UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY
Investment Company Act file number: 811-00834
Name of Registrant: Vanguard Windsor 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
Date of fiscal year end: October 31
Date of reporting period: July 31, 2012
Item 1: Schedule of Investments
Vanguard Windsor Fund
Schedule of Investments
As of July 31, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (96.1%)1 | |||
Consumer Discretionary (11.6%) | |||
Comcast Corp. | 7,246,900 | 231,393 | |
*,2 Buck Holdings LP Private Placement | NA | 153,058 | |
* | Toll Brothers Inc. | 5,245,700 | 153,017 |
Lowe's Cos. Inc. | 5,484,400 | 139,139 | |
Staples Inc. | 10,421,435 | 132,769 | |
Kohl's Corp. | 2,308,300 | 114,769 | |
Lennar Corp. Class A | 3,545,700 | 103,570 | |
Virgin Media Inc. | 3,066,400 | 83,958 | |
Omnicom Group Inc. | 1,575,500 | 79,059 | |
* | Delphi Automotive plc | 2,317,400 | 65,791 |
* | Apollo Group Inc. Class A | 2,087,200 | 56,772 |
TJX Cos. Inc. | 830,600 | 36,779 | |
JC Penney Co. Inc. | 1,525,500 | 34,339 | |
* | General Motors Co. | 1,564,900 | 30,844 |
1,415,257 | |||
Consumer Staples (6.7%) | |||
Japan Tobacco Inc. | 5,547,400 | 174,269 | |
* | Energizer Holdings Inc. | 1,360,100 | 105,775 |
Danone SA | 1,620,017 | 98,471 | |
Dr Pepper Snapple Group Inc. | 1,972,000 | 89,884 | |
Bunge Ltd. | 1,233,100 | 81,101 | |
Ingredion Inc. | 1,470,300 | 76,338 | |
CVS Caremark Corp. | 1,573,300 | 71,192 | |
Walgreen Co. | 1,497,800 | 54,460 | |
Avon Products Inc. | 2,226,749 | 34,492 | |
Molson Coors Brewing Co. Class B | 761,800 | 32,239 | |
818,221 | |||
Energy (11.7%) | |||
Baker Hughes Inc. | 4,717,200 | 218,501 | |
* | Southwestern Energy Co. | 4,423,100 | 147,068 |
Royal Dutch Shell plc ADR | 2,035,100 | 138,794 | |
Anadarko Petroleum Corp. | 1,843,500 | 128,013 | |
* | Cobalt International Energy Inc. | 4,895,800 | 122,884 |
BP plc ADR | 3,011,700 | 120,167 | |
Canadian Natural Resources Ltd. | 4,097,100 | 111,646 | |
Halliburton Co. | 3,050,200 | 101,053 | |
Noble Corp. | 2,147,500 | 79,457 | |
Exxon Mobil Corp. | 731,100 | 63,496 | |
Statoil ASA ADR | 2,245,400 | 53,418 | |
CONSOL Energy Inc. | 1,700,759 | 49,288 | |
Inpex Corp. | 7,394 | 41,084 | |
Valero Energy Corp. | 1,239,800 | 34,094 | |
* | Weatherford International Ltd. | 1,418,400 | 17,092 |
1,426,055 |
Exchange-Traded Fund (0.9%) | ||
3 Vanguard Value ETF | 1,839,100 | 104,093 |
Financials (22.0%) | ||
Wells Fargo & Co. | 9,408,200 | 318,091 |
JPMorgan Chase & Co. | 5,668,050 | 204,050 |
ACE Ltd. | 2,489,300 | 182,964 |
Ameriprise Financial Inc. | 2,984,500 | 154,358 |
Bank of America Corp. | 19,797,700 | 145,315 |
Weyerhaeuser Co. | 5,358,100 | 125,112 |
Unum Group | 6,569,900 | 124,105 |
Invesco Ltd. | 4,898,654 | 108,407 |
Swiss Re AG | 1,626,219 | 101,799 |
Everest Re Group Ltd. | 941,000 | 95,700 |
Principal Financial Group Inc. | 3,565,900 | 91,251 |
BlackRock Inc. | 491,200 | 83,632 |
Citigroup Inc. | 2,963,200 | 80,392 |
Allstate Corp. | 2,270,000 | 77,861 |
* American International Group Inc. | 2,480,900 | 77,578 |
Goldman Sachs Group Inc. | 663,500 | 66,947 |
MetLife Inc. | 2,047,900 | 63,014 |
UBS AG | 5,918,700 | 62,738 |
State Street Corp. | 1,517,400 | 61,273 |
NYSE Euronext | 2,298,900 | 58,576 |
Franklin Resources Inc. | 416,800 | 47,911 |
PNC Financial Services Group Inc. | 771,000 | 45,566 |
Axis Capital Holdings Ltd. | 1,251,879 | 41,137 |
Regions Financial Corp. | 4,739,400 | 32,986 |
Morgan Stanley | 2,378,600 | 32,492 |
KeyCorp | 3,984,500 | 31,796 |
