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 31st
Date of reporting period: July 31, 2013
Item 1: Schedule of Investments
Vanguard Windsor Fund
Schedule of Investments
As of July 31, 2013
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (97.0%)1 | |||
Consumer Discretionary (9.4%) | |||
Lowe's Cos. Inc. | 4,111,800 | 183,304 | |
Nordstrom Inc. | 2,363,100 | 144,716 | |
GNC Holdings Inc. Class A | 2,656,200 | 140,194 | |
Staples Inc. | 7,966,725 | 135,594 | |
Omnicom Group Inc. | 1,967,075 | 126,424 | |
Newell Rubbermaid Inc. | 4,151,700 | 112,179 | |
Ford Motor Co. | 6,603,800 | 111,472 | |
* | Toll Brothers Inc. | 3,312,500 | 108,882 |
Comcast Corp. | 2,486,700 | 107,201 | |
Delphi Automotive plc | 1,743,350 | 93,653 | |
* | General Motors Co. | 2,199,250 | 78,887 |
Kohl's Corp. | 786,975 | 41,694 | |
TJX Cos. Inc. | 737,600 | 38,385 | |
Lennar Corp. Class A | 833,100 | 28,217 | |
* | Apollo Group Inc. Class A | 1,048,011 | 19,095 |
*,2 Buck Holdings LP Private Placement | NA | 6,046 | |
1,475,943 | |||
Consumer Staples (4.0%) | |||
Japan Tobacco Inc. | 5,601,600 | 195,557 | |
Bunge Ltd. | 2,294,500 | 174,405 | |
CVS Caremark Corp. | 2,021,900 | 124,327 | |
Dr Pepper Snapple Group Inc. | 1,647,500 | 77,004 | |
Molson Coors Brewing Co. Class B | 761,800 | 38,136 | |
Ingredion Inc. | 193,400 | 12,996 | |
622,425 | |||
Energy (12.5%) | |||
Baker Hughes Inc. | 5,398,925 | 256,071 | |
* | Cobalt International Energy Inc. | 7,921,300 | 228,530 |
Royal Dutch Shell plc ADR | 2,640,524 | 180,480 | |
Pioneer Natural Resources Co. | 1,143,800 | 177,014 | |
BP plc ADR | 4,170,900 | 172,842 | |
Anadarko Petroleum Corp. | 1,806,499 | 159,911 | |
* | Southwestern Energy Co. | 4,066,500 | 157,740 |
Halliburton Co. | 2,963,400 | 133,916 | |
Canadian Natural Resources Ltd. | 4,185,100 | 129,822 | |
Exxon Mobil Corp. | 1,182,925 | 110,899 | |
National Oilwell Varco Inc. | 1,357,700 | 95,270 | |
Apache Corp. | 786,475 | 63,115 | |
Valero Energy Corp. | 1,028,500 | 36,789 | |
Inpex Corp. | 7,046 | 30,807 | |
Statoil ASA ADR | 1,292,300 | 27,901 | |
1,961,107 | |||
Exchange-Traded Fund (0.8%) | |||
3 | Vanguard Value ETF | 1,839,100 | 131,036 |
Financials (24.5%) | |||
Citigroup Inc. | 6,737,950 | 351,317 | |
Wells Fargo & Co. | 7,541,800 | 328,068 |
* American International Group Inc. | 6,912,800 | 314,601 |
MetLife Inc. | 5,627,950 | 272,505 |
Bank of America Corp. | 15,942,000 | 232,753 |
Ameriprise Financial Inc. | 2,537,900 | 225,873 |
Unum Group | 6,790,800 | 214,861 |
PNC Financial Services Group Inc. | 2,455,600 | 186,748 |
Principal Financial Group Inc. | 3,526,400 | 152,905 |
XL Group plc Class A | 4,754,500 | 149,054 |
JPMorgan Chase & Co. | 2,110,150 | 117,599 |
* IntercontinentalExchange Inc. | 598,300 | 109,160 |
UBS AG | 5,399,650 | 106,211 |
Morgan Stanley | 3,575,916 | 97,301 |
Goldman Sachs Group Inc. | 561,175 | 92,050 |
Willis Group Holdings plc | 2,013,100 | 86,161 |
ACE Ltd. | 915,300 | 83,640 |
Weyerhaeuser Co. | 2,737,000 | 77,731 |
ING US Inc. | 2,410,350 | 75,010 |
State Street Corp. | 1,040,925 | 72,521 |
KeyCorp | 5,830,900 | 71,662 |
Comerica Inc. | 1,672,700 | 71,157 |
Axis Capital Holdings Ltd. | 1,602,221 | 69,793 |
Invesco Ltd. | 1,902,750 | 61,249 |
Regions Financial Corp. | 4,739,400 | 47,441 |
