Inc. Class A | 6,200 | 174 |
* | Envision Healthcare | ||
Holdings Inc. | 4,300 | 170 | |
* | IDEXX Laboratories Inc. | 2,400 | 154 |
* | athenahealth Inc. | 1,300 | 149 |
* | Myriad Genetics Inc. | 4,100 | 139 |
960,514 | |||
Materials & Processing (4.0%) | |||
LyondellBasell Industries NV | |||
Class A | 132,900 | 13,758 | |
Ecolab Inc. | 110,420 | 12,485 | |
Praxair Inc. | 103,500 | 12,373 | |
Precision Castparts Corp. | 60,680 | 12,128 | |
Monsanto Co. | 108,357 | 11,550 | |
Sherwin-Williams Co. | 40,131 | 11,037 | |
EI du Pont de Nemours & | |||
Co. | 160,300 | 10,251 | |
Dow Chemical Co. | 191,940 | 9,822 | |
CF Industries Holdings Inc. | 143,300 | 9,211 | |
Vulcan Materials Co. | 90,417 | 7,589 | |
Sealed Air Corp. | 138,872 | 7,135 | |
Celanese Corp. Class A | 99,111 | 7,124 | |
Ball Corp. | 100,000 | 7,015 | |
Newmont Mining Corp. | 275,894 | 6,445 | |
Martin Marietta Materials | |||
Inc. | 43,900 | 6,212 | |
Freeport-McMoRan Inc. | 320,394 | 5,966 | |
* | WR Grace & Co. | 58,889 | 5,907 |
* | Crown Holdings Inc. | 111,000 | 5,873 |
Cytec Industries Inc. | 94,800 | 5,738 | |
Nucor Corp. | 129,600 | 5,711 | |
Valspar Corp. | 65,700 | 5,376 | |
Fastenal Co. | 126,000 | 5,315 | |
FMC Corp. | 94,700 | 4,977 |
Market | |||
Value• | |||
Shares | ($000) | ||
Albemarle Corp. | 87,143 | 4,816 | |
Westlake Chemical Corp. | 68,108 | 4,672 | |
Airgas Inc. | 43,400 | 4,591 | |
* | Platform Specialty | ||
Products Corp. | 169,809 | 4,344 | |
Owens Corning | 104,987 | 4,331 | |
* | Owens-Illinois Inc. | 185,089 | 4,246 |
Royal Gold Inc. | 66,657 | 4,105 | |
United States Steel Corp. | 193,700 | 3,994 | |
Hexcel Corp. | 78,125 | 3,886 | |
Lennox International Inc. | 35,090 | 3,779 | |
PPG Industries Inc. | 31,440 | 3,607 | |
Mosaic Co. | 68,100 | 3,190 | |
Scotts Miracle-Gro Co. | |||
Class A | 51,099 | 3,026 | |
Eastman Chemical Co. | 35,507 | 2,905 | |
Valmont Industries Inc. | 23,637 | 2,810 | |
Reliance Steel & | |||
Aluminum Co. | 46,300 | 2,800 | |
* | USG Corp. | 71,300 | 1,981 |
International Paper Co. | 35,900 | 1,708 | |
Packaging Corp. of | |||
America | 26,600 | 1,662 | |
Allegheny Technologies | |||
Inc. | 50,100 | 1,513 | |
Southern Copper Corp. | 39,524 | 1,162 | |
Tahoe Resources Inc. | 94,302 | 1,144 | |
Air Products & Chemicals | |||
Inc. | 5,700 | 780 | |
Sigma-Aldrich Corp. | 1,500 | 209 | |
* | Armstrong World | ||
Industries Inc. | 2,700 | 144 | |
260,403 | |||
Producer Durables (10.7%) | |||
General Electric Co. | 2,835,172 | 75,331 | |
Boeing Co. | 236,770 | 32,845 | |
United Technologies Corp. | 280,100 | 31,071 | |
Union Pacific Corp. | 262,428 | 25,028 | |
3M Co. | 154,200 | 23,793 | |
Danaher Corp. | 227,300 | 19,455 | |
FedEx Corp. | 111,000 | 18,914 | |
General Dynamics Corp. | 121,400 | 17,201 | |
Honeywell International | |||
Inc. | 147,300 | 15,020 | |
Delta Air Lines Inc. | 351,400 | 14,435 | |
United Parcel Service Inc. | |||
Class B | 147,300 | 14,275 | |
Illinois Tool Works Inc. | 141,200 | 12,961 | |
CSX Corp. | 389,800 | 12,727 | |
Northrop Grumman Corp. | 72,268 | 11,464 | |
Norfolk Southern Corp. | 121,650 | 10,627 | |
Southwest Airlines Co. | 314,537 | 10,408 | |
Cummins Inc. | 75,400 | 9,892 | |
Caterpillar Inc. | 115,695 | 9,813 | |
Accenture plc Class A | 97,213 | 9,408 |
78
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | United Continental | ||
Holdings Inc. | 173,800 | 9,213 | |
PACCAR Inc. | 142,910 | 9,119 | |
Roper Technologies Inc. | 50,300 | 8,675 | |
Pall Corp. | 69,300 | 8,624 | |
Deere & Co. | 82,916 | 8,047 | |
Emerson Electric Co. | 142,400 | 7,893 | |
Parker-Hannifin Corp. | 67,500 | 7,852 | |
Raytheon Co. | 80,915 | 7,742 | |
AMETEK Inc. | 139,375 | 7,635 | |
Textron Inc. | 165,420 | 7,383 | |
* | Mettler-Toledo International | ||
Inc. | 21,600 | 7,376 | |
* | Verisk Analytics Inc. Class A | 99,105 | 7,211 |
* | Waters Corp. | 53,150 | 6,823 |
Rockwell Collins Inc. | 73,700 | 6,806 | |
Wabtec Corp. | 71,600 | 6,748 | |
* | Stericycle Inc. | 49,808 | 6,670 |
Waste Management Inc. | 140,297 | 6,503 | |
WW Grainger Inc. | 27,000 | 6,390 | |
Lockheed Martin Corp. | 33,914 | 6,305 | |
American Airlines Group Inc. | 157,575 | 6,293 | |
Expeditors International of | |||
Washington Inc. | 133,861 | 6,172 | |
Xerox Corp. | 577,604 | 6,146 | |
L-3 Communications | |||
Holdings Inc. | 54,000 | 6,123 | |
Cintas Corp. | 70,766 | 5,986 | |
* | Zebra Technologies Corp. | 53,557 | 5,947 |
Carlisle Cos. Inc. | 56,500 | 5,657 | |
JB Hunt Transport Services | |||
Inc. | 68,896 | 5,656 | |
IDEX Corp. | 71,845 | 5,646 | |
Huntington Ingalls | |||
Industries Inc. | 45,000 | 5,067 | |
ManpowerGroup Inc. | 54,600 | 4,880 | |
* | AECOM | 147,401 | 4,876 |
Robert Half International Inc. | 87,500 | 4,856 | |
* | HD Supply Holdings Inc. | 137,450 | 4,835 |
* | TransDigm Group Inc. | 21,334 | 4,793 |
Flowserve Corp. | 87,550 | 4,610 | |
Toro Co. | 66,100 | 4,480 | |
* | Quanta Services Inc. | 151,348 | 4,362 |
FLIR Systems Inc. | 141,500 | 4,361 | |
Landstar System Inc. | 64,989 | 4,346 | |
Fluor Corp. | 81,200 | 4,304 | |
Towers Watson & Co. | |||
Class A | 33,200 | 4,177 | |
Manitowoc Co. Inc. | 212,294 | 4,161 | |
* | Jacobs Engineering Group | ||
Inc. | 98,466 | 4,000 | |
Terex Corp. | 162,566 | 3,780 | |
Automatic Data Processing | |||
Inc. | 47,100 | 3,779 | |
Donaldson Co. Inc. | 103,200 | 3,695 | |
Oshkosh Corp. | 80,757 | 3,422 |
Market | |||
Value• | |||
Shares | ($000) | ||
Xylem Inc. | 87,100 | 3,229 | |
* | Copart Inc. | 88,600 | 3,144 |
* | Spirit AeroSystems | ||
Holdings Inc. Class A | 54,500 | 3,003 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 41,700 | 2,909 | |
Stanley Black & Decker Inc. | 26,745 | 2,815 | |
SPX Corp. | 37,400 | 2,707 | |
* | Keysight Technologies Inc. | 78,303 | 2,442 |
Orbital ATK Inc. | 33,100 | 2,428 | |
Lexmark International Inc. | |||
Class A | 50,300 | 2,223 | |
Eaton Corp. plc | 29,894 | 2,018 | |
Allison Transmission | |||
Holdings Inc. | 68,285 | 1,998 | |
Graco Inc. | 27,658 | 1,965 | |
Joy Global Inc. | 52,500 | 1,900 | |
Ryder System Inc. | 20,932 | 1,829 | |
ITT Corp. | 43,550 | 1,822 | |
AGCO Corp. | 19,523 | 1,109 | |
Republic Services Inc. | |||
Class A | 19,512 | 764 | |
* | Old Dominion Freight Line | ||
Inc. | 9,500 | 652 | |
KBR Inc. | 26,449 | 515 | |
ADT Corp. | 12,650 | 425 | |
Pentair plc | 6,070 | 417 | |
Babcock & Wilcox Co. | 10,920 | 358 | |
* | CoStar Group Inc. | 1,000 | 201 |
* | Genpact Ltd. | 9,100 | 194 |
* | Spirit Airlines Inc. | 2,400 | 149 |
* | IHS Inc. Class A | 1,100 | 141 |
CH Robinson Worldwide | |||
Inc. | 2,249 | 140 | |
* | United Rentals Inc. | 1,500 | 131 |
* | Middleby Corp. | 800 | 90 |
695,811 | |||
Technology (16.5%) | |||
Apple Inc. | 1,821,360 | 228,444 | |
Microsoft Corp. | 2,361,988 | 104,282 | |
* | Facebook Inc. Class A | 712,417 | 61,100 |
* | Google Inc. Class A | 95,930 | 51,806 |
* | Google Inc. Class C | 98,054 | 51,038 |
International Business | |||
Machines Corp. | 300,858 | 48,938 | |
Oracle Corp. | 1,060,834 | 42,752 | |
Intel Corp. | 1,266,085 | 38,508 | |
Cisco Systems Inc. | 1,395,220 | 38,313 | |
QUALCOMM Inc. | 472,620 | 29,600 | |
Texas Instruments Inc. | 389,800 | 20,079 | |
EMC Corp. | 731,900 | 19,315 | |
* | Salesforce.com inc | 237,891 | 16,564 |
* | Adobe Systems Inc. | 199,900 | 16,194 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 250,394 | 15,297 | |
* | Yahoo! Inc. | 380,920 | 14,966 |
79
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Broadcom Corp. Class A | 255,750 | 13,169 | |
Intuit Inc. | 126,660 | 12,764 | |
Hewlett-Packard Co. | 365,623 | 10,972 | |
Corning Inc. | 478,200 | 9,435 | |
Amphenol Corp. Class A | 159,600 | 9,252 | |
Altera Corp. | 164,935 | 8,445 | |
* | SBA Communications Corp. | ||
Class A | 71,003 | 8,163 | |
Lam Research Corp. | 96,945 | 7,886 | |
Western Digital Corp. | 98,400 | 7,716 | |
Analog Devices Inc. | 118,166 | 7,584 | |
Juniper Networks Inc. | 289,429 | 7,516 | |
Symantec Corp. | 316,351 | 7,355 | |
* | Citrix Systems Inc. | 103,656 | 7,272 |
Activision Blizzard Inc. | 293,000 | 7,094 | |
NVIDIA Corp. | 329,244 | 6,621 | |
Skyworks Solutions Inc. | 63,186 | 6,578 | |
CDK Global Inc. | 121,203 | 6,543 | |
* | Autodesk Inc. | 129,388 | 6,479 |
Applied Materials Inc. | 335,600 | 6,450 | |
Brocade Communications | |||
Systems Inc. | 532,900 | 6,331 | |
NetApp Inc. | 181,663 | 5,733 | |
* | Synopsys Inc. | 113,190 | 5,733 |
Linear Technology Corp. | 124,200 | 5,493 | |
DST Systems Inc. | 42,800 | 5,392 | |
* | Cadence Design Systems | ||
Inc. | 271,260 | 5,333 | |
Computer Sciences Corp. | 78,900 | 5,179 | |
KLA-Tencor Corp. | 90,600 | 5,093 | |
* | Arrow Electronics Inc. | 89,700 | 5,005 |
* | Micron Technology Inc. | 263,100 | 4,957 |
* | VeriFone Systems Inc. | 145,152 | 4,929 |
Avago Technologies Ltd. | |||
Class A | 36,604 | 4,866 | |
Atmel Corp. | 490,052 | 4,829 | |
* | FireEye Inc. | 97,800 | 4,783 |
Avnet Inc. | 108,600 | 4,465 | |
Teradyne Inc. | 215,545 | 4,158 | |
Motorola Solutions Inc. | 69,204 | 3,968 | |
* | Ingram Micro Inc. | 148,402 | 3,714 |
CA Inc. | 113,266 | 3,318 | |
Xilinx Inc. | 71,336 | 3,150 | |
Amdocs Ltd. | 55,150 | 3,011 | |
* | NCR Corp. | 99,574 | 2,997 |
* | Teradata Corp. | 78,564 | 2,907 |
Solera Holdings Inc. | 63,396 | 2,825 | |
* | Zynga Inc. Class A | 950,300 | 2,718 |
IAC/InterActiveCorp | 24,515 | 1,953 | |
Microchip Technology Inc. | 31,400 | 1,489 | |
* | SunEdison Inc. | 38,500 | 1,152 |
Harris Corp. | 13,227 | 1,017 | |
* | VeriSign Inc. | 10,305 | 636 |
Dolby Laboratories Inc. | |||
Class A | 9,000 | 357 | |
* | Palo Alto Networks Inc. | 2,000 | 349 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Electronic Arts Inc. | 4,900 | 326 |
* | Fortinet Inc. | 7,300 | 302 |
* | Tableau Software Inc. | ||
Class A | 2,500 | 288 | |
* | Freescale Semiconductor | ||
Ltd. | 6,700 | 268 | |
* | Red Hat Inc. | 3,200 | 243 |
* | Informatica Corp. | 4,800 | 233 |
* | Splunk Inc. | 3,300 | 230 |
* | ServiceNow Inc. | 2,900 | 215 |
* | ANSYS Inc. | 2,300 | 210 |
* | SolarWinds Inc. | 4,500 | 208 |
* | LinkedIn Corp. Class A | 1,000 | 207 |
* | IMS Health Holdings Inc. | 6,700 | 205 |
* | ON Semiconductor Corp. | 17,500 | 205 |
* | CommScope Holding Co. | ||
Inc. | 6,500 | 198 | |
* | Gartner Inc. | 2,300 | 197 |
* | IPG Photonics Corp. | 2,300 | 196 |
* | PTC Inc. | 4,700 | 193 |
Sabre Corp. | 8,100 | 193 | |
* | NetSuite Inc. | 2,100 | 193 |
* | Akamai Technologies Inc. | 2,700 | 188 |
* | F5 Networks Inc. | 1,400 | 168 |
* | Rackspace Hosting Inc. | 4,400 | 164 |
* | VMware Inc. Class A | 1,900 | 163 |
* | Workday Inc. Class A | 2,000 | 153 |
* | JDS Uniphase Corp. | 12,900 | 149 |
* | ARRIS Group Inc. | 4,700 | 144 |
* | EchoStar Corp. Class A | 2,900 | 141 |
* | Groupon Inc. Class A | 24,100 | 121 |
1,078,031 | |||
Utilities (4.5%) | |||
Verizon Communications | |||
Inc. | 1,077,804 | 50,236 | |
AT&T Inc. | 1,341,532 | 47,651 | |
NextEra Energy Inc. | 168,407 | 16,509 | |
Sempra Energy | 107,036 | 10,590 | |
Dominion Resources Inc. | 140,897 | 9,422 | |
WEC Energy Group Inc. | 198,234 | 8,915 | |
Edison International | 157,365 | 8,746 | |
* | Level 3 Communications | ||
Inc. | 163,470 | 8,610 | |
Duke Energy Corp. | 111,730 | 7,890 | |
NiSource Inc. | 171,898 | 7,837 | |
PG&E Corp. | 157,850 | 7,750 | |
* | T-Mobile US Inc. | 185,517 | 7,193 |
Eversource Energy | 154,724 | 7,026 | |
AES Corp. | 477,067 | 6,326 | |
American Water Works | |||
Co. Inc. | 117,268 | 5,703 | |
NRG Energy Inc. | 244,306 | 5,590 | |
CMS Energy Corp. | 169,809 | 5,407 | |
* | Calpine Corp. | 297,980 | 5,361 |
Southern Co. | 124,900 | 5,233 | |
UGI Corp. | 148,559 | 5,118 |
80
Tax-Managed Capital Appreciation Fund
Market | ||||
Value• | ||||
Shares | ($000) | |||
OGE Energy Corp. | 165,300 | 4,723 | ||
ITC Holdings Corp. | 145,679 | 4,688 | ||
Telephone & Data Systems | ||||
Inc. | 157,255 | 4,623 | ||
Aqua America Inc. | 183,828 | 4,502 | ||
* | Sprint Corp. | 965,760 | 4,404 | |
CenterPoint Energy Inc. | 228,827 | 4,355 | ||
National Fuel Gas Co. | 72,197 | 4,252 | ||
SCANA Corp. | 80,500 | 4,077 | ||
MDU Resources Group Inc. | 205,450 | 4,012 | ||
* | United States Cellular Corp. | 86,074 | 3,242 | |
American Electric Power | ||||
Co. Inc. | 60,600 | 3,210 | ||
Questar Corp. | 130,344 | 2,725 | ||
Consolidated Edison Inc. | 44,100 | 2,553 | ||
Exelon Corp. | 79,200 | 2,488 | ||
FirstEnergy Corp. | 65,463 | 2,131 | ||
CenturyLink Inc. | 56,364 | 1,656 | ||
Entergy Corp. | 20,400 | 1,438 | ||
296,192 | ||||
Total Common Stocks | ||||
(Cost $3,253,859) | 6,526,732 | |||
Temporary Cash Investment (0.4%)1 | ||||
Money Market Fund (0.4%) | ||||
2 | Vanguard Market Liquidity | |||
Fund, 0.137% | ||||
(Cost $23,933) | 23,932,763 | 23,933 | ||
Total Investments (100.3%) | ||||
(Cost $3,277,792) | 6,550,665 | |||
Other Assets and Liabilities (-0.3%) | ||||
Other Assets | 18,113 | |||
Liabilities | (38,666) | |||
(20,553) | ||||
Net Assets (100%) | 6,530,112 |
At June 30, 2015, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 3,182,337 |
Undistributed Net Investment Income | 47,341 |
Accumulated Net Realized Gains | 27,564 |
Unrealized Appreciation (Depreciation) | 3,272,873 |
Futures Contracts | (3) |
Net Assets | 6,530,112 |
Admiral Shares—Net Assets | |
Applicable to 56,053,309 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,956,697 |
Net Asset Value Per Share— | |
Admiral Shares | $106.27 |
Institutional Shares—Net Assets | |
Applicable to 10,857,168 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 573,415 |
Net Asset Value Per Share— | |
Institutional Shares | $52.81 |
• 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 100.1% and 0.2%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
81
Tax-Managed Capital Appreciation Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2015 | |
($000) | |
Investment Income | |
Income | |
Dividends | 55,348 |
Interest1 | 4 |
Total Income | 55,352 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 598 |
Management and Administrative—Admiral Shares | 2,067 |
Management and Administrative—Institutional Shares | 91 |
Marketing and Distribution—Admiral Shares | 315 |
Marketing and Distribution—Institutional Shares | 24 |
Custodian Fees | 20 |
Shareholders’ Reports—Admiral Shares | 13 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 3,130 |
Net Investment Income | 52,222 |
Realized Net Gain (Loss) on Investment Securities Sold | 65,436 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 32,529 |
Futures Contract | (3) |
Change in Unrealized Appreciation (Depreciation) | 32,526 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 150,184 |
1 Interest income from an affiliated company of the fund was $4,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
82
Tax-Managed Capital Appreciation Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2015 | 2014 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 52,222 | 97,763 |
Realized Net Gain (Loss) | 65,436 | 7,504 |
Change in Unrealized Appreciation (Depreciation) | 32,526 | 593,212 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 150,184 | 698,479 |
Distributions | ||
Net Investment Income | ||
Admiral Shares | (957) | (88,550) |
Institutional Shares | (93) | (8,399) |
Realized Capital Gain | ||
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (1,050) | (96,949) |
Capital Share Transactions | ||
Admiral Shares | 60,132 | 169,239 |
Institutional Shares | 30,464 | 11,250 |
Net Increase (Decrease) from Capital Share Transactions | 90,596 | 180,489 |
Total Increase (Decrease) | 239,730 | 782,019 |
Net Assets | ||
Beginning of Period | 6,290,382 | 5,508,363 |
End of Period1 | 6,530,112 | 6,290,382 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $47,341,000 and ($3,831,000).
See accompanying Notes, which are an integral part of the Financial Statements.
83
Tax-Managed Capital Appreciation Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $103.82 | $93.70 | $71.17 | $62.36 | $62.56 | $54.72 |
Investment Operations | ||||||
Net Investment Income | .849 | 1.633 | 1.414 | 1.384 | 1.072 | .915 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.618 | 10.103 | 22.537 | 8.806 | (.202) | 7.849 |
Total from Investment Operations | 2.467 | 11.736 | 23.951 | 10.190 | .870 | 8.764 |
Distributions | ||||||
Dividends from Net Investment Income | (.017) | (1.616) | (1.421) | (1.380) | (1.070) | (.924) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.017) | (1.616) | (1.421) | (1.380) | (1.070) | (.924) |
Net Asset Value, End of Period | $106.27 | $103.82 | $93.70 | $71.17 | $62.36 | $62.56 |
Total Return1 | 2.38% | 12.52% | 33.67% | 16.35% | 1.38% | 16.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,957 | $5,760 | $5,040 | $3,702 | $3,305 | $2,860 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.66% | 1.66% | 1.71% | 1.96% | 1.65% | 1.59% |
Portfolio Turnover Rate | 5% | 6% | 4% | 3% | 2% | 7% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
84
Tax-Managed Capital Appreciation Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $51.59 | $46.56 | $35.36 | $30.98 | $31.09 | $27.19 |
Investment Operations | ||||||
Net Investment Income | .433 | .830 | .719 | .702 | .548 | .466 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .796 | 5.022 | 11.203 | 4.379 | (.113) | 3.905 |
Total from Investment Operations | 1.229 | 5.852 | 11.922 | 5.081 | .435 | 4.371 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (.822) | (.722) | (.701) | (.545) | (.471) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (. 009) | (. 822) | (.722) | (.701) | (. 545) | (. 471) |
Net Asset Value, End of Period | $52.81 | $51.59 | $46.56 | $35.36 | $30.98 | $31.09 |
Total Return1 | 2.38% | 12.56% | 33.73% | 16.41% | 1.39% | 16.08% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $573 | $530 | $468 | $317 | $302 | $282 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.70% | 1.70% | 1.75% | 2.00% | 1.69% | 1.63% |
Portfolio Turnover Rate | 5% | 6% | 4% | 3% | 2% | 7% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
See accompanying Notes, which are an integral part of the Financial Statements.
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. 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 six months ended June 30, 2015, 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 for the period ended June 30, 2015, 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.
86
Tax-Managed Capital Appreciation Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $3 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 June 30, 2015, 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. 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 June 30, 2015, the fund had contributed capital of $584,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.23% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At June 30, 2015, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
87
Tax-Managed Capital Appreciation Fund
D. At June 30, 2015, 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 S&P 500 Index | September 2015 | 100 | 10,272 | (3) |
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 six months ended June 30, 2015, the fund realized $12,062,000 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 gains to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2014, the fund had available capital losses totaling $25,810,000. 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2015, should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2015, the cost of investment securities for tax purposes was $3,277,799,000. Net unrealized appreciation of investment securities for tax purposes was $3,272,866,000, consisting of unrealized gains of $3,288,545,000 on securities that had risen in value since their purchase and $15,679,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2015, the fund purchased $327,604,000 of investment securities and sold $182,618,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $26,833,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
88
Tax-Managed Capital Appreciation Fund | ||||
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2015 | December 31, 2014 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares | ||||
Issued | 229,242 | 2,157 | 316,759 | 3,230 |
Issued in Lieu of Cash Distributions | 726 | 7 | 67,420 | 647 |
Redeemed | (169,836) | (1,593) | (214,940) | (2,184) |
Net Increase (Decrease)—Admiral Shares | 60,132 | 571 | 169,239 | 1,693 |
Institutional Shares | ||||
Issued | 42,881 | 808 | 19,129 | 387 |
Issued in Lieu of Cash Distributions | 54 | 1 | 4,704 | 91 |
Redeemed | (12,471) | (235) | (12,583) | (252) |
Net Increase (Decrease)—Institutional Shares | 30,464 | 574 | 11,250 | 226 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2015, that would require recognition or disclosure in these financial statements.
89
Tax-Managed Small-Cap Fund
Fund Profile
As of June 30, 2015
Share-Class Characteristics | |||
Admiral | Institutional | ||
Shares | Shares | ||
Ticker Symbol | VTMSX | VTSIX | |
Expense Ratio1 | 0.12% | 0.08% | |
30-Day SEC Yield | 1.18% | 1.22% | |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
SmallCap | FA | ||
Fund | 600 Index | Index | |
Number of Stocks | 607 | 600 | 3,854 |
Median Market Cap | $1.6B | $1.6B | $49.5B |
Price/Earnings Ratio | 26.2x | 26.4x | 21.6x |
Price/Book Ratio | 2.3x | 2.2x | 2.8x |
Return on Equity | 11.8% | 11.4% | 17.4% |
Earnings Growth | |||
Rate | 12.1% | 12.0% | 11.6% |
Dividend Yield | 1.2% | 1.3% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 38% | — | — |
Short-Term | |||
Reserves | 1.1% | — | — |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P SmallCap | Market | |
600 Index | FA Index | |
R-Squared | 1.00 | 0.70 |
Beta | 0.99 | 1.13 |
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) | ||
West Pharmaceutical | ||
Services Inc. | Health Care Supplies | 0.6% |
Toro Co. | Agricultural & Farm | |
Machinery | 0.5 | |
PAREXEL International | Life Sciences Tools & | |
Corp. | Services | 0.5 |
Cracker Barrel Old | ||
Country Store Inc. | Restaurants | 0.5 |
MarketAxess Holdings | ||
Inc. | Specialized Finance | 0.5 |
Jack in the Box Inc. | Restaurants | 0.5 |
Curtiss-Wright Corp. | Aerospace & | |
Defense | 0.5 | |
Amsurg Corp. | Health Care Facilities | 0.5 |
EnerSys | Electrical | |
Components & | ||
Equipment | 0.5 | |
Microsemi Corp. | Semiconductors | 0.5 |
Top Ten | 5.1% | |
The holdings listed exclude any temporary cash investments and | ||
equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2015, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2015, the annualized expense ratios were 0.10% for Admiral Shares and 0.06% for Institutional Shares.