Fifth Third Bancorp | 2,283,800 | 31,562 |
Willis Group Holdings plc | 848,300 | 31,370 |
Comerica Inc. | 1,010,100 | 30,515 |
Torchmark Corp. | 611,000 | 30,397 |
* E*TRADE Financial Corp. | 2,959,400 | 22,580 |
Hartford Financial Services Group Inc. | 934,600 | 15,374 |
2,676,849 | ||
Health Care (11.1%) | ||
Merck & Co. Inc. | 3,793,700 | 167,568 |
UnitedHealth Group Inc. | 2,932,100 | 149,801 |
Medtronic Inc. | 3,478,500 | 137,122 |
Roche Holding AG | 766,242 | 135,683 |
Covidien plc | 2,090,200 | 116,800 |
Cigna Corp. | 2,581,100 | 103,967 |
Pfizer Inc. | 3,929,900 | 94,475 |
Daiichi Sankyo Co. Ltd. | 5,526,900 | 90,955 |
McKesson Corp. | 916,500 | 83,154 |
Eisai Co. Ltd. | 1,674,000 | 74,080 |
Becton Dickinson and Co. | 622,400 | 47,122 |
Abbott Laboratories | 478,900 | 31,756 |
HCA Holdings Inc. | 1,162,200 | 30,775 |
Sanofi | 370,894 | 30,260 |
Quest Diagnostics Inc. | 516,300 | 30,167 |
* Forest Laboratories Inc. | 890,000 | 29,860 |
1,353,545 |
Industrials (8.9%) | |||
Eaton Corp. | 3,603,800 | 157,991 | |
Pentair Inc. | 3,080,000 | 134,996 | |
Dover Corp. | 2,167,500 | 118,064 | |
Honeywell International Inc. | 1,796,600 | 104,293 | |
Lockheed Martin Corp. | 1,081,700 | 96,563 | |
Northrop Grumman Corp. | 1,209,900 | 80,095 | |
* | Delta Air Lines Inc. | 7,927,800 | 76,503 |
Fiat Industrial SPA | 6,885,935 | 67,464 | |
L-3 Communications Holdings Inc. | 881,400 | 62,482 | |
Cooper Industries plc | 850,800 | 61,156 | |
FedEx Corp. | 592,600 | 53,512 | |
Masco Corp. | 3,289,900 | 39,578 | |
General Dynamics Corp. | 477,600 | 30,299 | |
1,082,996 | |||
Information Technology (16.1%) | |||
*,4 Arrow Electronics Inc. | 6,665,150 | 224,949 | |
Oracle Corp. | 6,545,100 | 197,662 | |
ASML Holding NV | 3,181,500 | 182,936 | |
Avago Technologies Ltd. | 4,320,700 | 159,866 | |
Cisco Systems Inc. | 9,952,200 | 158,738 | |
Microsoft Corp. | 5,222,600 | 153,910 | |
Hewlett-Packard Co. | 8,252,800 | 150,531 | |
* | SanDisk Corp. | 2,768,300 | 113,860 |
* | Apple Inc. | 150,000 | 91,614 |
Western Union Co. | 5,125,000 | 89,329 | |
* | Google Inc. Class A | 106,200 | 67,221 |
Accenture plc Class A | 1,110,900 | 66,987 | |
TE Connectivity Ltd. | 1,963,926 | 64,829 | |
* | Dell Inc. | 5,154,100 | 61,231 |
Analog Devices Inc. | 1,477,100 | 57,725 | |
Computer Sciences Corp. | 2,003,200 | 49,319 | |
Linear Technology Corp. | 1,318,400 | 42,518 | |
CA Inc. | 1,188,800 | 28,615 | |
1,961,840 | |||
Materials (4.7%) | |||
International Paper Co. | 4,180,200 | 137,152 | |
LyondellBasell Industries NV Class A | 2,256,200 | 100,469 | |
Potash Corp. of Saskatchewan Inc. | 1,954,500 | 86,311 | |
* | Owens-Illinois Inc. | 3,495,400 | 64,490 |
Mosaic Co. | 774,600 | 45,012 | |
Agrium Inc. | 473,500 | 44,964 | |
Rexam plc | 5,942,694 | 40,391 | |
Incitec Pivot Ltd. | 10,235,532 | 33,183 | |
PPG Industries Inc. | 140,700 | 15,401 | |
*,^ Sino-Forest Corp. | 3,223,900 | — | |
567,373 | |||
Utilities (2.4%) | |||
PG&E Corp. | 2,435,100 | 112,404 | |
Edison International | 2,073,400 | 95,750 | |
Northeast Utilities | 1,209,900 | 48,251 | |
Entergy Corp. | 440,900 | 32,040 | |
288,445 | |||
Total Common Stocks (Cost $10,853,651) | 11,694,674 |
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (5.7%)1 | |||||
Money Market Fund (3.5%) | |||||
5,6 Vanguard Market Liquidity Fund | 0.155% | 422,498,892 | 422,499 | ||
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
Repurchase Agreement (2.0%) | |||||
Bank of America Securities LLC | |||||
(Dated 7/31/12, Repurchase Value | |||||