Franklin Resources Inc. | 918,225 | 44,883 |
Fifth Third Bancorp | 2,283,800 | 43,917 |
Hartford Financial Services Group Inc. | 1,382,425 | 42,662 |
Allstate Corp. | 824,000 | 42,007 |
3,840,840 | ||
Health Care (12.0%) | ||
Cigna Corp. | 3,228,434 | 251,269 |
Roche Holding AG | 919,675 | 226,322 |
UnitedHealth Group Inc. | 2,916,400 | 212,460 |
Medtronic Inc. | 2,932,700 | 162,002 |
Bristol-Myers Squibb Co. | 3,415,000 | 147,665 |
Sanofi | 1,303,448 | 136,450 |
Covidien plc | 2,138,400 | 131,789 |
McKesson Corp. | 910,500 | 111,682 |
Merck & Co. Inc. | 2,196,500 | 105,805 |
Becton Dickinson and Co. | 820,275 | 85,079 |
Daiichi Sankyo Co. Ltd. | 4,757,600 | 77,423 |
Abbott Laboratories | 1,884,175 | 69,017 |
Aetna Inc. | 709,656 | 45,539 |
* Laboratory Corp. of America Holdings | 446,125 | 43,158 |
* Hospira Inc. | 1,020,850 | 41,549 |
Quest Diagnostics Inc. | 642,875 | 37,486 |
1,884,695 | ||
Industrials (12.0%) | ||
Eaton Corp. plc | 4,116,600 | 283,839 |
* Delta Air Lines Inc. | 8,408,200 | 178,506 |
Pentair Ltd. | 2,729,600 | 166,724 |
Dover Corp. | 1,920,700 | 164,489 |
Fiat Industrial SPA | 13,091,491 | 161,631 |
Honeywell International Inc. | 1,767,400 | 146,659 |
KBR Inc. | 3,813,472 | 119,285 |
SKF AB | 4,128,402 | 114,584 |
Chicago Bridge & Iron Co. NV | 1,788,100 | 106,535 |
Rexel SA | 4,094,398 | 99,586 |
Masco Corp. | 3,729,198 | 76,523 |
Northrop Grumman Corp. | 758,100 | 69,791 |
L-3 Communications Holdings Inc. | 733,375 | 68,314 |
Parker Hannifin Corp. | 657,950 | 67,953 |
General Dynamics Corp. | 549,600 | 46,903 |
1,871,322 | ||
Information Technology (16.6%) | ||
Cisco Systems Inc. | 10,921,400 | 279,042 |
Hewlett-Packard Co. | 8,952,600 | 229,903 |
* Arrow Electronics Inc. | 4,681,550 | 213,713 |
ASML Holding NV | 2,126,404 | 191,164 |
Avago Technologies Ltd. Class A | 4,901,700 | 179,794 |
* SanDisk Corp. | 2,763,200 | 152,307 |
EMC Corp. | 5,388,100 | 140,899 |
* Check Point Software Technologies Ltd. | 2,491,000 | 140,268 |
Oracle Corp. | 4,208,150 | 136,134 |
* Google Inc. Class A | 150,350 | 133,451 |
* Lam Research Corp. | 2,439,300 | 120,062 |
Intel Corp. | 4,894,800 | 114,049 |
Analog Devices Inc. | 2,288,500 | 112,960 |
Microsoft Corp. | 3,548,075 | 112,935 |
TE Connectivity Ltd. | 1,855,560 | 94,708 |
Apple Inc. | 162,400 | 73,486 |
Accenture plc Class A | 854,100 | 63,041 |
Dell Inc. | 4,536,225 | 57,474 |
* Skyworks Solutions Inc. | 1,338,200 | 32,143 |
Maxim Integrated Products Inc. | 479,400 | 13,711 |
2,591,244 | ||
Materials (3.7%) | ||
International Paper Co. | 4,428,700 | 213,950 |
Celanese Corp. Class A | 2,185,800 | 105,049 |
LyondellBasell Industries NV Class A | 1,395,600 | 95,892 |
* Owens-Illinois Inc. | 1,858,800 | 55,299 |
Rexam plc | 7,264,155 | 54,338 |
Dow Chemical Co. | 1,476,900 | 51,751 |
576,279 | ||
Telecommunication Services (0.2%) | ||
T-Mobile US Inc. | 1,033,250 | 24,912 |
Utilities (1.3%) | ||
PG&E Corp. | 2,517,700 | 115,537 |
Entergy Corp. | 1,168,925 | 78,903 |
Edison International | 277,400 | 13,828 |
208,268 | ||
Total Common Stocks (Cost $11,638,261) | 15,188,071 |
Coupon | ||||
Temporary Cash Investments (2.8%)1 | ||||
Money Market Fund (1.6%) | ||||
4 Vanguard Market Liquidity Fund | 0.124% | 254,721,800 | 254,722 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