90
Tax-Managed Small-Cap Fund
Sector Diversification (% of equity exposure)
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
SmallCap | FA | ||
Fund | 600 Index | Index | |
Consumer Discretionary 15.2% | 15.8% | 13.5% | |
Consumer Staples | 2.7 | 2.6 | 8.2 |
Energy | 2.9 | 3.3 | 7.2 |
Financials | 23.5 | 23.5 | 17.9 |
Health Care | 13.8 | 13.8 | 15.1 |
Industrials | 16.6 | 16.2 | 10.8 |
Information Technology | 16.1 | 15.7 | 18.9 |
Materials | 5.0 | 5.0 | 3.5 |
Telecommunication | |||
Services | 0.7 | 0.7 | 2.0 |
Utilities | 3.5 | 3.4 | 2.9 |
91
Tax-Managed Small-Cap Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2004, Through June 30, 2015
Average Annual Total Returns: Periods Ended June 30, 2015 | ||||
Inception Date | One Year | Five Years | Ten Years | |
Admiral Shares | 3/25/1999 | 7.14% | 18.43% | 9.30% |
Institutional Shares | 4/21/1999 | 7.19 | 18.48 | 9.36 |
See Financial Highlights for dividend and capital gains information.
92
Tax-Managed Small-Cap Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2015
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%)1 | |||
Consumer Discretionary (15.3%) | |||
Cracker Barrel Old Country | |||
Store Inc. | 133,909 | 19,974 | |
Jack in the Box Inc. | 220,092 | 19,403 | |
Pool Corp. | 247,116 | 17,343 | |
Wolverine World Wide Inc. | 566,257 | 16,127 | |
Men’s Wearhouse Inc. | 250,262 | 16,034 | |
Marriott Vacations | |||
Worldwide Corp. | 170,504 | 15,644 | |
* | G-III Apparel Group Ltd. | 209,538 | 14,741 |
* | Helen of Troy Ltd. | 149,426 | 14,568 |
* | Steven Madden Ltd. | 337,108 | 14,421 |
Lithia Motors Inc. Class A | 126,696 | 14,337 | |
Papa John’s International | |||
Inc. | 179,066 | 13,539 | |
Texas Roadhouse Inc. | |||
Class A | 336,886 | 12,610 | |
* | Pinnacle Entertainment Inc. | 330,415 | 12,318 |
Ryland Group Inc. | 260,119 | 12,062 | |
Group 1 Automotive Inc. | 120,840 | 10,976 | |
Monro Muffler Brake Inc. | 168,380 | 10,466 | |
* | Gentherm Inc. | 180,787 | 9,927 |
* | Meritage Homes Corp. | 202,805 | 9,550 |
* | Select Comfort Corp. | 311,171 | 9,357 |
DineEquity Inc. | 91,710 | 9,088 | |
* | Gannett Co. Inc. | 643,253 | 8,999 |
* | Genesco Inc. | 135,211 | 8,928 |
Outerwall Inc. | 112,361 | 8,552 | |
Sonic Corp. | 296,103 | 8,528 | |
Children’s Place Inc. | 125,728 | 8,224 | |
* | Dorman Products Inc. | 168,546 | 8,033 |
La-Z-Boy Inc. | 295,116 | 7,773 | |
Finish Line Inc. Class A | 277,368 | 7,716 | |
Caleres Inc. | 231,940 | 7,371 | |
* | Standard Pacific Corp. | 823,343 | 7,336 |
Buckle Inc. | 156,534 | 7,165 | |
Drew Industries Inc. | 123,313 | 7,155 | |
* | Iconix Brand Group Inc. | 271,610 | 6,782 |
Bob Evans Farms Inc. | 130,351 | 6,654 | |
* | Hibbett Sports Inc. | 141,678 | 6,599 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Boyd Gaming Corp. | 425,143 | 6,356 |
* | Vitamin Shoppe Inc. | 170,234 | 6,345 |
* | Red Robin Gourmet | ||
Burgers Inc. | 73,765 | 6,331 | |
* | Crocs Inc. | 427,817 | 6,293 |
* | Popeyes Louisiana Kitchen | ||
Inc. | 104,370 | 6,261 | |
Scholastic Corp. | 139,119 | 6,139 | |
Sturm Ruger & Co. Inc. | 106,332 | 6,109 | |
* | Barnes & Noble Inc. | 232,682 | 6,040 |
Cato Corp. Class A | 151,509 | 5,872 | |
Oxford Industries Inc. | 66,256 | 5,794 | |
* | BJ’s Restaurants Inc. | 116,746 | 5,656 |
EW Scripps Co. Class A | 240,756 | 5,501 | |
* | iRobot Corp. | 160,308 | 5,111 |
Interval Leisure Group Inc. | 220,946 | 5,049 | |
Sonic Automotive Inc. | |||
Class A | 194,484 | 4,635 | |
* | Universal Electronics Inc. | 86,558 | 4,314 |
* | Scientific Games Corp. | ||
Class A | 267,961 | 4,164 | |
Standard Motor Products | |||
Inc. | 116,560 | 4,094 | |
* | Biglari Holdings Inc. | 9,893 | 4,093 |
Nutrisystem Inc. | 161,737 | 4,024 | |
* | Regis Corp. | 243,656 | 3,840 |
Ethan Allen Interiors Inc. | 142,024 | 3,741 | |
Winnebago Industries Inc. | 158,071 | 3,729 | |
Fred’s Inc. Class A | 192,663 | 3,716 | |
Callaway Golf Co. | 404,683 | 3,618 | |
* | M/I Homes Inc. | 137,374 | 3,389 |
Capella Education Co. | 62,819 | 3,371 | |
* | Zumiez Inc. | 124,258 | 3,309 |
Ruth’s Hospitality Group | |||
Inc. | 202,314 | 3,261 | |
* | MarineMax Inc. | 137,434 | 3,231 |
Stage Stores Inc. | 183,292 | 3,213 | |
2 | TopBuild Corp. | 118,000 | 3,422 |
* | Francesca’s Holdings Corp. | 233,657 | 3,147 |
* | Pep Boys-Manny Moe & | ||
Jack | 236,511 | 2,902 |
93
Tax-Managed Small-Cap Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | FTD Cos. Inc. | 101,129 | 2,851 |
* | Tuesday Morning Corp. | 237,313 | 2,673 |
* | Strayer Education Inc. | 60,573 | 2,611 |
Movado Group Inc. | 93,437 | 2,538 | |
Arctic Cat Inc. | 75,411 | 2,504 | |
Haverty Furniture Cos. Inc. | 113,012 | 2,443 | |
Superior Industries | |||
International Inc. | 131,479 | 2,407 | |
Kirkland’s Inc. | 84,787 | 2,363 | |
* | Lumber Liquidators | ||
Holdings Inc. | 104,450 | 2,163 | |
* | Unifi Inc. | 62,821 | 2,105 |
* | Ruby Tuesday Inc. | 327,261 | 2,052 |
Marcus Corp. | 105,772 | 2,029 | |
* | Blue Nile Inc. | 64,756 | 1,968 |
PetMed Express Inc. | 113,714 | 1,964 | |
* | Perry Ellis International Inc. | 70,479 | 1,675 |
Stein Mart Inc. | 157,847 | 1,653 | |
Harte-Hanks Inc. | 226,831 | 1,352 | |
Big 5 Sporting Goods Corp. | 91,427 | 1,299 | |
* | Monarch Casino & Resort | ||
Inc. | 54,826 | 1,127 | |
* | Career Education Corp. | 325,463 | 1,074 |
* | American Public Education | ||
Inc. | 36,412 | 937 | |
* | VOXX International Corp. | ||
Class A | 106,883 | 885 | |
* | Christopher & Banks Corp. | 208,167 | 835 |
Universal Technical Institute | |||
Inc. | 58,384 | 502 | |
* | Sizmek Inc. | 34,637 | 246 |
* | Skechers U.S.A. Inc. | ||
Class A | 1,026 | 113 | |
* | Aeropostale Inc. | 1,984 | 3 |
588,742 | |||
Consumer Staples (2.7%) | |||
* | Darling Ingredients Inc. | 951,158 | 13,944 |
J&J Snack Foods Corp. | 81,993 | 9,074 | |
Snyder’s-Lance Inc. | 274,650 | 8,863 | |
Cal-Maine Foods Inc. | 168,279 | 8,784 | |
B&G Foods Inc. | 305,401 | 8,713 | |
Sanderson Farms Inc. | 113,975 | 8,566 | |
Universal Corp. | 126,647 | 7,259 | |
WD-40 Co. | 82,058 | 7,152 | |
SpartanNash Co. | 208,480 | 6,784 | |
Andersons Inc. | 134,975 | 5,264 | |
* | Diamond Foods Inc. | 140,055 | 4,395 |
Calavo Growers Inc. | 77,828 | 4,042 | |
Inter Parfums Inc. | 95,309 | 3,234 | |
* | Central Garden & Pet Co. | ||
Class A | 237,849 | 2,714 | |
* | Medifast Inc. | 60,522 | 1,956 |
* | Seneca Foods Corp. Class A | 43,409 | 1,206 |
101,950 |
Market | |||
Value• | |||
Shares | ($000) | ||
Energy (2.9%) | |||
* | Carrizo Oil & Gas Inc. | 263,684 | 12,984 |
Exterran Holdings Inc. | 372,912 | 12,176 | |
* | PDC Energy Inc. | 223,021 | 11,963 |
Bristow Group Inc. | 204,084 | 10,878 | |
US Silica Holdings Inc. | 291,627 | 8,562 | |
* | SEACOR Holdings Inc. | 95,272 | 6,759 |
* | Synergy Resources Corp. | 476,525 | 5,447 |
Green Plains Inc. | 181,336 | 4,996 | |
CARBO Ceramics Inc. | 106,532 | 4,435 | |
* | Stone Energy Corp. | 237,899 | 2,995 |
* | Bonanza Creek Energy Inc. | 159,434 | 2,910 |
* | Newpark Resources Inc. | 350,817 | 2,852 |
* | Matrix Service Co. | 147,270 | 2,692 |
* | Hornbeck Offshore Services | ||
Inc. | 129,411 | 2,657 | |
* | Bill Barrett Corp. | 262,483 | 2,255 |
* | Pioneer Energy Services | ||
Corp. | 350,985 | 2,225 | |
* | Era Group Inc. | 107,301 | 2,198 |
* | Northern Oil and Gas Inc. | 314,130 | 2,127 |
Tesco Corp. | 191,400 | 2,086 | |
* | TETRA Technologies Inc. | 297,731 | 1,899 |
* | Geospace Technologies | ||
Corp. | 68,420 | 1,577 | |
* | Rex Energy Corp. | 266,038 | 1,487 |
* | Basic Energy Services Inc. | 145,484 | 1,098 |
Gulfmark Offshore Inc. | 63,935 | 742 | |
* | Penn Virginia Corp. | 162,171 | 710 |
* | Cloud Peak Energy Inc. | 138,180 | 644 |
* | Approach Resources Inc. | 46,644 | 319 |
* | Swift Energy Co. | 143,423 | 291 |
* | Contango Oil & Gas Co. | 4,048 | 50 |
Comstock Resources Inc. | 8,984 | 30 | |
Gulf Island Fabrication Inc. | 2,186 | 24 | |
* | PetroQuest Energy Inc. | 8,286 | 16 |
* | ION Geophysical Corp. | 11,154 | 12 |
Paragon Offshore plc | 2,128 | 2 | |
* | Arch Coal Inc. | 5,307 | 2 |
112,100 | |||
Financials (20.1%) | |||
MarketAxess Holdings Inc. | 211,297 | 19,602 | |
* | PRA Group Inc. | 282,050 | 17,575 |
* | Texas Capital Bancshares | ||
Inc. | 249,708 | 15,542 | |
PrivateBancorp Inc. | 381,886 | 15,207 | |
ProAssurance Corp. | 326,356 | 15,081 | |
United Bankshares Inc. | 349,985 | 14,080 | |
Susquehanna Bancshares | |||
Inc. | 990,313 | 13,983 | |
Wintrust Financial Corp. | 255,790 | 13,654 | |
FNB Corp. | 935,957 | 13,403 | |
UMB Financial Corp. | 231,231 | 13,185 | |
Interactive Brokers Group | |||
Inc. | 312,566 | 12,990 |
94
Tax-Managed Small-Cap Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
GEO Group Inc. | 379,857 | 12,976 | |
Glacier Bancorp Inc. | 414,632 | 12,198 | |
Financial Engines Inc. | 284,729 | 12,095 | |
MB Financial Inc. | 348,622 | 12,007 | |
Home BancShares Inc. | 317,049 | 11,591 | |
American Equity | |||
Investment Life | |||
Holding Co. | 422,306 | 11,394 | |
Evercore Partners Inc. | |||
Class A | 197,930 | 10,680 | |
First Financial Bankshares | |||
Inc. | 306,622 | 10,621 | |
RLI Corp. | 202,428 | 10,403 | |
Pinnacle Financial Partners | |||
Inc. | 186,385 | 10,134 | |
Columbia Banking System | |||
Inc. | 289,209 | 9,411 | |
CVB Financial Corp. | 526,889 | 9,279 | |
Associated Estates Realty | |||
Corp. | 322,057 | 9,220 | |
EPR Properties | 165,092 | 9,044 | |
National Penn Bancshares | |||
Inc. | 792,727 | 8,942 | |
Selective Insurance Group | |||
Inc. | 314,097 | 8,810 | |
Sovran Self Storage Inc. | 101,195 | 8,795 | |
Post Properties Inc. | 160,575 | 8,730 | |
Community Bank System | |||
Inc. | 226,793 | 8,566 | |
Old National Bancorp | 582,460 | 8,422 | |
Acadia Realty Trust | 282,990 | 8,238 | |
Horace Mann Educators | |||
Corp. | 225,613 | 8,208 | |
First Midwest Bancorp Inc. | 422,654 | 8,018 | |
DiamondRock Hospitality | |||
Co. | 620,607 | 7,950 | |
Montpelier Re Holdings | |||
Ltd. | 201,019 | 7,940 | |
HFF Inc. Class A | 186,716 | 7,792 | |
* | BofI Holding Inc. | 72,968 | 7,713 |
Westamerica | |||
Bancorporation | 147,103 | 7,451 | |
Medical Properties Trust | |||
Inc. | 567,521 | 7,440 | |
Sterling Bancorp | 488,470 | 7,180 | |
Healthcare Realty Trust Inc. | 301,468 | 7,012 | |
Independent Bank Corp. | 141,657 | 6,642 | |
Astoria Financial Corp. | 479,662 | 6,615 | |
BBCN Bancorp Inc. | 445,745 | 6,593 | |
NBT Bancorp Inc. | 247,247 | 6,470 | |
* | First Cash Financial | ||
Services Inc. | 137,651 | 6,276 | |
Cousins Properties Inc. | 581,789 | 6,039 | |
Boston Private Financial | |||
Holdings Inc. | 449,916 | 6,033 |
Market | |||
Value• | |||
Shares | ($000) | ||
LegacyTexas Financial | |||
Group Inc. | 197,091 | 5,952 | |
First Financial Bancorp | 331,243 | 5,942 | |
Provident Financial Services | |||
Inc. | 303,457 | 5,763 | |
Kite Realty Group Trust | 233,793 | 5,721 | |
Northwest Bancshares Inc. | 443,639 | 5,687 | |
Greenhill & Co. Inc. | 137,380 | 5,678 | |
* | Encore Capital Group Inc. | 131,743 | 5,631 |
EastGroup Properties Inc. | 96,819 | 5,444 | |
First Commonwealth | |||
Financial Corp. | 548,475 | 5,260 | |
Banner Corp. | 109,291 | 5,238 | |
Investment Technology | |||
Group Inc. | 210,156 | 5,212 | |
United Community Banks | |||
Inc. | 246,126 | 5,137 | |
Lexington Realty Trust | 586,783 | 4,976 | |
S&T Bancorp Inc. | 167,713 | 4,963 | |
Infinity Property & Casualty | |||
Corp. | 65,287 | 4,951 | |
AMERISAFE Inc. | 104,167 | 4,902 | |
Virtus Investment Partners | |||
Inc. | 36,767 | 4,862 | |
Talmer Bancorp Inc. | |||
Class A | 290,169 | 4,860 | |
Chesapeake Lodging Trust | 157,758 | 4,808 | |
Stewart Information | |||
Services Corp. | 119,688 | 4,764 | |
Pennsylvania REIT | 219,459 | 4,683 | |
LTC Properties Inc. | 112,431 | 4,677 | |
* | Navigators Group Inc. | 59,853 | 4,642 |
PS Business Parks Inc. | 63,533 | 4,584 | |
Wilshire Bancorp Inc. | 358,972 | 4,534 | |
Brookline Bancorp Inc. | 396,293 | 4,474 | |
Hanmi Financial Corp. | 178,907 | 4,444 | |
Sabra Health Care REIT Inc. | 169,288 | 4,357 | |
American Assets Trust Inc. | 111,044 | 4,354 | |
City Holding Co. | 88,220 | 4,345 | |
* | Green Dot Corp. Class A | 221,460 | 4,234 |
Cash America International | |||
Inc. | 160,691 | 4,208 | |
Safety Insurance Group Inc. | 72,388 | 4,178 | |
Education Realty Trust Inc. | 131,860 | 4,135 | |
Parkway Properties Inc. | 236,922 | 4,132 | |
Retail Opportunity | |||
Investments Corp. | 257,881 | 4,028 | |
United Fire Group Inc. | 122,592 | 4,016 | |
Employers Holdings Inc. | 174,874 | 3,984 | |
* | Piper Jaffray Cos. | 91,232 | 3,981 |
Simmons First National | |||
Corp. Class A | 84,828 | 3,960 | |
Universal Insurance | |||
Holdings Inc. | 161,450 | 3,907 | |
Cardinal Financial Corp. | 178,826 | 3,897 | |
TrustCo Bank Corp. | 530,724 | 3,731 |
95
Tax-Managed Small-Cap Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Southside Bancshares Inc. | 125,440 | 3,667 | |
Oritani Financial Corp. | 220,123 | 3,533 | |
Tompkins Financial Corp. | 65,481 | 3,518 | |
Capstead Mortgage Corp. | 309,176 | 3,432 | |
CoreSite Realty Corp. | 71,768 | 3,261 | |
Franklin Street Properties | |||
Corp. | 285,900 | 3,234 | |
Summit Hotel Properties | |||
Inc. | 239,639 | 3,118 | |
* | World Acceptance Corp. | 49,874 | 3,068 |
Central Pacific Financial | |||
Corp. | 127,720 | 3,033 | |
* | Walker & Dunlop Inc. | 107,020 | 2,862 |
Dime Community | |||
Bancshares Inc. | 164,698 | 2,790 | |
* | Enova International Inc. | 147,079 | 2,747 |
Government Properties | |||
Income Trust | 146,409 | 2,716 | |
* | First BanCorp. | 556,077 | 2,680 |
Inland Real Estate Corp. | 266,778 | 2,513 | |
HCI Group Inc. | 56,641 | 2,504 | |
* | Forestar Group Inc. | 158,690 | 2,088 |
Meadowbrook Insurance | |||
Group Inc. | 238,910 | 2,055 | |
Saul Centers Inc. | 41,721 | 2,052 | |
OFG Bancorp | 188,035 | 2,006 | |
* | Ezcorp Inc. Class A | 269,183 | 2,000 |
Universal Health Realty | |||
Income Trust | 41,769 | 1,941 | |
Bank Mutual Corp. | 244,292 | 1,874 | |
Agree Realty Corp. | 59,481 | 1,735 | |
Urstadt Biddle Properties | |||
Inc. Class A | 84,508 | 1,579 | |
Getty Realty Corp. | 87,337 | 1,429 | |
Cedar Realty Trust Inc. | 210,227 | 1,345 | |
Calamos Asset | |||
Management Inc. Class A | 106,662 | 1,307 | |
* | eHealth Inc. | 98,099 | 1,245 |
CareTrust REIT Inc. | 80,082 | 1,015 | |
United Insurance Holdings | |||
Corp. | 12,875 | 200 | |
Omega Healthcare | |||
Investors Inc. | 70 | 2 | |
FXCM Inc. Class A | 1,139 | 2 | |
773,017 | |||
Health Care (13.8%) | |||
West Pharmaceutical | |||
Services Inc. | 393,145 | 22,834 | |
* | PAREXEL International | ||
Corp. | 317,266 | 20,403 | |
* | Amsurg Corp. | 270,163 | 18,898 |
* | Medidata Solutions Inc. | 318,231 | 17,286 |
* | Impax Laboratories Inc. | 359,800 | 16,522 |
* | Molina Healthcare Inc. | 218,547 | 15,364 |
* | Prestige Brands Holdings | ||
Inc. | 288,696 | 13,349 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | ABIOMED Inc. | 199,491 | 13,113 |
Chemed Corp. | 98,595 | 12,926 | |
* | NuVasive Inc. | 264,542 | 12,534 |
* | Haemonetics Corp. | 289,294 | 11,965 |
* | Magellan Health Inc. | 152,792 | 10,706 |
* | Ligand Pharmaceuticals Inc. | 103,287 | 10,422 |
* | Medicines Co. | 358,539 | 10,258 |
* | Masimo Corp. | 260,476 | 10,091 |
Cantel Medical Corp. | 187,664 | 10,072 | |
* | Neogen Corp. | 203,657 | 9,662 |
* | Integra LifeSciences | ||
Holdings Corp. | 137,362 | 9,254 | |
Kindred Healthcare Inc. | 455,352 | 9,239 | |
CONMED Corp. | 156,529 | 9,121 | |
* | Cyberonics Inc. | 146,017 | 8,682 |
Select Medical Holdings | |||
Corp. | 535,314 | 8,672 | |
* | Lannett Co. Inc. | 143,485 | 8,529 |
* | AMN Healthcare Services | ||
Inc. | 261,034 | 8,246 | |
* | Nektar Therapeutics | 650,659 | 8,140 |
* | Air Methods Corp. | 195,521 | 8,083 |
* | MedAssets Inc. | 347,555 | 7,667 |
* | Acorda Therapeutics Inc. | 229,808 | 7,660 |
* | Natus Medical Inc. | 176,838 | 7,526 |
* | Cambrex Corp. | 170,773 | 7,504 |
* | ExamWorks Group Inc. | 189,991 | 7,429 |
* | Omnicell Inc. | 196,830 | 7,422 |
* | Greatbatch Inc. | 135,931 | 7,329 |
* | Momenta Pharmaceuticals | ||
Inc. | 320,247 | 7,305 | |
* | Amedisys Inc. | 181,982 | 7,230 |
* | ICU Medical Inc. | 73,704 | 7,051 |
* | Repligen Corp. | 167,140 | 6,898 |
* | Depomed Inc. | 321,130 | 6,891 |
Ensign Group Inc. | 122,367 | 6,248 | |
Abaxis Inc. | 118,382 | 6,094 | |
* | HealthEquity Inc. | 186,302 | 5,971 |
* | Bio-Reference Laboratories | ||
Inc. | 138,820 | 5,726 | |
* | PharMerica Corp. | 168,283 | 5,604 |
Analogic Corp. | 69,143 | 5,455 | |
* | Emergent BioSolutions Inc. | 161,993 | 5,338 |
* | IPC Healthcare Inc. | 95,126 | 5,269 |
* | Merit Medical Systems Inc. | 228,810 | 4,929 |
* | Affymetrix Inc. | 405,427 | 4,427 |
Meridian Bioscience Inc. | 226,808 | 4,228 | |
* | Hanger Inc. | 179,448 | 4,206 |
* | Cynosure Inc. Class A | 107,524 | 4,148 |
Quality Systems Inc. | 240,038 | 3,977 | |
* | HealthStream Inc. | 121,372 | 3,692 |
* | Luminex Corp. | 209,214 | 3,611 |
Aceto Corp. | 138,448 | 3,410 | |
* | MiMedx Group Inc. | 272,826 | 3,162 |
Computer Programs & | |||
Systems Inc. | 58,749 | 3,138 |
96
Tax-Managed Small-Cap Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Invacare Corp. | 142,195 | 3,076 | |
* | Sagent Pharmaceuticals Inc. | 121,154 | 2,945 |
* | ANI Pharmaceuticals Inc. | 44,736 | 2,776 |
* | LHC Group Inc. | 70,965 | 2,714 |
* | Supernus Pharmaceuticals | ||
Inc. | 153,189 | 2,601 | |
* | Vascular Solutions Inc. | 72,363 | 2,512 |
* | Anika Therapeutics Inc. | 75,707 | 2,501 |
* | Providence Service Corp. | 56,105 | 2,484 |
* | Albany Molecular Research | ||
Inc. | 117,636 | 2,379 | |
* | Healthways Inc. | 194,431 | 2,329 |
* | AngioDynamics Inc. | 132,430 | 2,172 |
* | CorVel Corp. | 65,981 | 2,113 |
* | Cross Country Healthcare | ||
Inc. | 148,782 | 1,887 | |
Landauer Inc. | 51,977 | 1,852 | |
* | SurModics Inc. | 75,488 | 1,768 |
CryoLife Inc. | 142,116 | 1,603 | |
* | Almost Family Inc. | 38,049 | 1,519 |
* | Spectrum Pharmaceuticals | ||
Inc. | 75,556 | 517 | |
530,664 | |||
Industrials (16.6%) | |||
Toro Co. | 306,549 | 20,778 | |
Curtiss-Wright Corp. | 265,290 | 19,218 | |
EnerSys | 267,068 | 18,772 | |
EMCOR Group Inc. | 376,947 | 18,007 | |
* | Moog Inc. Class A | 219,129 | 15,488 |
Allegiant Travel Co. Class A | 77,776 | 13,835 | |
Healthcare Services Group | |||
Inc. | 393,804 | 13,015 | |
Mueller Industries Inc. | 317,315 | 11,017 | |
* | Dycom Industries Inc. | 186,921 | 11,000 |
Hillenbrand Inc. | 353,749 | 10,860 | |
Mobile Mini Inc. | 252,504 | 10,615 | |
Barnes Group Inc. | 266,684 | 10,398 | |
* | On Assignment Inc. | 260,075 | 10,216 |
Matson Inc. | 238,416 | 10,023 | |
* | TASER International Inc. | 298,029 | 9,927 |
Korn/Ferry International | 278,406 | 9,680 | |
UniFirst Corp. | 85,641 | 9,579 | |
ABM Industries Inc. | 289,101 | 9,503 | |
Tetra Tech Inc. | 364,947 | 9,357 | |
Knight Transportation Inc. | 337,903 | 9,036 | |
Forward Air Corp. | 172,218 | 9,000 | |
Interface Inc. Class A | 349,781 | 8,762 | |
Essendant Inc. | 222,927 | 8,750 | |
Applied Industrial | |||
Technologies Inc. | 217,129 | 8,609 | |
Matthews International | |||
Corp. Class A | 160,880 | 8,549 | |
Apogee Enterprises Inc. | 162,148 | 8,535 | |
Watts Water Technologies | |||
Inc. Class A | 160,653 | 8,330 | |
* | Hub Group Inc. Class A | 199,153 | 8,034 |
Market | ||
Value• | ||
Shares | ($000) | |
Simpson Manufacturing Co. | ||
Inc. | 229,884 | 7,816 |
Brink’s Co. | 264,196 | 7,775 |
Actuant Corp. Class A | 335,202 | 7,740 |
* | Atlas Air Worldwide |
Holdings Inc. | 139,763 | 7,681 | |
G&K Services Inc. Class A | 111,031 | 7,677 | |
AZZ Inc. | 143,482 | 7,432 | |
* | WageWorks Inc. | 179,087 | 7,244 |
* | Hawaiian Holdings Inc. | 300,344 | 7,133 |
EnPro Industries Inc. | 124,642 | 7,132 | |
Franklin Electric Co. Inc. | 219,674 | 7,102 | |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 340,651 | 7,021 | |
* | TrueBlue Inc. | 230,388 | 6,889 |
Tennant Co. | 104,022 | 6,797 | |
Exponent Inc. | 148,549 | 6,652 | |
Insperity Inc. | 128,396 | 6,535 | |
Brady Corp. Class A | 259,981 | 6,432 | |
Kaman Corp. | 152,566 | 6,399 | |
Lindsay Corp. | 72,352 | 6,360 | |
Albany International Corp. | 157,676 | 6,276 | |
Heartland Express Inc. | 301,724 | 6,104 | |
AAR Corp. | 184,460 | 5,879 | |
Universal Forest Products | |||
Inc. | 111,948 | 5,825 | |
John Bean Technologies | |||
Corp. | 153,164 | 5,757 | |
US Ecology Inc. | 118,108 | 5,754 | |
Standex International Corp. | 71,676 | 5,729 | |
Cubic Corp. | 117,672 | 5,599 | |
ESCO Technologies Inc. | 148,979 | 5,573 | |
* | Saia Inc. | 136,942 | 5,380 |
AAON Inc. | 236,276 | 5,321 | |
Federal Signal Corp. | 352,554 | 5,257 | |
General Cable Corp. | 257,262 | 5,076 | |
* | UTi Worldwide Inc. | 507,996 | 5,075 |
CIRCOR International Inc. | 89,063 | 4,857 | |
Comfort Systems USA Inc. | 211,045 | 4,843 | |
Briggs & Stratton Corp. | 244,900 | 4,717 | |
Encore Wire Corp. | 104,872 | 4,645 | |
Quanex Building Products | |||
Corp. | 208,652 | 4,471 | |
SkyWest Inc. | 292,996 | 4,407 | |
Astec Industries Inc. | 104,881 | 4,386 | |
ArcBest Corp. | 136,407 | 4,338 | |
* | Echo Global Logistics Inc. | 131,073 | 4,281 |
* | Navigant Consulting Inc. | 284,522 | 4,231 |
Griffon Corp. | 240,506 | 3,829 | |
* | PGT Inc. | 261,648 | 3,797 |
Harsco Corp. | 228,000 | 3,762 |
* | Roadrunner Transportation |
Systems Inc. | 144,121 | 3,718 | |
Resources Connection Inc. | 229,550 | 3,693 | |
* | American Woodmark Corp. | 65,594 | 3,598 |
* | Gibraltar Industries Inc. | 164,226 | 3,345 |
97
Tax-Managed Small-Cap Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Titan International Inc. | 287,887 | 3,092 | |
* | Aegion Corp. Class A | 162,694 | 3,081 |
Celadon Group Inc. | 147,274 | 3,046 | |
* | Aerovironment Inc. | 111,371 | 2,905 |
Viad Corp. | 105,404 | 2,858 | |
* | Lydall Inc. | 95,978 | 2,837 |
* | DXP Enterprises Inc. | 57,849 | 2,690 |
Heidrick & Struggles | |||
International Inc. | 92,679 | 2,417 | |
* | Engility Holdings Inc. | 94,841 | 2,386 |
Kelly Services Inc. Class A | 154,385 | 2,370 | |
* | MYR Group Inc. | 75,000 | 2,322 |
National Presto Industries | |||
Inc. | 27,666 | 2,222 | |
American Science & | |||
Engineering Inc. | 40,192 | 1,761 | |
* | Veritiv Corp. | 45,062 | 1,643 |
Powell Industries Inc. | 41,975 | 1,476 | |
* | Vicor Corp. | 105,763 | 1,289 |
* | Orion Marine Group Inc. | 154,332 | 1,114 |
CDI Corp. | 81,234 | 1,056 | |
* | Republic Airways Holdings | ||
Inc. | 6,867 | 63 | |
636,861 |
Information Technology (16.0%)
* | Microsemi Corp. | 525,714 | 18,374 |
* | Synaptics Inc. | 198,547 | 17,221 |
j2 Global Inc. | 251,731 | 17,103 | |
* | Dealertrack Technologies | ||
Inc. | 242,817 | 15,246 | |
Blackbaud Inc. | 257,861 | 14,685 | |
* | ViaSat Inc. | 240,760 | 14,508 |
* | Take-Two Interactive | ||
Software Inc. | 455,570 | 12,560 | |
* | Cirrus Logic Inc. | 356,720 | 12,139 |
Littelfuse Inc. | 126,075 | 11,963 | |
* | Electronics For Imaging Inc. | 261,935 | 11,397 |
MKS Instruments Inc. | 299,403 | 11,359 | |
SYNNEX Corp. | 154,173 | 11,284 | |
Heartland Payment | |||
Systems Inc. | 207,095 | 11,193 | |
* | CACI International Inc. | ||
Class A | 131,238 | 10,616 | |
Tessera Technologies Inc. | 272,468 | 10,348 | |
Monolithic Power Systems | |||
Inc. | 193,617 | 9,818 | |
* | Anixter International Inc. | 149,608 | 9,747 |
* | comScore Inc. | 182,243 | 9,706 |
* | Sanmina Corp. | 467,346 | 9,422 |
* | Cardtronics Inc. | 252,407 | 9,352 |
* | Synchronoss Technologies | ||
Inc. | 200,957 | 9,190 | |