$241,101,000, collateralized by Federal | |||||
Home Loan Mortgage Corp. 2.390%- | |||||
4.500%, 9/1/35-8/1/39, and Federal | |||||
National Mortgage Assn. 3.500%-4.000%, | |||||
1/1/42-7/1/42) | 0.170% | 8/1/12 | 241,100 | 241,100 | |
U.S. Government and Agency Obligations (0.2%) | |||||
7 | United States Treasury Note/Bond | 0.375% | 8/31/12 | 15,000 | 15,000 |
7 | United States Treasury Note/Bond | 0.375% | 10/31/12 | 15,000 | 15,007 |
30,007 | |||||
Total Temporary Cash Investments (Cost $693,610) | 693,606 | ||||
Total Investments (101.8%) (Cost $11,547,261) | 12,388,280 | ||||
Other Assets and Liabilities-Net (-1.8%)5 | (223,314) | ||||
Net Assets (100%) | 12,164,966 |
Windsor Fund
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.
B. 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).
C. Repurchase Agreements: The fund may enter into repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default or bankruptcy by the other party to the agreement, the fund may sell or retain the collateral; however, such action may be subject to legal proceedings.
D. 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 July 31, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 10,653,976 | 887,640 | 153,058 |
Temporary Cash Investments | 422,499 | 271,107 | — |
Futures Contracts—Assets1 | 472 | — | — |
Futures Contracts—Liabilities1 | (1,687) | — | — |
Total | 11,075,260 | 1,158,747 | 153,058 |
1 Represents variation margin on the last day of the reporting period. |
The determination of Level 3 fair value measurements is governed by documented policies and procedures adopted by the board of trustees. The board has designated a pricing review committee, as an agent of the board, to ensure the timely analysis and valuation of Level 3 securities held by the fund in accordance with established policies and procedures. The pricing review committee employs various methods for calibrating valuation approaches, including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market
Windsor Fund
activity. All valuation decisions made by the pricing review committee are reported to the board on a quarterly basis for review and ratification. The board reviews the adequacy of the fair value measurement policies and procedures in place on an annual basis.
The following table summarizes changes in investments valued based on Level 3 inputs during the period ended July 31, 2012. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.
Investments in | |
Common Stocks | |
Amount valued based on Level 3 Inputs | ($000) |
Balance as of October 31, 2011 | 231,798 |
Transfers out of Level 3 | (128,465) |
Change in Unrealized Appreciation (Depreciation) | 49,725 |
Balance as of July 31, 2012 | 153,058 |
Net change in unrealized appreciation (depreciation) from investments still held as of July 31, 2012 was $49,725,000 Transfers out of Level 3 represent a reduction in the fund’s investment and realized gains from a private placement security.
The following table provides quantitative information about the significant unobservable inputs used in fair value measurement as of July 31, 2012:
Security Type | Fair Value at | Valuation Technique | Unobservable Input | Amount or Range |
7/31/12 ($000) | ||||
Common Stocks | 153,058 | Market Comparables | Illiquidity Discount | 10% |
Significant increases or decreases in the significant unobservable inputs used in the fair value measurement of the fund’s Level 3 securities, in isolation, could result in a significantly higher or lower fair value measurement.