Repurchase Agreement (1.1%) | ||||
Bank of America Securities, LLC | ||||
(Dated 7/31/13, Repurchase Value | ||||
$166,900,000, collateralized by | ||||
Government National Mortgage Assn. | ||||
3.500%-4.500%, 11/20/41-11/20/42, with a | ||||
value of $170,238,000) | 0.070% | 8/1/13 | 166,900 | 166,900 |
U.S. Government and Agency Obligations (0.1%) | ||||
5,6 Fannie Mae Discount Notes | 0.085%-0.110% | 8/21/13 | 11,000 | 10,999 |
5,6 Freddie Mac Discount Notes | 0.130% | 9/16/13 | 6,500 | 6,499 |
17,498 | ||||
Total Temporary Cash Investments (Cost $439,120) | 439,120 | |||
Total Investments (99.8%) (Cost $12,077,381) | 15,627,191 | |||
Other Assets and Liabilities-Net (0.2%) | 38,671 | |||
Net Assets (100%) | 15,665,862 |
* 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 98.3% and 1.5%, respectively, of net assets.
2 Restricted security represents 0.0% of net assets. Shares not applicable for this private placement.
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 was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
6 Securities with a value of $8,899,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
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
Windsor Fund
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 with institutional counterparties. Securities pledged as collateral to the fund under 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. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund.
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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 14,085,327 | 1,096,698 | 6,046 |
Temporary Cash Investments | 254,722 | 184,398 | — |
Futures Contracts—Liabilities1 | (515) | — | — |
Total | 14,339,534 | 1,281,096 | 6,046 |
1 Represents variation margin on the last day of the reporting period. |
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.
Windsor Fund
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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). 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.
At July 31, 2013, 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) |
S&P 500 Index | September 2013 | 385 | 161,748 | 4,720 |
E-mini S&P 500 Index | September 2013 | 550 | 46,214 | 317 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
F. The fund has invested in a company that is considered to be an affiliated company 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 this company were as follows:
Current Period Transactions | |||||
Proceeds | |||||
Oct. 31, 2012 | from | July 31, 2013 | |||
Market | Purchases | Securities | Dividend | Market | |
Value | at Cost | Sold | Income | Value | |
($000) | ($000) | ($000) | ($000) | ($000) | |
Arrow Electronics Inc. | 243,462 | 4,589 | 97,377 | — | NA1 |
1 Not applicable — At July 31, 2013, the security was still held, but the issuer was no longer an affiliated company of the fund.
G. At July 31, 2013, the cost of investment securities for tax purposes was $12,077,381,000. Net unrealized appreciation of investment securities for tax purposes was $3,549,810,000, consisting of unrealized gains of $3,656,402,000 on securities that had risen in value since their purchase and $106,592,000 in unrealized losses on securities that had fallen in value since their purchase.
