0000932471-11-002422.txt : 20110428 0000932471-11-002422.hdr.sgml : 20110428 20110428134228 ACCESSION NUMBER: 0000932471-11-002422 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 40 CONFORMED PERIOD OF REPORT: 20110228 FILED AS OF DATE: 20110428 DATE AS OF CHANGE: 20110428 EFFECTIVENESS DATE: 20110428 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD ADMIRAL FUNDS CENTRAL INDEX KEY: 0000891190 IRS NUMBER: 232696041 STATE OF INCORPORATION: DE FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07043 FILM NUMBER: 11787168 BUSINESS ADDRESS: STREET 1: P.O. BOX 2600, V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 215-669-6295 MAIL ADDRESS: STREET 1: P.O. BOX 2600 V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD ADMIRAL FUNDS INC DATE OF NAME CHANGE: 19920908 0000891190 S000002233 Vanguard Admiral Treasury Money Market Fund C000005732 Investor Shares VUSXX 0000891190 S000030012 Vanguard S&P 500 Growth Index Fund C000092034 ETF Shares VOOG C000092035 Institutional Shares VSPGX 0000891190 S000030013 Vanguard S&P 500 Value Index Fund C000092036 ETF Shares VOOV C000092037 Institutional Shares VSPVX 0000891190 S000030014 Vanguard S&P Mid-Cap 400 Index Fund C000092038 ETF Shares IVOO C000092039 Institutional Shares VSPMX 0000891190 S000030015 Vanguard S&P Mid-Cap 400 Value Index Fund C000092040 ETF Shares IVOV C000092041 Institutional Shares VMFVX 0000891190 S000030016 Vanguard S&P Mid-Cap 400 Growth Index Fund C000092042 Institutional Shares VMFGX C000092043 ETF Shares IVOG 0000891190 S000030017 Vanguard S&P Small-Cap 600 Index Fund C000092044 ETF Shares VIOO C000092045 Institutional Shares VSMSX 0000891190 S000030018 Vanguard S&P Small-Cap 600 Growth Index Fund C000092046 ETF Shares VIOG C000092047 Institutional Shares VSGNX 0000891190 S000030019 Vanguard S&P Small-Cap 600 Value Index Fund C000092048 ETF Shares VIOV C000092049 Institutional Shares VSMVX N-CSRS 1 admiral_final.htm admiral_final.htm - Generated by SEC Publisher for SEC Filing

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:  811-7043  
Name of Registrant: Vanguard Admiral 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:   August 31  
Date of reporting period:   September 1, 2010 – February 28, 2011
Item 1: Reports to Shareholders  

 

 

Vanguard Money Market Funds
Semiannual Report
February 28, 2011

Vanguard Prime Money Market Fund
Vanguard Federal Money Market Fund
Vanguard Admiral™ Treasury Money Market Fund

 

 

> For the six months ended February 28, 2011, the Vanguard Money Market Funds earned near-zero returns.

> Money market yields have remained negligible because of the Federal Reserve’s low-interest-rate policy, which aims to speed the economic recovery.

> While the three Vanguard funds posted slightly positive returns, the average return of peer-group funds was 0%.

Contents  
Your Fund’s Total Returns. 1
Chairman’s Letter. 2
Advisor’s Report. 7
Prime Money Market Fund. 8
Federal Money Market Fund. 30
Admiral Treasury Money Market Fund. 40
About Your Fund’s Expenses. 48
Glossary. 50

 

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.

Cover photograph: Jean Maher.

 

Your Fund’s Total Returns

Six Months Ended February 28, 2011    
  7-Day Total
  SEC Yields Returns
Vanguard Prime Money Market Fund    
Investor Shares 0.07% 0.04%
Institutional Shares 0.19 0.10
Money Market Funds Average   0.00
Money Market Funds Average: Derived from data provided by Lipper Inc.    
Vanguard Federal Money Market Fund 0.02% 0.01%
Government Money Market Funds Average   0.00
Government Money Market Funds Average: Derived from data provided by Lipper Inc.    
Vanguard Admiral Treasury Money Market Fund 0.02% 0.01%
iMoneyNet Money Fund Report’s 100% Treasury Funds Average   0.00
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc.
The 7-day SEC yield of a money market fund more closely reflects the current earnings of the fund than its total return.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.

 

1

 

 

 

 

Chairman’s Letter

Dear Shareholder,

A description of money market mutual fund performance over the past six months will have a familiar ring to many investors. Yields of the Vanguard Money Market Funds continued to be a hairsbreadth above zero as the Federal Reserve kept short-term interest rates at a historically low level.

This restrictive interest rate environment has been a challenge ably met by the funds’ advisor, Vanguard Fixed Income Group. Our funds’ returns were slight in the half-year ended February 28, but they were ahead of the 0% average return of competing money market funds, and we didn’t waver from our mandate to invest in very high-credit-quality securities.

During the period, U.S. money market funds continued to implement changes required by the Securities and Exchange Commission (SEC) in reaction to the financial crisis of 2008. In our last report to you, I noted one of these new requirements, which involved an enhancement to fund liquidity. Since then, money market funds have begun posting their holdings five business days after the end of each month on their websites. In addition, the SEC has begun posting, with a 60-day delay, funds’ “shadow net asset values” on its own site. Shadow NAVs reflect the typically very modest changes in market prices of fund investments. Federal policy-makers are pondering additional changes, and Vanguard has been providing research and comments.

2

 

We applaud these developments, which support the transparency and credit quality of all money market funds. None of the changes alter the exacting standards for credit quality and liquidity to which we have traditionally managed your funds.

We continue to believe that money market funds play an important role in most investors’ portfolios, as well as in the broad economy.

Longer-term interest rates rose, depressing bond prices

U.S. interest rates hovered near generational lows early in the period but then moved higher for all but the shortest-term securities, putting pressure on bond prices. For the six months ended February 28, the broad taxable bond market produced

a small negative return. The municipal bond market did worse. Corporate bonds outperformed government debt as investors stretched for yield beyond government securities, where rates remained low by historical standards.

As I noted earlier, the Federal Reserve held its target for short-term interest rates near 0%, as it has since December 2008. This stance kept the returns available from money market instruments such as the 3-month Treasury bill in the same neighborhood.

A fretful start, an optimistic finish for global stock markets

Stock markets rallied from their midsummer malaise to produce exceptional returns for the half-year. At the start of the

Market Barometer      
  Total Returns
  Periods Ended February 28, 2011
  Six One Five Years
  Months Year (Annualized)
Bonds      
Barclays Capital U.S. Aggregate Bond Index (Broad      
taxable market) -0.83% 4.93% 5.80%
Barclays Capital Municipal Bond Index (Broad tax-exempt      
market) -3.51 1.72 4.07
Citigroup Three-Month U.S. Treasury Bill Index 0.06 0.14 2.16
 
Stocks      
Russell 1000 Index (Large-caps) 28.65% 23.54% 3.17%
Russell 2000 Index (Small-caps) 37.55 32.60 3.80
Dow Jones U.S. Total Stock Market Index 29.24 24.45 3.59
MSCI All Country World Index ex USA (International) 22.16 21.12 4.23
 
CPI      
Consumer Price Index 1.37% 2.11% 2.18%

 

3

 

period, the U.S. economy seemed in danger of tipping back into recession. By the end, hopes were high that it had reached escape velocity, propelled by steady job growth and notable strength in the manufacturing sector. Smaller stocks, which are especially sensitive to the rhythms of the business cycle, produced the highest six-month returns.

In Europe, investor optimism subdued sovereign-debt jitters, driving stock prices higher. Developed markets in the Pacific region perked up on signs of recovery in global trade. Australian stocks posted especially strong returns, benefiting from a surge in the prices of metals and other natural resources. Emerging stock markets trailed a few steps behind their developed-market counterparts. Most major currencies

appreciated relative to the U.S. dollar, enhancing returns from abroad for U.S.-based investors.

The funds’ investments are chosen very, very selectively

As of February 28, the yields of the Prime and Federal Money Market Funds were slightly lower than those we reported to you six months ago; the Admiral Treasury Fund’s yield was unchanged. Both the Admiral Treasury and Federal Money Market Funds had a 7-day SEC yield of about 0.02%. (These funds have been closed to new investors since 2009.) The Investor Shares of the Prime Money Market Fund yielded 0.07%, while the Institutional Shares, because of their lower expense ratio, yielded 0.19%.

Expense Ratios      
Your Fund Compared With Its Peer Group      
  Investor Institutional Peer Group
  Shares Shares Average
Prime Money Market Fund 0.23% 0.09% 0.40%
Federal Money Market Fund 0.22 — 0.29
Admiral Treasury Money Market Fund 0.14 — 0.21

 

The fund expense ratios shown are from the prospectus dated December 23, 2010, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2011, the funds’ annualized expense ratios were: for the Prime Money Market Fund, 0.23% for Investor
Shares and 0.09% for Institutional Shares; for the Federal Money Market Fund, 0.22%; for the Admiral Treasury Money Market Fund, 0.14%.
Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2010.