E. 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).
At July 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
Windsor Fund
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2012 | 2,970 | 204,128 | 5,438 |
S&P 500 Index | September 2012 | 98 | 33,678 | 1,334 |
E-mini S&P MidCap 400 Index | September 2012 | 168 | 15,768 | 479 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
F. Certain of the fund's investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company. Transactions during the period in securities of these companies were as follows:
Current Period Transactions | |||||
Proceeds | |||||
Oct. 31, 2011 | from | Jul. 31, 2012 | |||
Market | Purchases | Securities | Dividend | Market | |
Value | at Cost | Sold | Income | Value | |
($000) | ($000) | ($000) | ($000) | ($000) | |
Arrow Electronics Inc. | 231,677 | 8,865 | 313 | — | 224,949 |
MDC Holdings Inc. | 59,273 | — | 47,898 | 588 | — |
290,950 | 588 | 224,949 |
G. At July 31, 2012, the cost of investment securities for tax purposes was $11,547,261,000. Net unrealized appreciation of investment securities for tax purposes was $841,019,000, consisting of unrealized gains of $1,417,077,000 on securities that had risen in value since their purchase and $576,058,000 in unrealized losses on securities that had fallen in value since their purchase.
Vanguard Windsor II Fund
Schedule of Investments
As of July 31, 2012
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (96.0%)1 | ||
Consumer Discretionary (6.7%) | ||
Carnival Corp. | 11,055,586 | 367,930 |
Comcast Corp. | 11,179,235 | 356,953 |
2 Service Corp. International | 21,420,336 | 275,251 |
Target Corp. | 3,980,100 | 241,393 |
Viacom Inc. Class B | 2,592,000 | 121,072 |
Omnicom Group Inc. | 2,299,300 | 115,379 |
Lowe's Cos. Inc. | 3,968,942 | 100,692 |
Lear Corp. | 2,430,700 | 86,411 |
Genuine Parts Co. | 1,314,645 | 84,177 |
Newell Rubbermaid Inc. | 4,241,200 | 74,857 |
* AutoZone Inc. | 196,562 | 73,756 |
Macy's Inc. | 1,991,950 | 71,392 |
American Eagle Outfitters Inc. | 3,132,000 | 65,208 |
Hyundai Motor Co. | 293,600 | 60,994 |
Wyndham Worldwide Corp. | 1,032,258 | 53,729 |
Johnson Controls Inc. | 1,636,900 | 40,350 |
Volkswagen AG | 214,841 | 34,152 |
Kohl's Corp. | 635,848 | 31,614 |
Magna International Inc. | 768,900 | 30,771 |
Interpublic Group of Cos. Inc. | 2,675,500 | 26,407 |
Time Warner Cable Inc. | 289,600 | 24,596 |
JC Penney Co. Inc. | 986,900 | 22,215 |
Ford Motor Co. | 2,302,800 | 21,278 |
* Delphi Automotive plc | 651,694 | 18,502 |
* General Motors Co. | 906,900 | 17,875 |
Gap Inc. | 539,300 | 15,904 |
Home Depot Inc. | 229,374 | 11,969 |
Virgin Media Inc. | 32,400 | 887 |
Brinker International Inc. | 23,150 | 750 |
Foot Locker Inc. | 22,300 | 736 |
Harman International Industries Inc. | 16,950 | 684 |
Walt Disney Co. | 7,812 | 384 |
Time Warner Inc. | 2,299 | 90 |
Garmin Ltd. | 1,700 | 66 |
2,448,424 | ||
Consumer Staples (11.6%) | ||
Philip Morris International Inc. | 12,627,653 | 1,154,673 |
Imperial Tobacco Group plc ADR | 8,734,425 | 678,621 |
Diageo plc ADR | 6,238,920 | 666,941 |
Wal-Mart Stores Inc. | 6,156,900 | 458,258 |
Altria Group Inc. | 12,421,007 | 446,784 |
CVS Caremark Corp. | 6,469,093 | 292,726 |
Molson Coors Brewing Co. Class B | 3,320,600 | 140,528 |
* Energizer Holdings Inc. | 1,414,800 | 110,029 |
Sysco Corp. | 3,093,841 | 90,928 |
Kraft Foods Inc. | 1,525,661 | 60,584 |
* Ralcorp Holdings Inc. | 1,000,590 | 59,705 |
PepsiCo Inc. | 374,800 | 27,259 |
Church & Dwight Co. Inc. | 292,687 | 16,862 |
General Mills Inc. | 279,600 | 10,820 |