Windsor II Fund
Schedule of Investments
As of July 31, 2013
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (96.7%)1 | ||
Consumer Discretionary (8.0%) | ||
Target Corp. | 11,599,900 | 826,493 |
Carnival Corp. | 11,895,686 | 440,497 |
Comcast Corp. | 5,088,384 | 219,360 |
Viacom Inc. Class B | 2,975,600 | 216,534 |
Advance Auto Parts Inc. | 2,227,800 | 183,771 |
* General Motors Co. | 4,813,005 | 172,643 |
Service Corp. International | 8,260,423 | 156,700 |
Omnicom Group Inc. | 2,299,300 | 147,776 |
American Eagle Outfitters Inc. | 6,202,373 | 121,815 |
Delphi Automotive plc | 2,043,404 | 109,772 |
Genuine Parts Co. | 1,285,348 | 105,386 |
Macy's Inc. | 1,907,000 | 92,184 |
* AutoZone Inc. | 177,262 | 79,516 |
Renault SA | 985,171 | 77,621 |
* Big Lots Inc. | 2,047,350 | 73,971 |
Johnson Controls Inc. | 1,719,300 | 69,133 |
Ford Motor Co. | 3,715,459 | 62,717 |
Lowe's Cos. Inc. | 1,263,591 | 56,331 |
Wyndham Worldwide Corp. | 783,211 | 48,794 |
Volkswagen AG | 204,523 | 46,477 |
Hyundai Motor Co. | 222,182 | 45,941 |
Time Warner Cable Inc. | 383,700 | 43,769 |
Interpublic Group of Cos. Inc. | 2,484,000 | 40,862 |
Volkswagen AG Prior Pfd. | 161,020 | 38,199 |
Hasbro Inc. | 813,653 | 37,428 |
Magna International Inc. | 302,900 | 23,160 |
* Bed Bath & Beyond Inc. | 142,482 | 10,896 |
* CST Brands Inc. | 127,644 | 4,162 |
Time Warner Inc. | 30,699 | 1,911 |
Whirlpool Corp. | 8,300 | 1,112 |
Foot Locker Inc. | 29,000 | 1,048 |
Gannett Co. Inc. | 28,400 | 732 |
H&R Block Inc. | 5,800 | 182 |
Staples Inc. | 4,300 | 73 |
Starwood Hotels & Resorts Worldwide Inc. | 600 | 40 |
3,557,006 | ||
Consumer Staples (8.7%) | ||
Philip Morris International Inc. | 12,627,653 | 1,126,134 |
Diageo plc ADR | 5,253,620 | 658,436 |
Imperial Tobacco Group plc ADR | 8,734,425 | 586,429 |
Altria Group Inc. | 12,392,432 | 434,479 |
Wal-Mart Stores Inc. | 4,290,300 | 334,386 |
Molson Coors Brewing Co. Class B | 5,695,735 | 285,128 |
CVS Caremark Corp. | 3,540,693 | 217,717 |
Sysco Corp. | 4,276,877 | 147,595 |
Mondelez International Inc. Class A | 1,441,861 | 45,087 |
PepsiCo Inc. | 277,400 | 23,174 |
Procter & Gamble Co. | 56,790 | 4,560 |
Kraft Foods Group Inc. | 31,700 | 1,794 | |
Kimberly-Clark Corp. | 16,000 | 1,581 | |
Kroger Co. | 36,300 | 1,425 | |
General Mills Inc. | 26,500 | 1,378 | |
JM Smucker Co. | 11,800 | 1,328 | |
Ingredion Inc. | 15,300 | 1,028 | |
Energizer Holdings Inc. | 8,700 | 886 | |
Reynolds American Inc. | 17,500 | 865 | |
Archer-Daniels-Midland Co. | 10,500 | 383 | |
Safeway Inc. | 11,500 | 297 | |
3,874,090 | |||
Energy (13.4%) | |||
ConocoPhillips | 11,927,889 | 773,643 | |
Phillips 66 | 12,325,194 | 757,999 | |
BP plc ADR | 18,203,350 | 754,347 | |
Occidental Petroleum Corp. | 8,386,114 | 746,783 | |
^ | Seadrill Ltd. | 10,969,707 | 468,187 |
Spectra Energy Corp. | 9,950,311 | 358,112 | |
Marathon Petroleum Corp. | 3,890,448 | 285,287 | |
Apache Corp. | 2,661,900 | 213,617 | |
Chevron Corp. | 1,555,010 | 195,760 | |
Anadarko Petroleum Corp. | 1,556,500 | 137,781 | |
Devon Energy Corp. | 2,253,300 | 123,954 | |
CONSOL Energy Inc. | 3,991,520 | 123,857 | |