Peer groups are: for the Prime Money Market Fund Investor Shares, Money Market Funds; for the Federal Money Market Fund, Government
Money Market Funds; for the Admiral Treasury Money Market Fund, U.S. Treasury Money Market Funds.

4

 

In this environment of super-low short-term interest rates, our advisor sought to produce as much income as possible consistent with the funds’ prospectus goal of investing only in very high-quality money market instruments. Every potential holding—particularly those for the Prime Money Market Fund, which invests in corporate and foreign-government securities—is thoroughly vetted by a team of experienced credit analysts.

At the end of February, about one-third of the Prime Money Market Fund’s assets were invested in bank certificates of deposit, mostly in the form of Eurodollar CDs or Yankee CDs. The former are held outside the United States and are typically issued by London banks; the latter are

typically issued by the New York branches of foreign banks. Both are denominated in dollars.

About a fifth of the fund’s holdings consisted of commercial paper (a type of unsecured debt typically backed by bank lines of credit) issued by foreign governments and by financial and industrial firms in the United States and abroad. Smaller portions of the portfolio were invested in state and local government securities and repurchase agreements, which are short-term loans backed by government and agency securities.

The Prime Money Market Fund held dollar-denominated instruments from a geographically diversified group of banks

Changes in Yields      
      7-Day SEC Yield
  February 28, August 31, February 28,
Money Market Fund 2011 2010 2010
Prime      
Investor Shares 0.07% 0.13% 0.01%
Institutional Shares 0.19 0.26 0.15
Federal 0.02 0.05 0.01
Admiral Treasury 0.02 0.02 0.01

 

5

 

in Canada, Australia, New Zealand, and selected European countries. The fund has no direct exposure to securities of the financially stretched European countries—Portugal, Ireland, Italy, Greece, and Spain—that have been wrestling with sovereign-debt challenges.

As of February 28, the largest portion of the fund’s investments—about 40%—were in U.S. government and agency obligations, which have the highest credit standing. Our other two money market funds have a more exclusive focus, as their names imply: The Admiral Treasury Money Market Fund concentrates on U.S. Treasury securities, while the Federal Money Market Fund typically focuses on securities issued by agencies of the federal government.

When will short-term rates bounce off the bottom?

Despite their low yields, the Vanguard Money Market Funds continue to carry out their primary function admirably, serving as low-cost vehicles in which you can hold your short-term reserves with confidence that they are invested in securities of high quality.

So what’s next for short-term interest rates? No one can know for certain, of course, what the Federal Reserve’s policy will be or what will happen in the financial markets. That’s the nature of investing, and it’s why we recommend an investment program that is balanced and diversified among stocks, bonds, and money market funds.

At this point, while many economists believe that the Federal Reserve will take steps to boost short-term rates late in 2011, Vanguard’s economists suspect that such action will more likely take place in early 2012. Note that our economists often share their latest views at vanguard.com.

As always, thank you for entrusting your assets to Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
March 9, 2011

6

 

Advisor’s Report

For the six months ended February 28, 2011, the three Vanguard Money Market Funds produced negligible returns. As with all money market funds, yields have been weighed down by the Federal Reserve Board’s policy of keeping short-term interest rates very low in an attempt to spur economic growth. The Fed has maintained its target federal funds rate between 0% and 0.25% since December 2008 and has continued to state that it plans to keep short-term rates low “for an extended period.” In November the Fed announced a strategy aimed at tamping down longer-term interest rates as well through a massive bond-buying program.

The funds’ returns ranged from 0.01% for the Admiral Treasury and Federal Money Market Funds to 0.10% for the Institutional Shares of the Prime Money Market Fund. By comparison, the average return of peer-group money market funds was 0%.

Investing in a difficult market

The half-year began in a period of heightened sovereign-debt risk in Europe. Financial conditions in Greece deteriorated and prompted intervention by the European Union and the International Monetary Fund. These actions mitigated some of the worry about Greece, but concern lingered about high levels of debt in other countries.

As conditions evolved, we modified the exposures in the Prime Money Market Fund to reflect our concerns about the potential for further deterioration in Europe. We increased our holdings in

Canadian and Australian banks, which had limited exposure to regions we were concerned about.

During this period, we continued to take advantage of relative value opportunities in the U.S. Treasury and agency markets. A consequence of the housing crisis has been a decline in money-market-eligible agency issuance, while yields on short-term agency discount notes have remained relatively close to those of U.S. Treasury bills. Because of this, we increased the allocation to Treasury bills in the Prime and Federal Money Market Funds. As an alternative to the discount agency notes, we have been able to accumulate a position in floating-rate agency securities at more favorable yields.

The outlook

The good news is that the economy is showing signs of improvement. The employment situation has gotten better and retail sales have grown. We believe we have entered a period of self-sustaining recovery that will eventually lead the Federal Reserve to tighten monetary policy. As always, we will continue to monitor the situation and adjust the portfolios accordingly should the expansion prove to be faster than anticipated.

David R. Glocke, Principal
Vanguard Fixed Income Group
March 15, 2011

7

 

Prime Money Market Fund

Fund Profile
As of February 28, 2011

Financial Attributes    
  Investor Institutional
  Shares Shares
Ticker Symbol VMMXX VMRXX
Expense Ratio1 0.23% 0.09%
7-Day SEC Yield 0.07% 0.19%
Average Weighted    
Maturity 57 days 57 days
 
Sector Diversification (% of portfolio)  
Certificates of Deposit   1.3%
Repurchase Agreements   6.4
U.S. Treasury Bills   15.9
Yankee/Foreign   39.1
Commercial Paper   8.1
U.S. Government Agency Obligations 24.9
Other   4.3

 

The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are not
backed by the full faith and credit of the U.S. government.

 

Distribution by Credit Quality (% of portfolio)
First Tier 100.0%
For information about these ratings, see the Glossary entry for Credit Quality.

 

1 The expense ratios shown are from the prospectus dated December 23, 2010, and represent estimated costs for the current fiscal year. For
the six months ended February 28, 2011, the annualized expense ratios were 0.23% for Investor Shares and 0.09% for Institutional Shares.

8

 

Prime Money Market Fund

Performance Summary

Investment returns will fluctuate. 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.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.

Fiscal-Year Total Returns (%): August 31, 2000, Through February 28, 2011

    Money
    Market
    Funds
  Investor Shares Average
Fiscal Year Total Returns Total Returns
2001 5.43% 4.75%
2002 2.09 1.40
2003 1.12 0.60
2004 0.83 0.39
2005 2.31 1.68
2006 4.38 3.69
2007 5.23 4.55
2008 3.60 3.02
2009 1.31 0.62
2010 0.08 0.02
2011 0.04 0.00
7-day SEC yield (2/28/2011): 0.07%
Money Market Funds Average: Derived from data provided by Lipper Inc.
Note: For 2011, performance data reflect the six months ended February 28, 2011.

 

Average Annual Total Returns: Periods Ended December 31, 2010

This table presents average annual total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.

  Inception One Five Ten
  Date Year Years Years
Investor Shares 6/4/1975 0.06% 2.66% 2.41%
Institutional Shares 10/3/1989 0.20 2.81 2.59

 

See Financial Highlights for dividend information.

9

 

Prime Money Market Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in various monthly and quarterly regulatory filings.

The fund publishes its holdings on a monthly basis at vanguard.com and files them with the Securities and Exchange Commission on Form N-MFP. The fund’s Form N-MFP filings become public 60 days after the relevant month-end, and may be viewed at sec.gov or via a link on the “Portfolio Holdings” page on vanguard.com. 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 SEC 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).