Procter & Gamble Co. | 53,190 | 3,433 |
Kimberly-Clark Corp. | 17,800 | 1,547 |
Reynolds American Inc. | 24,300 | 1,124 |
* Constellation Brands Inc. Class A | 32,700 | 922 |
* Dean Foods Co. | 56,150 | 695 |
Beam Inc. | 6,100 | 384 |
Safeway Inc. | 16,500 | 257 |
* Smithfield Foods Inc. | 7,750 | 143 |
Lorillard Inc. | 600 | 77 |
Tyson Foods Inc. Class A | 3,700 | 55 |
4,223,355 | ||
Energy (12.6%) | ||
ConocoPhillips | 14,103,489 | 767,794 |
Occidental Petroleum Corp. | 8,262,757 | 719,108 |
Spectra Energy Corp. | 22,709,611 | 696,958 |
Phillips 66 | 12,541,044 | 471,543 |
Marathon Petroleum Corp. | 5,499,416 | 260,122 |
^ Seadrill Ltd. | 6,172,107 | 239,416 |
Chevron Corp. | 2,166,110 | 237,362 |
Marathon Oil Corp. | 4,675,000 | 123,747 |
Devon Energy Corp. | 2,083,894 | 123,200 |
BP plc ADR | 2,948,170 | 117,632 |
Apache Corp. | 1,287,106 | 110,846 |
Halliburton Co. | 3,004,339 | 99,534 |
CONSOL Energy Inc. | 3,161,520 | 91,621 |
Noble Corp. | 1,825,078 | 67,528 |
* Cobalt International Energy Inc. | 2,505,400 | 62,886 |
Royal Dutch Shell plc ADR | 892,561 | 60,873 |
Total SA ADR | 1,219,100 | 56,018 |
Kinder Morgan Inc. | 1,354,225 | 48,495 |
Royal Dutch Shell plc ADR | 653,000 | 46,076 |
* Cameron International Corp. | 756,229 | 38,016 |
Valero Energy Corp. | 1,179,100 | 32,425 |
* Dresser-Rand Group Inc. | 668,158 | 31,076 |
Hess Corp. | 579,500 | 27,329 |
Ensco plc Class A | 497,171 | 27,011 |
Murphy Oil Corp. | 365,400 | 19,607 |
Gazprom OAO ADR | 1,553,600 | 14,284 |
Exxon Mobil Corp. | 114,682 | 9,960 |
* Tesoro Corp. | 28,900 | 799 |
* Nabors Industries Ltd. | 23,800 | 329 |
HollyFrontier Corp. | 2,400 | 90 |
Sunoco Inc. | 1,500 | 72 |
* Weatherford International Ltd. | 5,500 | 66 |
4,601,823 | ||
Exchange-Traded Funds (1.1%) | ||
3 Vanguard Total Stock Market ETF | 3,197,800 | 224,837 |
3 Vanguard Value ETF | 2,511,200 | 142,134 |
SPDR S&P 500 ETF Trust | 189,570 | 26,106 |
393,077 | ||
Financials (18.0%) | ||
Wells Fargo & Co. | 28,330,141 | 957,842 |
American Express Co. | 15,579,350 | 899,084 |
JPMorgan Chase & Co. | 21,947,553 | 790,112 |
PNC Financial Services Group Inc. | 11,403,881 | 673,969 |
Capital One Financial Corp. | 10,760,838 | 607,880 |
Citigroup Inc. | 15,903,959 | 431,474 |
Bank of America Corp. | 39,631,395 | 290,894 |
XL Group plc Class A | 13,532,232 | 279,441 |
State Street Corp. | 6,283,300 | 253,720 |
SLM Corp. | 15,720,252 | 251,367 |
MetLife Inc. | 4,747,616 | 146,084 |
Prudential Financial Inc. | 2,236,000 | 107,954 |
Goldman Sachs Group Inc. | 953,844 | 96,243 |
SunTrust Banks Inc. | 3,888,967 | 91,974 |
Ameriprise Financial Inc. | 1,713,500 | 88,622 |
Travelers Cos. Inc. | 1,324,500 | 82,980 |
* American International Group Inc. | 2,630,700 | 82,262 |
Lincoln National Corp. | 3,068,461 | 61,523 |
Allstate Corp. | 1,730,700 | 59,363 |
Unum Group | 2,947,900 | 55,686 |
Barclays plc | 17,794,000 | 46,343 |
Janus Capital Group Inc. | 5,557,500 | 40,181 |
ACE Ltd. | 493,122 | 36,244 |
BNP Paribas SA | 866,200 | 31,997 |
PartnerRe Ltd. | 420,100 | 30,432 |
Morgan Stanley | 1,705,100 | 23,292 |
KeyCorp | 2,781,682 | 22,198 |
US Bancorp | 66,349 | 2,223 |
Discover Financial Services | 34,200 | 1,230 |
Aflac Inc. | 26,950 | 1,180 |
Fifth Third Bancorp | 76,500 | 1,057 |
Torchmark Corp. | 18,600 | 925 |
Moody's Corp. | 22,500 | 912 |
Invesco Ltd. | 39,000 | 863 |
Everest Re Group Ltd. | 8,300 | 844 |
HCP Inc. | 17,700 | 836 |
BB&T Corp. | 25,900 | 812 |
Assurant Inc. | 21,300 | 771 |
NASDAQ OMX Group Inc. | 28,500 | 647 |
Kimco Realty Corp. | 29,000 | 565 |
Macerich Co. | 9,100 | 532 |