Transocean Ltd. | 2,370,415 | 111,789 | |
Total SA ADR | 1,771,100 | 93,957 | |
HollyFrontier Corp. | 2,053,200 | 93,523 | |
Royal Dutch Shell plc ADR | 1,295,800 | 91,833 | |
* | Cobalt International Energy Inc. | 2,684,500 | 77,448 |
Ensco plc Class A | 1,230,971 | 70,584 | |
Noble Corp. | 1,825,078 | 69,718 | |
Valero Energy Corp. | 1,830,100 | 65,463 | |
Halliburton Co. | 1,268,043 | 57,303 | |
* | Cameron International Corp. | 904,259 | 53,623 |
Kinder Morgan Inc. | 1,354,225 | 51,136 | |
* | Dresser-Rand Group Inc. | 773,210 | 47,065 |
* | Weatherford International Ltd. | 2,074,250 | 28,957 |
Marathon Oil Corp. | 788,500 | 28,670 | |
Murphy Oil Corp. | 301,200 | 20,397 | |
Royal Dutch Shell plc ADR | 232,905 | 15,919 | |
Hess Corp. | 207,850 | 15,476 | |
Gazprom OAO ADR | 1,553,600 | 12,006 | |
Exxon Mobil Corp. | 102,182 | 9,580 | |
* | Kosmos Energy Ltd. | 832,400 | 8,790 |
Tesoro Corp. | 20,000 | 1,137 | |
Chesapeake Energy Corp. | 6,500 | 151 | |
5,963,852 | |||
Exchange-Traded Funds (1.4%) | |||
2 | Vanguard Total Stock Market ETF | 3,197,800 | 279,424 |
^,2 Vanguard Value ETF | 2,511,200 | 178,923 | |
SPDR S&P 500 ETF Trust | 864,100 | 145,739 | |
604,086 | |||
Financials (21.1%) | |||
JPMorgan Chase & Co. | 21,440,453 | 1,194,876 | |
Wells Fargo & Co. | 24,603,441 | 1,070,250 | |
Citigroup Inc. | 19,029,744 | 992,211 |
American Express Co. | 13,335,096 | 983,730 |
Bank of America Corp. | 60,650,695 | 885,500 |
PNC Financial Services Group Inc. | 11,137,368 | 846,997 |
Capital One Financial Corp. | 10,825,906 | 747,204 |
XL Group plc Class A | 12,748,832 | 399,676 |
SLM Corp. | 15,720,252 | 388,447 |
MetLife Inc. | 4,278,679 | 207,174 |
* American International Group Inc. | 3,755,764 | 170,925 |
Morgan Stanley | 5,514,900 | 150,060 |
SunTrust Banks Inc. | 4,205,067 | 146,294 |
Goldman Sachs Group Inc. | 864,744 | 141,844 |
Lincoln National Corp. | 3,285,361 | 136,901 |
BNP Paribas SA | 1,603,000 | 103,934 |
Regions Financial Corp. | 8,953,700 | 89,627 |
Barclays plc | 19,780,916 | 86,423 |
Corrections Corp. of America | 2,513,599 | 83,074 |
Lexington Realty Trust | 5,955,600 | 74,683 |
Allstate Corp. | 1,274,700 | 64,984 |
Hartford Financial Services Group Inc. | 2,097,018 | 64,714 |
Prudential Financial Inc. | 785,200 | 62,007 |
Vornado Realty Trust | 677,000 | 57,416 |
Unum Group | 1,688,100 | 53,412 |
ACE Ltd. | 565,422 | 51,668 |
Nordea Bank AB | 3,611,800 | 45,782 |
Bank of New York Mellon Corp. | 1,017,100 | 31,988 |
* IntercontinentalExchange Inc. | 164,756 | 30,060 |
State Street Corp. | 26,600 | 1,853 |
Travelers Cos. Inc. | 20,400 | 1,704 |
Fifth Third Bancorp | 78,200 | 1,504 |
Ameriprise Financial Inc. | 15,800 | 1,406 |
Everest Re Group Ltd. | 8,600 | 1,148 |
Discover Financial Services | 22,400 | 1,109 |
RenaissanceRe Holdings Ltd. | 12,500 | 1,087 |
PartnerRe Ltd. | 12,000 | 1,075 |
US Bancorp | 21,849 | 815 |
Host Hotels & Resorts Inc. | 44,600 | 797 |
Ventas Inc. | 12,000 | 789 |
Kimco Realty Corp. | 31,500 | 710 |
Weyerhaeuser Co. | 24,100 | 684 |
Axis Capital Holdings Ltd. | 15,700 | 684 |