* | IGATE Corp. | 191,682 | 9,141 |
* | Coherent Inc. | 137,829 | 8,749 |
* | MicroStrategy Inc. Class A | 50,922 | 8,661 |
* | Plexus Corp. | 191,660 | 8,410 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | LogMeIn Inc. | 128,953 | 8,316 |
* | Progress Software Corp. | 300,931 | 8,276 |
* | NetScout Systems Inc. | 209,629 | 7,687 |
Power Integrations Inc. | 166,862 | 7,539 | |
* | OSI Systems Inc. | 105,614 | 7,476 |
* | Virtusa Corp. | 143,300 | 7,366 |
* | Insight Enterprises Inc. | 236,370 | 7,070 |
* | Benchmark Electronics Inc. | 306,857 | 6,683 |
* | QLogic Corp. | 465,865 | 6,611 |
* | Rogers Corp. | 98,150 | 6,492 |
* | Veeco Instruments Inc. | 221,371 | 6,362 |
* | Cabot Microelectronics | ||
Corp. | 131,865 | 6,212 | |
NIC Inc. | 336,345 | 6,148 | |
MTS Systems Corp. | 88,890 | 6,129 | |
* | NETGEAR Inc. | 203,688 | 6,115 |
CSG Systems International | |||
Inc. | 191,696 | 6,069 | |
* | ScanSource Inc. | 158,284 | 6,024 |
* | ExlService Holdings Inc. | 173,454 | 5,998 |
* | Stamps.com Inc. | 80,477 | 5,921 |
Ebix Inc. | 179,394 | 5,850 | |
Methode Electronics Inc. | 208,014 | 5,710 | |
* | Advanced Energy Industries | ||
Inc. | 207,404 | 5,702 |
* | Bottomline Technologies |
de Inc. | 204,671 | 5,692 | |
* | Super Micro Computer Inc. | 183,760 | 5,436 |
* | Sykes Enterprises Inc. | 222,382 | 5,393 |
Monotype Imaging | |||
Holdings Inc. | 218,695 | 5,273 | |
Badger Meter Inc. | 81,014 | 5,144 | |
* | II-VI Inc. | 263,561 | 5,002 |
* | Kulicke & Soffa Industries | ||
Inc. | 424,917 | 4,976 | |
* | Semtech Corp. | 250,000 | 4,963 |
* | Diodes Inc. | 204,863 | 4,939 |
ADTRAN Inc. | 294,650 | 4,788 | |
* | FARO Technologies Inc. | 96,490 | 4,506 |
* | VASCO Data Security | ||
International Inc. | 144,992 | 4,377 | |
* | Newport Corp. | 220,937 | 4,189 |
* | Rofin-Sinar Technologies | ||
Inc. | 151,133 | 4,171 | |
Brooks Automation Inc. | 352,557 | 4,037 | |
* | Ixia | 310,490 | 3,863 |
* | Harmonic Inc. | 564,657 | 3,857 |
Micrel Inc. | 266,434 | 3,703 | |
ManTech International | |||
Corp. Class A | 127,076 | 3,685 | |
CTS Corp. | 189,650 | 3,655 | |
* | Perficient Inc. | 189,727 | 3,650 |
* | CalAmp Corp. | 197,327 | 3,603 |
* | Interactive Intelligence | ||
Group Inc. | 79,071 | 3,516 | |
* | Itron Inc. | 100,000 | 3,444 |
98
Tax-Managed Small-Cap Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | TTM Technologies Inc. | 343,714 | 3,434 |
* | Monster Worldwide Inc. | 508,046 | 3,323 |
* | Blucora Inc. | 197,100 | 3,183 |
Epiq Systems Inc. | 181,224 | 3,059 | |
* | Fabrinet | 161,408 | 3,023 |
TeleTech Holdings Inc. | 107,646 | 2,915 | |
* | DTS Inc. | 94,820 | 2,891 |
* | LivePerson Inc. | 278,461 | 2,732 |
Comtech | |||
Telecommunications Corp. | 93,307 | 2,711 | |
* | Mercury Systems Inc. | 183,062 | 2,680 |
Forrester Research Inc. | 74,319 | 2,677 | |
* | Ultratech Inc. | 141,861 | 2,633 |
* | Exar Corp. | 267,481 | 2,616 |
Daktronics Inc. | 213,548 | 2,533 | |
* | Tangoe Inc. | 199,288 | 2,507 |
Checkpoint Systems Inc. | 232,541 | 2,367 | |
* | XO Group Inc. | 142,628 | 2,332 |
* | CEVA Inc. | 116,132 | 2,256 |
Park Electrochemical Corp. | 117,393 | 2,249 | |
* | Rudolph Technologies Inc. | 185,705 | 2,230 |
* | DHI Group Inc. | 228,491 | 2,031 |
* | Nanometrics Inc. | 125,617 | 2,025 |
Cohu Inc. | 131,339 | 1,738 | |
Black Box Corp. | 84,420 | 1,688 | |
Pericom Semiconductor | |||
Corp. | 120,322 | 1,582 | |
* | Digi International Inc. | 147,012 | 1,404 |
* | Ciber Inc. | 382,080 | 1,318 |
* | DSP Group Inc. | 126,967 | 1,312 |
* | Kopin Corp. | 348,968 | 1,204 |
Bel Fuse Inc. Class B | 57,491 | 1,180 | |
* | Liquidity Services Inc. | 99,619 | 959 |
* | QuinStreet Inc. | 148,292 | 956 |
* | Agilysys Inc. | 80,455 | 739 |
Electro Scientific Industries | |||
Inc. | 102,889 | 542 | |
616,839 | |||
Materials (5.0%) | |||
HB Fuller Co. | 281,186 | 11,422 | |
KapStone Paper and | |||
Packaging Corp. | 452,227 | 10,455 | |
Balchem Corp. | 168,703 | 9,400 | |
Kaiser Aluminum Corp. | 105,092 | 8,731 | |
* | Boise Cascade Co. | 216,189 | 7,930 |
* | Stillwater Mining Co. | 671,931 | 7,788 |
* | Headwaters Inc. | 412,164 | 7,510 |
A Schulman Inc. | 166,841 | 7,294 | |
Schweitzer-Mauduit | |||
International Inc. | 176,641 | 7,044 | |
Quaker Chemical Corp. | 74,154 | 6,588 | |
Innophos Holdings Inc. | 123,549 | 6,504 | |
* | Clearwater Paper Corp. | 112,502 | 6,446 |
Globe Specialty Metals Inc. | 364,085 | 6,444 | |
OM Group Inc. | 179,749 | 6,040 | |
Calgon Carbon Corp. | 305,147 | 5,914 |
Market | |||
Value• | |||
Shares | ($000) | ||
Stepan Co. | 104,411 | 5,650 | |
Neenah Paper Inc. | 90,739 | 5,350 | |
PH Glatfelter Co. | 242,561 | 5,334 | |
* | RTI International Metals | ||
Inc. | 167,338 | 5,274 | |
* | LSB Industries Inc. | 107,690 | 4,398 |
* | Kraton Performance | ||
Polymers Inc. | 178,498 | 4,263 | |
Deltic Timber Corp. | 62,975 | 4,260 | |
SunCoke Energy Inc. | 318,917 | 4,146 | |
Materion Corp. | 116,064 | 4,091 | |
* | Intrepid Potash Inc. | 326,472 | 3,898 |
* | AK Steel Holding Corp. | 965,901 | 3,738 |
* | Flotek Industries Inc. | 286,441 | 3,589 |
Tredegar Corp. | 141,983 | 3,139 | |
* | Century Aluminum Co. | 290,115 | 3,026 |
Myers Industries Inc. | 150,677 | 2,863 | |
Rayonier Advanced | |||
Materials Inc. | 166,218 | 2,703 | |
Wausau Paper Corp. | 279,409 | 2,565 | |
Haynes International Inc. | 38,448 | 1,896 | |
Hawkins Inc. | 46,119 | 1,863 | |
Koppers Holdings Inc. | 67,045 | 1,657 | |
American Vanguard Corp. | 114,560 | 1,581 | |
FutureFuel Corp. | 121,212 | 1,560 | |
Olympic Steel Inc. | 21,914 | 382 | |
* | AM Castle & Co. | 46,587 | 287 |
193,023 | |||
Other (3.4%) | |||
3 | Vanguard REIT ETF | 1,750,000 | 130,707 |
Gerber Scientific Inc. CVR | 110,699 | — | |
130,707 | |||
Telecommunication Services (0.7%) | |||
* | Cincinnati Bell Inc. | 1,174,661 | 4,487 |
Consolidated | |||
Communications | |||
Holdings Inc. | 193,278 | 4,061 | |
* | Iridium Communications | ||
Inc. | 428,928 | 3,899 | |
Atlantic Tele-Network Inc. | 55,988 | 3,868 | |
* | General Communication | ||
Inc. Class A | 182,033 | 3,096 | |
* | 8x8 Inc. | 314,686 | 2,820 |
Spok Holdings Inc. | 123,358 | 2,077 | |
Lumos Networks Corp. | 111,972 | 1,656 | |
25,964 | |||
Utilities (3.5%) | |||
Piedmont Natural Gas Co. | |||
Inc. | 429,193 | 15,155 | |
UIL Holdings Corp. | 314,679 | 14,419 | |
Southwest Gas Corp. | 261,796 | 13,930 | |
New Jersey Resources | |||
Corp. | 464,841 | 12,806 | |
NorthWestern Corp. | 258,448 | 12,599 | |
Laclede Group Inc. | 232,021 | 12,079 | |
ALLETE Inc. | 244,963 | 11,364 |
99
Tax-Managed Small-Cap Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Avista Corp. | 325,331 | 9,971 | |
South Jersey Industries Inc. | 364,015 | 9,002 | |
American States Water Co. | 217,995 | 8,151 | |
El Paso Electric Co. | 226,740 | 7,859 | |
Northwest Natural Gas Co. | 152,290 | 6,424 | |
133,759 | |||
Total Common Stocks | |||
(Cost $2,429,756) | 3,843,626 | ||
Money Market Instruments (1.1%)1 | |||
Money Market Fund (1.1%) | |||
4 | Vanguard Market Liquidity | ||
Fund, 0.137% | 40,857,503 | 40,858 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.089%, 7/6/15 | 900 | 900 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.135%, 8/28/15 | 500 | 500 | |
1,400 | |||
Total Temporary Cash Investments | |||
(Cost $42,258) | 42,258 | ||
Total Investments (101.1%) | |||
(Cost $2,472,014) | 3,885,884 | ||
Other Assets and Liabilities (-1.1%) | |||
Other Assets | 145,254 | ||
Liabilities | (185,760) | ||
(40,506) | |||
Net Assets (100%) | 3,845,378 |
At June 30, 2015, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,491,555 |
Undistributed Net Investment Income | 18,649 |
Accumulated Net Realized Losses | (78,669) |
Unrealized Appreciation (Depreciation) | 1,413,870 |
Futures Contracts | (27) |
Net Assets | 3,845,378 |
Admiral Shares—Net Assets | |
Applicable to 75,296,919 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,589,522 |
Net Asset Value Per Share— | |
Admiral Shares | $47.67 |
Institutional Shares—Net Assets | |
Applicable to 5,353,922 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 255,856 |
Net Asset Value Per Share— | |
Institutional Shares | $47.79 |
• 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 1.1%, respectively,
of net assets.
2 Security will be issued after June 30, 2015, pursuant to a spin-off. Security was purchased by the fund on a when-issued basis because
the issuer will be part of the benchmark index.
3 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
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 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.
6 Securities with a value of $500,000 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 | |
Six Months Ended | |
June 30, 2015 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 22,967 |
Interest1 | 11 |
Total Income | 22,978 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 353 |
Management and Administrative—Admiral Shares | 1,168 |
Management and Administrative—Institutional Shares | 31 |
Marketing and Distribution—Admiral Shares | 197 |
Marketing and Distribution—Institutional Shares | 16 |
Custodian Fees | 32 |
Shareholders’ Reports—Admiral Shares | 13 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,812 |
Net Investment Income | 21,166 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 93,039 |
Futures Contracts | 252 |
Realized Net Gain (Loss) | 93,291 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 36,960 |
Futures Contracts | 161 |
Change in Unrealized Appreciation (Depreciation) | 37,121 |
Net Increase (Decrease) in Net Assets Resulting from Operations 151,578
1 Dividend income, interest income, and realized net gain (loss) from affiliated companies of the fund were $0, $10,000, and ($5,495,000), 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 | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2015 | 2014 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 21,166 | 36,610 |
Realized Net Gain (Loss) | 93,291 | 245,731 |
Change in Unrealized Appreciation (Depreciation) | 37,121 | (65,106) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 151,578 | 217,235 |
Distributions | ||
Net Investment Income | ||
Admiral Shares | (670) | (33,432) |
Institutional Shares | (46) | (2,536) |
Realized Capital Gain | ||
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (716) | (35,968) |
Capital Share Transactions | ||
Admiral Shares | 66,237 | 69,925 |
Institutional Shares | 9,646 | (13,029) |
Net Increase (Decrease) from Capital Share Transactions | 75,883 | 56,896 |
Total Increase (Decrease) | 226,745 | 238,163 |
Net Assets | ||
Beginning of Period | 3,618,633 | 3,380,470 |
End of Period1 | 3,845,378 | 3,618,633 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $18,649,000 and ($1,801,000).
See accompanying Notes, which are an integral part of the Financial Statements.
102
Tax-Managed Small-Cap Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $45.78 | $43.53 | $31.16 | $27.26 | $27.17 | $21.75 |
Investment Operations | ||||||
Net Investment Income | .263 | .463 | .383 | .479 | .245 | .231 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.636 | 2.242 | 12.389 | 3.885 | .089 | 5.424 |
Total from Investment Operations | 1.899 | 2.705 | 12.772 | 4.364 | .334 | 5.655 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (.455) | (.402) | (.464) | (.244) | (.235) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.009) | (.455) | (.402) | (.464) | (.244) | (.235) |
Net Asset Value, End of Period | $47.67 | $45.78 | $43.53 | $31.16 | $27.26 | $27.17 |
Total Return1 | 4.15% | 6.23% | 41.00% | 16.03% | 1.22% | 25.99% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,590 | $3,382 | $3,143 | $2,132 | $1,857 | $1,879 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.12% | 0.12% | 0.12% | 0.18% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.14% | 1.06% | 1.05% | 1.59% | 0.88% | 0.98% |
Portfolio Turnover Rate2 | 38% | 40% | 31% | 42% | 40% | 46% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011. Prior periods’ Financial Highlights are for the Investor Class.
1 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 | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $45.88 | $43.63 | $31.22 | $27.33 | $27.23 | $21.80 |
Investment Operations | ||||||
Net Investment Income | .272 | .481 | .398 | .492 | .257 | .257 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.647 | 2.242 | 12.428 | 3.888 | .088 | 5.432 |
Total from Investment Operations | 1.919 | 2.723 | 12.826 | 4.380 | .345 | 5.689 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (.473) | (.416) | (.490) | (.245) | (.259) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.009) | (.473) | (.416) | (.490) | (.245) | (.259) |
Net Asset Value, End of Period | $47.79 | $45.88 | $43.63 | $31.22 | $27.33 | $27.23 |
Total Return1 | 4.18% | 6.26% | 41.09% | 16.05% | 1.26% | 26.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $256 | $236 | $237 | $175 | $149 | $147 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.18% | 1.10% | 1.09% | 1.63% | 0.92% | 1.08% |
Portfolio Turnover Rate2 | 38% | 40% | 31% | 42% | 40% | 46% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
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 six months ended June 30, 2015, 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 for the period ended June 30, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
105
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 $3 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 June 30, 2015, 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 June 30, 2015, the fund had contributed capital of $332,000 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 employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
106
Tax-Managed Small-Cap Fund
The following table summarizes the market value of the fund’s investments as of June 30, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 3,843,626 | — | — |
Temporary Cash Investments | 40,858 | 1,400 | — |
Futures Contracts—Assets1 | 37 | — | — |
Futures Contracts—Liabilities1 | (20) | — | — |
Total | 3,884,501 | 1,400 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2015, 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 | September 2015 | 10 | 1,250 | (27) |
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 six months ended June 30, 2015, the fund realized $155,857,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2014, the fund had available capital losses totaling $16,291,000. 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2015; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
107
Tax-Managed Small-Cap Fund
At June 30, 2015, the cost of investment securities for tax purposes was $2,472,014,000. Net unrealized appreciation of investment securities for tax purposes was $1,413,870,000, consisting of unrealized gains of $1,432,894,000 on securities that had risen in value since their purchase and $19,024,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2015, the fund purchased $1,031,092,000 of investment securities and sold $917,936,000 of investment securities, other than temporary cash investments. Purchases and sales include $134,774,000 and $224,330,000, 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: | ||||
Six Months Ended | Year Ended | |||
June 30, 2015 | December 31, 2014 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares | ||||
Issued | 435,997 | 9,299 | 674,454 | 15,455 |
Issued in Lieu of Cash Distributions | 518 | 11 | 25,881 | 574 |
Redeemed | (370,278) | (7,897) | (630,410) | (14,360) |
Net Increase (Decrease)—Admiral Shares | 66,237 | 1,413 | 69,925 | 1,669 |
Institutional Shares | ||||
Issued | 27,907 | 587 | 16,798 | 386 |
Issued in Lieu of Cash Distributions | 26 | 1 | 1,407 | 31 |
Redeemed | (18,287) | (382) | (31,234) | (702) |
Net Increase (Decrease)—Institutional Shares | 9,646 | 206 | (13,029) | (285) |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2015, that would require recognition or disclosure in these financial statements.
108
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.
109
Six Months Ended June 30, 2015 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2014 | 6/30/2015 | Period | |
Based on Actual Fund Return | |||
Tax-Managed Balanced Fund | $1,000.00 | $1,012.17 | $0.50 |
Tax-Managed Capital Appreciation Fund | |||
Admiral Shares | $1,000.00 | $1,023.76 | $0.50 |
Institutional Shares | 1,000.00 | 1,023.82 | 0.30 |
Tax-Managed Small-Cap Fund | |||
Admiral Shares | $1,000.00 | $1,041.48 | $0.51 |
Institutional Shares | 1,000.00 | 1,041.83 | 0.30 |
Based on Hypothetical 5% Yearly Return | |||
Tax-Managed Balanced Fund | $1,000.00 | $1,024.30 | $0.50 |
Tax-Managed Capital Appreciation Fund | |||
Admiral Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Tax-Managed Small-Cap Fund | |||
Admiral Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
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, 0.10%; for the Tax-Managed Capital Appreciation Fund, 0.10% for Admiral Shares and 0.06% for Institutional Shares; and for the Tax-Managed Small-Cap Fund, 0.10% for Admiral Shares and 0.06% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
110
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Tax-Managed Balanced Fund, Tax-Managed Capital Appreciation Fund, and Tax-Managed Small-Cap Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Equity Investment and Fixed Income Groups—serves as the investment advisor for each fund. The board determined that continuing the funds’ internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. Both the Equity Investment Group and the Fixed Income Group adhere to sound, disciplined investment management processes; each group’s management team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to a benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the funds’ most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate was also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
111
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. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is shown. ”Not Rated” is used to classify securities for which a rating is not available. Not rated securities include a fund’s investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts.
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.
112
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.
113
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.
114
This page intentionally left blank.
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 193 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 F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, Amerigroup Corporation (managed health care), the University of Rochester Medical Center, Monroe Community College Foundation, and North Carolina A&T University.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Tyco International PLC (diversified manufacturing and services), Hewlett-Packard Co. (electronic computer manufacturing), and Delphi Automotive PLC (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and Member of the Executive Committee (1997–2008) of Johnson & Johnson (pharmaceuticals/medical devices/ consumer products); Director of Skytop Lodge Corporation (hotels), the University Medical Center at Princeton, the Robert Wood Johnson Foundation, and the Center for Talent Innovation; Member of the Advisory Board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), and of Oxfam America; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), the Lumina Foundation for Education, and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Investment Advisory Committee of Major League Baseball.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Managing Partner of HighVista Strategies LLC (private investment firm); Director of Rand Merchant Bank; Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Trustee of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center and of the Advisory Board of the Parthenon Group (strategy consulting).
Executive Officers Glenn Booraem
Born 1967. Treasurer Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Controller of each of the investment companies served by The Vanguard Group (2010–2015); Assistant Controller of each of the investment companies served by The Vanguard Group (2001–2010).
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Head of Global Fund Accounting at The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Heidi Stam
Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation.
Vanguard Senior Management Team
Mortimer J. Buckley Kathleen C. Gubanich Paul A. Heller Martha G. King John T. Marcante Chris D. McIsaac | Michael S. Miller James M. Norris Thomas M. Rampulla Glenn W. Reed Karin A. Risi |
Chairman Emeritus and Senior Advisor John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
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 email 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. | |
Q872 082015 |
Semiannual Report | June 30, 2015
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. | 8 |
Performance Summary. | 10 |
Financial Statements. | 11 |
About Your Fund’s Expenses. | 31 |
Trustees Approve Advisory Arrangement. | 33 |
Glossary. | 34 |
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 | |
Six Months Ended June 30, 2015 | |
Total | |
Returns | |
Vanguard Developed Markets Index Fund | |
Investor Shares | 6.61% |
FTSE Developed Markets ETF Shares | |
Market Price | 6.46 |
Net Asset Value | 6.62 |
Admiral™ Shares | 6.63 |
Institutional Shares | 6.63 |
Institutional Plus Shares | 6.63 |
FTSE Developed ex North America Index | 5.83 |
International Funds Average | 5.91 |
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, 2014, Through June 30, 2015 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Developed Markets Index Fund | ||||
Investor Shares | $9.42 | $9.88 | $0.167 | $0.000 |
FTSE Developed Markets ETF Shares | 37.85 | 39.68 | 0.694 | 0.000 |
Admiral Shares | 12.17 | 12.76 | 0.223 | 0.000 |
Institutional Shares | 12.18 | 12.77 | 0.224 | 0.000 |
Institutional Plus Shares | 19.05 | 19.97 | 0.352 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Developed markets outside the United States rebounded during the six months ended June 30, 2015. Aggressive monetary policies by several central banks helped stimulate ailing economies and bolstered investor confidence. Stocks from the Asia-Pacific region outpaced those of Europe and emerging markets.
Although developed markets proved resilient, they were not immune to market jitters toward the end of the period as Greece’s debt crisis intensified.
Vanguard Developed Markets Index Fund returned 6.61% for Investor Shares for the half year. The fund’s return diverged from that of its benchmark because of temporary price differences arising from fair-value pricing policies (see the box on page 6 for more detail). The fund’s result surpassed the average return of its peers.
In June, Vanguard announced important changes to your fund. With the aim of broadening its diversification, the fund will gradually transition from its current benchmark, the FTSE Developed ex North America Index to the FTSE Developed All Cap ex US Index. Over a period of several months, the fund’s holdings will expand to include small-capitalization stocks as well as the large- and mid-cap stocks it already invests in. Canadian shares will also be added.