        Face Market
      Maturity Amount Value
    Yield1 Date ($000) ($000)
U.S. Government and Agency Obligations (41.9%)      
2 Fannie Mae Discount Notes 0.180% 3/2/11 48,000 48,000
2 Fannie Mae Discount Notes 0.180% 4/6/11 30,000 29,995
2 Federal Home Loan Bank Discount Notes 0.200% 3/2/11 119,000 118,999
2 Federal Home Loan Bank Discount Notes 0.200% 3/4/11 76,000 75,999
2 Federal Home Loan Bank Discount Notes 0.170% 3/23/11 398,000 397,959
2 Federal Home Loan Bank Discount Notes 0.170% 3/25/11 602,000 601,932
2 Federal Home Loan Bank Discount Notes 0.165% 4/4/11 50,000 49,992
2 Federal Home Loan Bank Discount Notes 0.180% 4/6/11 55,000 54,990
2 Federal Home Loan Bank Discount Notes 0.165%–0.180% 4/8/11 763,000 762,866
2 Federal Home Loan Bank Discount Notes 0.180% 4/13/11 582,000 581,875
2 Federal Home Loan Bank Discount Notes 0.190% 4/27/11 70,000 69,979
2,3 Federal Home Loan Banks 0.182% 5/13/11 1,079,640 1,079,595
2,3 Federal Home Loan Banks 0.231% 1/9/12 593,000 592,835
2,3 Federal Home Loan Banks 0.232% 1/23/12 425,000 424,904
2,3 Federal Home Loan Banks 0.227% 1/26/12 405,000 404,889
2,3 Federal Home Loan Banks 0.223% 2/1/12 750,000 749,776
2,3 Federal Home Loan Banks 0.228% 2/3/12 122,000 121,966
2,3 Federal Home Loan Banks 0.233% 2/3/12 484,000 483,865
2,3 Federal Home Loan Mortgage Corp. 0.213% 12/21/11 1,500,000 1,499,388
2,3 Federal Home Loan Mortgage Corp. 0.353% 4/7/11 3,247,000 3,246,977
2,3 Federal Home Loan Mortgage Corp. 0.221% 5/4/11 500,000 499,983
2,3 Federal Home Loan Mortgage Corp. 0.241% 8/5/11 1,250,000 1,250,094
2,3 Federal Home Loan Mortgage Corp. 0.225% 12/16/11 515,000 514,835
2,3 Federal Home Loan Mortgage Corp. 0.225% 2/16/12 470,400 470,210
2,3 Federal Home Loan Mortgage Corp. 0.201% 8/24/12 2,515,000 2,513,210
2,3 Federal National Mortgage Assn. 0.293% 12/20/11 494,500 494,319
2,3 Federal National Mortgage Assn. 0.192% 5/13/11 3,000,000 2,999,940
2,3 Federal National Mortgage Assn. 0.161% 7/27/11 2,000,000 1,999,675
2,3 Federal National Mortgage Assn. 0.174% 8/11/11 1,000,000 999,730
2,3 Federal National Mortgage Assn. 0.282% 8/23/12 1,455,500 1,454,845
2,3 Federal National Mortgage Assn. 0.294% 9/17/12 988,000 987,691
2,3 Federal National Mortgage Assn. 0.282% 11/23/12 1,772,795 1,771,863
2,3 Federal National Mortgage Assn. 0.291% 12/28/12 219,000 218,919
2 Freddie Mac Discount Notes 0.180% 4/4/11 256,099 256,055
2 Freddie Mac Discount Notes 0.165% 4/5/11 23,000 22,996
2 Freddie Mac Discount Notes 0.180% 4/11/11 50,000 49,990

 

10

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
United States Treasury Bill 0.160% 3/3/11 1,000,000 999,991
United States Treasury Bill 0.145% 3/10/11 1,825,000 1,824,934
United States Treasury Bill 0.160% 3/17/11 500,000 499,964
United States Treasury Bill 0.165% 4/14/11 500,000 499,899
United States Treasury Bill 0.170% 4/28/11 840,000 839,770
United States Treasury Bill 0.160% 5/12/11 1,500,000 1,499,520
United States Treasury Bill 0.194%–0.195% 5/26/11 2,400,000 2,398,884
United States Treasury Bill 0.145% 6/2/11 800,000 799,707
United States Treasury Bill 0.180% 6/9/11 500,000 499,750
United States Treasury Bill 0.190%–0.191% 6/16/11 1,550,000 1,549,124
United States Treasury Bill 0.185% 6/23/11 2,000,000 1,998,828
United States Treasury Bill 0.225% 6/30/11 2,000,000 1,998,487
United States Treasury Bill 0.190% 7/7/11 979,000 978,339
United States Treasury Bill 0.155% 8/25/11 900,000 899,314
United States Treasury Bill 0.170% 9/1/11 568,120 567,632
Total U.S. Government and Agency Obligations (Cost $45,755,279)     45,755,279
Commercial Paper (17.0%)        
Finance—Auto (1.9%)        
American Honda Finance Corp. 0.240% 3/2/11 107,000 106,999
American Honda Finance Corp. 0.280% 3/18/11 50,000 49,993
American Honda Finance Corp. 0.240% 4/4/11 41,000 40,991
American Honda Finance Corp. 0.250% 4/18/11 141,000 140,953
American Honda Finance Corp. 0.240% 5/16/11 51,000 50,974
Toyota Credit Canada Inc. 0.391% 4/15/11 24,500 24,488
Toyota Credit Canada Inc. 0.371% 4/26/11 74,000 73,957
Toyota Credit Canada Inc. 0.341% 5/16/11 25,000 24,982
Toyota Motor Credit Corp. 0.381% 3/1/11 207,600 207,600
Toyota Motor Credit Corp. 0.391% 4/15/11 148,500 148,428
Toyota Motor Credit Corp. 0.260% 4/20/11 92,000 91,967
Toyota Motor Credit Corp. 0.371% 4/26/11 84,000 83,952
Toyota Motor Credit Corp. 0.331% 5/16/11 82,500 82,443
Toyota Motor Credit Corp. 0.240% 5/17/11 79,000 78,959
Toyota Motor Credit Corp. 0.240% 5/19/11 79,000 78,958
Toyota Motor Credit Corp. 0.351% 5/20/11 99,000 98,923
Toyota Motor Credit Corp. 0.250%–0.351% 5/23/11 138,600 138,497
Toyota Motor Credit Corp. 0.351% 5/24/11 99,000 98,919
Toyota Motor Credit Corp. 0.250% 5/26/11 148,250 148,162
Toyota Motor Credit Corp. 0.381% 5/31/11 99,000 98,905
Toyota Motor Credit Corp. 0.250% 6/2/11 207,600 207,466
        2,076,516
Finance—Other (3.8%)        
General Electric Capital Corp. 0.391% 3/16/11 250,000 249,959
General Electric Capital Corp. 0.431% 4/8/11 247,000 246,888
General Electric Capital Corp. 0.411% 4/22/11 300,000 299,822
General Electric Capital Corp. 0.411% 4/27/11 494,000 493,679
General Electric Capital Corp. 0.401% 5/23/11 500,000 499,539
General Electric Capital Corp. 0.361% 5/27/11 396,000 395,655
General Electric Capital Corp. 0.361% 5/31/11 396,000 395,640
General Electric Capital Corp. 0.301% 7/18/11 250,000 249,710
4 Straight-A Funding LLC 0.240% 3/2/11 7,000 7,000
4 Straight-A Funding LLC 0.250% 3/2/11 7,712 7,712
4 Straight-A Funding LLC 0.240% 3/7/11 45,000 44,998
4 Straight-A Funding LLC 0.240% 3/7/11 50,000 49,998

 

11

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
4 Straight-A Funding LLC 0.240% 3/7/11 29,000 28,999
4 Straight-A Funding LLC 0.240%–0.250%  3/7/11 94,685 94,681
4 Straight-A Funding LLC 0.250% 4/4/11 60,000 59,986
4 Straight-A Funding LLC 0.250% 4/4/11 161,000 160,962
4 Straight-A Funding LLC 0.250% 4/5/11 73,000 72,982
4 Straight-A Funding LLC 0.250% 4/6/11 61,000 60,985
4 Straight-A Funding LLC 0.250% 4/7/11 33,000 32,992
4 Straight-A Funding LLC 0.250% 4/7/11 29,000 28,993
4 Straight-A Funding LLC 0.250% 4/7/11 17,000 16,996
4 Straight-A Funding LLC 0.250% 4/8/11 138,500 138,463
4 Straight-A Funding LLC 0.250% 4/8/11 65,000 64,983
4 Straight-A Funding LLC 0.250% 4/11/11 40,300 40,289
4 Straight-A Funding LLC 0.250% 4/11/11 75,000 74,979
4 Straight-A Funding LLC 0.250% 4/11/11 32,500 32,491
4 Straight-A Funding LLC 0.240% 5/5/11 58,000 57,975
4 Straight-A Funding LLC 0.245% 5/5/11 35,000 34,984
4 Straight-A Funding LLC 0.240% 5/9/11 200,000 199,908
4 Straight-A Funding LLC 0.250% 5/9/11 36,985 36,967
4 Straight-A Funding LLC 0.250% 5/13/11 33,000 32,983
        4,212,198
Foreign Banks (5.5%)        
4 Australia & New Zealand Banking Group, Ltd. 0.311% 5/3/11 197,000 196,893
4 Australia & New Zealand Banking Group, Ltd. 0.336% 7/29/11 41,000 40,943
4 Australia & New Zealand Banking Group, Ltd. 0.336% 8/1/11 24,670 24,635
4 Australia & New Zealand Banking Group, Ltd. 0.336% 8/2/11 198,000 197,716
4 Commonwealth Bank of Australia 0.280% 4/6/11 500,000 499,860
4 Commonwealth Bank of Australia 0.280% 4/12/11 198,550 198,485
4 Commonwealth Bank of Australia 0.270% 4/29/11 181,000 180,920
4 Commonwealth Bank of Australia 0.361% 6/14/11 199,000 198,791
4 Commonwealth Bank of Australia 0.341% 8/31/11 60,400 60,296
4 Danske Corp. 0.265% 3/9/11 500,000 499,971
4 Danske Corp. 0.270% 3/18/11 500,000 499,936
Lloyds TSB Bank plc 0.260% 3/21/11 540,000 539,922
Nordea North America Inc. 0.381% 7/12/11 102,482 102,338
4 Westpac Banking Corp. 0.311% 4/14/11 150,000 149,943
4 Westpac Banking Corp. 0.341% 7/12/11 500,000 499,372
4 Westpac Banking Corp. 0.341% 7/25/11 495,000 494,318
4 Westpac Banking Corp. 0.341% 7/28/11 497,000 496,301
4 Westpac Banking Corp. 0.341% 8/1/11 350,000 349,494
4 Westpac Banking Corp. 0.341% 8/4/11 350,000 349,484
4 Westpac Banking Corp. 0.341% 8/8/11 448,000 447,323
        6,026,941
Foreign Governments (0.5%)        
Banque et Caisse d’Epargne de L’Etat 0.320% 4/7/11 163,100 163,046
Banque et Caisse d’Epargne de L’Etat 0.340% 5/4/11 38,000 37,977
Banque et Caisse d’Epargne de L’Etat 0.260% 5/16/11 175,000 174,904
Banque et Caisse d’Epargne de L’Etat 0.341% 8/31/11 100,000 99,827
        475,754
Foreign Industrial (2.7%)        
4 Nestle Capital Corp. 0.210% 3/2/11 247,000 246,999
4 Nestle Capital Corp. 0.200% 3/14/11 200,000 199,986
4 Nestle Capital Corp. 0.180% 4/12/11 42,000 41,991
4 Nestle Capital Corp. 0.210% 4/27/11 345,000 344,885