Plum Creek Timber Co. Inc. | 14,000 | 683 |
Realty Income Corp. | 14,500 | 629 |
UDR Inc. | 25,000 | 626 |
Aflac Inc. | 9,725 | 600 |
Weingarten Realty Investors | 17,900 | 561 |
Regency Centers Corp. | 10,100 | 533 |
Simon Property Group Inc. | 3,100 | 496 |
Zions Bancorporation | 14,600 | 433 |
HCC Insurance Holdings Inc. | 9,500 | 423 |
Apartment Investment & Management Co. Class A | 10,100 | 297 |
HCP Inc. | 900 | 40 |
9,382,547 | ||
Health Care (16.0%) | ||
Pfizer Inc. | 42,452,097 | 1,240,875 |
WellPoint Inc. | 12,925,424 | 1,105,899 |
Johnson & Johnson | 11,192,650 | 1,046,513 |
Medtronic Inc. | 17,969,600 | 992,641 |
Merck & Co. Inc. | 14,929,200 | 719,140 |
UnitedHealth Group Inc. | 4,717,398 | 343,663 |
* CareFusion Corp. | 5,587,775 | 215,521 |
McKesson Corp. | 1,754,875 | 215,253 |
Baxter International Inc. | 2,723,900 | 198,954 |
Zoetis Inc. | 5,535,165 | 165,003 |
* Gilead Sciences Inc. | 2,631,800 | 161,724 |
St. Jude Medical Inc. | 1,892,216 | 99,133 |
Covidien plc | 1,250,772 | 77,085 |
Aetna Inc. | 1,173,200 | 75,284 |
AbbVie Inc. | 1,590,191 | 72,322 |
Sanofi | 633,700 | 66,338 |
Thermo Fisher Scientific Inc. | 505,011 | 46,012 |
AstraZeneca plc ADR | 901,500 | 45,724 |
* Express Scripts Holding Co. | 671,653 | 44,027 |
Amgen Inc. | 340,499 | 36,873 |
Sanofi ADR | 668,700 | 34,425 |
Humana Inc. | 362,700 | 33,100 |
Novartis AG ADR | 413,100 | 29,582 |
Abbott Laboratories | 641,998 | 23,516 |
Quest Diagnostics Inc. | 296,800 | 17,306 |
Zimmer Holdings Inc. | 186,000 | 15,527 |
* Mallinckrodt plc | 56,237 | 2,581 |
Eli Lilly & Co. | 43,700 | 2,321 |
Becton Dickinson and Co. | 11,400 | 1,182 |
Cigna Corp. | 10,900 | 848 |
Omnicare Inc. | 15,500 | 818 |
Bristol-Myers Squibb Co. | 17,653 | 763 |
* Charles River Laboratories International Inc. | 5,850 | 266 |
* Covance Inc. | 2,900 | 239 |
7,130,458 | ||
Industrials (12.0%) | ||
Raytheon Co. | 13,345,756 | 958,759 |
Honeywell International Inc. | 10,642,698 | 883,131 |
Emerson Electric Co. | 11,178,800 | 686,043 |
General Dynamics Corp. | 6,236,560 | 532,228 |
General Electric Co. | 20,750,307 | 505,685 |
Illinois Tool Works Inc. | 6,605,130 | 475,834 |
Tyco International Ltd. | 5,806,609 | 202,128 |
3 Exelis Inc. | 11,853,005 | 175,187 |
Xylem Inc. | 6,485,599 | 161,686 |
ITT Corp. | 3,694,451 | 115,415 |
Republic Services Inc. Class A | 2,238,800 | 75,918 |
* Terex Corp. | 2,025,200 | 59,703 |
Joy Global Inc. | 1,087,700 | 53,841 |
Cummins Inc. | 395,600 | 47,943 |
FedEx Corp. | 441,000 | 46,746 |
ADT Corp. | 1,152,319 | 46,185 |
Boeing Co. | 432,500 | 45,456 |
Lockheed Martin Corp. | 377,400 | 45,333 |
PACCAR Inc. | 699,800 | 39,378 |
United Technologies Corp. | 372,209 | 39,294 |
Stanley Black & Decker Inc. | 371,100 | 31,402 |
* Sensata Technologies Holding NV | 828,783 | 31,146 |
* WABCO Holdings Inc. | 305,405 | 24,145 |
Northrop Grumman Corp. | 188,376 | 17,342 |
Embraer SA ADR | 463,600 | 15,748 |
L-3 Communications Holdings Inc. | 13,800 | 1,285 |
Towers Watson & Co. Class A | 13,400 | 1,129 |
* Delta Air Lines Inc. | 50,600 | 1,074 |
Avery Dennison Corp. | 23,600 | 1,056 |