2
U.S. stocks held onto gains despite fading at the finish
U.S. stocks traveled a choppy course en route to about a 2% return for the half year. Mixed economic news, stock valuations perceived as high by some investors, and the strong U.S. dollar’s negative effect on the profits of U.S.-based multinational companies also unsettled markets.
On the other side of the ledger, investors seemed reassured by the Federal Reserve’s careful approach to a potential rise in short-term interest rates, by other nations’ monetary stimulus programs, and by corporate earnings that generally surpassed forecasts. International stocks returned about 5% for U.S. investors; results would have been higher if not for the dollar’s strength against many foreign currencies. The U.S. dollar gained strength against most major currencies for the six months as a whole, trimming local-market returns when translated into dollars for U.S.-based investors. But as the dollar gave back some gains later in the period, the currency translation effect was moderated.
After bursting from the gate, bond prices lost momentum
Strong results in January didn’t hold up for the broad U.S. taxable bond market, which returned –0.10% for the half year after declining in four of the six months. The yield of the 10-year Treasury note
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2015 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 1.71% | 7.37% | 17.58% |
Russell 2000 Index (Small-caps) | 4.75 | 6.49 | 17.08 |
Russell 3000 Index (Broad U.S. market) | 1.94 | 7.29 | 17.54 |
FTSE All-World ex US Index (International) | 4.61 | -4.36 | 8.16 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -0.10% | 1.86% | 3.35% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 0.11 | 3.00 | 4.50 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.02 | 0.05 |
CPI | |||
Consumer Price Index | 1.63% | 0.12% | 1.83% |
3
ended June at 2.33%, up from 2.19% six months earlier. (Bond prices and yields move in opposite directions.)
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –5.43% as the dollar’s strength limited returns. Without this currency effect, returns were just marginally negative. As investors grew more confident about Europe’s economic growth, European bond yields bounced back from their very low (and in some cases, negative) levels.
Returns were negligible for money market funds and savings accounts, which remained handcuffed by the Fed’s target of 0%–0.25% for short-term rates.
Japanese equities outshone other developed markets’ stocks
Your fund provides broad exposure to developed markets outside the United States, with stocks in Europe and the Asia-Pacific region accounting for the lion’s share of its holdings.
Expense Ratios | ||||||
Your Fund Compared With Its Peer Group | ||||||
FTSE | ||||||
Developed | ||||||
Markets | Peer | |||||
Investor | ETF | Admiral | Institutional | Institutional | Group | |
Shares | Shares | Shares | Shares | Plus Shares | Average | |
Developed Markets Index Fund | 0.20% | 0.09% | 0.09% | 0.07% | 0.06% | 1.39% |
The fund expense ratios shown are from the prospectus dated April 29, 2015, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2015, the fund’s annualized expense ratios were 0.20% for Investor Shares, 0.09% for FTSE Developed Markets ETF Shares, 0.09% for Admiral Shares, 0.07% for Institutional Shares, and 0.06% for Institutional Plus Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2014.
Peer group: International Funds.
4
Developed markets in the Asia-Pacific region, which represented about 40% of the fund’s assets, returned about 8%. Japan, the fund’s largest single country holding, returned about 15% and accounted for more than half of the fund’s total return. After two decades of little or no growth, Japan’s economy is slowly recovering. The Bank of Japan’s stimulus efforts helped boost the country’s stock market, while a weaker yen relative to the U.S. dollar has made Japanese products more attractive to consumers abroad.
International stocks—an opportunity for further diversification
International stocks led global stock markets out of the Great Recession in 2009. Since then, they’ve trailed the broad U.S. stock market in every year but one.
Despite the underperformance of the last several years, international stocks—which represent about half of the world’s market capitalization—can still help U.S.-based investors diversify their portfolios.
As the chart below shows, U.S. and international stocks have periodically swapped market leadership positions as differing market and economic forces caused their returns to vary.
Of course, the timing of these changes is impossible to predict.
Global diversification can help U.S. investors reduce their portfolio’s volatility over time by mitigating losses when domestic stocks do poorly and adding to returns when foreign stocks shine. (For more insight, see Global Equities: Balancing Home Bias and Diversification, available at vanguard.com/research.)
Trailing 12-month return differential between U.S. and non-U.S. stocks
Notes: U.S. equities are represented by MSCI USA Index; international equities are represented by MSCI World Index ex USA from 1970 through 1987 and MSCI All Country World Index ex USA thereafter. Data are from December 31, 1984, through December 31, 2014.
Sources: Vanguard, Thomson Reuters Datastream, and MSCI.
5
Australia, the fund’s second-largest holding in the region, didn’t fare as well; slower growth in China, an important trading partner, and weaker commodity prices weighed on the country’s exports.
Bank, pharmaceutical and biotechnology, and electrical component and equipment stocks contributed most to the region’s markets. Industrial metals and mining stocks declined.
Developed markets in Europe, which represented about 60% of the fund’s holdings, returned about 4%. Europe’s growth outlook brightened and concerns about deflation receded following the European Central Bank’s launch of its massive stimulus package in the first half of the period. The central bank’s monetary policy contributed to a weaker euro, which has reduced the price of exports. Lower energy prices also helped reignite consumer demand. In the last two months of the period, European stocks slipped as the Greek debt crisis took center stage, but the decline was not enough to erase earlier gains.
Most of the larger economies, including Germany and France, produced positive single-digit returns for the period. Smaller economies, including Italy and Ireland, did even better. The United Kingdom, representing about a third of the fund’s assets in the region, returned about 3%.
Pharmaceutical and biotechnology firms, banks, and auto manufacturers and parts suppliers contributed most to the region’s return. Oil and gas producers detracted from returns. Lower oil prices earlier in
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
the period hurt results, with several large oil and gas companies forced to cut back on exploration and other development projects.
As your investment costs go down, your chance for success can go up
Being an investor can be frustrating at times: You’re planning for your financial future, but some factors—for example, the financial markets—are beyond your control. Although you can’t control the markets, you do have some choice in how much you pay to invest in them. And what you pay can greatly affect your chance for investing success.
At Vanguard, as you know, we take minimizing costs seriously. Indeed, that’s one of our four investment principles. (You can read more in Vanguard’s Principles for Investing Success, available at vanguard.com/ research.) Paying less in expenses has an intuitive, immediate appeal.
Less obvious, perhaps, is the enormous advantage that low costs can offer over time.
Imagine two well-diversified portfolios each with a starting balance of $100,000 and each earning a yearly return of 6%, which is reinvested over a 30-year period. In one scenario, the investor pays 0.25% of assets every year, while in the other, the investor pays 0.90%. (Keep in mind that this is a hypothetical example and doesn’t represent any particular investment.)
At the end of 30 years, the lower-cost portfolio has a balance of more than $530,000, while the higher-cost portfolio has a balance of almost $440,000. What might seem like a trifling cost difference at the start becomes a meaningful difference in the long term—in this example, nearly $100,000.
Increasingly, investors recognize the importance of minimizing costs. According to Morningstar, over the past ten years, 95% of mutual fund cash flows have gone into funds ranked in the lowest 20% in terms of their expenses. We’re pleased to see this trend, because it means investors are keeping more of their returns, and, by doing so, they’ve given themselves a better chance of reaching their financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 16, 2015
7
Developed Markets Index Fund | |||||
Fund Profile | |||||
As of June 30, 2015 | |||||
Share-Class Characteristics | |||||
Investor | Admiral | Institutional | Institutional | ||
Shares | ETF Shares | Shares | Shares | Plus Shares | |
Ticker Symbol | VDVIX | VEA | VTMGX | VTMNX | VDIPX |
Expense Ratio1 | 0.20% | 0.09% | 0.09% | 0.07% | 0.06% |
Portfolio Characteristics | |||
FTSE | FTSE | ||
Developed | Global | ||
ex North | All Cap | ||
America | ex US | ||
Fund | Index | Index | |
Number of Stocks | 1,398 | 1,374 | 5,643 |
Median Market Cap | $33.6B | $35.0B | $24.8B |
Price/Earnings Ratio | 18.3x | 18.6x | 18.5x |
Price/Book Ratio | 1.7x | 1.7x | 1.7x |
Return on Equity | 14.1% | 14.0% | 14.4% |
Earnings Growth | |||
Rate | 11.0% | 11.0% | 11.4% |
Dividend Yield | 2.9% | 2.8% | 2.8% |
Turnover Rate | |||
(Annualized) | 3% | — | — |
Short-Term | |||
Reserves | 0.5% | — | — |
Sector Diversification (% of equity exposure) | |||
FTSE | FTSE | ||
Developed | Global | ||
ex North | All Cap | ||
America | ex US | ||
Fund | Index | Index | |
Basic Materials | 7.7% | 7.7% | 7.7% |
Consumer Goods | 18.5 | 18.5 | 15.4 |
Consumer Services | 8.3 | 8.2 | 8.5 |
Financials | 25.3 | 25.3 | 26.8 |
Health Care | 9.7 | 9.7 | 8.0 |
Industrials | 14.1 | 14.2 | 14.1 |
Oil & Gas | 5.0 | 5.0 | 6.4 |
Technology | 3.4 | 3.4 | 5.2 |
Telecommunications | 4.5 | 4.5 | 4.6 |
Utilities | 3.5 | 3.5 | 3.3 |
Volatility Measures | |||
Spliced | |||
Developed | FTSE Global | ||
ex North | All Cap | ||
America | ex US | ||
Index | Index | ||
R-Squared | 0.98 | 0.94 | |
Beta | 1.01 | 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 | 1.6% | |
Novartis AG | Pharmaceuticals | 1.5 | |
Roche Holding AG | Pharmaceuticals | 1.4 | |
Royal Dutch Shell plc | Integrated Oil & Gas | 1.3 | |
Toyota Motor Corp. | Automobiles | 1.2 | |
HSBC Holdings plc | Banks | 1.2 | |
Samsung Electronics Co. Consumer | |||
Ltd. | Electronics | 0.9 | |
BP plc | Integrated Oil & Gas | 0.8 | |
Unilever | Personal Products | 0.8 | |
Bayer AG | Specialty Chemicals | 0.8 | |
Top Ten | 11.5% | ||
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 29, 2015, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2015, the annualized expense ratios were 0.20% for Investor Shares, 0.09% for FTSE Developed Markets ETF Shares, 0.09% for Admiral Shares, 0.07% for Institutional Shares, and 0.06% for Instituional Plus Shares.
8
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 | 19.4% | 19.4% | 14.7% |
France | 8.6 | 8.4 | 6.0 |
Switzerland | 8.4 | 8.5 | 6.0 |
Germany | 8.1 | 8.1 | 5.9 |
Spain | 3.2 | 3.1 | 2.3 |
Netherlands | 2.7 | 2.7 | 2.0 |
Sweden | 2.7 | 2.7 | 2.1 |
Italy | 2.3 | 2.3 | 1.8 |
Denmark | 1.6 | 1.6 | 1.2 |
Belgium | 1.2 | 1.2 | 0.9 |
Other | 2.1 | 2.0 | 1.8 |
Subtotal | 60.3% | 60.0% | 44.7% |
Pacific | |||
Japan | 23.3% | 23.5% | 17.4% |
Australia | 6.6 | 6.6 | 4.9 |
South Korea | 3.9 | 3.9 | 3.1 |
Hong Kong | 3.6 | 3.7 | 2.7 |
Singapore | 1.4 | 1.4 | 1.1 |
Other | 0.2 | 0.2 | 0.2 |
Subtotal | 39.0% | 39.3% | 29.4% |
Emerging Markets | 0.0% | 0.0% | 18.8% |
North America | 0.0% | 0.0% | 6.6% |
Middle East | 0.7% | 0.7% | 0.5% |
9
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.
Fiscal-Year Total Returns (%): December 31, 2004, Through June 30, 2015
Average Annual Total Returns: Periods Ended June 30, 2015 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 12/19/2013 | -4.04% | — | 2.48%1 |
FTSE Developed Markets ETF | ||||
Shares | 7/20/2007 | |||
Market Price | -4.19 | 9.94% | 0.211 | |
Net Asset Value | -3.97 | 9.84 | 0.251 | |
Admiral Shares | 8/17/1999 | -3.97 | 9.84 | 5.35 |
Institutional Shares | 1/4/2001 | -3.95 | 9.87 | 5.40 |
Institutional Plus Shares | 4/1/2014 | -3.93 | — | -0.391 |
1 Return since inception. |
10
Developed Markets Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2015
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 | 5,922,315 | 388,368 | 0.7% |
Westpac Banking Corp. | 11,353,319 | 280,905 | 0.5% |
Australia & New Zealand Banking Group Ltd. | 10,028,628 | 248,883 | 0.5% |
National Australia Bank Ltd. | 9,514,392 | 244,369 | 0.5% |
BHP Billiton Ltd. | 11,675,913 | 238,175 | 0.4% |
Australia—Other † | 2,014,115 | 3.9% | |
3,414,815 | 6.5% | ||
Austria † | 100,863 | 0.2% | |
Belgium | |||
Anheuser-Busch InBev NV | 2,902,335 | 349,269 | 0.7% |
Belgium—Other † | 288,699 | 0.5% | |
637,968 | 1.2% | ||
Denmark | |||
Novo Nordisk A/S Class B | 6,708,928 | 368,152 | 0.7% |
Denmark—Other † | 445,447 | 0.9% | |
813,599 | 1.6% | ||
Finland † | 402,256 | 0.8% | |
France | |||
Sanofi | 4,106,306 | 406,237 | 0.8% |
TOTAL SA | 7,480,526 | 366,928 | 0.7% |
BNP Paribas SA | 3,554,318 | 215,686 | 0.4% |
France—Other † | 3,430,235 | 6.6% | |
4,419,086 | 8.5% |
11
Developed Markets Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Germany | |||
Bayer AG | 3,009,996 | 421,521 | 0.8% |
Daimler AG | 3,476,890 | 316,730 | 0.6% |
BASF SE | 3,359,958 | 295,653 | 0.6% |
Siemens AG | 2,823,708 | 285,679 | 0.6% |
Allianz SE | 1,656,688 | 258,363 | 0.5% |
SAP SE | 3,251,834 | 227,877 | 0.4% |
* Deutsche Telekom AG | 11,338,611 | 195,481 | 0.4% |
1 Germany—Other † | 2,162,379 | 4.1% | |
4,163,683 | 8.0% | ||
Greece † | 26,330 | 0.1% | |
Hong Kong | |||
AIA Group Ltd. | 43,840,588 | 286,659 | 0.5% |
Hang Seng Bank Ltd. | 2,789,074 | 54,473 | 0.1% |
1 Hong Kong—Other † | 1,555,318 | 3.0% | |
1,896,450 | 3.6% | ||
Ireland † | 130,944 | 0.2% | |
Israel | |||
Teva Pharmaceutical Industries Ltd. | 3,488,202 | 206,425 | 0.4% |
Osem Investments Ltd. | 138,283 | 2,877 | 0.0% |
Israel—Other † | 135,068 | 0.3% | |
344,370 | 0.7% | ||
Italy † | 1,164,600 | 2.2% | |
Japan | |||
Toyota Motor Corp. | 9,641,974 | 645,215 | 1.2% |
Mitsubishi UFJ Financial Group Inc. | 51,497,417 | 370,496 | 0.7% |
Sumitomo Mitsui Financial Group Inc. | 4,889,494 | 217,676 | 0.4% |
Honda Motor Co. Ltd. | 6,526,593 | 210,939 | 0.4% |
SoftBank Corp. | 3,425,052 | 201,746 | 0.4% |
Chugai Pharmaceutical Co. Ltd. | 809,527 | 27,923 | 0.1% |
Hino Motors Ltd. | 978,537 | 12,097 | 0.0% |
Daihatsu Motor Co. Ltd. | 761,819 | 10,843 | 0.0% |
Japan—Other † | 10,422,177 | 20.0% | |
12,119,112 | 23.2% | ||
Netherlands | |||
Unilever NV | 5,663,139 | 236,771 | 0.5% |
ING Groep NV | 14,047,947 | 233,272 | 0.4% |
1 Netherlands—Other † | 934,553 | 1.8% | |
1,404,596 | 2.7% | ||
New Zealand † | 89,058 | 0.2% | |
Norway † | 322,708 | 0.6% |
12
Developed Markets Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Portugal † | 71,562 | 0.1% | |
Singapore † | 707,127 | 1.4% | |
South Korea | |||
Samsung Electronics Co. Ltd. | 299,889 | 340,250 | 0.7% |
South Korea—Other † | 1,688,778 | 3.2% | |
2,029,028 | 3.9% | ||
Spain | |||
* Banco Santander SA | 51,880,290 | 364,928 | 0.7% |
Banco Bilbao Vizcaya Argentaria SA | 22,789,444 | 224,567 | 0.4% |
Telefonica SA | 15,572,606 | 221,838 | 0.4% |
1 Spain—Other † | 817,722 | 1.6% | |
1,629,055 | 3.1% | ||
Sweden † | 1,409,148 | 2.7% | |
Switzerland | |||
Nestle SA | 11,603,160 | 837,175 | 1.6% |
Novartis AG | 7,759,512 | 763,229 | 1.5% |
Roche Holding AG | 2,557,389 | 717,070 | 1.4% |
UBS Group AG | 12,780,583 | 271,159 | 0.5% |
Switzerland—Other † | 1,794,063 | 3.4% | |
4,382,696 | 8.4% | ||
United Kingdom | |||
HSBC Holdings plc | 70,941,573 | 635,246 | 1.2% |
BP plc | 66,380,090 | 440,548 | 0.8% |
Royal Dutch Shell plc Class A | 14,177,812 | 400,870 | 0.8% |
GlaxoSmithKline plc | 17,695,781 | 367,933 | 0.7% |
British American Tobacco plc | 6,784,612 | 365,304 | 0.7% |
Vodafone Group plc | 96,694,707 | 352,735 | 0.7% |
AstraZeneca plc | 4,593,168 | 290,705 | 0.6% |
Lloyds Banking Group plc | 209,382,777 | 281,036 | 0.5% |
Diageo plc | 9,167,463 | 265,490 | 0.5% |
Royal Dutch Shell plc Class B | 8,926,703 | 254,150 | 0.5% |
Barclays plc | 60,876,374 | 249,513 | 0.5% |
Prudential plc | 9,287,425 | 223,825 | 0.4% |
BT Group plc | 30,461,526 | 215,711 | 0.4% |
BG Group plc | 12,387,216 | 206,309 | 0.4% |
Reckitt Benckiser Group plc | 2,311,052 | 199,294 | 0.4% |
Unilever plc | 4,391,157 | 188,554 | 0.4% |
1 United Kingdom—Other † | 5,074,140 | 9.7% | |
10,011,363 | 19.2% | ||
Total Common Stocks (Cost $47,468,223) | 51,690,417 | 99.1%2 |
13
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 | 0.137% | 1,073,646,465 | 1,073,646 | 2.1% |
5,6U.S. Government and Agency Obligations † | 46,591 | 0.1% | ||
Total Temporary Cash Investments (Cost $1,120,239) | 1,120,237 | 2.2%2 | ||
7Total Investments (Cost $48,588,462) | 52,810,654 | 101.3% | ||
Other Assets and Liabilities | ||||
Other Assets8 | 548,905 | 1.0% | ||
Liabilities3 | (1,216,049) | (2.3%) | ||
(667,144) | (1.3%) | |||
Net Assets | 52,143,510 | 100.0% | ||
At June 30, 2015, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 49,901,780 | |||
Undistributed Net Investment Income | 15,317 | |||
Accumulated Net Realized Losses | (1,980,094) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 4,222,192 | |||
Futures Contracts | (12,161) | |||
Forward Currency Contracts | (729) | |||
Foreign Currencies | (2,795) | |||
Net Assets | 52,143,510 | |||
Investor Shares—Net Assets | ||||
Applicable to 121,807,306 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 1,202,932 | |||
Net Asset Value Per Share—Investor Shares | $9.88 | |||
Admiral Shares—Net Assets | ||||
Applicable to 569,242,528 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 7,262,203 | |||
Net Asset Value Per Share—Admiral Shares | $12.76 | |||
Institutional Shares—Net Assets | ||||
Applicable to 658,282,014 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 8,408,005 | |||
Net Asset Value Per Share—Institutional Shares | $12.77 |
14
Developed Markets Index Fund | |
Amount | |
($000) | |
Institutional Plus Shares—Net Assets | |
Applicable to 372,869,793 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 7,445,506 |
Net Asset Value Per Share—Institutional Plus Shares | $19.97 |
ETF Shares—Net Assets | |
Applicable to 701,236,649 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 27,824,864 |
Net Asset Value Per Share—ETF Shares | $39.68 |
• 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 June 30, 2015, the aggregate value of these securities
was $67,197,000, representing 0.1% of net assets.
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 1.5%, respectively,
of net assets.
3 Includes $544,027,000 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 $20,695,000 have been segregated as initial margin for open futures contracts.
6 Securities with a value of $1,216,000 have been segregated as collateral for open forward currency contracts.
7 The total value of securities on loan is $502,477,000.
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.
15
Developed Markets Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2015 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 946,511 |
Interest2 | 128 |
Securities Lending | 25,415 |
Total Income | 972,054 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,722 |
Management and Administrative—Investor Shares | 1,065 |
Management and Administrative—Admiral Shares | 1,856 |
Management and Administrative—Institutional Shares | 1,472 |
Management and Administrative—Institutional Plus Shares | 1,041 |
Management and Administrative—ETF Shares | 6,644 |
Marketing and Distribution—Investor Shares | 116 |
Marketing and Distribution—Admiral Shares | 533 |
Marketing and Distribution—Institutional Shares | 539 |
Marketing and Distribution—Institutional Plus Shares | 353 |
Marketing and Distribution—ETF Shares | 2,250 |
Custodian Fees | 2,696 |
Shareholders’ Reports—Investor Shares | 12 |
Shareholders’ Reports—Admiral Shares | 28 |
Shareholders’ Reports—Institutional Shares | 13 |
Shareholders’ Reports—Institutional Plus Shares | 2 |
Shareholders’ Reports—ETF Shares | 215 |
Trustees’ Fees and Expenses | 15 |
Total Expenses | 20,572 |
Net Investment Income | 951,482 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 509,947 |
Futures Contracts | 24,578 |
Foreign Currencies and Forward Currency Contracts | (5,815) |
Realized Net Gain (Loss) | 528,710 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,495,359 |
Futures Contracts | (19,706) |
Foreign Currencies and Forward Currency Contracts | 5,318 |
Change in Unrealized Appreciation (Depreciation) | 1,480,971 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,961,163 |
1 Dividends are net of foreign withholding taxes of $83,519,000. | |
2 Interest income from an affiliated company of the fund was $109,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
16
Developed Markets Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2015 | 2014 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 951,482 | 1,297,290 |
Realized Net Gain (Loss) | 528,710 | 151,536 |
Change in Unrealized Appreciation (Depreciation) | 1,480,971 | (4,259,597) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,961,163 | (2,810,771) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (21,624) | (35,479) |
Admiral Shares | (125,242) | (165,209) |
Institutional Shares | (142,336) | (200,275) |
Institutional Plus Shares | (126,060) | (139,232) |
ETF Shares | (474,798) | (771,236) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (890,060) | (1,311,431) |
Capital Share Transactions | ||
Investor Shares | (191,543) | 1,460,710 |
Admiral Shares | 917,620 | 4,563,205 |
Institutional Shares | 302,095 | 7,942,013 |
Institutional Plus Shares | 1,245,334 | 6,469,745 |
ETF Shares | 2,583,953 | 7,338,607 |
Net Increase (Decrease) from Capital Share Transactions | 4,857,459 | 27,774,280 |
Total Increase (Decrease) | 6,928,562 | 23,652,078 |
Net Assets | ||
Beginning of Period | 45,214,948 | 21,562,870 |
End of Period1 | 52,143,510 | 45,214,948 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $15,317,000 and ($41,949,000).
See accompanying Notes, which are an integral part of the Financial Statements.
17
Developed Markets Index Fund | |||
Financial Highlights | |||
Investor Shares | |||
Six Months | Year | Dec. 19, | |
Ended | Ended | 20131 to | |
June 30, | Dec. 31, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2015 | 2014 | 2013 |
Net Asset Value, Beginning of Period | $9.42 | $10.34 | $10.00 |
Investment Operations | |||
Net Investment Income | .179 | . 337 | . 008 |
Net Realized and Unrealized Gain (Loss) on Investments | .448 | (.919) | .332 |
Total from Investment Operations | .627 | (.582) | .340 |
Distributions | |||
Dividends from Net Investment Income | (.167) | (.338) | — |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.167) | (.338) | — |
Net Asset Value, End of Period | $9.88 | $9.42 | $10.34 |
Total Return2 | 6.61% | -5.82% | 3.40% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $1,203 | $1,331 | $0.1 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 3.72% | 3.22% | 2.80%3 |
Portfolio Turnover Rate 4 | 3% | 4% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
18
Developed Markets Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $12.17 | $13.35 | $11.26 | $9.79 | $11.58 | $10.95 |
Investment Operations | ||||||
Net Investment Income | .239 | .450 | .353 | .332 | .342 | .278 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .574 | (1.180) | 2.085 | 1.474 | (1.794) | .634 |
Total from Investment Operations | .813 | (.730) | 2.438 | 1.806 | (1.452) | .912 |
Distributions | ||||||
Dividends from Net Investment Income | (. 223) | (. 450) | (. 348) | (. 336) | (. 338) | (. 282) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (. 223) | (. 450) | (. 348) | (. 336) | (. 338) | (. 282) |
Net Asset Value, End of Period | $12.76 | $12.17 | $13.35 | $11.26 | $9.79 | $11.58 |
Total Return1 | 6.63% | -5.66% | 22.06% | 18.56% | -12.51% | 8.36% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,262 | $6,068 | $2,060 | $1,425 | $1,229 | $1,476 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.09% | 0.10% | 0.12% | 0.18% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 3.83% | 3.33% | 2.91% | 3.40% | 3.31% | 2.70% |
Portfolio Turnover Rate2 | 3% | 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.
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees.
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.
19
Developed Markets Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $12.18 | $13.37 | $11.27 | $9.79 | $11.60 | $10.96 |
Investment Operations | ||||||
Net Investment Income | .240 | .452 | .356 | .336 | .347 | .289 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .574 | (1.190) | 2.094 | 1.483 | (1.813) | .644 |
Total from Investment Operations | .814 | (.738) | 2.450 | 1.819 | (1.466) | .933 |
Distributions | ||||||
Dividends from Net Investment Income | (. 224) | (. 452) | (. 350) | (. 339) | (. 344) | (. 293) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 224) | (. 452) | (. 350) | (. 339) | (. 344) | (. 293) |
Net Asset Value, End of Period | $12.77 | $12.18 | $13.37 | $11.27 | $9.79 | $11.60 |
Total Return1 | 6.63% | -5.72% | 22.15% | 18.70% | -12.62% | 8.55% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,408 | $7,743 | $482 | $332 | $294 | $253 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 3.85% | 3.35% | 2.93% | 3.43% | 3.35% | 2.80% |
Portfolio Turnover Rate2 | 3% | 4% | 13% | 7% | 5% | 6% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Developed Markets Index Fund | ||
Financial Highlights | ||
Institutional Plus Shares | ||
Six Months | April 1, | |
Ended | 20141 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2015 | 2014 |
Net Asset Value, Beginning of Period | $19.05 | $20.90 |
Investment Operations | ||
Net Investment Income | . 378 | . 438 |
Net Realized and Unrealized Gain (Loss) on Investments | .894 | (1.798) |
Total from Investment Operations | 1.272 | (1.360) |
Distributions | ||
Dividends from Net Investment Income | (.352) | (.490) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (. 352) | (. 490) |
Net Asset Value, End of Period | $19.97 | $19.05 |
Total Return | 6.63% | -6.67% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $7,446 | $5,918 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06%2 |
Ratio of Net Investment Income to Average Net Assets | 3.86% | 2.92%2 |
Portfolio Turnover Rate 3 | 3% | 4% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
21
Developed Markets Index Fund | ||||||
Financial Highlights | ||||||
FTSE Developed Markets ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $37.85 | $41.53 | $35.02 | $30.44 | $36.04 | $34.06 |
Investment Operations | ||||||
Net Investment Income | .743 | 1.395 | 1.099 | 1.035 | 1.067 | .887 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.781 | (3.681) | 6.494 | 4.591 | (5.609) | 1.990 |
Total from Investment Operations | 2.524 | (2.286) | 7.593 | 5.626 | (4.542) | 2.877 |
Distributions | ||||||
Dividends from Net Investment Income | (.694) | (1.394) | (1.083) | (1.046) | (1.058) | (.897) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.694) | (1.394) | (1.083) | (1.046) | (1.058) | (.897) |
Net Asset Value, End of Period | $39.68 | $37.85 | $41.53 | $35.02 | $30.44 | $36.04 |
Total Return | 6.62% | -5.71% | 22.12% | 18.60% | -12.57% | 8.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $27,825 | $24,155 | $19,021 | $10,979 | $6,435 | $5,414 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.09% | 0.10% | 0.12% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 3.83% | 3.33% | 2.91% | 3.40% | 3.31% | 2.76% |
Portfolio Turnover Rate1 | 3% | 4% | 13% | 7% | 5% | 6% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
22
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).