 

12

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
4 Nestle Capital Corp. 0.200% 5/17/11 317,000 316,864
Nestle Finance International Ltd. 0.180% 3/7/11 109,000 108,997
Nestle Finance International Ltd. 0.180% 3/11/11 38,000 37,998
Nestle Finance International Ltd. 0.200% 5/26/11 117,600 117,544
4 Novartis Finance Corp. 0.321% 3/2/11 46,000 46,000
4 Novartis Finance Corp. 0.190%–0.200% 4/14/11 157,150 157,113
4 Novartis Finance Corp. 0.190% 4/15/11 56,655 56,641
4 Novartis Finance Corp. 0.190% 4/18/11 86,000 85,978
4 Novartis Finance Corp. 0.190%–0.200% 4/19/11 76,700 76,680
4 Novartis Securities Investment Ltd. 0.220% 5/9/11 39,000 38,983
4 Novartis Securities Investment Ltd. 0.240% 6/13/11 156,000 155,892
4 Shell International Finance BV 0.331% 3/1/11 55,000 55,000
4 Shell International Finance BV 0.321%–0.331% 3/2/11 147,750 147,749
4 Shell International Finance BV 0.260% 4/1/11 40,000 39,991
4 Total Capital Canada, Ltd. 0.321% 7/13/11 199,000 198,763
4 Total Capital Canada, Ltd. 0.321% 7/14/11 297,000 296,644
4 Total Capital Canada, Ltd. 0.321% 7/19/11 154,000 153,808
        2,924,506
Industrial (2.6%)        
Chevron Corp. 0.180% 3/11/11 59,000 58,997
4 Cisco Systems Inc. 0.210% 4/13/11 32,000 31,992
4 Cisco Systems Inc. 0.210% 4/20/11 158,000 157,954
4 Cisco Systems Inc. 0.215% 5/4/11 154,000 153,941
4 Coca Cola Co. 0.220% 4/4/11 82,000 81,983
4 Coca Cola Co. 0.200%–0.230% 4/6/11 234,850 234,798
4 Coca Cola Co. 0.220% 5/13/11 81,700 81,663
4 Coca Cola Co. 0.210% 5/16/11 9,500 9,496
Exxon Mobil Corp. 0.180% 3/17/11 118,000 117,991
General Electric Co. 0.220% 3/8/11 150,000 149,994
General Electric Co. 0.220% 3/14/11 177,000 176,986
4 Google Inc. 0.210% 3/1/11 20,000 20,000
4 Google Inc. 0.200% 3/3/11 43,900 43,899
4 Google Inc. 0.220% 3/14/11 29,000 28,998
4 Google Inc. 0.180% 4/14/11 49,000 48,989
4 Google Inc. 0.180% 4/18/11 13,500 13,497
4 Johnson & Johnson 0.210% 3/10/11 76,000 75,996
4 Johnson & Johnson 0.220% 3/21/11 49,400 49,394
4 Johnson & Johnson 0.210%–0.220% 4/7/11 119,000 118,974
4 Johnson & Johnson 0.210% 4/14/11 48,000 47,988
4 Merck & Co Inc. 0.180%–0.190% 3/14/11 143,400 143,390
4 Merck & Co Inc. 0.180%–0.190% 3/15/11 122,700 122,691
4 Merck & Co Inc. 0.190% 3/16/11 53,000 52,996
4 Procter & Gamble Co. 0.190% 4/19/11 25,871 25,864
4 Procter & Gamble Co. 0.180% 4/25/11 205,000 204,944
4 Procter & Gamble Co. 0.190% 4/26/11 115,004 114,970
4 Procter & Gamble Co. 0.180% 4/27/11 57,700 57,683
4 Procter & Gamble Co. 0.200% 5/18/11 90,000 89,961
4 Procter & Gamble Co. 0.200% 5/25/11 75,000 74,965
4 Procter & Gamble Co. 0.200% 5/26/11 45,000 44,978
4 Wal-Mart Stores, Inc. 0.200% 3/21/11 50,000 49,994
4 Wal-Mart Stores, Inc. 0.210% 4/11/11 10,000 9,998
4 Wal-Mart Stores, Inc. 0.180% 4/18/11 171,000 170,959
        2,866,923
Total Commercial Paper (Cost $18,582,838)       18,582,838

 

13

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
Certificates of Deposit (32.8%)        
Domestic Banks (1.3%)        
State Street Bank & Trust Co. 0.350% 3/7/11 500,000 500,000
State Street Bank & Trust Co. 0.340% 3/14/11 400,000 400,000
State Street Bank & Trust Co. 0.250% 5/12/11 235,000 235,000
State Street Bank & Trust Co. 0.250% 5/16/11 148,000 148,000
State Street Bank & Trust Co. 0.250% 5/17/11 148,000 148,000
        1,431,000
Eurodollar Certificates of Deposit (10.2%)        
Australia & New Zealand Banking Group, Ltd. 0.325% 4/4/11 342,000 342,000
Australia & New Zealand Banking Group, Ltd. 0.310% 4/21/11 500,000 500,000
Australia & New Zealand Banking Group, Ltd. 0.270% 5/9/11 157,000 157,000
Australia & New Zealand Banking Group, Ltd. 0.350% 6/8/11 175,000 175,000
Australia & New Zealand Banking Group, Ltd. 0.340% 8/3/11 321,000 321,000
Commonwealth Bank of Australia 0.280% 4/20/11 750,000 750,000
Commonwealth Bank of Australia 0.280% 4/26/11 400,000 400,000
Commonwealth Bank of Australia 0.310% 4/26/11 280,000 280,000
DNB NOR Bank ASA (London Branch) 0.260% 3/14/11 500,000 500,000
DNB NOR Bank ASA (London Branch) 0.260% 3/14/11 280,000 280,000
HSBC Bank plc 0.320% 4/8/11 750,000 750,000
HSBC Bank plc 0.320% 4/8/11 750,000 750,000
HSBC Bank plc 0.320% 4/14/11 145,000 145,000
HSBC Bank plc 0.320% 4/14/11 236,000 236,000
Lloyds TSB Bank plc 0.280% 5/3/11 125,000 125,000
Lloyds TSB Bank plc 0.290% 5/9/11 710,000 710,000
Lloyds TSB Bank plc 0.290% 5/31/11 360,000 360,000
National Australia Bank Ltd. 0.430% 6/3/11 745,000 745,000
National Australia Bank Ltd. 0.400% 6/30/11 198,000 198,007
National Australia Bank Ltd. 0.390% 7/5/11 750,000 750,000
National Australia Bank Ltd. 0.360% 7/12/11 360,000 360,000
National Australia Bank Ltd. 0.355% 7/20/11 230,000 230,004
National Australia Bank Ltd. 0.340% 8/3/11 150,000 150,000
National Australia Bank Ltd. 0.360% 8/10/11 100,000 100,002
National Australia Bank Ltd. 0.360% 8/11/11 500,000 500,011
Royal Bank of Scotland plc 0.270% 4/21/11 500,000 500,000
Toronto Dominion Bank 0.250% 4/4/11 300,000 300,000
Toronto Dominion Bank 0.250% 4/14/11 250,000 250,000
Toronto Dominion Bank 0.270% 5/9/11 247,000 247,000
        11,111,024
Yankee Certificates of Deposit (21.3%)        
Abbey National Treasury Services plc (US Branch) 0.850% 3/1/11 461,000 461,000
Abbey National Treasury Services plc (US Branch) 0.300% 3/9/11 250,000 250,000
Abbey National Treasury Services plc (US Branch) 0.750% 3/21/11 500,000 500,000
Abbey National Treasury Services plc (US Branch) 0.740% 4/20/11 500,000 500,000
Abbey National Treasury Services plc (US Branch) 0.740% 5/3/11 530,000 530,000
Abbey National Treasury Services plc (US Branch) 0.450% 6/1/11 400,000 400,000
Bank of Montreal (Chicago Branch) 0.270% 3/1/11 450,000 450,000
Bank of Montreal (Chicago Branch) 0.270% 3/1/11 194,000 194,000
Bank of Montreal (Chicago Branch) 0.270% 3/9/11 164,000 164,000
Bank of Montreal (Chicago Branch) 0.270% 3/10/11 121,000 121,000
Bank of Montreal (Chicago Branch) 0.230% 3/22/11 500,000 500,000
Bank of Nova Scotia (Houston Branch) 0.280% 3/7/11 269,000 269,000