* Hertz Global Holdings Inc. | 24,600 | 630 |
United Parcel Service Inc. Class B | 6,400 | 556 |
Rockwell Collins Inc. | 2,500 | 178 |
5,321,584 | ||
Information Technology (8.0%) | ||
Microsoft Corp. | 34,687,045 | 1,104,089 |
Intel Corp. | 16,495,900 | 384,354 |
Cisco Systems Inc. | 12,481,400 | 318,900 |
EMC Corp. | 8,603,181 | 224,973 |
Hewlett-Packard Co. | 6,857,850 | 176,110 |
Corning Inc. | 11,270,100 | 171,193 |
QUALCOMM Inc. | 2,508,400 | 161,917 |
International Business Machines Corp. | 802,255 | 156,472 |
Apple Inc. | 289,002 | 130,773 |
Samsung Electronics Co. Ltd. | 110,400 | 125,803 |
Oracle Corp. | 3,475,396 | 112,429 |
Texas Instruments Inc. | 2,623,000 | 102,822 |
* Google Inc. Class A | 94,925 | 84,255 |
Western Digital Corp. | 1,250,600 | 80,514 |
* Check Point Software Technologies Ltd. | 915,600 | 51,557 |
* Juniper Networks Inc. | 2,064,300 | 44,733 |
Mastercard Inc. Class A | 68,052 | 41,553 |
* SanDisk Corp. | 695,900 | 38,358 |
TE Connectivity Ltd. | 453,775 | 23,161 |
Seagate Technology plc | 31,450 | 1,287 |
Fidelity National Information Services Inc. | 28,800 | 1,243 |
Computer Sciences Corp. | 25,200 | 1,201 |
Applied Materials Inc. | 54,100 | 882 |
Maxim Integrated Products Inc. | 6,900 | 197 |
CA Inc. | 4,700 | 140 |
Xerox Corp. | 7,300 | 71 |
NVIDIA Corp. | 3,300 | 48 |
3,539,035 | ||
Materials (1.4%) | ||
EI du Pont de Nemours & Co. | 5,322,888 | 307,078 |
Eastman Chemical Co. | 1,940,300 | 156,058 |
Carpenter Technology Corp. | 1,563,600 | 81,745 |
Mosaic Co. | 1,097,110 | 45,080 |
Praxair Inc. | 304,444 | 36,585 |
LyondellBasell Industries NV Class A | 24,820 | 1,705 |
Rock Tenn Co. Class A | 10,800 | 1,235 |
* Owens-Illinois Inc. | 38,700 | 1,151 |
Westlake Chemical Corp. | 10,800 | 1,124 |
CF Industries Holdings Inc. | 5,500 | 1,078 |
Dow Chemical Co. | 30,000 | 1,051 |
International Paper Co. | 20,700 | 1,000 |
634,890 | ||
Telecommunication Services (2.6%) | ||
AT&T Inc. | 14,309,207 | 504,686 |
Verizon Communications Inc. | 9,853,209 | 487,537 |
Vodafone Group plc ADR | 2,761,800 | 82,716 |
CenturyLink Inc. | 2,044,200 | 73,284 | |||
1,148,223 | |||||
Utilities (4.1%) | |||||
3 | CenterPoint Energy Inc. | 25,765,313 | 639,495 | ||
Public Service Enterprise Group Inc. | 17,943,058 | 606,296 | |||
Entergy Corp. | 5,427,878 | 366,382 | |||
Exelon Corp. | 2,468,100 | 75,499 | |||
* | Calpine Corp. | 2,811,933 | 56,267 | ||
NRG Energy Inc. | 1,538,000 | 41,249 | |||
Edison International | 418,100 | 20,842 | |||
American Electric Power Co. Inc. | 30,000 | 1,391 | |||
DTE Energy Co. | 18,600 | 1,315 | |||
UGI Corp. | 29,900 | 1,256 | |||
CMS Energy Corp. | 42,100 | 1,178 | |||
Pinnacle West Capital Corp. | 19,800 | 1,166 | |||
AES Corp. | 87,900 | 1,093 | |||
PG&E Corp. | 17,900 | 821 | |||
Ameren Corp. | 5,600 | 201 | |||
Duke Energy Corp. | 2,600 | 185 | |||
American Water Works Co. Inc. | 1,500 | 64 | |||
1,814,700 | |||||
Total Common Stocks (Cost $31,706,653) | 42,970,471 | ||||
Coupon | |||||
Temporary Cash Investments (3.6%)1 | |||||
Money Market Fund (3.5%) | |||||