Camden Property Trust | 7,400 | 528 |
Health Care REIT Inc. | 8,300 | 516 |
Digital Realty Trust Inc. | 6,600 | 515 |
Liberty Property Trust | 12,900 | 468 |
Hospitality Properties Trust | 18,120 | 440 |
Chubb Corp. | 5,299 | 385 |
Duke Realty Corp. | 23,300 | 337 |
* Berkshire Hathaway Inc. Class B | 3,700 | 314 |
Weingarten Realty Investors | 10,400 | 280 |
White Mountains Insurance Group Ltd. | 200 | 102 |
Regency Centers Corp. | 1,600 | 77 |
HCC Insurance Holdings Inc. | 2,300 | 70 |
Huntington Bancshares Inc. | 11,100 | 69 |
RenaissanceRe Holdings Ltd. | 900 | 67 |
6,556,726 | ||
Health Care (14.5%) | ||
Pfizer Inc. | 50,555,968 | 1,215,365 |
Johnson & Johnson | 12,345,850 | 854,580 |
Baxter International Inc. | 13,462,168 | 787,671 |
Medtronic Inc. | 16,689,800 | 657,912 |
WellPoint Inc. | 8,484,799 | 452,155 |
Merck & Co. Inc. | 5,295,329 | 233,895 |
UnitedHealth Group Inc. | 3,508,199 | 179,234 |
McKesson Corp. | 1,293,100 | 117,323 |
Abbott Laboratories | 1,592,939 | 105,628 |
Amgen Inc. | 1,140,041 | 94,167 |
* Gilead Sciences Inc. | 1,716,200 | 93,241 |
* CareFusion Corp. | 3,578,500 | 87,351 |
Covidien plc | 1,538,341 | 85,962 |
Quest Diagnostics Inc. | 1,342,800 | 78,460 |
St. Jude Medical Inc. | 1,892,216 | 70,693 |
Thermo Fisher Scientific Inc. | 839,332 | 46,726 |
* Express Scripts Holding Co. | 687,653 | 39,843 |
Sanofi ADR | 776,600 | 31,561 |
Novartis AG ADR | 413,100 | 24,216 |
Eli Lilly & Co. | 307,200 | 13,526 |
AstraZeneca plc ADR | 254,400 | 11,908 |
Zimmer Holdings Inc. | 186,000 | 10,961 |
Bristol-Myers Squibb Co. | 58,333 | 2,077 |
Aetna Inc. | 24,100 | 869 |
AmerisourceBergen Corp. Class A | 16,690 | 663 |
Humana Inc. | 7,610 | 469 |
Cardinal Health Inc. | 6,000 | 259 |
* Charles River Laboratories International Inc. | 5,850 | 199 |
Omnicare Inc. | 2,200 | 69 |
5,296,983 | ||
Industrials (11.0%) | ||
Raytheon Co. | 13,869,840 | 769,499 |
General Electric Co. | 32,714,407 | 678,824 |
Honeywell International Inc. | 10,869,456 | 630,972 |
Illinois Tool Works Inc. | 6,605,130 | 358,923 |
Cooper Industries plc | 3,702,014 | 266,101 |
2 Xylem Inc. | 9,950,502 | 238,613 |
Tyco International Ltd. | 2,173,039 | 119,387 |
Boeing Co. | 1,485,500 | 109,793 |
2 Exelis Inc. | 10,723,702 | 100,803 |
General Dynamics Corp. | 1,567,500 | 99,442 |
Parker Hannifin Corp. | 1,045,000 | 83,934 |
ITT Corp. | 4,384,551 | 82,166 |
Corrections Corp. of America | 2,030,200 | 63,099 |
Caterpillar Inc. | 613,100 | 51,629 |
Cummins Inc. | 502,900 | 48,228 |
Lockheed Martin Corp. | 499,300 | 44,573 |
United Parcel Service Inc. Class B | 519,106 | 39,250 |
PACCAR Inc. | 979,400 | 39,186 |
United Technologies Corp. | 465,527 | 34,654 |
Northrop Grumman Corp. | 434,276 | 28,749 |
Rockwell Collins Inc. | 537,961 | 27,205 |
FedEx Corp. | 300,400 | 27,126 |
* WABCO Holdings Inc. | 305,405 | 16,773 |
CSX Corp. | 724,447 | 16,619 |
Embraer SA ADR | 493,200 | 12,517 |
* Delta Air Lines Inc. | 85,100 | 821 |
L-3 Communications Holdings Inc. | 7,350 | 521 |
Cintas Corp. | 7,700 | 305 |
Timken Co. | 5,400 | 195 |
Equifax Inc. | 2,100 | 98 |
Hubbell Inc. Class B | 900 | 74 |
* Engility Holdings Inc. | 1,225 | 18 |
3,990,097 | ||
Information Technology (10.6%) | ||
International Business Machines Corp. | 4,803,645 | 941,418 |
Microsoft Corp. | 28,394,840 | 836,796 |
Intel Corp. | 21,067,300 | 541,430 |
Cisco Systems Inc. | 15,260,100 | 243,399 |
Oracle Corp. | 5,943,536 | 179,495 |
* Apple Inc. | 246,058 | 150,282 |
Samsung Electronics Co. Ltd. | 110,400 | 126,907 |
* Google Inc. Class A | 172,680 | 109,301 |
Corning Inc. | 9,534,200 | 108,785 |