 

14

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
Bank of Nova Scotia (Houston Branch) 0.290% 3/7/11 506,000 506,000
Bank of Nova Scotia (Houston Branch) 0.270% 4/14/11 600,000 600,000
Bank of Nova Scotia (Houston Branch) 0.270% 5/11/11 99,000 99,000
Bank of Nova Scotia (Houston Branch) 0.270% 5/12/11 100,000 100,000
Bank of Nova Scotia (Houston Branch) 0.280% 5/18/11 50,000 50,001
Bank of Nova Scotia (Houston Branch) 0.270% 5/23/11 545,000 545,000
Bank of Nova Scotia (Houston Branch) 0.340% 6/13/11 398,000 398,000
Bank of Nova Scotia (Houston Branch) 0.330% 8/9/11 675,000 675,000
DNB NOR Bank ASA (New York Branch) 0.290% 4/5/11 200,000 200,000
DNB NOR Bank ASA (New York Branch) 0.290% 4/20/11 405,000 405,000
DNB NOR Bank ASA (New York Branch) 0.280% 5/2/11 300,000 300,000
DNB NOR Bank ASA (New York Branch) 0.280% 5/3/11 475,000 475,000
Lloyds TSB Bank plc (New York Branch) 0.270% 3/10/11 435,000 435,000
Nordea Bank Finland plc (New York Branch) 0.280% 5/3/11 500,000 500,000
Nordea Bank Finland plc (New York Branch) 0.370% 7/5/11 247,000 247,000
Nordea Bank Finland plc (New York Branch) 0.380% 7/18/11 394,000 394,000
Nordea Bank Finland plc (New York Branch) 0.370% 7/21/11 200,000 200,000
Nordea Bank Finland plc (New York Branch) 0.350% 8/2/11 500,000 500,000
Nordea Bank Finland plc (New York Branch) 0.350% 8/4/11 300,000 300,000
Nordea Bank Finland plc (New York Branch) 0.410% 8/26/11 250,000 250,074
Rabobank Nederland NV (New York Branch) 0.330% 3/7/11 350,000 350,000
Rabobank Nederland NV (New York Branch) 0.335% 3/16/11 92,000 92,001
Rabobank Nederland NV (New York Branch) 0.325% 4/1/11 150,000 150,001
Rabobank Nederland NV (New York Branch) 0.310% 5/5/11 995,000 995,000
Rabobank Nederland NV (New York Branch) 0.370% 7/14/11 500,000 500,000
Rabobank Nederland NV (New York Branch) 0.370% 8/3/11 535,000 535,000
Rabobank Nederland NV (New York Branch) 0.350% 9/1/11 645,000 645,000
Royal Bank of Canada (New York Branch) 0.310% 3/10/11 742,000 742,000
Royal Bank of Canada (New York Branch) 0.320% 6/7/11 1,250,000 1,250,000
Royal Bank of Canada (New York Branch) 0.330% 8/14/11 260,000 260,000
Svenska Handelsbanken (New York Branch) 0.280% 3/10/11 150,000 150,000
Svenska Handelsbanken (New York Branch) 0.310% 5/4/11 500,000 500,000
Svenska Handelsbanken (New York Branch) 0.280% 6/1/11 625,000 625,000
Svenska Handelsbanken (New York Branch) 0.360% 7/28/11 496,000 496,000
Svenska Handelsbanken (New York Branch) 0.360% 8/1/11 497,000 497,000
Svenska Handelsbanken (New York Branch) 0.350% 8/4/11 100,000 100,000
Svenska Handelsbanken (New York Branch) 0.355% 8/24/11 900,000 900,000
Toronto Dominion Bank (New York Branch) 0.250% 3/7/11 100,000 100,000
Toronto Dominion Bank (New York Branch) 0.250% 3/9/11 250,000 250,000
Toronto Dominion Bank (New York Branch) 0.300% 3/10/11 25,000 25,000
Toronto Dominion Bank (New York Branch) 0.240% 3/14/11 300,000 300,000
Toronto Dominion Bank (New York Branch) 0.280% 3/21/11 297,000 297,000
Toronto Dominion Bank (New York Branch) 0.280% 3/22/11 198,000 198,000
Toronto Dominion Bank (New York Branch) 0.300% 5/16/11 247,000 247,000
Toronto Dominion Bank (New York Branch) 0.330% 5/26/11 495,000 495,000
Toronto Dominion Bank (New York Branch) 0.330% 6/1/11 492,000 492,000
Westpac Banking Corp. (New York Branch) 0.350% 6/3/11 500,000 500,000
        23,209,077
Total Certificates of Deposit (Cost $35,751,101)       35,751,101

 

15

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
Repurchase Agreements (6.6%)        
Barclays Capital Inc.        
(Dated 1/4/11, Repurchase Value        
$392,128,000, collateralized by Federal        
Home Loan Bank 0.750%, 12/21/11,        
Federal Home Loan Mortgage Corp.        
3.000%–4.750%, 7/28/14–1/19/16, and        
Federal National Mortgage Assn.        
0.000%–1.625%, 8/8/11–10/26/15) 0.200% 3/4/11 392,000 392,000
Barclays Capital Inc.        
(Dated 2/25/11, Repurchase Value        
$1,250,307,000, collateralized by Federal        
Farm Credit Bank 0.000%–6.260%,        
3/11/11–8/3/37, Federal Home Loan Bank        
0.000%–5.750%, 3/1/11–7/15/36, Federal        
Home Loan Mortgage Corp. 0.000%–6.750%,        
3/7/11–9/15/29, Federal National Mortgage        
Assn. Discount Note 4/20/11–6/15/11, and        
Federal National Mortgage Assn.        
0.000%–6.160%, 3/15/11–7/15/37) 0.150% 3/7/11 1,250,000 1,250,000
Barclays Capital Inc.        
(Dated 2/9/11, Repurchase Value $630,084,000,        
collateralized by U.S. Treasury Inflation Indexed        
Note 1.875%–2.375%, 7/15/13–1/15/17) 0.160% 3/7/11 630,000 630,000
BNP Paribas Securities Corp.        
(Dated 2/28/11, Repurchase Value $111,210,000,        
collateralized by U.S. Treasury Note 0.500%,        
10/15/13) 0.170% 3/1/11 111,209 111,209
Deutsche Bank Securities, Inc.        
(Dated 2/25/11, Repurchase Value $1,250,307,000,        
collateralized by Federal Farm Credit Bank        
0.000%–6.280%, 3/4/11–12/16/15, Federal Home        
Loan Bank 0.000%–5.750%, 3/10/11–3/13/20,        
Federal Home Loan Mortgage Corp.        
0.000%–6.750%, 3/15/11–7/15/32, Federal        
National Mortgage Assn. Discount Note 4/6/11,        
and Federal National Mortgage Assn.        
0.000%–7.250%, 3/8/11–7/15/37) 0.150% 3/7/11 1,250,000 1,250,000
Deutsche Bank Securities, Inc.        
(Dated 1/10/11, Repurchase Value $1,000,295,000,        
collateralized by U.S. Treasury Bill 0.000%,        
3/10/11, U.S. Treasury Inflation Indexed Note        
1.250%–3.375%, 4/15/11–1/15/20, U.S. Treasury        
Inflation Indexed Bond 1.750%–3.375%,        
1/15/28–4/15/32, U.S. Treasury Note        
0.375%–5.125%, 5/15/12–10/31/16, and        
U.S. Treasury Bond 4.375%, 5/15/40) 0.180% 3/7/11 1,000,000 1,000,000

 