4,5 Vanguard Market Liquidity Fund | 0.124% | 1,556,324,998 | 1,556,325 | ||
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
6,7 Fannie Mae Discount Notes | 0.110% | 8/21/13 | 5,000 | 5,000 | |
6,7 Fannie Mae Discount Notes | 0.130% | 9/18/13 | 30,000 | 29,995 | |
6,7 Freddie Mac Discount Notes | 0.130% | 9/16/13 | 1,000 | 1,000 | |
35,995 | |||||
Total Temporary Cash Investments (Cost $1,592,319) | 1,592,320 | ||||
Total Investments (100.3%) (Cost $33,298,972) | 44,562,791 | ||||
Other Assets and Liabilities-Net (-0.3%)5 | (125,006) | ||||
Net Assets (100%) | 44,437,785 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $49,105,000.
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 97.6% and 2.7%, respectively, of net assets.
2 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
3 Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company.
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 $49,474,000 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 $16,797,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 42,321,947 | 648.524 | — |
Temporary Cash Investments | 1,556,325 | 35,995 | — |
Futures Contracts—Liabilities1 | (955) | — | — |
Total | 43,877,317 | 684,519 | — |
1 Represents variation margin on the last day of the reporting period. |
Windsor II Fund
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 notional 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). 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.
At July 31, 2013, 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) |
S&P 500 Index | September 2013 | 901 | 378,533 | 12,233 |
E-mini S&P 500 Index | September 2013 | 43 | 3,613 | 1 |
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:
Current Period Transactions | |||||
Proceeds | |||||
Oct. 31, 2012 | from | July 31, 2013 | |||
Market | Purchases | Securities | Dividend | Market | |
Value | at Cost | Sold | Income | Value | |
($000) | ($000) | ($000) | ($000) | ($000) | |
CenterPoint Energy Inc. | 557,491 | 952 | — | 15,894 | 639,495 |
Exelis Inc. | 136,271 | — | 6,701 | 3,818 | 175,187 |
Service Corp. International | 292,496 | — | 183,753 | 2,156 | N/A 1 |
Xylem Inc. | 241,399 | — | 96,205 | 2,131 | N/A1 |
1,227,657 | 23,999 | 814,682 |
1 Not applicable — At July 31, 2013, the security was still held, but the issuer was no longer an affiliated company of the fund.
F. At July 31, 2013, the cost of investment securities for tax purposes was $33,298,972,000. Net unrealized appreciation of investment securities for tax purposes was $11,263,819,000 consisting of
Windsor II Fund
unrealized gains of $13,745,374,000 on securities that had risen in value since their purchase and $2,481,555,000 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 18, 2013 |
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 18, 2013 |
VANGUARD WINDSOR FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: September 18, 2013 |
* 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 18, 2013 |
/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 18, 2013 |
/s/ Thomas J Higgins |
|
Thomas J. Higgins |
|
Chief Financial Officer |