* EMC Corp. | 4,109,600 | 107,713 |
Texas Instruments Inc. | 3,364,500 | 91,649 |
Hewlett-Packard Co. | 4,908,060 | 89,523 |
QUALCOMM Inc. | 1,221,600 | 72,905 |
* eBay Inc. | 1,542,449 | 68,331 |
* Western Digital Corp. | 965,600 | 38,402 |
Mastercard Inc. Class A | 69,460 | 30,324 |
TE Connectivity Ltd. | 881,075 | 29,084 |
* SanDisk Corp. | 695,900 | 28,622 |
CA Inc. | 1,117,228 | 26,892 |
* Dell Inc. | 1,940,400 | 23,052 |
Lexmark International Inc. Class A | 1,207,394 | 21,117 |
Seagate Technology plc | 37,300 | 1,120 |
KLA-Tencor Corp. | 18,100 | 921 |
Jabil Circuit Inc. | 35,200 | 764 |
* LSI Corp. | 101,400 | 700 |
IAC/InterActiveCorp | 6,100 | 321 |
* Avnet Inc. | 5,500 | 173 |
Total System Services Inc. | 4,000 | 95 |
* Flextronics International Ltd. | 8,900 | 57 |
3,869,578 | ||
Materials (1.3%) | ||
EI du Pont de Nemours & Co. | 5,864,838 | 291,482 |
Mosaic Co. | 1,957,975 | 113,778 |
Praxair Inc. | 314,144 | 32,596 |
Walter Energy Inc. | 629,800 | 21,602 |
LyondellBasell Industries NV Class A | 25,520 | 1,136 |
CF Industries Holdings Inc. | 5,200 | 1,018 |
PPG Industries Inc. | 8,700 | 952 |
Eastman Chemical Co. | 17,500 | 915 |
Huntsman Corp. | 60,200 | 762 |
Airgas Inc. | 3,700 | 293 |
Valspar Corp. | 3,150 | 158 |
International Paper Co. | 4,200 | 138 |
Dow Chemical Co. | 2,700 | 78 |
464,908 | ||
Telecommunication Services (3.3%) | ||
AT&T Inc. | 14,303,407 | 542,385 |
Vodafone Group plc ADR | 13,561,100 | 389,882 |
Verizon Communications Inc. | 6,359,509 | 287,068 |
1,219,335 |
Utilities (5.3%) | |||||
Public Service Enterprise Group Inc. | 18,032,258 | 599,392 | |||
2 | CenterPoint Energy Inc. | 25,766,213 | 542,636 | ||
Entergy Corp. | 5,412,378 | 393,318 | |||
Dominion Resources Inc. | 3,011,850 | 163,574 | |||
Sempra Energy | 843,700 | 59,405 | |||
Exelon Corp. | 1,476,100 | 57,745 | |||
* | Calpine Corp. | 2,121,413 | 36,255 | ||
NRG Energy Inc. | 1,451,400 | 28,767 | |||
Edison International | 525,100 | 24,249 | |||
Consolidated Edison Inc. | 19,600 | 1,264 | |||
American Electric Power Co. Inc. | 29,200 | 1,233 | |||
DTE Energy Co. | 17,300 | 1,062 | |||
Ameren Corp. | 28,600 | 978 | |||
Pinnacle West Capital Corp. | 17,100 | 916 | |||
NV Energy Inc. | 45,200 | 827 | |||
TECO Energy Inc. | 31,300 | 569 | |||
PG&E Corp. | 10,300 | 475 | |||
NextEra Energy Inc. | 5,600 | 397 | |||
FirstEnergy Corp. | 7,750 | 389 | |||
Duke Energy Corp. | 3,800 | 258 | |||
Southern Co. | 3,200 | 154 | |||
* | AES Corp. | 8,800 | 106 | ||
American Water Works Co. Inc. | 2,100 | 76 | |||
1,914,045 | |||||
Total Common Stocks (Cost $29,395,930) | 34,978,351 | ||||
Coupon | |||||
Temporary Cash Investments (3.9%)1 | |||||
Money Market Fund (3.8%) | |||||
4,5 Vanguard Market Liquidity Fund | 0.155% | 1,400,316,621 | 1,400,317 | ||
Face | Market | ||||
Maturity | Amount | Value | |||
Date | ($000) | ($000) | |||
U.S. Government and Agency Obligations (0.1%) | |||||
6,7 Fannie Mae Discount Notes | 0.140% | 9/19/12 | 5,000 | 4,999 | |
6,7 Fannie Mae Discount Notes | 0.155% | 9/26/12 | 100 | 100 | |
7 | United States Treasury Note/Bond | 1.375% | 9/15/12 | 23,000 | 23,032 |
28,131 | |||||
Total Temporary Cash Investments (Cost $1,428,451) | 1,428,448 | ||||
Total Investments (99.9%) (Cost $30,824,381) | 36,406,799 | ||||
Other Assets and Liabilities-Net (0.1%)5 | 35,746 | ||||
Net Assets (100%) | 36,442,545 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $8,010,000.
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 97.3% and 2.6%, respectively, of net assets.
2 Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company.