23
Developed Markets Index Fund
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 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 clearing-house, 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.
24
Developed Markets Index Fund
During the six months ended June 30, 2015, 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.
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 for the period ended June 30, 2015, 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 counter-parties, 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 counter-party 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 $3 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 June 30, 2015, or at any time during the period then ended.
25
Developed Markets Index Fund
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.
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 June 30, 2015, the fund had contributed capital of $4,690,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.88% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 69,277 | 51,619,701 | 1,439 |
Temporary Cash Investments | 1,073,646 | 46,591 | — |
Futures Contracts—Assets1 | 505 | — | — |
Futures Contracts—Liabilities1 | (2,050) | — | — |
Forward Currency Contracts—Assets | — | 1,411 | — |
Forward Currency Contracts—Liabilities | — | (2,140) | — |
Total | 1,141,378 | 51,665,563 | 1,439 |
1 Represents variation margin on the last day of the reporting period. |
26
Developed Markets Index Fund
D. At June 30, 2015, 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 | 505 | 1,411 | 1,916 |
Liabilities | (2,050) | (2,140) | (4,190) |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended June 30, 2015, were:
Foreign | |||
Equity | Exchange | ||
Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
Futures Contracts | 24,578 | — | 24,578 |
Forward Currency Contracts | — | (1,659) | (1,659) |
Realized Net Gain (Loss) on Derivatives | 24,578 | (1,659) | 22,919 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (19,706) | — | (19,706) |
Forward Currency Contracts | — | 3,266 | 3,266 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (19,706) | 3,266 | (16,440) |
At June 30, 2015, 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 | September 2015 | 3,021 | 115,656 | (5,567) |
Topix Index | September 2015 | 716 | 95,406 | (1,646) |
FTSE 100 Index | September 2015 | 794 | 81,093 | (3,472) |
S&P ASX 200 Index | September 2015 | 384 | 39,822 | (1,476) |
(12,161) |
Unrealized appreciation (depreciation) on open Dow Jones EURO STOXX 50 Index and FTSE 100 Index futures contracts are required to be treated as realized gain (loss) for tax purposes.
At June 30, 2015, 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.
27
Developed Markets Index Fund | ||||||
Unrealized | ||||||
Contract | Contract Amount (000) | Appreciation | ||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
Citibank, N.A. | 9/23/15 | EUR | 97,790 | USD | 109,570 | (414) |
Morgan Stanley Capital Services LLC | 9/15/15 | JPY | 10,796,085 | USD | 87,235 | 1,071 |
BNP Paribas | 9/15/15 | JPY | 10,175,399 | USD | 83,006 | 223 |
Bank of America, N.A. | 9/23/15 | GBP | 48,461 | USD | 76,380 | (282) |
Citibank, N.A. | 9/23/15 | GBP | 46,306 | USD | 72,707 | 6 |
Goldman Sachs International | 9/22/15 | AUD | 48,794 | USD | 37,496 | (24) |
The Toronto-Dominion Bank | 9/22/15 | AUD | 41,556 | USD | 32,087 | (173) |
BNP Paribas | 9/23/15 | EUR | 7,301 | USD | 8,223 | (73) |
Deutsche Bank AG | 9/15/15 | USD | 74,740 | JPY | 9,252,989 | (944) |
Deutsche Bank AG | 9/23/15 | USD | 65,045 | GBP | 41,352 | 111 |
Bank of America, N.A. | 9/22/15 | USD | 28,146 | AUD | 36,948 | (230) |
(729) |
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 six months ended June 30, 2015, the fund realized net foreign currency losses of $4,156,000, which decreased distributable net income for tax purposes; accordingly, such losses have been reclassified from accumulated net realized losses to undistributed net investment income.
During the six months ended June 30, 2015, the fund realized $554,474,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 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
28
Developed Markets Index Fund
under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2015; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2015, the cost of investment securities for tax purposes was $48,647,177,000. Net unrealized appreciation of investment securities for tax purposes was $4,163,477,000, consisting of unrealized gains of $7,841,300,000 on securities that had risen in value since their purchase and $3,677,823,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2015, the fund purchased $6,821,784,000 of investment securities and sold $2,028,040,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,048,370,000 and $1,312,690,000, 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: | ||||
Six Months Ended | Year Ended | |||
June 30, 2015 | December 31, 2014 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 150,789 | 15,078 | 230,538 | 22,845 |
Issued in Connection with Acquisition of | ||||
Vanguard Developed Markets Index Fund1 | — | — | 1,677,834 | 163,039 |
Issued in Lieu of Cash Distributions | 18,402 | 1,808 | 30,334 | 2,969 |
Redeemed | (360,734) | (36,386) | (477,996) | (47,556) |
Net Increase (Decrease)—Investor Shares | (191,543) | (19,500) | 1,460,710 | 141,297 |
Admiral Shares | ||||
Issued | 1,592,688 | 123,415 | 2,081,872 | 160,055 |
Issued in Connection with Acquisition of | ||||
Vanguard Developed Markets Index Fund1 | — | — | 3,262,803 | 245,296 |
Issued in Lieu of Cash Distributions | 105,742 | 8,038 | 139,153 | 10,618 |
Redeemed | (780,810) | (60,816) | (920,623) | (71,618) |
Net Increase (Decrease)—Admiral Shares | 917,620 | 70,637 | 4,563,205 | 344,351 |
Institutional Shares | ||||
Issued | 1,255,748 | 97,342 | 2,221,853 | 171,218 |
Issued in Connection with Acquisition of | ||||
Vanguard Developed Markets Index Fund1 | — | — | 7,326,183 | 550,218 |
Issued in Lieu of Cash Distributions | 132,164 | 10,037 | 183,800 | 13,958 |
Redeemed | (1,085,817) | (84,655) | (1,789,823) | (135,930) |
Net Increase (Decrease)—Institutional Shares | 302,095 | 22,724 | 7,942,013 | 599,464 |
29
Developed Markets Index Fund | ||||
Six Months Ended | Year Ended | |||
June 30, 2015 | December 31, 2014 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Plus Shares2 | ||||
Issued | 2,002,170 | 99,504 | 1,913,447 | 92,578 |
Issued in Connection with Acquisition of | ||||
Vanguard Developed Markets Index Fund1 | — | — | 5,176,319 | 248,740 |
Issued in Lieu of Cash Distributions | 119,016 | 5,781 | 134,325 | 6,537 |
Redeemed | (875,852) | (43,123) | (754,346) | (37,147) |
Net Increase (Decrease)—Institutional Plus Shares | 1,245,334 | 62,162 | 6,469,745 | 310,708 |
ETF Shares | ||||
Issued | 3,637,815 | 89,053 | 7,338,607 | 180,138 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,053,862) | (26,000) | — | — |
Net Increase (Decrease)—ETF Shares | 2,583,953 | 63,053 | 7,338,607 | 180,138 |
1 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.
2 Inception was April 1, 2014, for Institutional Plus Shares.
H. On April 4, 2014, 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.
I. Management has determined that no material events or transactions occurred subsequent to June 30, 2015, that would require recognition or disclosure in these financial statements.
30
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.
31
Six Months Ended June 30, 2015 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Developed Markets Index Fund | 12/31/2014 | 6/30/2015 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,066.09 | $1.02 |
FTSE Developed Markets ETF Shares | 1,000.00 | 1,066.24 | 0.46 |
Admiral Shares | 1,000.00 | 1,066.31 | 0.46 |
Institutional Shares | 1,000.00 | 1,066.33 | 0.36 |
Institutional Plus Shares | 1,000.00 | 1,066.28 | 0.31 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.80 | $1.00 |
FTSE Developed Markets ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Plus Shares | 1,000.00 | 1,024.50 | 0.30 |
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 FTSE Developed Markets ETF Shares, 0.09% for Admiral Shares, 0.07% for Institutional Shares, and 0.06% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
32
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Developed Markets Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard’s Equity Investment Group—through its Equity Index Group—serves as the investment advisor for the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance relative to a benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
33
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.
34
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.
35
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 193 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
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, Amerigroup Corporation (managed health care), the University of Rochester Medical Center, Monroe Community College Foundation, and North Carolina A&T University.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Tyco International PLC (diversified manufacturing and services), Hewlett-Packard Co. (electronic computer manufacturing), and Delphi Automotive PLC (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and Member of the Executive Committee (1997–2008) of Johnson & Johnson (pharmaceuticals/medical devices/ consumer products); Director of Skytop Lodge Corporation (hotels), the University Medical Center at Princeton, the Robert Wood Johnson Foundation, and the Center for Talent Innovation; Member of the Advisory Board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), and of Oxfam America; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), the Lumina Foundation for Education, and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Investment Advisory Committee of Major League Baseball.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Managing Partner of HighVista Strategies LLC (private investment firm); Director of Rand Merchant Bank; Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Trustee of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center and of the Advisory Board of the Parthenon Group (strategy consulting).
Executive Officers
Glenn Booraem
Born 1967. Treasurer Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Controller of each of the investment companies served by The Vanguard Group (2010–2015); Assistant Controller of each of the investment companies served by The Vanguard Group (2001–2010).
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Head of Global Fund Accounting at The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Heidi Stam
Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation.
Vanguard Senior Management Team
Mortimer J. Buckley Kathleen C. Gubanich Paul A. Heller Martha G. King John T. Marcante Chris D. McIsaac | Michael S. Miller James M. Norris Thomas M. Rampulla Glenn W. Reed Karin A. Risi |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
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 | London Stock Exchange Group companies include FTSE |
Direct Investor Account Services > 800-662-2739 | International Limited (”FTSE”), Frank Russell Company |
(”Russell”), MTS Next Limited (”MTS”), and FTSE TMX | |
Institutional Investor Services > 800-523-1036 | Global Debt Capital Markets Inc. (”FTSE TMX”). All |
Text Telephone for People | rights reserved. ”FTSE®”, ”Russell®”, ”MTS®”, ”FTSE |
Who Are Deaf or Hard of Hearing> 800-749-7273 | TMX®” and ”FTSE Russell” and other service marks |
and trademarks related to the FTSE or Russell indexes | |
This material may be used in conjunction | are trademarks of the London Stock Exchange Group |
with the offering of shares of any Vanguard | companies and are used by FTSE, MTS, FTSE TMX and |
fund only if preceded or accompanied by | Russell under licence. All information is provided for |
information purposes only. No responsibility or liability | |
the fund’s current prospectus. | can be accepted by the London Stock Exchange Group |
All comparative mutual fund data are from Lipper, a | companies nor its licensors for any errors or for any |
Thomson Reuters Company, or Morningstar, Inc., unless | loss from use of this publication. Neither the London |
otherwise noted. | Stock Exchange Group companies nor any of its |
licensors make any claim, prediction, warranty or | |
You can obtain a free copy of Vanguard’s proxy voting | representation whatsoever, expressly or impliedly, |
guidelines by visiting vanguard.com/proxyreporting or by | either as to the results to be obtained from the use of |
calling Vanguard at 800-662-2739. The guidelines are | the FTSE Indexes or the fitness or suitability of the |
also available from the SEC’s website, sec.gov. In | Indexes for any particular purpose to which they might |
addition, you may obtain a free report on how your fund | be put. |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2015 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q1272 082015 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.1%)1 | |||
Australia (6.5%) | |||
Commonwealth Bank of Australia | 5,922,315 | 388,368 | |
Westpac Banking Corp. | 11,353,319 | 280,905 | |
Australia & New Zealand Banking Group Ltd. | 10,028,628 | 248,883 | |
National Australia Bank Ltd. | 9,514,392 | 244,369 | |
BHP Billiton Ltd. | 11,675,913 | 238,175 | |
Wesfarmers Ltd. | 4,072,239 | 122,465 | |
CSL Ltd. | 1,701,862 | 113,457 | |
Woolworths Ltd. | 4,608,636 | 95,764 | |
Telstra Corp. Ltd. | 15,677,612 | 74,195 | |
Macquarie Group Ltd. | 1,104,148 | 69,181 | |
Woodside Petroleum Ltd. | 2,607,240 | 68,797 | |
Rio Tinto Ltd. | 1,542,399 | 63,804 | |
Scentre Group | 18,801,925 | 54,313 | |
QBE Insurance Group Ltd. | 4,981,651 | 52,457 | |
Transurban Group | 6,965,510 | 49,940 | |
AMP Ltd. | 10,660,324 | 49,467 | |
Westfield Corp. | 7,030,646 | 49,381 | |
Suncorp Group Ltd. | 4,681,102 | 48,431 | |
Amcor Ltd. | 4,391,285 | 46,405 | |
Brambles Ltd. | 5,651,384 | 46,102 | |
Insurance Australia Group Ltd. | 8,519,321 | 36,628 | |
Origin Energy Ltd. | 3,954,795 | 36,500 | |
Goodman Group | 6,377,758 | 30,803 | |
Aurizon Holdings Ltd. | 7,459,014 | 29,466 | |
AGL Energy Ltd. | 2,454,667 | 29,404 | |
* | Newcrest Mining Ltd. | 2,775,761 | 27,950 |
Stockland | 8,592,027 | 27,131 | |
Federation Centres | 11,928,262 | 26,840 | |
* | South32 Ltd. | 19,358,877 | 26,736 |
APA Group | 4,053,851 | 25,748 | |
Caltex Australia Ltd. | 982,250 | 24,112 | |
Sonic Healthcare Ltd. | 1,462,421 | 24,081 | |
Oil Search Ltd. | 4,265,366 | 23,445 | |
Lend Lease Group | 1,984,991 | 22,951 | |
Ramsay Health Care Ltd. | 469,949 | 22,261 | |
Orica Ltd. | 1,351,037 | 22,177 | |
Santos Ltd. | 3,641,105 | 21,984 | |
James Hardie Industries plc | 1,621,328 | 21,580 | |
ASX Ltd. | 696,665 | 21,426 | |
GPT Group | 6,427,264 | 21,189 | |
Dexus Property Group | 3,491,579 | 19,647 | |
Mirvac Group | 13,323,918 | 18,982 | |
Asciano Ltd. | 3,543,318 | 18,157 | |
Incitec Pivot Ltd. | 6,095,373 | 18,071 | |
Computershare Ltd. | 1,798,899 | 16,202 | |
Bendigo & Adelaide Bank Ltd. | 1,649,946 | 15,601 | |
Tatts Group Ltd. | 5,313,647 | 15,236 | |
Sydney Airport | 3,950,087 | 15,157 | |
Coca-Cola Amatil Ltd. | 1,971,989 | 13,910 | |
* | Medibank Pvt Ltd. | 8,927,844 | 13,834 |
Aristocrat Leisure Ltd. | 2,305,410 | 13,595 | |
Seek Ltd. | 1,251,507 | 13,562 | |
Bank of Queensland Ltd. | 1,333,723 | 13,123 | |
Crown Resorts Ltd. | 1,378,108 | 12,949 | |
Cochlear Ltd. | 207,148 | 12,801 | |
Boral Ltd. | 2,839,579 | 12,792 | |
Challenger Ltd. | 2,098,357 | 10,877 | |
Tabcorp Holdings Ltd. | 3,005,753 | 10,536 | |
Alumina Ltd. | 8,879,830 | 10,453 | |
Ansell Ltd. | 554,590 | 10,288 | |
Echo Entertainment Group Ltd. | 2,984,178 | 10,018 |
1
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Qantas Airways Ltd. | 4,030,563 | 9,794 |
Iluka Resources Ltd. | 1,542,700 | 9,123 | |
Treasury Wine Estates Ltd. | 2,368,400 | 9,095 | |
^ | Fortescue Metals Group Ltd. | 5,841,173 | 8,603 |
Healthscope Ltd. | 3,905,069 | 8,177 | |
IOOF Holdings Ltd. | 1,091,357 | 7,558 | |
TPG Telecom Ltd. | 1,039,088 | 7,177 | |
Orora Ltd. | 4,351,553 | 7,011 | |
WorleyParsons Ltd. | 871,417 | 6,996 | |
ALS Ltd. | 1,507,496 | 6,793 | |
AusNet Services | 6,302,762 | 6,780 | |
Harvey Norman Holdings Ltd. | 1,926,588 | 6,690 | |
DuluxGroup Ltd. | 1,410,314 | 6,215 | |
* | CIMIC Group Ltd. | 367,027 | 6,149 |
Recall Holdings Ltd. | 1,127,564 | 6,018 | |
Perpetual Ltd. | 159,012 | 5,921 | |
Downer EDI Ltd. | 1,582,827 | 5,826 | |
REA Group Ltd. | 191,208 | 5,768 | |
Fairfax Media Ltd. | 8,799,267 | 5,524 | |
Adelaide Brighton Ltd. | 1,651,218 | 5,483 | |
Flight Centre Travel Group Ltd. | 203,391 | 5,346 | |
CSR Ltd. | 1,835,596 | 5,149 | |
^ | Sims Metal Management Ltd. | 617,699 | 4,941 |
Platinum Asset Management Ltd. | 851,224 | 4,906 | |
BlueScope Steel Ltd. | 2,080,906 | 4,802 | |
Shopping Centres Australasia Property Group | 2,414,330 | 3,962 | |
Macquarie Atlas Roads Group | 1,505,549 | 3,689 | |
Nufarm Ltd. | 645,306 | 3,595 | |
OZ Minerals Ltd. | 1,102,607 | 3,381 | |
Seven West Media Ltd. | 4,144,720 | 3,256 | |
^ | Metcash Ltd. | 3,487,799 | 2,968 |
*,^ | Whitehaven Coal Ltd. | 2,075,019 | 2,098 |
GWA Group Ltd. | 957,400 | 1,678 | |
New Hope Corp. Ltd. | 878,227 | 1,281 | |
* | BGP Holdings PLC | 7,179,555 | — |
3,414,815 | |||
Austria (0.2%) | |||
* | Erste Group Bank AG | 1,062,957 | 30,285 |
^ | voestalpine AG | 407,481 | 16,983 |
ANDRITZ AG | 265,193 | 14,685 | |
^ | OMV AG | 523,099 | 14,401 |
* | IMMOFINANZ AG | 3,428,999 | 8,099 |
*,^ | Raiffeisen Bank International AG | 425,822 | 6,196 |
Vienna Insurance Group AG Wiener Versicherung Gruppe | 139,569 | 4,796 | |
^ | Verbund AG | 240,587 | 3,501 |
Telekom Austria AG | 289,978 | 1,917 | |
100,863 | |||
Belgium (1.2%) | |||
Anheuser-Busch InBev NV | 2,902,335 | 349,269 | |
KBC Groep NV | 1,000,438 | 67,068 | |
UCB SA | 442,416 | 31,812 | |
Delhaize Group SA | 373,399 | 30,371 | |
Ageas | 734,161 | 28,326 | |
Solvay SA Class A | 204,753 | 28,208 | |
Groupe Bruxelles Lambert SA | 281,362 | 22,688 | |
Umicore SA | 392,710 | 18,648 | |
Proximus | 508,696 | 18,001 | |
RTL Group SA | 140,752 | 12,724 | |
Colruyt SA | 239,663 | 10,751 | |
* | Telenet Group Holding NV | 186,436 | 10,144 |
bpost SA | 362,092 | 9,958 | |
637,968 |
2
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Denmark (1.6%) | |||
Novo Nordisk A/S Class B | 6,708,928 | 368,152 | |
Danske Bank A/S | 2,863,494 | 84,178 | |
Pandora A/S | 405,028 | 43,461 | |
AP Moeller - Maersk A/S Class B | 23,807 | 43,044 | |
Vestas Wind Systems A/S | 807,895 | 40,268 | |
Novozymes A/S | 810,815 | 38,522 | |
Carlsberg A/S Class B | 384,502 | 34,838 | |
AP Moeller - Maersk A/S Class A | 16,344 | 28,664 | |
Coloplast A/S Class B | 366,094 | 24,010 | |
TDC A/S | 2,911,535 | 21,343 | |
DSV A/S | 618,031 | 20,012 | |
ISS A/S | 582,277 | 19,178 | |
Chr Hansen Holding A/S | 312,050 | 15,216 | |
* | Jyske Bank A/S | 257,263 | 12,919 |
* | Tryg A/S | 430,338 | 8,973 |
* | William Demant Holding A/S | 88,194 | 6,722 |
* | H Lundbeck A/S | 213,013 | 4,099 |
813,599 | |||
Finland (0.8%) | |||
Nokia Oyj | 13,624,370 | 92,877 | |
Sampo Oyj Class A | 1,710,690 | 80,620 | |
Kone Oyj Class B | 1,380,192 | 56,022 | |
UPM-Kymmene Oyj | 1,932,689 | 34,201 | |
Fortum Oyj | 1,618,682 | 28,756 | |
Wartsila OYJ Abp | 565,984 | 26,520 | |
Stora Enso Oyj | 2,085,291 | 21,490 | |
Nokian Renkaat Oyj | 485,583 | 15,214 | |
Metso Oyj | 485,933 | 13,355 | |
Orion Oyj Class B | 363,816 | 12,744 | |
Neste Oyj | 465,629 | 11,878 | |
Kesko Oyj Class B | 246,373 | 8,579 | |
402,256 | |||
France (8.5%) | |||
Sanofi | 4,106,306 | 406,237 | |
TOTAL SA | 7,480,526 | 366,928 | |
BNP Paribas SA | 3,554,318 | 215,686 | |
AXA SA | 7,011,331 | 177,751 | |
LVMH Moet Hennessy Louis Vuitton SE | 911,510 | 160,253 | |