16

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
Goldman Sachs & Co.        
(Dated 2/28/11, Repurchase Value $245,001,000,        
collateralized by Federal Home Loan Mortgage        
Corp. 0.000%–4.500%, 6/20/11–1/15/13) 0.180% 3/1/11 245,000 245,000
RBC Capital Markets Corp.        
(Dated 2/28/11, Repurchase Value $50,000,000,        
collateralized by U.S. Treasury Note 2.125%,        
2/29/16) 0.170% 3/1/11 50,000 50,000
RBS Securities, Inc.        
(Dated 2/28/11, Repurchase Value $391,096,000,        
collateralized by U.S. Treasury Note        
1.750%–4.500%, 11/30/11–1/31/14) 0.150% 3/7/11 391,000 391,000
RBS Securities, Inc.        
(Dated 2/9/11, Repurchase Value $420,052,000,        
collateralized by U.S. Treasury Note        
2.000%–4.500%, 11/30/11–11/30/13, and        
U.S. Treasury Bond 6.000%, 2/15/26) 0.160% 3/7/11 420,000 420,000
RBS Securities, Inc.        
(Dated 2/4/11, Repurchase Value $421,065,000,        
collateralized by U.S. Treasury Bill 0.000%,        
3/3/11–12/15/11, and U.S. Treasury Note 2.125%,        
2/29/16) 0.180% 3/7/11 421,000 421,000
Societe Generale        
(Dated 2/28/11, Repurchase Value $600,003,000,        
collateralized by U.S. Treasury Bill 0.000%,        
8/25/11, and U.S. Treasury Inflation Indexed        
Note 1.875%–2.500%, 7/15/13–7/15/19) 0.160% 3/1/11 600,000 600,000
Societe Generale        
(Dated 2/28/11, Repurchase Value $145,001,000,        
collateralized by U.S. Treasury Inflation Indexed        
Bond 3.625%, 4/15/28) 0.170% 3/1/11 145,000 145,000
Societe Generale        
(Dated 2/25/11, Repurchase Value $300,074,000,        
collateralized by Federal Home Loan Bank        
0.000%–5.000%, 3/11/11–6/12/20, Federal        
Home Loan Mortgage Corp. 0.000%–5.500%,        
6/20/11–2/9/15, and Federal National Mortgage        
Assn. 0.375%–5.625%, 3/23/11–7/15/37) 0.150% 3/7/11 300,000 300,000
Total Repurchase Agreements (Cost $7,205,209)       7,205,209
 
      Shares  
Money Market Fund (1.3%)        
5 Vanguard Municipal Cash Management Fund        
(Cost $1,402,395) 0.231%   1,402,395,308 1,402,395

 

17

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
Tax-Exempt Municipal Bonds (3.1%)        
Akron OH Bath & Copley Joint Township        
Hospital District Revenue (Akron General        
Health System) VRDO 0.250% 3/7/11 19,500 19,500
Arizona Health Facilities Authority Revenue        
(Banner Health) VRDO 0.230% 3/7/11 35,400 35,400
Arizona Health Facilities Authority Revenue        
(Banner Health) VRDO 0.280% 3/7/11 39,315 39,315
Ascension Parish LA Industrial Development        
Board Revenue (IMTT-Geismar Project) VRDO 0.240% 3/7/11 79,000 79,000
Bi-State Development Agency of the        
Missouri-Illinois Metropolitan District VRDO 0.270% 3/7/11 29,800 29,800
Birmingham AL Public Educational Building        
Student Housing Revenue (University of        
Alabama at Birmingham Project) VRDO 0.260% 3/7/11 17,100 17,100
Board of Regents of the University of        
Texas System Revenue Financing        
System Revenue VRDO 0.180% 3/7/11 17,425 17,425
Board of Regents of the University of        
Texas System Revenue Financing        
System Revenue VRDO 0.200% 3/7/11 58,300 58,300
Board of Regents of the University of        
Texas System Revenue Financing        
System Revenue VRDO 0.200% 3/7/11 95,000 95,000
Boone County KY Pollution Control Revenue        
(Duke Energy Kentucky Inc. Project) VRDO 0.220% 3/7/11 19,000 19,000
California Health Facilities Financing Authority        
Revenue (Stanford Hospital) VRDO 0.230% 3/7/11 66,500 66,500
California Housing Finance Agency Home        
Mortgage Revenue VRDO 0.230% 3/7/11 24,845 24,845
California Housing Finance Agency Home        
Mortgage Revenue VRDO 0.260% 3/7/11 15,200 15,200
California Infrastructure & Economic        
Development Bank Revenue (Orange County        
Performing Arts Center) VRDO 0.200% 3/7/11 35,900 35,900
California Statewide Communities Development        
Authority Revenue (Los Angeles County        
Museum of Art Project) VRDO 0.200% 3/7/11 19,000 19,000
California Statewide Communities Development        
Authority Revenue (Redlands Community        
Hospital) VRDO 0.240% 3/7/11 22,100 22,100
Cleveland-Cuyahoga County OH Port Authority        
Revenue (SPC Buildings 1 & 3 LLC) VRDO 0.250% 3/7/11 24,000 24,000
Colorado Health Facilities Authority Revenue        
(Adventist Health System/Sunbelt        
Obligated Group) VRDO 0.250% 3/7/11 12,150 12,150
Columbus OH Regional Airport Authority        
Airport Revenue (Oasbo Expanded        
Asset Program) VRDO 0.260% 3/7/11 21,100 21,100
Connecticut Health & Educational Facilities        
Authority Revenue (Yale University) VRDO 0.180% 3/7/11 35,000 35,000
Curators of the University of Missouri System        
Facilities Revenue VRDO 0.240% 3/7/11 43,900 43,900

 

18

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
Delaware River Port Authority Pennsylvania &        
New Jersey Revenue VRDO 0.270% 3/7/11 76,100 76,100
District of Columbia Revenue        
(George Washington University) VRDO 0.290% 3/7/11 27,560 27,560
District of Columbia Revenue        
(Georgetown University) VRDO 0.230% 3/7/11 7,575 7,575
District of Columbia Revenue        
(Georgetown University) VRDO 0.230% 3/7/11 17,200 17,200
District of Columbia Revenue        
(Washington Drama Society) VRDO 0.250% 3/7/11 20,375 20,375
Fairfax County VA Economic Development        
Authority Resource Recovery Revenue        
(Lorton Arts Foundation Project) VRDO 0.250% 3/7/11 10,600 10,600
Harris County TX Cultural Education Facilities        
Finance Corp. Hospital Revenue (Memorial        
Hermann Healthcare System) VRDO 0.250% 3/7/11 42,000 42,000
Harris County TX Health Facilities Development        
Corp. Hospital Revenue (Baylor College of        
Medicine) VRDO 0.240% 3/7/11 42,500 42,500
Idaho Housing & Finance Association Single        
Family Mortgage Revenue VRDO 0.260% 3/7/11 17,200 17,200
Illinois Development Finance Authority Revenue        
(Chicago Horticultural Society) VRDO 0.270% 3/7/11 16,300 16,300
Illinois Finance Authority Pollution Control Revenue        
(Commonwealth Edison Co. Project) VRDO 0.260% 3/7/11 29,400 29,400
Illinois Finance Authority Revenue        
(Carle Healthcare System) VRDO 0.210% 3/7/11 44,665 44,665
Illinois Finance Authority Revenue        
(Ingalls Health System) VRDO 0.270% 3/7/11 43,000 43,000
Illinois Finance Authority Revenue (Little Co. of        
Mary Hospital & Health Care Centers) VRDO 0.260% 3/7/11 18,480 18,480
Illinois Finance Authority Revenue        
(Loyola University Health System) VRDO 0.260% 3/7/11 35,450 35,450
Illinois Finance Authority Revenue (Museum of        
Science & Industry) VRDO 0.270% 3/7/11 13,000 13,000
Indiana Development Finance Authority        
Educational Facilities Revenue (Indianapolis        
Museum of Art Inc. Project) VRDO 0.280% 3/7/11 14,400 14,400
Indiana Educational Facilities Authority Revenue        
(Wabash College) VRDO 0.280% 3/7/11 23,940 23,940
Jacksonville FL Capital Project Revenue VRDO 0.270% 3/7/11 26,400 26,400
Kansas City MO Industrial Development        
Authority Revenue (Downtown        
Redevelopment District) VRDO 0.280% 3/7/11 27,535 27,535
Kansas City MO Industrial Development Authority        
Revenue (Downtown Redevelopment District)        
VRDO 0.280% 3/7/11 11,220 11,220
6 Los Angeles CA Department of Water & Power        
Revenue TOB VRDO 0.310% 3/7/11 13,000 13,000
Los Angeles CA Wastewater        
System Revenue VRDO 0.180% 3/7/11 37,400 37,400
Los Angeles CA Wastewater        
System Revenue VRDO 0.200% 3/7/11 20,400 20,400
Los Angeles CA Wastewater        
System Revenue VRDO 0.250% 3/7/11 27,740 27,740

 