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 Includes $8,467,000 of collateral received for securities on loan.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
7 Securities with a value of $27,631,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.
A. 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.
B. 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).
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 July 31, 2012, based on the inputs used to value them:
Windsor II Fund
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 34,663,674 | 314,677 | — |
Temporary Cash Investments | 1,400,317 | 28,131 | — |
Futures Contracts—Assets1 | 53 | — | — |
Futures Contracts—Liabilities1 | (2,097) | — | — |
Total | 36,061,947 | 342,808 | — |
1 Represents variation margin on the last day of the reporting period. |
D. 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).
At July 31, 2012, 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 2012 | 4,767 | 327,636 | 9,160 |
S&P 500 Index | September 2012 | 410 | 140,896 | 6,512 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Certain of the fund's investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company. Transactions during the period in securities of these companies were as follows:
Windsor II Fund
Current Period Transactions | |||||
Proceeds | |||||
Oct. 31, 2011 | from | July 31, 2012 | |||
Market | Purchases | Securities | Dividend | Market | |
Value | at Cost | Sold | Income | Value | |
($000) | ($000) | ($000) | ($000) | ($000) | |
CenterPoint Energy Inc. | 539,650 | — | 2,596 | 15,549 | 542,636 |
Cooper Industries plc | 608,824 | — | 546,360 | 10,525 | NA2 |
Exelis Inc. | NA1 | 19,598 | 400 | 2,772 | 100,803 |
Service Corp. International | 215,275 | — | 1,145 | 3,427 | 275,251 |
Xylem Inc. | NA1 | 29,930 | 1,147 | 2,667 | 238,613 |
1,363,749 | 34,940 | 1,157,303 |
1 Not applicable — At October 31, 2011, the issuer was not an affiliated company of the fund.
2 Not applicable — At July 31, 2012, the security was still held, but the issuer was no longer an affiliated company of the fund.
F. At July 31, 2012, the cost of investment securities for tax purposes was $30,824,381,000. Net unrealized appreciation of investment securities for tax purposes was $5,582,418,000, consisting of unrealized gains of $9,515,261,000 on securities that had risen in value since their purchase and $3,932,843,000 in unrealized losses on securities that had fallen in value since their purchase.
Item 2: 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. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3: Exhibits
(a) Certifications
VANGUARD WINDSOR FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: September 21, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD WINDSOR FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: September 21, 2012 |
VANGUARD WINDSOR FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: September 21, 2012 |
* By:/s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number 2-11444, Incorporated by Reference.
I, F. William McNabb III, certify that:
1. I have reviewed this report on Form N-Q of Vanguard Windsor Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: September 21, 2012 |
/s/ F. William McNabb III |
|
F. William McNabb III |
|
Chief Executive Officer |
I, Thomas J. Higgins, certify that:
1. I have reviewed this report on Form N-Q of Vanguard Windsor Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: September 21, 2012 |
/s/ Thomas J Higgins |
|
Thomas J. Higgins |
|
Chief Financial Officer |