Schneider Electric SE | 2,011,348 | 139,264 | |
Airbus Group SE | 2,016,840 | 131,372 | |
Danone SA | 2,028,125 | 131,371 | |
Societe Generale SA | 2,629,041 | 123,365 | |
^ | Vivendi SA | 4,226,565 | 107,172 |
Orange SA | 6,554,664 | 101,298 | |
Vinci SA | 1,696,673 | 98,471 | |
GDF Suez | 5,174,964 | 96,350 | |
Air Liquide SA | 700,707 | 88,913 | |
L'Oreal SA | 495,727 | 88,696 | |
Essilor International SA | 724,234 | 86,764 | |
^ | Pernod Ricard SA | 714,630 | 82,613 |
Cie de Saint-Gobain | 1,643,970 | 74,211 | |
Cie Generale des Etablissements Michelin | 680,944 | 71,652 | |
Air Liquide SA (Prime de fidelite) | 545,732 | 69,248 | |
Safran SA | 1,015,331 | 69,001 | |
L'Oreal SA Loyalty Line | 368,925 | 66,009 | |
Renault SA | 625,580 | 65,591 | |
Carrefour SA | 2,002,304 | 64,341 | |
Legrand SA | 966,488 | 54,396 | |
Publicis Groupe SA | 707,070 | 52,410 | |
Cap Gemini SA | 568,054 | 50,396 | |
Kering | 270,952 | 48,443 | |
Valeo SA | 282,460 | 44,680 | |
Credit Agricole SA | 2,790,574 | 41,663 |
3
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Accor SA | 733,984 | 37,147 | |
Christian Dior SE | 188,570 | 36,916 | |
* | Alcatel-Lucent | 10,064,455 | 36,708 |
SES SA | 1,080,443 | 36,322 | |
Veolia Environnement SA | 1,694,407 | 34,692 | |
Dassault Systemes | 461,742 | 33,520 | |
Hermes International | 88,245 | 32,949 | |
Sodexo SA | 328,986 | 31,319 | |
* | Peugeot SA | 1,378,873 | 28,435 |
Klepierre | 644,905 | 28,434 | |
Bouygues SA | 683,331 | 25,689 | |
Natixis SA | 3,395,158 | 24,504 | |
Groupe Eurotunnel SE | 1,674,472 | 24,279 | |
Technip SA | 390,510 | 24,202 | |
Atos SE | 318,729 | 23,817 | |
^ | Ingenico Group | 196,086 | 23,069 |
Zodiac Aerospace | 698,794 | 22,762 | |
Thales SA | 369,883 | 22,349 | |
Lafarge SA (Paris Shares) | 337,309 | 22,302 | |
* | Alstom SA | 784,728 | 22,290 |
Suez Environnement Co. | 1,173,887 | 21,915 | |
Bureau Veritas SA | 937,707 | 21,616 | |
Lafarge SA | 326,764 | 21,605 | |
* | Numericable-SFR SAS | 371,367 | 19,756 |
Eutelsat Communications SA | 595,904 | 19,250 | |
Bollore SA | 3,558,685 | 19,037 | |
STMicroelectronics NV | 2,295,446 | 18,793 | |
Iliad SA | 84,493 | 18,786 | |
Edenred | 732,828 | 18,107 | |
SCOR SE | 511,052 | 18,072 | |
Arkema SA | 247,315 | 17,878 | |
Rexel SA | 1,072,845 | 17,312 | |
Electricite de France SA | 721,365 | 16,136 | |
Casino Guichard Perrachon SA | 208,549 | 15,829 | |
Societe BIC SA | 98,188 | 15,662 | |
Gecina SA | 124,549 | 15,364 | |
Credit Agricole SA Loyalty Line | 951,298 | 14,203 | |
Wendel SA | 110,494 | 13,577 | |
Lagardere SCA | 410,105 | 12,000 | |
^ | JCDecaux SA | 284,585 | 11,901 |
Aeroports de Paris | 104,255 | 11,777 | |
Fonciere Des Regions | 130,187 | 11,076 | |
CNP Assurances | 599,083 | 10,027 | |
Eurazeo SA | 150,052 | 9,967 | |
Imerys SA | 122,341 | 9,385 | |
ICADE | 128,020 | 9,157 | |
SEB SA | 96,360 | 9,002 | |
Vallourec SA | 425,430 | 8,691 | |
Eiffage SA | 147,232 | 8,198 | |
Ipsen SA | 123,848 | 6,865 | |
Societe Television Francaise 1 | 382,958 | 6,588 | |
Remy Cointreau SA | 85,196 | 6,155 | |
BioMerieux | 51,142 | 5,454 | |
Electricite de France SA Loyalty Line | 229,038 | 5,123 | |
Euler Hermes Group | 47,572 | 4,783 | |
*,^ | Air France-KLM | 537,031 | 3,789 |
4,419,086 | |||
Germany (8.0%) | |||
Bayer AG | 3,009,996 | 421,521 | |
Daimler AG | 3,476,890 | 316,730 | |
BASF SE | 3,359,958 | 295,653 | |
Siemens AG | 2,823,708 | 285,679 | |
Allianz SE | 1,656,688 | 258,363 | |
SAP SE | 3,251,834 | 227,877 |
4
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Deutsche Telekom AG | 11,338,611 | 195,481 |
Deutsche Bank AG | 5,020,864 | 150,961 | |
Volkswagen AG Preference Shares | 558,605 | 129,641 | |
Bayerische Motoren Werke AG | 1,182,489 | 129,500 | |
Linde AG | 673,350 | 127,609 | |
Deutsche Post AG | 3,459,222 | 101,076 | |
Continental AG | 392,899 | 93,030 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 520,987 | 92,368 | |
Fresenius SE & Co. KGaA | 1,426,543 | 91,593 | |
E.ON SE | 6,746,485 | 89,961 | |
Henkel AG & Co. KGaA Preference Shares | 631,195 | 70,830 | |
Fresenius Medical Care AG & Co. KGaA | 768,122 | 63,590 | |
adidas AG | 739,276 | 56,565 | |
Deutsche Boerse AG | 669,643 | 55,465 | |
Infineon Technologies AG | 4,082,914 | 50,667 | |
* | Commerzbank AG | 3,781,927 | 48,347 |
Porsche Automobil Holding SE Preference Shares | 557,367 | 46,995 | |
Merck KGaA | 469,917 | 46,846 | |
Henkel AG & Co. KGaA | 425,345 | 40,559 | |
HeidelbergCement AG | 511,635 | 40,551 | |
ThyssenKrupp AG | 1,544,283 | 40,174 | |
ProSiebenSat.1 Media AG | 775,008 | 38,281 | |
RWE AG | 1,760,179 | 37,859 | |
Brenntag AG | 562,098 | 32,254 | |
Beiersdorf AG | 363,025 | 30,418 | |
K&S AG | 695,334 | 29,321 | |
GEA Group AG | 643,954 | 28,729 | |
Deutsche Wohnen AG | 1,225,356 | 28,093 | |
Symrise AG | 442,257 | 27,467 | |
HUGO BOSS AG | 233,521 | 26,107 | |
Volkswagen AG | 107,091 | 24,797 | |
Hannover Rueck SE | 219,290 | 21,224 | |
* | QIAGEN NV | 843,799 | 20,738 |
LANXESS AG | 332,943 | 19,644 | |
United Internet AG | 430,116 | 19,117 | |
METRO AG | 599,996 | 18,950 | |
MTU Aero Engines AG | 184,996 | 17,411 | |
Wirecard AG | 417,077 | 15,963 | |
Evonik Industries AG | 389,767 | 14,883 | |
OSRAM Licht AG | 308,073 | 14,739 | |
MAN SE | 128,191 | 13,207 | |
*,2 | Zalando SE | 381,864 | 12,760 |
Telefonica Deutschland Holding AG | 1,947,365 | 11,218 | |
* | Deutsche Lufthansa AG | 841,384 | 10,856 |
Fuchs Petrolub SE Preference Shares | 255,322 | 10,796 | |
* | Kabel Deutschland Holding AG | 77,022 | 10,307 |
Fraport AG Frankfurt Airport Services Worldwide | 134,067 | 8,421 | |
Axel Springer SE | 151,110 | 7,936 | |
HOCHTIEF AG | 93,247 | 7,229 | |
Fielmann AG | 91,577 | 6,224 | |
Wacker Chemie AG | 54,183 | 5,598 | |
* | Hella KGaA Hueck & Co. | 113,559 | 5,469 |
Celesio AG | 169,874 | 4,925 | |
^ | Suedzucker AG | 287,708 | 4,792 |
^ | FUCHS PETROLUB SE | 119,366 | 4,557 |
Talanx AG | 136,742 | 4,197 | |
Puma SE | 9,846 | 1,564 | |
4,163,683 | |||
Greece (0.1%) | |||
Hellenic Telecommunications Organization SA | 881,353 | 7,428 | |
OPAP SA | 753,806 | 6,012 | |
* | National Bank of Greece SA | 4,116,669 | 4,532 |
* | Alpha Bank AE | 13,813,358 | 4,167 |
* | Piraeus Bank SA | 7,951,445 | 2,935 |
5
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | National Bank of Greece SA ADR | 1,195,823 | 1,256 |
26,330 | |||
Hong Kong (3.6%) | |||
AIA Group Ltd. | 43,840,588 | 286,659 | |
Hong Kong Exchanges and Clearing Ltd. | 4,287,450 | 151,066 | |
* | CK Hutchison Holdings Ltd. | 10,252,212 | 150,728 |
Sun Hung Kai Properties Ltd. | 6,057,839 | 98,033 | |
* | Cheung Kong Property Holdings Ltd. | 10,251,946 | 85,041 |
Hang Seng Bank Ltd. | 2,789,074 | 54,473 | |
BOC Hong Kong Holdings Ltd. | 13,082,849 | 54,451 | |
Hong Kong & China Gas Co. Ltd. | 24,830,332 | 52,028 | |
Jardine Matheson Holdings Ltd. | 888,744 | 50,385 | |
Link REIT | 8,312,057 | 48,642 | |
CLP Holdings Ltd. | 5,607,559 | 47,659 | |
Power Assets Holdings Ltd. | 4,817,716 | 43,925 | |
Hongkong Land Holdings Ltd. | 4,289,953 | 35,180 | |
Wharf Holdings Ltd. | 4,953,952 | 32,922 | |
Galaxy Entertainment Group Ltd. | 7,740,248 | 30,798 | |
Sands China Ltd. | 8,778,289 | 29,502 | |
Swire Pacific Ltd. Class A | 2,107,965 | 26,470 | |
Henderson Land Development Co. Ltd. | 3,732,433 | 25,515 | |
Want Want China Holdings Ltd. | 24,034,090 | 25,376 | |
New World Development Co. Ltd. | 19,381,740 | 25,325 | |
Jardine Strategic Holdings Ltd. | 818,934 | 24,774 | |
China Mengniu Dairy Co. Ltd. | 4,927,623 | 24,554 | |
Hang Lung Properties Ltd. | 8,210,484 | 24,401 | |
MTR Corp. Ltd. | 5,045,011 | 23,472 | |
Bank of East Asia Ltd. | 4,207,843 | 18,383 | |
Sino Land Co. Ltd. | 10,885,152 | 18,169 | |
Cheung Kong Infrastructure Holdings Ltd. | 2,173,671 | 16,873 | |
Li & Fung Ltd. | 20,940,826 | 16,601 | |
Samsonite International SA | 4,652,489 | 16,063 | |
Wheelock & Co. Ltd. | 2,971,305 | 15,162 | |
Techtronic Industries Co. Ltd. | 4,566,949 | 14,932 | |
AAC Technologies Holdings Inc. | 2,617,030 | 14,758 | |
Tingyi Cayman Islands Holding Corp. | 6,928,851 | 14,136 | |
Swire Properties Ltd. | 4,328,136 | 13,804 | |
Hysan Development Co. Ltd. | 2,338,584 | 10,127 | |
Yue Yuen Industrial Holdings Ltd. | 3,009,567 | 10,067 | |
*,^ | Goldin Financial Holdings Ltd. | 7,583,987 | 9,753 |
* | Semiconductor Manufacturing International Corp. | 86,660,089 | 9,446 |
Kerry Properties Ltd. | 2,333,424 | 9,147 | |
Cathay Pacific Airways Ltd. | 3,711,101 | 9,118 | |
^ | Prada SPA | 1,860,724 | 8,945 |
PCCW Ltd. | 14,636,278 | 8,730 | |
ASM Pacific Technology Ltd. | 869,664 | 8,606 | |
*,2 | WH Group Ltd. | 11,719,009 | 7,976 |
VTech Holdings Ltd. | 574,215 | 7,615 | |
Esprit Holdings Ltd. | 7,826,471 | 7,325 | |
NWS Holdings Ltd. | 5,045,324 | 7,293 | |
^ | Sun Art Retail Group Ltd. | 8,039,387 | 7,235 |
SJM Holdings Ltd. | 6,642,211 | 7,182 | |
Hopewell Holdings Ltd. | 1,960,687 | 7,179 | |
First Pacific Co. Ltd. | 8,457,738 | 7,129 | |
*,^ | Brightoil Petroleum Holdings Ltd. | 12,445,536 | 6,411 |
Wynn Macau Ltd. | 3,746,041 | 6,242 | |
Television Broadcasts Ltd. | 1,039,849 | 6,172 | |
New World China Land Ltd. | 9,335,519 | 5,506 | |
Shangri-La Asia Ltd. | 3,867,753 | 5,393 | |
FIH Mobile Ltd. | 8,494,964 | 5,137 | |
Champion REIT | 8,413,556 | 4,622 | |
L'Occitane International SA | 1,594,961 | 4,546 | |
MGM China Holdings Ltd. | 2,747,071 | 4,486 | |
* | Global Brands Group Holding Ltd. | 20,602,428 | 4,330 |
6
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Uni-President China Holdings Ltd. | 4,633,722 | 4,271 | |
^ | Chow Tai Fook Jewellery Group Ltd. | 3,964,417 | 4,270 |
Cafe de Coral Holdings Ltd. | 1,172,690 | 4,235 | |
Johnson Electric Holdings Ltd. | 1,299,864 | 4,184 | |
Huabao International Holdings Ltd. | 6,932,015 | 4,167 | |
China Travel International Investment Hong Kong Ltd. | 9,431,704 | 4,140 | |
^ | Melco International Development Ltd. | 2,912,460 | 4,112 |
Orient Overseas International Ltd. | 715,805 | 3,654 | |
Shun Tak Holdings Ltd. | 6,557,228 | 3,625 | |
Xinyi Glass Holdings Ltd. | 6,827,077 | 3,625 | |
Dah Sing Financial Holdings Ltd. | 540,220 | 3,541 | |
Shui On Land Ltd. | 12,235,020 | 3,468 | |
Great Eagle Holdings Ltd. | 906,688 | 3,377 | |
^ | Xinyi Solar Holdings Ltd. | 8,050,978 | 3,335 |
Lifestyle International Holdings Ltd. | 1,670,530 | 3,099 | |
Kerry Logistics Network Ltd. | 1,954,362 | 3,087 | |
Shougang Fushan Resources Group Ltd. | 12,885,711 | 3,005 | |
*,^ | China Oceanwide Holdings Ltd. | 15,756,104 | 3,002 |
* | United Co. RUSAL plc | 5,959,435 | 2,956 |
Melco Crown Entertainment Ltd. | 487,402 | 2,933 | |
Dah Sing Banking Group Ltd. | 1,298,984 | 2,839 | |
Texwinca Holdings Ltd. | 2,233,930 | 2,373 | |
Towngas China Co. Ltd. | 2,403,066 | 2,195 | |
^ | SA Sa International Holdings Ltd. | 3,532,227 | 1,912 |
*,^ | Macau Legend Development Ltd. | 5,652,505 | 1,842 |
Hutchison Telecommunications Hong Kong Holdings Ltd. | 4,390,435 | 1,823 | |
Hopewell Highway Infrastructure Ltd. | 3,336,160 | 1,639 | |
Kowloon Development Co. Ltd. | 1,214,266 | 1,532 | |
*,^ | China Huarong Energy Co. Ltd. | 13,892,460 | 1,201 |
Parkson Retail Group Ltd. | 4,935,617 | 1,030 | |
1,896,450 | |||
Ireland (0.2%) | |||
* | Bank of Ireland | 100,406,786 | 40,645 |
Kerry Group plc Class A | 531,069 | 39,395 | |
Ryanair Holdings plc ADR | 327,806 | 23,389 | |
Smurfit Kappa Group plc | 837,507 | 23,083 | |
Ryanair Holdings plc | 335,174 | 4,432 | |
* | Irish Bank Resolution Corp. Ltd. | 257,065 | — |
130,944 | |||
Israel (0.7%) | |||
Teva Pharmaceutical Industries Ltd. | 3,488,202 | 206,425 | |
Bank Hapoalim BM | 3,577,685 | 19,255 | |
* | Bank Leumi Le-Israel BM | 4,547,188 | 19,214 |
Bezeq The Israeli Telecommunication Corp. Ltd. | 7,461,822 | 12,707 | |
NICE-Systems Ltd. | 196,356 | 12,471 | |
Israel Chemicals Ltd. | 1,609,784 | 11,243 | |
* | Israel Discount Bank Ltd. Class A | 3,770,233 | 7,231 |
Elbit Systems Ltd. | 86,044 | 6,753 | |
Frutarom Industries Ltd. | 129,279 | 5,421 | |
Azrieli Group | 130,991 | 5,228 | |
Mizrahi Tefahot Bank Ltd. | 411,636 | 5,101 | |
Delek Group Ltd. | 16,656 | 4,911 | |
Gazit-Globe Ltd. | 314,269 | 3,746 | |
Israel Corp. Ltd. | 8,299 | 2,929 | |
Osem Investments Ltd. | 138,283 | 2,877 | |
Paz Oil Co. Ltd. | 17,045 | 2,687 | |
First International Bank Of Israel Ltd. | 156,532 | 2,230 | |
* | Strauss Group Ltd. | 113,807 | 1,845 |
Harel Insurance Investments & Financial Services Ltd. | 388,117 | 1,763 | |
Melisron Ltd. | 46,012 | 1,645 | |
Shikun & Binui Ltd. | 711,472 | 1,597 | |
* | Oil Refineries Ltd. | 3,662,436 | 1,316 |
* | Clal Insurance Enterprises Holdings Ltd. | 70,027 | 1,146 |
Delek Automotive Systems Ltd. | 100,445 | 1,123 |
7
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Kenon Holdings Ltd. | 56,151 | 1,121 |
Migdal Insurance & Financial Holding Ltd. | 753,034 | 874 | |
* | Partner Communications Co. Ltd. | 298,599 | 822 |
* | Cellcom Israel Ltd. (Registered) | 172,653 | 689 |
344,370 | |||
Italy (2.2%) | |||
Eni SPA | 8,965,799 | 159,247 | |
Intesa Sanpaolo SPA (Registered) | 43,815,411 | 159,115 | |
UniCredit SPA | 17,507,383 | 117,665 | |
Enel SPA | 24,984,560 | 113,238 | |
Assicurazioni Generali SPA | 4,588,519 | 82,703 | |
* | Telecom Italia SPA (Registered) | 37,980,749 | 48,267 |
* | Fiat Chrysler Automobiles NV | 3,185,439 | 46,731 |
Luxottica Group SPA | 638,854 | 42,495 | |
Snam SPA | 7,891,372 | 37,555 | |
Atlantia SPA | 1,444,187 | 35,683 | |
CNH Industrial NV | 3,335,266 | 30,434 | |
Unione di Banche Italiane SCpA | 3,144,247 | 25,230 | |
Tenaris SA | 1,750,437 | 23,610 | |
Terna Rete Elettrica Nazionale SPA | 5,195,225 | 22,972 | |
Telecom Italia SPA (Bearer) | 22,007,404 | 22,442 | |
* | Banco Popolare SC | 1,311,004 | 21,587 |
Pirelli & C. SPA | 1,210,893 | 20,437 | |
Mediobanca SPA | 1,994,561 | 19,556 | |
* | Finmeccanica SPA | 1,384,849 | 17,420 |
Banca Monte dei Paschi di Siena SPA | 8,774,936 | 17,098 | |
EXOR SPA | 355,139 | 16,965 | |
Prysmian SPA | 748,119 | 16,172 | |
Mediaset SPA | 2,721,444 | 13,102 | |
Enel Green Power SPA | 5,644,896 | 11,035 | |
*,^ | Saipem SPA | 905,832 | 9,572 |
Davide Campari-Milano SPA | 1,026,621 | 7,815 | |
Mediolanum SPA | 931,989 | 7,693 | |
^ | UnipolSai SPA | 2,974,201 | 7,368 |
Salvatore Ferragamo SPA | 169,811 | 5,101 | |
UnipolSai SPA | 1,357,399 | 3,363 | |
Parmalat SPA | 1,122,563 | 2,929 | |
1,164,600 | |||
Japan (23.2%) | |||
Toyota Motor Corp. | 9,641,974 | 645,215 | |
Mitsubishi UFJ Financial Group Inc. | 51,497,417 | 370,496 | |
Sumitomo Mitsui Financial Group Inc. | 4,889,494 | 217,676 | |
Honda Motor Co. Ltd. | 6,526,593 | 210,939 | |
SoftBank Corp. | 3,425,052 | 201,746 | |
Mizuho Financial Group Inc. | 87,058,257 | 188,371 | |
KDDI Corp. | 6,753,122 | 162,966 | |
FANUC Corp. | 711,623 | 145,609 | |
Japan Tobacco Inc. | 3,834,870 | 136,327 | |
Takeda Pharmaceutical Co. Ltd. | 2,814,454 | 135,850 | |
Murata Manufacturing Co. Ltd. | 729,091 | 127,238 | |
Central Japan Railway Co. | 691,469 | 124,779 | |
East Japan Railway Co. | 1,380,550 | 124,110 | |
Canon Inc. | 3,779,581 | 122,604 | |
Seven & i Holdings Co. Ltd. | 2,836,888 | 121,775 | |
* | Sony Corp. | 4,177,593 | 118,631 |
Astellas Pharma Inc. | 8,031,272 | 114,412 | |
Mitsubishi Corp. | 5,139,412 | 112,985 | |
Hitachi Ltd. | 16,880,638 | 111,202 | |
Tokio Marine Holdings Inc. | 2,594,643 | 107,909 | |
Panasonic Corp. | 7,743,016 | 106,050 | |
Mitsubishi Estate Co. Ltd. | 4,602,850 | 99,137 | |
NTT DOCOMO Inc. | 5,045,853 | 96,873 | |
Mitsui Fudosan Co. Ltd. | 3,449,510 | 96,527 | |
Nissan Motor Co. Ltd. | 9,236,789 | 96,496 |
8
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
June 30, 2015 | ||
Market | ||
Value | ||
Shares | ($000) | |
Shin-Etsu Chemical Co. Ltd. | 1,499,814 | 93,005 |
Mitsubishi Electric Corp. | 7,183,622 | 92,760 |
Keyence Corp. | 166,483 | 89,731 |
Bridgestone Corp. | 2,424,493 | 89,616 |
Kao Corp. | 1,913,663 | 88,999 |
Fast Retailing Co. Ltd. | 193,092 | 87,562 |
Denso Corp. | 1,737,494 | 86,446 |
Nomura Holdings Inc. | 12,772,428 | 86,238 |
Mitsui & Co. Ltd. | 6,298,283 | 85,569 |
Fuji Heavy Industries Ltd. | 2,278,536 | 83,784 |
Dai-ichi Life Insurance Co. Ltd. | 4,110,630 | 80,723 |
Nippon Steel & Sumitomo Metal Corp. | 30,761,070 | 79,759 |
Nippon Telegraph & Telephone Corp. | 2,180,536 | 78,970 |
Kubota Corp. | 4,547,301 | 72,104 |
Mitsubishi Heavy Industries Ltd. | 11,655,184 | 70,851 |
ITOCHU Corp. | 5,334,573 | 70,455 |
ORIX Corp. | 4,712,671 | 69,981 |
Daikin Industries Ltd. | 969,594 | 69,703 |
Komatsu Ltd. | 3,463,295 | 69,485 |
SMC Corp. | 225,742 | 67,930 |
Eisai Co. Ltd. | 1,002,893 | 67,239 |
Nintendo Co. Ltd. | 393,307 | 65,614 |
Sumitomo Mitsui Trust Holdings Inc. | 13,911,194 | 63,638 |
Nidec Corp. | 835,888 | 62,556 |
Hoya Corp. | 1,539,964 | 61,675 |
MS&AD Insurance Group Holdings Inc. | 1,976,290 | 61,519 |
Kyocera Corp. | 1,176,713 | 61,180 |
FUJIFILM Holdings Corp. | 1,665,731 | 59,447 |
Sumitomo Realty & Development Co. Ltd. | 1,582,759 | 55,471 |
Daiwa House Industry Co. Ltd. | 2,349,479 | 54,738 |
Sompo Japan Nipponkoa Holdings Inc. | 1,404,988 | 51,445 |
Suzuki Motor Corp. | 1,522,019 | 51,367 |
Nitto Denko Corp. | 600,551 | 49,319 |
Oriental Land Co. Ltd. | 767,961 | 48,988 |
Secom Co. Ltd. | 753,531 | 48,954 |
Sumitomo Corp. | 4,090,700 | 47,613 |
Toray Industries Inc. | 5,629,937 | 47,588 |
Toshiba Corp. | 13,872,646 | 47,573 |
Daiwa Securities Group Inc. | 6,358,417 | 47,565 |
Daiichi Sankyo Co. Ltd. | 2,527,552 | 46,711 |
Asahi Group Holdings Ltd. | 1,459,341 | 46,346 |
Resona Holdings Inc. | 8,444,899 | 46,060 |
Rakuten Inc. | 2,831,125 | 45,706 |
Tokyo Gas Co. Ltd. | 8,597,699 | 45,642 |
Shionogi & Co. Ltd. | 1,163,092 | 45,074 |
Otsuka Holdings Co. Ltd. | 1,400,710 | 44,631 |
West Japan Railway Co. | 691,660 | 44,252 |
Sumitomo Electric Industries Ltd. | 2,786,654 | 43,130 |
Dentsu Inc. | 818,049 | 42,320 |
Kirin Holdings Co. Ltd. | 3,051,033 | 42,025 |
Ajinomoto Co. Inc. | 1,916,193 | 41,438 |
JFE Holdings Inc. | 1,869,050 | 41,411 |
Olympus Corp. | 1,170,123 | 40,399 |
Asahi Kasei Corp. | 4,842,703 | 39,723 |
Tokyo Electron Ltd. | 623,805 | 39,647 |
Shimano Inc. | 286,729 | 39,127 |
Chubu Electric Power Co. Inc. | 2,578,684 | 38,433 |
Inpex Corp. | 3,346,096 | 37,981 |
JX Holdings Inc. | 8,790,461 | 37,899 |
Mazda Motor Corp. | 1,935,918 | 37,884 |
Recruit Holdings Co. Ltd. | 1,220,954 | 37,232 |
Aeon Co. Ltd. | 2,605,804 | 36,977 |
Ono Pharmaceutical Co. Ltd. | 337,823 | 36,872 |
Fujitsu Ltd. | 6,479,958 | 36,206 |
9
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
T&D Holdings Inc. | 2,399,867 | 35,776 | |
Toyota Industries Corp. | 616,176 | 35,089 | |
Marubeni Corp. | 6,058,422 | 34,767 | |
TDK Corp. | 447,105 | 34,236 | |
Sumitomo Chemical Co. Ltd. | 5,607,055 | 33,689 | |
MEIJI Holdings Co. Ltd. | 257,753 | 33,258 | |
Sekisui House Ltd. | 2,064,196 | 32,781 | |
Japan Exchange Group Inc. | 999,140 | 32,391 | |
Shiseido Co. Ltd. | 1,425,626 | 32,335 | |
Omron Corp. | 727,474 | 31,600 | |
* | Kansai Electric Power Co. Inc. | 2,819,567 | 31,214 |
* | Tokyo Electric Power Co. Inc. | 5,660,543 | 30,838 |
Sysmex Corp. | 513,048 | 30,556 | |
Unicharm Corp. | 1,286,021 | 30,549 | |
Aisin Seiki Co. Ltd. | 717,138 | 30,492 | |
Mitsubishi Chemical Holdings Corp. | 4,806,001 | 30,214 | |
Daito Trust Construction Co. Ltd. | 278,601 | 28,834 | |
Terumo Corp. | 1,201,920 | 28,822 | |
NEC Corp. | 9,450,604 | 28,599 | |
Osaka Gas Co. Ltd. | 7,182,886 | 28,349 | |
Tokyu Corp. | 4,224,809 | 28,275 | |
Chugai Pharmaceutical Co. Ltd. | 809,527 | 27,923 | |
Isuzu Motors Ltd. | 2,127,639 | 27,914 | |
Sumitomo Metal Mining Co. Ltd. | 1,811,199 | 27,546 | |
Hankyu Hanshin Holdings Inc. | 4,596,745 | 27,134 | |
NSK Ltd. | 1,727,059 | 26,630 | |
Ricoh Co. Ltd. | 2,547,360 | 26,388 | |
Kawasaki Heavy Industries Ltd. | 5,620,877 | 26,200 | |
NGK Insulators Ltd. | 1,016,798 | 26,163 | |
Yamato Holdings Co. Ltd. | 1,334,903 | 25,811 | |
Bank of Yokohama Ltd. | 4,177,180 | 25,581 | |
Makita Corp. | 458,391 | 24,826 | |
IHI Corp. | 5,175,533 | 24,098 | |