19

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
Los Angeles CA Wastewater        
System Revenue VRDO 0.250% 3/7/11 23,200 23,200
Loudoun County VA Industrial Development        
Authority Revenue (Howard Hughes        
Medical Institute) VRDO 0.220% 3/7/11 18,855 18,855
Loudoun County VA Industrial Development        
Authority Revenue (Howard Hughes        
Medical Institute) VRDO 0.240% 3/7/11 49,365 49,365
Maine Health & Higher Educational Facilities        
Authority Revenue (Bowdoin College) VRDO 0.270% 3/7/11 15,130 15,130
Maryland Health & Higher Educational Facilities        
Authority Revenue (University of Maryland        
Medical System) VRDO 0.250% 3/7/11 30,160 30,160
Massachusetts Health & Educational Facilities        
Authority Revenue (Bentley College) VRDO 0.230% 3/7/11 21,900 21,900
Massachusetts Health & Educational Facilities        
Authority Revenue (MIT) VRDO 0.200% 3/7/11 19,320 19,320
6 Massachusetts State Transportation Fund        
Revenue TOB VRDO 0.310% 3/7/11 13,100 13,100
Metropolitan Atlanta GA Rapid Transportation        
Authority Georgia Sales Tax Revenue VRDO 0.240% 3/7/11 43,100 43,100
Miami-Dade County FL Special Obligation        
Revenue (Juvenile Courthouse Project) VRDO 0.220% 3/7/11 25,350 25,350
Michigan Higher Education Facilities Authority        
Revenue (Albion College) VRDO 0.260% 3/7/11 13,000 13,000
Michigan Hospital Finance Authority Revenue        
(Ascension Health Credit Group) VRDO 0.230% 3/7/11 45,400 45,400
Michigan Hospital Finance Authority Revenue        
(Henry Ford Health System) VRDO 0.250% 3/7/11 32,925 32,925
Middletown OH Hospital Facilities Revenue        
(Atrium Medical Center) VRDO 0.250% 3/7/11 22,000 22,000
Minneapolis & St. Paul MN Housing &        
Redevelopment Authority Health Care        
System Revenue (Allina Health System) VRDO 0.230% 3/7/11 15,000 15,000
Missouri Health & Educational Facilities        
Authority Health Facilities Revenue        
(BJC Health System) VRDO 0.230% 3/7/11 18,000 18,000
Missouri Health & Educational Facilities        
Authority Health Facilities Revenue        
(SSM Health Care) VRDO 0.220% 3/7/11 84,100 84,100
New Jersey Health Care Facilities Financing        
Authority Revenue (AHS Hospital Corp.) VRDO 0.250% 3/7/11 38,730 38,730
New Jersey Health Care Facilities Financing        
Authority Revenue (Hospital Capital Asset        
Pooled Program) VRDO 0.230% 3/7/11 19,600 19,600
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue VRDO 0.230% 3/7/11 32,800 32,800
New Mexico Finance Authority Transportation        
Revenue VRDO 0.260% 3/7/11 48,900 48,900
New York City NY GO VRDO 0.200% 3/7/11 58,550 58,550
New York City NY GO VRDO 0.230% 3/7/11 29,800 29,800
New York City NY GO VRDO 0.260% 3/7/11 11,775 11,775
New York City NY GO VRDO 0.260% 3/7/11 9,825 9,825

 

20

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
New York City NY Housing Development Corp.        
Multi-Family Rental Housing Revenue        
(Carnegie Park) VRDO 0.230% 3/7/11 39,505 39,505
New York City NY Housing Development Corp.        
Multi-Family Rental Housing Revenue        
(Monterey) VRDO 0.220% 3/7/11 21,980 21,980
New York City NY Housing Development Corp.        
Multi-Family Rental Housing Revenue        
(One Columbus Place Development) VRDO 0.250% 3/7/11 8,100 8,100
New York State Dormitory Authority Revenue        
(Fordham University) VRDO 0.230% 3/7/11 31,085 31,085
New York State Dormitory Authority Revenue        
(Fordham University) VRDO 0.230% 3/7/11 30,885 30,885
New York State Housing Finance Agency Housing        
Revenue (10 Liberty Street) VRDO 0.220% 3/7/11 20,500 20,500
New York State Housing Finance Agency Housing        
Revenue (125 West 31st Street) VRDO 0.260% 3/7/11 42,300 42,300
New York State Housing Finance Agency Housing        
Revenue (20 River Terrace Housing)        
VRDO 0.250% 3/7/11 17,300 17,300
New York State Housing Finance Agency Housing        
Revenue (320 West 38th Street) VRDO 0.240% 3/7/11 31,500 31,500
New York State Housing Finance Agency Housing        
Revenue (330 West 39th Street) VRDO 0.260% 3/7/11 26,100 26,100
New York State Housing Finance Agency Housing        
Revenue (70 Battery Place) VRDO 0.250% 3/7/11 12,800 12,800
New York State Housing Finance Agency Housing        
Revenue (Clinton Green North) VRDO 0.260% 3/7/11 24,400 24,400
New York State Urban Development Corp.        
Revenue (Service Contract) VRDO 0.230% 3/7/11 10,375 10,375
North Texas Tollway Authority System        
Revenue VRDO 0.250% 3/7/11 35,100 35,100
Oakland University of Michigan Revenue VRDO 0.270% 3/7/11 8,900 8,900
Ohio Higher Educational Facility Commission        
Revenue (University Hospitals Health        
System Inc.) VRDO 0.250% 3/7/11 25,000 25,000
Ohio State University General Receipts        
Revenue VRDO 0.220% 3/7/11 29,525 29,525
Ohio State University General Receipts        
Revenue VRDO 0.230% 3/7/11 115,300 115,300
Pennsylvania Higher Educational Facilities        
Authority Revenue (University of Pennsylvania        
Health System) VRDO 0.260% 3/7/11 45,065 45,065
Philadelphia PA Industrial Development Authority        
Lease Revenue VRDO 0.270% 3/7/11 18,400 18,400
Pittsburgh PA Water & Sewer Authority        
Revenue VRDO 0.280% 3/7/11 57,850 57,850
Salem OH Hospital Facilities Revenue (Salem        
Community Hospital Project) VRDO 0.250% 3/7/11 14,000 14,000
6 Seattle WA Municipal Light & Power Revenue        
TOB VRDO 0.310% 3/7/11 6,400 6,400
South Carolina Transportation Infrastructure        
Revenue VRDO 0.220% 3/7/11 47,300 47,300

 

21

 

Prime Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
Southern California Public Power Authority        
Revenue (Palo Verde Project) VRDO 0.240% 3/7/11 11,200 11,200
Tarrant County TX Cultural Education Facilities        
Finance Corp. Revenue (CHRISTUS Health)        
VRDO 0.260% 3/7/11 18,400 18,400
Texas Department of Housing & Community        
Affairs Single Family Revenue VRDO 0.280% 3/7/11 28,900 28,900
Texas Department of Housing & Community        
Affairs Single Family Revenue VRDO 0.280% 3/7/11 42,400 42,400
Texas Department of Housing & Community        
Affairs Single Family Revenue VRDO 0.280% 3/7/11 24,300 24,300
University of Alabama Birmingham Hospital        
Revenue VRDO 0.290% 3/7/11 24,100 24,100
University of South Florida Financing Corp.        
COP VRDO 0.250% 3/7/11 41,535 41,535
University of Texas Permanent University        
Fund Revenue VRDO 0.180% 3/7/11 66,605 66,605
University of Texas Permanent University        
Fund Revenue VRDO 0.180% 3/7/11 153,900 153,900
Utah Housing Corp. Single Family Mortgage        
Revenue VRDO 0.260% 3/7/11 16,000 16,000
Utah Housing Corp. Single Family Mortgage        
Revenue VRDO 0.260% 3/7/11 19,250 19,250
Virginia Small Business Financing Authority        
Health Facilities Revenue (Bon Secours Health        
System Inc.) VRDO 0.260% 3/7/11 7,200 7,200
Warren County KY Revenue (Western Kentucky        
University Student Life Foundation Inc. Project)        
VRDO 0.280% 3/7/11 20,100 20,100
Washington County PA Authority Revenue        
(Girard Estate Project) VRDO 0.280% 3/7/11 11,345 11,345
Washington Health Care Facilities Authority        
Revenue (MultiCare Health System) VRDO 0.250% 3/7/11 24,975 24,975
Washington Health Care Facilities Authority        
Revenue (Swedish Health Services) VRDO 0.230% 3/7/11 20,500 20,500
West Virginia Hospital Finance Authority Hospital        
Revenue (Charleston Area Medical Center Inc.)        
VRDO 0.250% 3/7/11 30,260 30,260
Wisconsin Health & Educational Facilities Authority        
Revenue (Aurora Health Care Inc.) VRDO 0.260% 3/7/11 31,200 31,200
Total Tax-Exempt Municipal Bonds (Cost $3,444,700)       3,444,700
Total Investments (102.7%) (Cost $112,141,522)       112,141,522
Other Assets and Liabilities (-2.7%)        
Other Assets       696,801
Liabilities       (3,664,941)
        (2,968,140)
Net Assets (100%)       109,173,382

 

22

 

Prime Money Market Fund

At February 28, 2011, net assets consisted of:  
  Amount
  ($000)
Paid-in-Capital 109,165,475
Undistributed Net Investment Income —
Accumulated Net Realized Gains 7,907
Net Assets 109,173,382
 
Investor Shares—Net Assets  
Applicable to 88,451,537,150 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 88,467,369
Net Asset Value Per Share—Investor Shares $1.00
 
Institutional Shares—Net Assets  
Applicable to 20,703,285,798 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 20,706,013
Net Asset Value Per Share—Institutional Shares $1.00

 

See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
3 Adjustable-rate security.
4 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration only to dealers in that program or other “accredited investors.” At February 28, 2011, the aggregate value of these securities
was $11,788,908,000, representing 10.8% of net assets.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
6 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 February 28, 2011, the aggregate value of these securities was $32,500,000.
GO—General Obligation Bond.
TOB—Tender Option Bond.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.