Isetan Mitsukoshi Holdings Ltd. | 1,321,812 | 23,615 | |
Yakult Honsha Co. Ltd. | 396,833 | 23,504 | |
Tohoku Electric Power Co. Inc. | 1,735,684 | 23,500 | |
Dai Nippon Printing Co. Ltd. | 2,263,230 | 23,354 | |
Rohm Co. Ltd. | 346,450 | 23,212 | |
Electric Power Development Co. Ltd. | 652,366 | 23,045 | |
Nitori Holdings Co. Ltd. | 278,237 | 22,684 | |
Yamaha Motor Co. Ltd. | 1,017,802 | 22,239 | |
Taisei Corp. | 3,848,193 | 22,092 | |
Toyota Tsusho Corp. | 821,297 | 22,038 | |
Kintetsu Group Holdings Co. Ltd. | 6,467,553 | 22,025 | |
Shizuoka Bank Ltd. | 2,103,363 | 21,956 | |
Kikkoman Corp. | 694,340 | 21,680 | |
Minebea Co. Ltd. | 1,295,318 | 21,384 | |
TOTO Ltd. | 1,178,250 | 21,237 | |
Odakyu Electric Railway Co. Ltd. | 2,269,676 | 21,177 | |
Asahi Glass Co. Ltd. | 3,489,447 | 20,949 | |
Santen Pharmaceutical Co. Ltd. | 1,459,520 | 20,650 | |
LIXIL Group Corp. | 1,032,185 | 20,474 | |
NGK Spark Plug Co. Ltd. | 728,737 | 20,182 | |
Chiba Bank Ltd. | 2,632,674 | 20,047 | |
NTT Data Corp. | 458,230 | 20,011 | |
Shimizu Corp. | 2,374,999 | 19,987 | |
Konica Minolta Inc. | 1,694,340 | 19,748 | |
* | Kyushu Electric Power Co. Inc. | 1,691,417 | 19,610 |
Yahoo Japan Corp. | 4,851,954 | 19,583 | |
Alps Electric Co. Ltd. | 628,798 | 19,392 | |
Mitsubishi Motors Corp. | 2,249,757 | 19,132 | |
Nippon Paint Holdings Co. Ltd. | 660,001 | 18,599 | |
Suntory Beverage & Food Ltd. | 459,844 | 18,307 | |
Mitsubishi Materials Corp. | 4,721,236 | 18,128 |
10
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Seiko Epson Corp. | 1,016,656 | 18,016 | |
Kobe Steel Ltd. | 10,669,578 | 17,951 | |
Obayashi Corp. | 2,459,891 | 17,938 | |
Koito Manufacturing Co. Ltd. | 454,505 | 17,697 | |
Don Quijote Holdings Co. Ltd. | 413,518 | 17,595 | |
Hirose Electric Co. Ltd. | 122,400 | 17,537 | |
Sekisui Chemical Co. Ltd. | 1,425,130 | 17,495 | |
Asics Corp. | 675,296 | 17,445 | |
J Front Retailing Co. Ltd. | 918,938 | 17,296 | |
Toppan Printing Co. Ltd. | 2,059,927 | 17,221 | |
Ryohin Keikaku Co. Ltd. | 86,477 | 16,770 | |
Chugoku Electric Power Co. Inc. | 1,130,634 | 16,493 | |
^ | Casio Computer Co. Ltd. | 836,046 | 16,491 |
Seibu Holdings Inc. | 707,350 | 16,380 | |
Nippon Yusen KK | 5,878,997 | 16,367 | |
Lawson Inc. | 238,493 | 16,320 | |
Bank of Kyoto Ltd. | 1,412,940 | 16,253 | |
Aozora Bank Ltd. | 4,281,328 | 16,154 | |
NH Foods Ltd. | 708,245 | 16,151 | |
Fukuoka Financial Group Inc. | 3,114,230 | 16,141 | |
Tobu Railway Co. Ltd. | 3,669,988 | 15,764 | |
Keio Corp. | 2,203,677 | 15,763 | |
Kuraray Co. Ltd. | 1,271,629 | 15,533 | |
JTEKT Corp. | 821,129 | 15,528 | |
JGC Corp. | 804,696 | 15,190 | |
Daicel Corp. | 1,179,645 | 15,137 | |
Hamamatsu Photonics KK | 513,015 | 15,127 | |
Suruga Bank Ltd. | 701,598 | 15,029 | |
Oji Holdings Corp. | 3,435,002 | 14,928 | |
Nikon Corp. | 1,274,515 | 14,729 | |
Kajima Corp. | 3,127,117 | 14,687 | |
Nippon Express Co. Ltd. | 2,932,503 | 14,409 | |
Amada Holdings Co. Ltd. | 1,343,641 | 14,182 | |
Tokyu Fudosan Holdings Corp. | 1,837,477 | 14,162 | |
Nomura Research Institute Ltd. | 358,654 | 14,025 | |
USS Co. Ltd. | 775,390 | 13,984 | |
Shimadzu Corp. | 1,022,139 | 13,873 | |
Joyo Bank Ltd. | 2,473,190 | 13,848 | |
Bandai Namco Holdings Inc. | 710,910 | 13,738 | |
Teijin Ltd. | 3,504,876 | 13,601 | |
Keikyu Corp. | 1,799,268 | 13,573 | |
Tosoh Corp. | 2,182,791 | 13,563 | |
MISUMI Group Inc. | 955,143 | 13,560 | |
Kansai Paint Co. Ltd. | 871,033 | 13,495 | |
Kyowa Hakko Kirin Co. Ltd. | 1,019,097 | 13,317 | |
Mitsui OSK Lines Ltd. | 4,115,892 | 13,175 | |
Toyo Suisan Kaisha Ltd. | 358,302 | 13,055 | |
Trend Micro Inc. | 380,364 | 13,011 | |
M3 Inc. | 645,609 | 12,978 | |
Nisshin Seifun Group Inc. | 974,263 | 12,949 | |
Brother Industries Ltd. | 915,135 | 12,946 | |
Yamaha Corp. | 637,536 | 12,849 | |
Keisei Electric Railway Co. Ltd. | 1,078,023 | 12,817 | |
NOK Corp. | 413,503 | 12,812 | |
Taiheiyo Cement Corp. | 4,372,210 | 12,786 | |
Iyo Bank Ltd. | 1,040,741 | 12,777 | |
Hiroshima Bank Ltd. | 2,124,451 | 12,686 | |
JSR Corp. | 718,349 | 12,681 | |
Nissin Foods Holdings Co. Ltd. | 288,038 | 12,620 | |
Gunma Bank Ltd. | 1,707,693 | 12,600 | |
Mitsui Chemicals Inc. | 3,382,760 | 12,568 | |
Pigeon Corp. | 398,203 | 12,541 | |
Credit Saison Co. Ltd. | 583,473 | 12,493 | |
Japan Airlines Co. Ltd. | 356,317 | 12,417 |
11
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
June 30, 2015 | ||
Market | ||
Value | ||
Shares | ($000) | |
Mitsubishi Tanabe Pharma Corp. | 824,291 | 12,349 |
Mabuchi Motor Co. Ltd. | 194,541 | 12,305 |
Hino Motors Ltd. | 978,537 | 12,097 |
Hachijuni Bank Ltd. | 1,599,734 | 12,062 |
Marui Group Co. Ltd. | 889,839 | 12,022 |
Haseko Corp. | 1,015,772 | 11,965 |
Sumitomo Heavy Industries Ltd. | 2,053,358 | 11,959 |
NTN Corp. | 1,897,557 | 11,921 |
Nagoya Railroad Co. Ltd. | 3,175,821 | 11,875 |
Nissan Chemical Industries Ltd. | 536,073 | 11,829 |
Yaskawa Electric Corp. | 919,041 | 11,755 |
Hokuhoku Financial Group Inc. | 4,973,033 | 11,733 |
Shinsei Bank Ltd. | 5,788,114 | 11,665 |
ANA Holdings Inc. | 4,287,353 | 11,624 |
Hisamitsu Pharmaceutical Co. Inc. | 299,141 | 11,613 |
Stanley Electric Co. Ltd. | 557,352 | 11,608 |
Taisho Pharmaceutical Holdings Co. Ltd. | 170,692 | 11,531 |
Japan Airport Terminal Co. Ltd. | 211,620 | 11,518 |
Air Water Inc. | 626,949 | 11,462 |
Hulic Co. Ltd. | 1,279,737 | 11,341 |
Calbee Inc. | 268,346 | 11,305 |
AEON Financial Service Co. Ltd. | 401,997 | 11,153 |
Yamaguchi Financial Group Inc. | 894,252 | 11,135 |
Rinnai Corp. | 140,984 | 11,102 |
Sony Financial Holdings Inc. | 632,827 | 11,080 |
Nabtesco Corp. | 441,428 | 11,073 |
Seven Bank Ltd. | 2,388,602 | 11,057 |
Sojitz Corp. | 4,551,729 | 11,055 |
Toho Gas Co. Ltd. | 1,857,875 | 10,999 |
Obic Co. Ltd. | 246,313 | 10,981 |
Keihan Electric Railway Co. Ltd. | 1,872,734 | 10,906 |
Alfresa Holdings Corp. | 700,575 | 10,902 |
Daihatsu Motor Co. Ltd. | 761,819 | 10,843 |
Shimamura Co. Ltd. | 102,665 | 10,779 |
Toho Co. Ltd. | 432,985 | 10,766 |
Hitachi Metals Ltd. | 696,141 | 10,702 |
Yokogawa Electric Corp. | 820,506 | 10,567 |
Miraca Holdings Inc. | 211,390 | 10,562 |
SBI Holdings Inc. | 767,089 | 10,546 |
FamilyMart Co. Ltd. | 227,357 | 10,455 |
Tokyo Tatemono Co. Ltd. | 751,976 | 10,437 |
Chugoku Bank Ltd. | 655,322 | 10,329 |
MediPal Holdings Corp. | 623,211 | 10,151 |
Hokuriku Electric Power Co. | 680,833 | 10,142 |
Sumitomo Rubber Industries Ltd. | 650,479 | 10,076 |
Tsuruha Holdings Inc. | 128,825 | 10,021 |
Toyo Seikan Group Holdings Ltd. | 622,735 | 9,991 |
Mitsubishi UFJ Lease & Finance Co. Ltd. | 1,824,619 | 9,978 |
Kurita Water Industries Ltd. | 428,002 | 9,970 |
Yamada Denki Co. Ltd. | 2,491,254 | 9,966 |
TonenGeneral Sekiyu KK | 1,066,362 | 9,919 |
Takashimaya Co. Ltd. | 1,080,349 | 9,793 |
Suzuken Co. Ltd. | 304,606 | 9,745 |
Sohgo Security Services Co. Ltd. | 246,013 | 9,716 |
Hakuhodo DY Holdings Inc. | 904,404 | 9,672 |
THK Co. Ltd. | 432,084 | 9,324 |
Ezaki Glico Co. Ltd. | 187,169 | 9,295 |
Fuji Electric Co. Ltd. | 2,158,435 | 9,283 |
Iida Group Holdings Co. Ltd. | 583,350 | 9,274 |
Kose Corp. | 111,922 | 9,205 |
Kaken Pharmaceutical Co. Ltd. | 262,422 | 9,162 |
Nomura Real Estate Holdings Inc. | 432,348 | 9,074 |
Mitsubishi Gas Chemical Co. Inc. | 1,597,183 | 8,943 |
Kaneka Corp. | 1,224,336 | 8,941 |
12
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Nankai Electric Railway Co. Ltd. | 1,960,069 | 8,798 | |
Sega Sammy Holdings Inc. | 667,965 | 8,734 | |
Yamazaki Baking Co. Ltd. | 523,821 | 8,722 | |
Yokohama Rubber Co. Ltd. | 433,566 | 8,700 | |
Kewpie Corp. | 410,713 | 8,696 | |
Otsuka Corp. | 184,956 | 8,634 | |
Zenkoku Hosho Co. Ltd. | 240,829 | 8,572 | |
Hoshizaki Electric Co. Ltd. | 143,427 | 8,436 | |
Citizen Holdings Co. Ltd. | 1,207,125 | 8,422 | |
* | Shikoku Electric Power Co. Inc. | 559,747 | 8,379 |
^ | Taiyo Nippon Sanso Corp. | 690,407 | 8,355 |
Sotetsu Holdings Inc. | 1,600,352 | 8,337 | |
Sugi Holdings Co. Ltd. | 162,911 | 8,312 | |
Sumco Corp. | 661,870 | 8,278 | |
CyberAgent Inc. | 174,049 | 8,257 | |
Dowa Holdings Co. Ltd. | 864,751 | 8,172 | |
Kobayashi Pharmaceutical Co. Ltd. | 120,171 | 8,161 | |
77 Bank Ltd. | 1,332,965 | 8,126 | |
Nippon Shokubai Co. Ltd. | 588,455 | 8,050 | |
Kamigumi Co. Ltd. | 845,285 | 7,935 | |
Aoyama Trading Co. Ltd. | 196,109 | 7,923 | |
Aeon Mall Co. Ltd. | 422,694 | 7,915 | |
Ebara Corp. | 1,633,136 | 7,903 | |
DeNA Co. Ltd. | 398,665 | 7,835 | |
Kawasaki Kisen Kaisha Ltd. | 3,277,981 | 7,733 | |
DMG Mori Co. Ltd. | 399,488 | 7,704 | |
Toyo Tire & Rubber Co. Ltd. | 364,000 | 7,692 | |
* | Hokkaido Electric Power Co. Inc. | 672,092 | 7,624 |
Disco Corp. | 92,143 | 7,617 | |
Sawai Pharmaceutical Co. Ltd. | 130,407 | 7,590 | |
Nippon Electric Glass Co. Ltd. | 1,496,400 | 7,567 | |
Nishi-Nippon City Bank Ltd. | 2,626,344 | 7,567 | |
^ | Lion Corp. | 936,270 | 7,503 |
DIC Corp. | 2,982,874 | 7,447 | |
Nichirei Corp. | 1,073,522 | 7,409 | |
NHK Spring Co. Ltd. | 671,979 | 7,399 | |
Denki Kagaku Kogyo KK | 1,662,641 | 7,388 | |
Sundrug Co. Ltd. | 123,945 | 7,380 | |
Kakaku.com Inc. | 504,562 | 7,300 | |
Ube Industries Ltd. | 3,848,060 | 7,259 | |
Benesse Holdings Inc. | 288,616 | 7,235 | |
Showa Denko KK | 5,424,080 | 7,183 | |
Idemitsu Kosan Co. Ltd. | 365,177 | 7,164 | |
Nihon Kohden Corp. | 288,461 | 7,137 | |
Ibiden Co. Ltd. | 420,757 | 7,116 | |
Mitsubishi Logistics Corp. | 535,330 | 7,026 | |
Nifco Inc. | 160,230 | 6,945 | |
Nippon Shinyaku Co. Ltd. | 226,634 | 6,943 | |
*,^ | Sharp Corp. | 5,711,168 | 6,940 |
Nippon Kayaku Co. Ltd. | 643,139 | 6,934 | |
Sankyo Co. Ltd. | 195,808 | 6,932 | |
Sanwa Holdings Corp. | 823,933 | 6,931 | |
Azbil Corp. | 264,001 | 6,826 | |
Hitachi Chemical Co. Ltd. | 375,424 | 6,762 | |
Nippon Paper Industries Co. Ltd. | 384,593 | 6,736 | |
Hitachi Construction Machinery Co. Ltd. | 382,648 | 6,698 | |
Japan Aviation Electronics Industry Ltd. | 245,508 | 6,674 | |
Nexon Co. Ltd. | 484,137 | 6,665 | |
Hitachi High-Technologies Corp. | 235,385 | 6,617 | |
Topcon Corp. | 274,142 | 6,605 | |
Matsumotokiyoshi Holdings Co. Ltd. | 142,933 | 6,594 | |
Konami Corp. | 352,828 | 6,558 | |
Fujikura Ltd. | 1,167,859 | 6,529 | |
OKUMA Corp. | 576,525 | 6,506 |
13
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
H2O Retailing Corp. | 311,987 | 6,497 | |
Toyoda Gosei Co. Ltd. | 269,397 | 6,494 | |
Tokai Tokyo Financial Holdings Inc. | 886,035 | 6,440 | |
Park24 Co. Ltd. | 374,145 | 6,405 | |
Advantest Corp. | 614,483 | 6,389 | |
Square Enix Holdings Co. Ltd. | 288,166 | 6,371 | |
Glory Ltd. | 214,612 | 6,349 | |
Sumitomo Dainippon Pharma Co. Ltd. | 573,288 | 6,318 | |
Seino Holdings Co. Ltd. | 563,196 | 6,305 | |
Tadano Ltd. | 421,428 | 6,294 | |
Nishi-Nippon Railroad Co. Ltd. | 1,369,654 | 6,287 | |
Izumi Co. Ltd. | 148,093 | 6,252 | |
^ | Sanrio Co. Ltd. | 226,666 | 6,159 |
Nisshinbo Holdings Inc. | 546,671 | 6,110 | |
Showa Shell Sekiyu KK | 698,786 | 6,106 | |
Ushio Inc. | 467,033 | 6,079 | |
Nagase & Co. Ltd. | 438,231 | 6,039 | |
Maruichi Steel Tube Ltd. | 242,591 | 6,021 | |
Rohto Pharmaceutical Co. Ltd. | 364,391 | 6,011 | |
COMSYS Holdings Corp. | 399,060 | 5,936 | |
Sumitomo Forestry Co. Ltd. | 475,791 | 5,868 | |
Temp Holdings Co. Ltd. | 161,123 | 5,815 | |
Taiyo Yuden Co. Ltd. | 407,121 | 5,707 | |
Resorttrust Inc. | 230,188 | 5,596 | |
Chiyoda Corp. | 627,539 | 5,554 | |
GS Yuasa Corp. | 1,412,873 | 5,548 | |
San-In Godo Bank Ltd. | 574,486 | 5,539 | |
Hikari Tsushin Inc. | 82,103 | 5,534 | |
*,^ | Acom Co. Ltd. | 1,438,148 | 5,513 |
Century Tokyo Leasing Corp. | 169,074 | 5,461 | |
Mitsui Mining & Smelting Co. Ltd. | 1,999,975 | 5,413 | |
Takara Holdings Inc. | 689,713 | 5,397 | |
Japan Steel Works Ltd. | 1,295,638 | 5,354 | |
K's Holdings Corp. | 148,495 | 5,348 | |
Shimachu Co. Ltd. | 185,178 | 5,339 | |
Daido Steel Co. Ltd. | 1,275,801 | 5,314 | |
Wacoal Holdings Corp. | 454,229 | 5,308 | |
Zeon Corp. | 575,501 | 5,308 | |
Tsumura & Co. | 244,375 | 5,257 | |
Juroku Bank Ltd. | 1,285,158 | 5,255 | |
Sumitomo Osaka Cement Co. Ltd. | 1,417,344 | 5,242 | |
Daishi Bank Ltd. | 1,238,447 | 5,227 | |
Kinden Corp. | 391,804 | 5,181 | |
Awa Bank Ltd. | 812,045 | 5,171 | |
Toyobo Co. Ltd. | 3,237,368 | 5,157 | |
^ | Bic Camera Inc. | 403,643 | 5,086 |
House Foods Group Inc. | 266,677 | 5,068 | |
Start Today Co. Ltd. | 179,719 | 5,026 | |
ABC-Mart Inc. | 82,072 | 5,023 | |
Oracle Corp. Japan | 120,095 | 5,021 | |
Shiga Bank Ltd. | 926,393 | 4,990 | |
UNY Group Holdings Co. Ltd. | 776,530 | 4,966 | |
TS Tech Co. Ltd. | 183,578 | 4,909 | |
SCSK Corp. | 160,928 | 4,907 | |
Okasan Securities Group Inc. | 698,284 | 4,905 | |
Keiyo Bank Ltd. | 932,367 | 4,899 | |
SCREEN Holdings Co. Ltd. | 767,335 | 4,829 | |
* | Japan Display Inc. | 1,278,897 | 4,827 |
Jafco Co. Ltd. | 121,070 | 4,825 | |
Higo Bank Ltd. | 741,503 | 4,825 | |
Musashino Bank Ltd. | 120,180 | 4,742 | |
Mitsui Engineering & Shipbuilding Co. Ltd. | 2,725,451 | 4,715 | |
HIS Co. Ltd. | 134,471 | 4,580 | |
Sapporo Holdings Ltd. | 1,222,495 | 4,541 |
14
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Tokai Rika Co. Ltd. | 181,492 | 4,533 | |
Autobacs Seven Co. Ltd. | 269,054 | 4,499 | |
North Pacific Bank Ltd. | 1,007,517 | 4,498 | |
Nipro Corp. | 438,709 | 4,490 | |
Itochu Techno-Solutions Corp. | 178,309 | 4,441 | |
^ | Kagome Co. Ltd. | 272,833 | 4,397 |
Hyakugo Bank Ltd. | 885,585 | 4,388 | |
Coca-Cola East Japan Co. Ltd. | 236,378 | 4,371 | |
Hitachi Capital Corp. | 164,696 | 4,355 | |
Furukawa Electric Co. Ltd. | 2,441,504 | 4,349 | |
Senshu Ikeda Holdings Inc. | 959,090 | 4,348 | |
Kagoshima Bank Ltd. | 600,304 | 4,336 | |
Lintec Corp. | 188,447 | 4,309 | |
Ito En Ltd. | 204,060 | 4,280 | |
Cosmos Pharmaceutical Corp. | 31,507 | 4,275 | |
Coca-Cola West Co. Ltd. | 234,183 | 4,227 | |
Maeda Road Construction Co. Ltd. | 224,614 | 4,133 | |
Nisshin Steel Co. Ltd. | 329,091 | 4,077 | |
Hokkoku Bank Ltd. | 1,086,399 | 3,982 | |
Toda Corp. | 864,647 | 3,968 | |
Calsonic Kansei Corp. | 555,586 | 3,951 | |
Pola Orbis Holdings Inc. | 69,670 | 3,944 | |
NTT Urban Development Corp. | 391,231 | 3,886 | |
* | Cosmo Oil Co. Ltd. | 2,334,345 | 3,794 |
Toyota Boshoku Corp. | 224,688 | 3,786 | |
Nissan Shatai Co. Ltd. | 275,465 | 3,768 | |
Shochiku Co. Ltd. | 413,502 | 3,700 | |
Yamato Kogyo Co. Ltd. | 157,231 | 3,673 | |
Capcom Co. Ltd. | 182,784 | 3,539 | |
Japan Petroleum Exploration Co. Ltd. | 110,381 | 3,510 | |
Hyakujushi Bank Ltd. | 974,958 | 3,484 | |
Anritsu Corp. | 512,587 | 3,455 | |
Nanto Bank Ltd. | 953,195 | 3,409 | |
Onward Holdings Co. Ltd. | 494,049 | 3,406 | |
KYORIN Holdings Inc. | 166,989 | 3,405 | |
Matsui Securities Co. Ltd. | 384,952 | 3,377 | |
Rengo Co. Ltd. | 814,014 | 3,373 | |
*,^ | COLOPL Inc. | 166,685 | 3,368 |
*,^ | Aiful Corp. | 1,031,761 | 3,323 |
FP Corp. | 88,262 | 3,214 | |
Canon Marketing Japan Inc. | 188,942 | 3,213 | |
Nippo Corp. | 186,884 | 3,204 | |
Skylark Co. Ltd. | 226,600 | 2,985 | |
Kissei Pharmaceutical Co. Ltd. | 116,889 | 2,966 | |
Heiwa Corp. | 140,736 | 2,802 | |
^ | Fukuyama Transporting Co. Ltd. | 504,928 | 2,799 |
SKY Perfect JSAT Holdings Inc. | 511,267 | 2,744 | |
Nippon Television Holdings Inc. | 154,671 | 2,732 | |
Mochida Pharmaceutical Co. Ltd. | 47,408 | 2,682 | |
Asatsu-DK Inc. | 111,500 | 2,638 | |
Exedy Corp. | 104,443 | 2,608 | |
Hitachi Transport System Ltd. | 153,536 | 2,548 | |
Toshiba TEC Corp. | 456,252 | 2,469 | |
KYB Co. Ltd. | 697,772 | 2,416 | |
Komeri Co. Ltd. | 105,448 | 2,410 | |
* | Orient Corp. | 1,335,030 | 2,374 |
Kandenko Co. Ltd. | 379,711 | 2,371 | |
Toppan Forms Co. Ltd. | 150,291 | 2,069 | |
Gree Inc. | 336,553 | 1,965 | |
PanaHome Corp. | 269,368 | 1,917 | |
NS Solutions Corp. | 55,452 | 1,834 | |
Tokyo Broadcasting System Holdings Inc. | 132,482 | 1,828 | |
Fuji Media Holdings Inc. | 131,926 | 1,750 | |
Shinko Electric Industries Co. Ltd. | 234,111 | 1,688 |
15
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Daikyo Inc. | 1,034,579 | 1,664 | |
Sumitomo Real Estate Sales Co. Ltd. | 52,732 | 1,330 | |
^ | Takata Corp. | 119,673 | 1,303 |
TV Asahi Holdings Corp. | 75,630 | 1,270 | |
Mitsubishi Shokuhin Co. Ltd. | 49,200 | 1,101 | |
*,^ | Aplus Financial Co. Ltd. | 291,100 | 318 |
12,119,112 | |||
Netherlands (2.7%) | |||
Unilever NV | 5,663,139 | 236,771 | |
ING Groep NV | 14,047,947 | 233,272 | |
ASML Holding NV | 1,183,082 | 123,061 | |
Unibail-Rodamco SE | 357,949 | 90,921 | |
Koninklijke Philips NV | 3,308,550 | 84,443 | |
Akzo Nobel NV | 881,969 | 64,392 | |
Koninklijke Ahold NV | 3,254,554 | 61,097 | |
Heineken NV | 797,420 | 60,626 | |
Reed Elsevier NV | 2,223,404 | 52,885 | |
Aegon NV | 6,914,083 | 51,013 | |
* | Altice SA | 342,496 | 47,251 |
Koninklijke KPN NV | 11,294,853 | 43,303 | |
Koninklijke DSM NV | 635,456 | 36,895 | |
^ | ArcelorMittal | 3,633,295 | 35,285 |
Wolters Kluwer NV | 1,077,209 | 32,062 | |
Gemalto NV | 291,837 | 26,087 | |
Randstad Holding NV | 398,774 | 25,947 | |
Heineken Holding NV | 356,270 | 24,971 | |
NN Group NV | 736,515 | 20,742 | |
TNT Express NV | 1,697,234 | 14,414 | |
Boskalis Westminster NV | 282,175 | 13,851 | |
Koninklijke Vopak NV | 242,349 | 12,257 | |
* | OCI NV | 298,846 | 8,470 |
*,2 | GrandVision NV | 185,750 | 4,580 |
1,404,596 | |||
New Zealand (0.2%) | |||
Fletcher Building Ltd. | 2,504,610 | 13,782 | |
Spark New Zealand Ltd. | 6,660,462 | 12,607 | |
Auckland International Airport Ltd. | 3,259,592 | 10,910 | |
Fisher & Paykel Healthcare Corp. Ltd. | 1,948,248 | 9,051 | |
Ryman Healthcare Ltd. | 1,496,079 | 8,030 | |
SKYCITY Entertainment Group Ltd. | 2,113,074 | 6,012 | |
SKY Network Television Ltd. | 1,391,053 | 5,663 | |
Mighty River Power Ltd. | 2,528,235 | 4,781 | |
Contact Energy Ltd. | 1,318,941 | 4,476 | |
Kiwi Property Group Ltd. | 4,561,188 | 3,969 | |
*,^ | Xero Ltd. | 296,402 | 3,621 |
Air New Zealand Ltd. | 1,866,686 | 3,225 | |
Vector Ltd. | 904,801 | 2,017 | |
Warehouse Group Ltd. | 514,820 | 914 | |
89,058 | |||
Norway (0.6%) | |||
DNB ASA | 3,895,179 | 64,869 | |
Statoil ASA | 3,480,514 | 62,242 | |
Telenor ASA | 2,525,919 | 55,380 | |
Yara International ASA | 640,042 | 33,351 | |
Orkla ASA | 2,840,288 | 22,285 | |
Norsk Hydro ASA | 4,868,770 | 20,434 | |
^ | Seadrill Ltd. | 1,280,104 | 13,295 |
Marine Harvest ASA | 1,142,984 | 13,090 | |
Gjensidige Forsikring ASA | 621,795 | 10,012 | |
* | Subsea 7 SA | 993,678 | 9,720 |
Schibsted ASA Class A | 294,580 | 9,126 | |
* | Schibsted ASA Class B | 294,570 | 8,904 |
322,708 |
16
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Portugal (0.1%) | |||
EDP - Energias de Portugal SA | 6,962,627 | 26,528 | |
Galp Energia SGPS SA | 1,426,371 | 16,790 | |
* | Banco Comercial Portugues SA | 133,487,537 | 11,668 |
Jeronimo Martins SGPS SA | 883,642 | 11,394 | |
EDP Renovaveis SA | 717,627 | 5,105 | |
* | Banco Espirito Santo SA | 10,412,510 | 77 |
71,562 | |||
Singapore (1.4%) | |||
DBS Group Holdings Ltd. | 6,474,218 | 99,338 | |
Oversea-Chinese Banking Corp. Ltd. | 11,451,932 | 86,485 | |
Singapore Telecommunications Ltd. | 26,689,077 | 83,289 | |
United Overseas Bank Ltd. | 4,372,145 | 74,803 | |
Keppel Corp. Ltd. | 5,201,619 | 31,705 | |
CapitaLand Ltd. | 9,256,375 | 24,037 | |
Global Logistic Properties Ltd. | 11,047,531 | 20,739 | |
Wilmar International Ltd. | 7,677,653 | 18,687 | |
Singapore Press Holdings Ltd. | 5,852,786 | 17,720 | |
Singapore Exchange Ltd. | 3,011,505 | 17,494 | |
ComfortDelGro Corp. Ltd. | 7,338,450 | 17,042 | |
City Developments Ltd. | 2,159,538 | 15,671 | |
CapitaLand Mall Trust | 9,483,253 | 15,127 | |
Genting Singapore plc | 22,177,494 | 14,725 | |
Singapore Airlines Ltd. | 1,843,643 | 14,679 | |
Singapore Technologies Engineering Ltd. | 5,682,189 | 13,912 | |
Ascendas REIT | 7,199,576 | 13,144 | |
Hutchison Port Holdings Trust | 18,461,889 | 11,628 | |
Suntec REIT | 8,727,678 | 11,179 | |
Sembcorp Industries Ltd. | 3,255,420 | 9,396 | |
Noble Group Ltd. | 16,411,463 | 9,246 | |
Jardine Cycle & Carriage Ltd. | 361,776 | 8,882 | |
UOL Group Ltd. | 1,643,495 | 8,436 | |
CapitaLand Commercial Trust | 7,092,034 | 8,208 | |
Yangzijiang Shipbuilding Holdings Ltd. | 7,521,828 | 7,900 | |
Singapore Post Ltd. | 5,161,412 | 7,259 | |
Golden Agri-Resources Ltd. | 23,442,456 | 7,138 | |
^ | Sembcorp Marine Ltd. | 3,053,784 | 6,434 |
StarHub Ltd. | 2,105,269 | 6,172 | |
Venture Corp. Ltd. | 890,958 | 5,104 | |
SMRT Corp. Ltd. | 2,510,971 | 2,870 | |
M1 Ltd. | 1,072,140 | 2,579 | |
^ | Olam International Ltd. | 1,782,227 | 2,487 |
^ | SIA Engineering Co. Ltd. | 816,077 | 2,327 |
Yanlord Land Group Ltd. | 2,391,936 | 2,005 | |
*,^ | Neptune Orient Lines Ltd. | 3,278,499 | 1,995 |
Wing Tai Holdings Ltd. | 1,382,675 | 1,955 | |
Frasers Centrepoint Ltd. | 1,364,739 | 1,797 | |
^ | COSCO Corp. Singapore Ltd. | 3,606,369 | 1,284 |
^ | Fraser and Neave Ltd. | 625,470 | 1,244 |
Indofood Agri Resources Ltd. | 1,527,200 | 793 | |
* | Jardine Cycle & Carriage Ltd. Rights Exp. 07/15/2015 | 40,197 | 212 |
707,127 | |||
South Korea (3.9%) | |||
Samsung Electronics Co. Ltd. | 299,889 | 340,250 | |
Samsung Electronics Co. Ltd. GDR | 183,729 | 104,723 | |
SK Hynix Inc. | 1,952,301 | 73,995 | |
Hyundai Motor Co. | 565,015 | 68,783 | |
NAVER Corp. | 99,701 | 56,594 | |
POSCO | 270,081 | 54,081 | |
Shinhan Financial Group Co. Ltd. | 1,357,976 | 50,547 | |
Hyundai Mobis Co. Ltd. | 248,421 | 47,162 | |
Amorepacific Corp. | 115,742 | 43,283 | |
LG Chem Ltd. | 160,062 | 39,917 | |
Kia Motors Corp. | 946,671 | 38,406 |
17
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Samsung Fire & Marine Insurance Co. Ltd. | 143,487 | 37,809 | |
KT&G Corp. | 443,322 | 37,678 | |
KB Financial Group Inc. | 1,115,713 | 36,850 | |
Korea Electric Power Corp. | 845,860 | 34,575 | |
Hana Financial Group Inc. | 1,068,802 | 27,795 | |
Samsung Life Insurance Co. Ltd. | 285,952 | 27,552 | |
Samsung C&T Corp. | 454,033 | 26,956 | |
SK Innovation Co. Ltd. | 222,447 | 24,253 | |
Samsung SDS Co. Ltd. | 103,871 | 24,124 | |
LG Household & Health Care Ltd. | 34,123 | 23,654 | |
Samsung SDI Co. Ltd. | 201,672 | 20,002 | |
SK C&C Co. Ltd. | 80,369 | 19,886 | |
LG Display Co. Ltd. | 820,491 | 18,944 | |
Korea Zinc Co. Ltd. | 38,573 | 18,765 | |
AMOREPACIFIC Group | 110,030 | 18,413 | |
LG Corp. | 324,201 | 17,936 | |
*,^ | Celltrion Inc. | 248,612 | 17,388 |
LG Electronics Inc. | 398,537 | 16,850 | |
SK Holdings Co. Ltd. | 94,502 | 16,750 | |
SK Telecom Co. Ltd. ADR | 669,138 | 16,588 | |
Coway Co. Ltd. | 202,496 | 16,579 | |
^ | Hyundai Heavy Industries Co. Ltd. | 160,248 | 15,907 |
E-Mart Co. Ltd. | 76,329 | 15,801 | |
* | Cheil Industries Inc. | 97,181 | 15,460 |
^ | Hyundai Steel Co. | 241,183 | 14,632 |
CJ Corp. | 52,735 | 13,971 | |
Kangwon Land Inc. | 415,605 | 13,772 | |
Lotte Chemical Corp. | 52,850 | 13,673 | |
Hyundai Development Co-Engineering & Construction | 227,951 | 13,504 | |
^ | Daum Kakao Corp. | 116,801 | 13,206 |
Korea Aerospace Industries Ltd. | 178,252 | 12,685 | |
Orion Corp. | 13,452 | 12,614 | |
Hyundai Glovis Co. Ltd. | 67,072 | 12,127 | |
^ | Hotel Shilla Co. Ltd. | 118,680 | 11,864 |
Industrial Bank of Korea | 903,664 | 11,690 | |
Shinhan Financial Group Co. Ltd. ADR | 311,008 | 11,526 | |
BNK Financial Group Inc. | 906,038 | 11,519 | |
Hyosung Corp. | 87,307 | 11,242 | |
Samsung Securities Co. Ltd. | 216,526 | 10,573 | |
CJ CheilJedang Corp. | 26,694 | 10,545 | |
Hankook Tire Co. Ltd. | 271,296 | 10,203 | |
KB Financial Group Inc. ADR | 300,958 | 9,893 | |
Hyundai Engineering & Construction Co. Ltd. | 266,039 | 9,774 | |
SK Telecom Co. Ltd. | 43,626 | 9,762 | |
^ | Samsung Heavy Industries Co. Ltd. | 639,783 | 9,756 |
NCSoft Corp. | 53,630 | 9,530 | |
KCC Corp. | 21,503 | 9,462 | |
S-Oil Corp. | 155,203 | 9,380 | |
* | Woori Bank | 1,066,945 | 9,358 |
Samsung Electro-Mechanics Co. Ltd. | 204,481 | 9,353 | |
Daewoo Securities Co. Ltd. | 675,563 | 9,209 | |
Dongbu Insurance Co. Ltd. | 178,316 | 9,017 | |
Lotte Shopping Co. Ltd. | 41,007 | 8,611 | |
Korea Investment Holdings Co. Ltd. | 145,556 | 8,292 | |
GS Holdings Corp. | 186,139 | 8,283 | |
KEPCO Plant Service & Engineering Co. Ltd. | 77,200 | 8,164 | |
Hanwha Corp. | 187,882 | 7,943 | |
* | KT Corp. | 293,253 | 7,473 |
Hyundai Department Store Co. Ltd. | 56,209 | 7,398 | |
Daelim Industrial Co. Ltd. | 97,308 | 7,143 | |
Yuhan Corp. | 28,446 | 6,955 | |
LG Uplus Corp. | 756,736 | 6,685 | |
^ | OCI Co. Ltd. | 77,250 | 6,224 |
Shinsegae Co. Ltd. | 24,367 | 5,845 |
18
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Hyundai Marine & Fire Insurance Co. Ltd. | 214,969 | 5,679 | |
Hanwha Life Insurance Co. Ltd. | 778,211 | 5,533 | |
Hyundai Wia Corp. | 59,429 | 5,476 | |
DGB Financial Group Inc. | 521,537 | 5,462 | |
S-1 Corp. | 75,253 | 5,291 | |
Hyundai Securities Co. Ltd. | 636,043 | 5,158 | |
Lotte Chilsung Beverage Co. Ltd. | 2,143 | 5,098 | |
Lotte Confectionery Co. Ltd. | 2,915 | 5,073 | |
Woori Investment & Securities Co. Ltd. | 457,848 | 4,991 | |
* | Cheil Worldwide Inc. | 314,179 | 4,864 |
Hanwha Chemical Corp. | 286,294 | 4,792 | |
* | Korean Air Lines Co. Ltd. | 123,576 | 4,483 |
* | CJ Korea Express Co. Ltd. | 25,241 | 4,382 |
SK Networks Co. Ltd. | 527,672 | 4,244 | |
* | Doosan Infracore Co. Ltd. | 483,345 | 4,238 |
Samsung Card Co. Ltd. | 125,342 | 4,151 | |
Mirae Asset Securities Co. Ltd. | 91,311 | 4,122 | |
^ | Kumho Petrochemical Co. Ltd. | 64,332 | 4,078 |
^ | Daewoo Shipbuilding & Marine Engineering Co. Ltd. | 342,251 | 4,069 |
^ | Halla Visteon Climate Control Corp. | 117,011 | 4,042 |
*,^ | Daewoo Engineering & Construction Co. Ltd. | 705,465 | 3,900 |
Korea Gas Corp. | 99,236 | 3,843 | |
^ | Samsung Techwin Co. Ltd. | 145,026 | 3,807 |
Doosan Heavy Industries & Construction Co. Ltd. | 173,565 | 3,729 | |
^ | Paradise Co. Ltd. | 172,720 | 3,721 |
Daewoo International Corp. | 158,992 | 3,674 | |
*,^ | GS Engineering & Construction Corp. | 152,667 | 3,657 |
Korea Electric Power Corp. ADR | 177,871 | 3,621 | |
^ | NongShim Co. Ltd. | 11,630 | 3,024 |
*,^ | NHN Entertainment Corp. | 56,504 | 3,018 |
KT Corp. ADR | 237,080 | 3,004 | |
*,^ | Samsung Engineering Co. Ltd. | 102,764 | 2,905 |
^ | LG Hausys Ltd. | 21,238 | 2,833 |
Mando Corp. | 22,952 | 2,560 | |
Doosan Corp. | 24,855 | 2,427 | |
LS Corp. | 59,089 | 2,299 | |
SKC Co. Ltd. | 68,192 | 2,245 | |
^ | Hyundai Mipo Dockyard Co. Ltd. | 35,423 | 2,053 |
^ | Hite Jinro Co. Ltd. | 95,285 | 1,930 |
Samsung Fine Chemicals Co. Ltd. | 62,067 | 1,926 | |
*,^ | Hanjin Shipping Co. Ltd. | 360,053 | 1,852 |
*,^ | Hyundai Merchant Marine Co. Ltd. | 275,462 | 1,704 |
^ | KEPCO Engineering & Construction Co. Inc. | 44,255 | 1,519 |
Hyundai Hysco Co. Ltd. | 27,857 | 1,439 | |
2,029,028 | |||
Spain (3.1%) | |||
* | Banco Santander SA | 51,880,290 | 364,928 |
Banco Bilbao Vizcaya Argentaria SA | 22,789,444 | 224,567 | |
Telefonica SA | 15,572,606 | 221,838 | |
Iberdrola SA | 19,723,646 | 133,165 | |
Inditex SA | 3,857,718 | 125,829 | |
* | Repsol SA | 3,799,305 | 66,965 |
Amadeus IT Holding SA | 1,513,868 | 60,434 | |
* | Banco de Sabadell SA | 16,313,154 | 39,514 |
CaixaBank SA | 7,270,087 | 33,830 | |
* | Ferrovial SA | 1,465,639 | 31,843 |
Red Electrica Corp. SA | 394,154 | 31,651 | |
* | Banco Popular Espanol SA | 5,704,195 | 27,755 |
Gas Natural SDG SA | 1,118,192 | 25,391 | |
Abertis Infraestructuras SA | 1,499,977 | 24,633 | |
*,2 | Aena SA | 235,432 | 24,560 |
Grifols SA | 603,969 | 24,389 | |
Enagas SA | 824,587 | 22,447 | |
Endesa SA | 1,154,797 | 22,116 |
19
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Bankia SA | 16,747,435 | 21,322 |
* | ACS Actividades de Construccion y Servicios SA | 622,422 | 20,077 |
Bankinter SA | 2,509,133 | 18,610 | |
Distribuidora Internacional de Alimentacion SA | 2,350,582 | 18,014 | |
^ | Mapfre SA | 3,686,632 | 12,741 |
Mediaset Espana Comunicacion SA | 640,457 | 8,408 | |
Zardoya Otis SA | 656,550 | 7,166 | |
* | Acciona SA | 93,781 | 7,102 |
* | Acerinox SA | 494,588 | 6,846 |
Corp Financiera Alba SA | 62,882 | 2,914 | |
1,629,055 | |||
Sweden (2.7%) | |||
Nordea Bank AB | 11,561,479 | 144,192 | |
Hennes & Mauritz AB Class B | 3,455,667 | 133,004 | |
Telefonaktiebolaget LM Ericsson Class B | 10,848,446 | 112,988 | |
Swedbank AB Class A | 3,800,154 | 88,598 | |
* | Svenska Handelsbanken AB Class A | 5,242,074 | 76,525 |
Volvo AB Class B | 5,550,388 | 68,922 | |
Skandinaviska Enskilda Banken AB Class A | 5,291,398 | 67,684 | |
* | Assa Abloy AB Class B | 3,419,845 | 64,381 |
* | Atlas Copco AB Class A | 2,254,003 | 63,063 |
Investor AB Class B | 1,646,365 | 61,386 | |
TeliaSonera AB | 9,452,395 | 55,710 | |
Svenska Cellulosa AB SCA Class B | 2,109,834 | 53,649 | |
Sandvik AB | 3,921,691 | 43,355 | |
* | Atlas Copco AB Class B | 1,421,721 | 35,416 |
SKF AB | 1,511,418 | 34,488 | |
Hexagon AB Class B | 942,721 | 34,146 | |
Skanska AB Class B | 1,309,750 | 26,541 | |
Electrolux AB Class B | 808,358 | 25,328 | |
Investment AB Kinnevik | 742,281 | 23,478 | |
Swedish Match AB | 723,368 | 20,566 | |
Alfa Laval AB | 1,136,646 | 20,006 | |
Boliden AB | 997,154 | 18,179 | |
Trelleborg AB Class B | 880,943 | 16,291 | |
Getinge AB | 661,923 | 15,937 | |
Securitas AB Class B | 1,114,836 | 14,724 | |
Meda AB Class A | 992,634 | 13,814 | |
Industrivarden AB Class A | 705,350 | 13,790 | |
Tele2 AB | 1,124,516 | 13,095 | |
* | Lundin Petroleum AB | 758,901 | 13,020 |
Industrivarden AB | 594,814 | 11,210 | |
Husqvarna AB | 1,377,538 | 10,377 | |
Elekta AB Class B | 1,286,598 | 8,068 | |
Holmen AB | 176,787 | 5,159 | |
Melker Schorling AB | 38,231 | 2,058 | |
1,409,148 | |||
Switzerland (8.4%) | |||
Nestle SA | 11,603,160 | 837,175 | |
Novartis AG | 7,759,512 | 763,229 | |
Roche Holding AG | 2,557,389 | 717,070 | |
UBS Group AG | 12,780,583 | 271,159 | |
ABB Ltd. | 8,219,316 | 172,263 | |
Zurich Insurance Group AG | 542,291 | 165,089 | |
Credit Suisse Group AG | 5,688,877 | 156,942 | |
Cie Financiere Richemont SA | 1,857,904 | 151,007 | |
Syngenta AG | 333,802 | 136,199 | |
Swiss Re AG | 1,245,098 | 110,220 | |
Holcim Ltd. | 828,636 | 61,141 | |
Givaudan SA | 33,596 | 58,165 | |
Actelion Ltd. | 371,707 | 54,437 | |
Adecco SA | 602,697 | 48,913 | |
Swisscom AG | 82,822 | 46,417 | |
Geberit AG | 136,748 | 45,591 |
20
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Julius Baer Group Ltd. | 793,769 | 44,542 | |
Swatch Group AG (Bearer) | 110,368 | 43,008 | |
SGS SA | 18,580 | 33,882 | |
Sika AG | 7,639 | 26,942 | |
Swiss Life Holding AG | 117,022 | 26,796 | |
Schindler Holding AG | 160,867 | 26,310 | |
* | Dufry AG | 188,496 | 26,265 |
Sonova Holding AG | 188,854 | 25,538 | |
Lonza Group AG | 188,916 | 25,252 | |
Kuehne & Nagel International AG | 183,353 | 24,346 | |
Chocoladefabriken Lindt & Sprungli AG Registered Shares | 372 | 23,284 | |
Baloise Holding AG | 170,196 | 20,752 | |
^ | Transocean Ltd. | 1,268,930 | 20,572 |
Clariant AG | 980,136 | 20,089 | |
Partners Group Holding AG | 65,720 | 19,643 | |
Galenica AG | 17,818 | 18,584 | |
Chocoladefabriken Lindt & Sprungli AG Participation Certificates | 3,476 | 18,386 | |
Swiss Prime Site AG | 230,204 | 17,468 | |
Aryzta AG (Switzerland Shares) | 277,163 | 13,637 | |
Swatch Group AG (Registered) | 174,473 | 13,106 | |
Helvetia Holding AG | 21,903 | 12,520 | |
GAM Holding AG | 591,866 | 12,434 | |
Schindler Holding AG (Registered) | 75,946 | 12,403 | |
PSP Swiss Property AG | 144,305 | 12,359 | |
EMS-Chemie Holding AG | 26,274 | 11,101 | |
Sulzer AG | 85,186 | 8,762 | |
Barry Callebaut AG | 6,927 | 7,896 | |
Pargesa Holding SA | 105,227 | 7,085 | |
DKSH Holding AG | 96,963 | 7,008 | |
Banque Cantonale Vaudoise | 10,306 | 6,387 | |
Aryzta AG (Ireland Shares) | 26,749 | 1,322 | |
4,382,696 | |||
United Kingdom (19.2%) | |||
HSBC Holdings plc | 70,941,573 | 635,246 | |
BP plc | 66,380,090 | 440,548 | |
Royal Dutch Shell plc Class A | 14,177,812 | 400,870 | |
GlaxoSmithKline plc | 17,695,781 | 367,933 | |
British American Tobacco plc | 6,784,612 | 365,304 | |
Vodafone Group plc | 96,694,707 | 352,735 | |
AstraZeneca plc | 4,593,168 | 290,705 | |
Lloyds Banking Group plc | 209,382,777 | 281,036 | |
Diageo plc | 9,167,463 | 265,490 | |
Royal Dutch Shell plc Class B | 8,926,703 | 254,150 | |
Barclays plc | 60,876,374 | 249,513 | |
Prudential plc | 9,287,425 | 223,825 | |
BT Group plc | 30,461,526 | 215,711 | |
BG Group plc | 12,387,216 | 206,309 | |
Reckitt Benckiser Group plc | 2,311,052 | 199,294 | |
Unilever plc | 4,391,157 | 188,554 | |
Rio Tinto plc | 4,541,077 | 186,790 | |
SABMiller plc | 3,440,868 | 178,412 | |
National Grid plc | 13,729,092 | 176,706 | |
Shire plc | 2,139,527 | 171,912 | |
Imperial Tobacco Group plc | 3,506,571 | 168,886 | |
Glencore plc | 38,845,229 | 155,779 | |
BHP Billiton plc | 7,687,364 | 151,148 | |
Standard Chartered plc | 7,588,807 | 121,531 | |
Aviva plc | 14,705,413 | 113,900 | |
WPP plc | 4,779,920 | 107,292 | |
Compass Group plc | 6,072,754 | 100,439 | |
Tesco plc | 29,565,245 | 98,506 | |
Rolls-Royce Holdings plc | 6,683,838 | 91,297 | |
SSE plc | 3,593,825 | 86,705 | |
Legal & General Group plc | 21,613,220 | 84,510 |
21
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
June 30, 2015 | |||
Market | |||
Value | |||
Shares | ($000) | ||
ARM Holdings plc | 5,138,124 | 84,080 | |
BAE Systems plc | 11,512,472 | 81,572 | |
Centrica plc | 18,094,813 | 75,085 | |
Anglo American plc London Shares | 4,757,012 | 68,722 | |
Reed Elsevier plc | 4,120,646 | 66,964 | |
Experian plc | 3,613,196 | 65,719 | |
Next plc | 535,765 | 62,708 | |
Sky plc | 3,817,689 | 62,182 | |
Wolseley plc | 962,000 | 61,352 | |
Associated British Foods plc | 1,268,705 | 57,171 | |
ITV plc | 13,630,541 | 56,396 | |
Old Mutual plc | 17,782,209 | 56,287 | |
Pearson plc | 2,960,315 | 56,052 | |
Smith & Nephew plc | 3,262,793 | 55,198 | |
Land Securities Group plc | 2,864,328 | 54,162 | |
Whitbread plc | 656,043 | 50,968 | |
Marks & Spencer Group plc | 5,988,091 | 50,516 | |
Standard Life plc | 7,115,929 | 49,620 | |
Kingfisher plc | 8,618,656 | 47,011 | |
Capita plc | 2,408,607 | 46,801 | |
British Land Co. plc | 3,679,937 | 45,838 | |
CRH plc (Dublin Shares) | 1,583,612 | 44,647 | |
* | Royal Bank of Scotland Group plc | 7,849,232 | 43,403 |
London Stock Exchange Group plc | 1,135,312 | 42,235 | |
Burberry Group plc | 1,613,176 | 39,798 | |
CRH plc (London Shares) | 1,377,151 | 38,639 | |
Johnson Matthey plc | 745,778 | 35,565 | |
United Utilities Group plc | 2,480,938 | 34,749 | |
InterContinental Hotels Group plc | 860,275 | 34,684 | |
Barratt Developments plc | 3,586,811 | 34,596 | |
Persimmon plc | 1,112,666 | 34,522 | |
Taylor Wimpey plc | 11,763,933 | 34,307 | |
Carnival plc | 664,493 | 33,976 | |
Bunzl plc | 1,208,896 | 32,978 | |
Ashtead Group plc | 1,832,045 | 31,575 | |
Sage Group plc | 3,917,725 | 31,536 | |
GKN plc | 5,925,783 | 31,133 | |
Travis Perkins plc | 897,750 | 29,734 | |
Mondi plc | 1,336,640 | 28,777 | |
* | International Consolidated Airlines Group SA (London Shares) | 3,699,878 | 28,752 |
3i Group plc | 3,509,147 | 28,474 | |
Severn Trent plc | 866,284 | 28,307 | |
Hammerson plc | 2,854,917 | 27,591 | |
St. James's Place plc | 1,866,130 | 26,536 | |
Direct Line Insurance Group plc | 5,001,607 | 26,401 | |
Dixons Carphone plc | 3,613,543 | 25,696 | |
Smiths Group plc | 1,426,442 | 25,285 | |
DCC plc | 320,703 | 25,185 | |
Provident Financial plc | 532,025 | 24,461 | |
Berkeley Group Holdings plc | 457,851 | 24,060 | |
G4S plc | 5,648,345 | 23,817 | |
Inmarsat plc | 1,630,776 | 23,443 | |
Aberdeen Asset Management plc | 3,636,186 | 23,065 | |
RSA Insurance Group plc | 3,696,399 | 23,050 | |
Randgold Resources Ltd. | 337,920 | 22,667 | |
Intertek Group plc | 584,698 | 22,482 | |
WM Morrison Supermarkets plc | 7,875,512 | 22,357 | |
Rexam plc | 2,547,860 | 22,098 | |
Meggitt plc | 2,931,886 | 21,470 | |
Royal Mail plc | 2,649,678 | 21,422 | |
J Sainsbury plc | 5,144,724 | 21,416 | |
Croda International plc | 490,828 | 21,223 | |
DS Smith plc | 3,411,239 | 20,687 | |
Inchcape plc | 1,621,192 | 20,637 |
22
Vanguard® Developed Markets Index Fund | |||||
Schedule of Investments | |||||
June 30, 2015 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Weir Group plc | 772,991 | 20,602 | |||
Schroders plc | 411,674 | 20,541 | |||
Informa plc | 2,358,455 | 20,256 | |||
William Hill plc | 3,174,542 | 20,109 | |||
Aggreko plc | 873,586 | 19,732 | |||
Derwent London plc | 361,704 | 19,321 | |||
easyJet plc | 790,102 | 19,206 | |||
Pennon Group plc | 1,447,583 | 18,441 | |||
Amec Foster Wheeler plc | 1,423,240 | 18,279 | |||
Capital & Counties Properties plc | 2,639,402 | 18,044 | |||
TUI AG | 1,089,993 | 17,637 | |||
Tullow Oil plc | 3,292,583 | 17,597 | |||
IMI plc | 992,821 | 17,551 | |||
2 | Merlin Entertainments plc | 2,582,609 | 17,321 | ||
Segro plc | 2,700,581 | 17,207 | |||
Cobham plc | 4,134,982 | 17,078 | |||
Investec plc | 1,849,146 | 16,615 | |||
ICAP plc | 1,949,532 | 16,216 | |||
Intu Properties plc | 3,343,215 | 16,150 | |||
Admiral Group plc | 713,795 | 15,554 | |||
Babcock International Group plc | 915,449 | 15,510 | |||
* | Coca-Cola HBC AG | 718,970 | 15,430 | ||
Rentokil Initial plc | 6,588,189 | 15,301 | |||
Hikma Pharmaceuticals plc | 497,190 | 15,103 | |||
Hargreaves Lansdown plc | 794,035 | 14,386 | |||
Daily Mail & General Trust plc | 965,430 | 14,088 | |||
Melrose Industries plc | 3,622,466 | 14,080 | |||
Antofagasta plc | 1,292,595 | 13,991 | |||
Tate & Lyle plc | 1,698,435 | 13,867 | |||
Petrofac Ltd. | 940,349 | 13,683 | |||
John Wood Group plc | 1,332,936 | 13,490 | |||
^ | TalkTalk Telecom Group plc | 1,914,055 | 11,494 | ||
* | Sports Direct International plc | 916,927 | 10,338 | ||
TUI AG-DI | 619,859 | 10,016 | |||
Drax Group plc | 1,459,008 | 7,980 | |||
Fresnillo plc | 618,875 | 6,749 | |||
Polyus Gold International Ltd. | 2,434,180 | 6,722 | |||
^ | Ashmore Group plc | 1,423,497 | 6,470 | ||
Polymetal International plc | 777,124 | 6,328 | |||
* | Lonmin plc | 2,119 | 4 | ||
10,011,363 | |||||
Total Common Stocks (Cost $47,468,223) | 51,690,417 | ||||
Temporary Cash Investments (2.2%)1 | Coupon | ||||
Money Market Fund (2.1%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.137% | 1,073,646,465 | 1,073,646 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
5,6 | Federal Home Loan Bank Discount Notes | 0.069% | 8/26/15 | 16,000 | 15,998 |
5,6 | Federal Home Loan Bank Discount Notes | 0.090%-0.091% | 9/11/15 | 25,500 | 25,494 |
5,6 | Federal Home Loan Bank Discount Notes | 0.090% | 9/18/15 | 100 | 100 |
5,7 | Federal Home Loan Bank Discount Notes | 0.086% | 9/25/15 | 5,000 | 4,999 |
46,591 | |||||
Total Temporary Cash Investments (Cost $1,120,239) | 1,120,237 |
23
Vanguard® Developed Markets Index Fund | |
Schedule of Investments | |
June 30, 2015 | |
Total Investments (101.3%) (Cost $48,588,462) | 52,810,654 |
Other Assets and Liabilities—Net (-1.3%)4,8 | (667,144) |
Net Assets (100%) | 52,143,510 |
* | Non-income-producing security. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $502,477,000. |
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 1.5%, 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 June 30, 2015, the aggregate value of these securities was $67,197,000, representing 0.1% of net assets. |
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 $544,027,000 of collateral received for securities on loan. |
5 | 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. |
6 | Securities with a value of $20,695,000 have been segregated as initial margin for open futures contracts. |
7 | Securities with a value of $1,216,000 have been segregated as collateral for open forward currency contracts. |
8 | 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
This page intentionally left blank.
25
© 2015 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA1272 082015
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD TAX-MANAGED FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: August 18, 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: August 18, 2015 |
VANGUARD TAX-MANAGED FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 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.