23

 

Prime Money Market Fund

Statement of Operations

  Six Months Ended
  February 28, 2011
  ($000)
Investment Income  
Income  
Interest1 159,999
Total Income 159,999
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 2,568
Management and Administrative—Investor Shares 80,772
Management and Administrative—Institutional Shares 4,968
Marketing and Distribution—Investor Shares 14,977
Marketing and Distribution—Institutional Shares 3,270
Custodian Fees 790
Shareholders’ Reports—Investor Shares 338
Shareholders’ Reports—Institutional Shares 48
Trustees’ Fees and Expenses 76
Total Expenses 107,807
Net Investment Income 52,192
Realized Net Gain (Loss) on Investment Securities Sold (9,380)
Net Increase (Decrease) in Net Assets Resulting from Operations 42,812
1 Interest income from an affiliated company of the fund was $1,515,000.

 

See accompanying Notes, which are an integral part of the Financial Statements.

24

 

Prime Money Market Fund

Statement of Changes in Net Assets

  Six Months Ended Year Ended
  February 28, August 31,
  2011 2010
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 52,192 118,919
Realized Net Gain (Loss) (9,380) 1,651
Net Increase (Decrease) in Net Assets Resulting from Operations 42,812 120,570
Distributions    
Net Investment Income    
Investor Shares (31,372) (78,239)
Institutional Shares (20,820) (40,680)
Realized Capital Gain    
Investor Shares — —
Institutional Shares — —
Total Distributions (52,192) (118,919)
Capital Share Transactions    
Investor Shares (207,208) (7,395,143)
Institutional Shares 1,598,423 784,242
Net Increase (Decrease) from Capital Share Transactions 1,391,215 (6,610,901)
Total Increase (Decrease) 1,381,835 (6,609,250)
Net Assets    
Beginning of Period 107,791,547 114,400,797
End of Period 109,173,382 107,791,547

 

See accompanying Notes, which are an integral part of the Financial Statements.

25

 

Prime Money Market Fund

Financial Highlights

Investor Shares              
  Six Months           
    Ended          
For a Share Outstanding February 28,  Year Ended August 31,
Throughout Each Period   2011 2010 2009 2008 2007 2006
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations              
Net Investment Income   .0003 .001 .013 .035 .051 .043
Net Realized and Unrealized Gain (Loss)            
on Investments   — — — — — —
Total from Investment Operations .0003 .001 .013 .035 .051 .043
Distributions              
Dividends from Net Investment Income (.0003) (.001) (.013) (.035) (.051) (.043)
Distributions from Realized Capital Gains — — — — — —
Total Distributions   (.0003) (.001) (.013) (.035) (.051) (.043)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
 
Total Return1   0.04% 0.08% 1.31% 3.60% 5.23% 4.38%
 
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $88,467 $88,684 $96,078 $92,483 $84,052 $64,578
Ratio of Total Expenses to              
Average Net Assets   0.23% 0.23% 0.28%2 0.23% 0.24% 0.29%
Ratio of Net Investment Income to            
Average Net Assets   0.07% 0.08% 1.25% 3.49% 5.10% 4.33%

 

The expense ratio and net income ratio for the current period have been annualized.
1 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.
2 Includes 0.03% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds.

See accompanying Notes, which are an integral part of the Financial Statements.

26

 

Prime Money Market Fund

Financial Highlights

Institutional Shares              
  Six Months           
    Ended          
For a Share Outstanding February 28,  Year Ended August 31,
Throughout Each Period   2011 2010 2009 2008 2007 2006
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations              
Net Investment Income   .001 .002 .015 .037 .053 .045
Net Realized and Unrealized Gain (Loss)            
on Investments   — — — — — —
Total from Investment Operations .001 .002 .015 .037 .053 .045
Distributions              
Dividends from Net Investment Income (.001) (.002) (.015) (.037) (.053) (.045)
Distributions from Realized Capital Gains — — — — — —
Total Distributions   (.001) (.002) (.015) (.037) (.053) (.045)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
 
Total Return   0.10% 0.22% 1.47% 3.75% 5.39% 4.58%
 
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $20,706 $19,107 $18,323 $13,844 $10,022 $6,269
Ratio of Total Expenses to              
Average Net Assets   0.09% 0.09% 0.13%1 0.08% 0.08% 0.09%
Ratio of Net Investment Income to            
Average Net Assets   0.21% 0.22% 1.40% 3.64% 5.26% 4.53%
The expense ratio and net income ratio for the current period have been annualized.
1 Includes 0.03% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds.

 

See accompanying Notes, which are an integral part of the Financial Statements.

27

 

Prime Money Market Fund

Notes to Financial Statements

Vanguard Prime Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments of companies primarily operating in specific industries, particularly financial services; the issuers’ abilities to meet their obligations may be affected by economic developments in such industries. The fund offers two classes of shares, Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued at amortized cost, which approximates market value. Investments in Vanguard Municipal Cash Management Fund are valued at that fund’s net asset value.

2. Repurchase Agreements: The fund invests in 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; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.

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 (August 31, 2007–2010), and for the period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month.

5. Other: Interest income includes income distributions received from Vanguard Municipal Cash Management 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $18,073,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 7.23% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard. Beginning in July 2009, Vanguard and the board of trustees agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield so as to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time.

28

 

Prime Money Market Fund

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

The fund’s investment in Vanguard Municipal Cash Management Fund is valued based on Level 1 inputs. All of the fund’s other investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.

D. Capital share transactions for each class of shares were:

  Six Months Ended Year Ended
  February 28, 2011 August 31, 2010
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 56,684,897 56,684,897 99,880,454 99,880,454
Issued in Lieu of Cash Distributions 30,625 30,625 76,231 76,231
Redeemed (56,922,730) (56,922,730) (107,351,828)  (107,351,828)
Net Increase (Decrease)—Investor Shares (207,208) (207,208) (7,395,143) (7,395,143)
Institutional Shares        
Issued 10,498,094 10,498,094 16,052,323 16,052,323
Issued in Lieu of Cash Distributions 20,182 20,182 39,524 39,524
Redeemed (8,919,853) (8,919,853) (15,307,605) (15,307,605)
Net Increase (Decrease)—Institutional Shares 1,598,423 1,598,423 784,242 784,242

 

E. In preparing the financial statements as of February 28, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

29

 

Federal Money Market Fund

Fund Profile
As of February 28, 2011

Financial Attributes  
Ticker Symbol VMFXX
Expense Ratio1 0.22%
7-Day SEC Yield 0.02%
Average Weighted  
Maturity 49 days
 
Sector Diversification (% of portfolio)  
U.S. Treasury Bills 15.6%
U.S. Government Agency Obligations 81.2
Repurchase Agreements 3.2

 

The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are not
backed by the full faith and credit of the U.S. government.

 

Distribution by Credit Quality (% of portfolio)
First Tier 100.0%
For information about these ratings, see the Glossary entry for
Credit Quality.  

 

1 The expense ratio shown is from the prospectus dated December 23, 2010, and represents estimated costs for the current fiscal year. For
the six months ended February 28, 2011, the annualized expense ratio was 0.22%.

30

 

Federal Money Market Fund

Performance Summary

Investment returns will fluctuate. 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.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.

Fiscal-Year Total Returns (%): August 31, 2000, Through February 28, 2011

    Gov’t Money
    Market Funds
    Average
Fiscal Year Total Returns Total Returns
2001 5.41% 4.82%
2002 2.12 1.48
2003 1.11 0.64
2004 0.82 0.40
2005 2.26 1.73
2006 4.31 3.78
2007 5.17 4.58
2008 3.46 2.71
2009 1.06 0.43
2010 0.04 0.00
2011 0.01 0.00
7-day SEC yield (2/28/2011): 0.02%
Government Money Market Funds Average: Derived from data provided by Lipper Inc.
Note: For 2011, performance data reflect the six months ended February 28, 2011.

 

Average Annual Total Returns: Periods Ended December 31, 2010

This table presents average annual total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.

  Inception One Five Ten
  Date Year Years Years
Federal Money Market Fund 7/13/1981 0.02% 2.55% 2.35%

 

See Financial Highlights for dividend information.

31

 

Federal Money Market Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in various monthly and quarterly regulatory filings.

The fund publishes its holdings on a monthly basis at vanguard.com and files them with the Securities and Exchange Commission on Form N-MFP. The fund’s Form N-MFP filings become public 60 days after the relevant month-end, and may be viewed at sec.gov or via a link on the “Portfolio Holdings” page on vanguard.com. 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 SEC 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).

        Face Market
      Maturity Amount Value
    Yield1 Date ($000) ($000)
U.S. Government and Agency Obligations (103.0%)      
2 Fannie Mae Discount Notes 0.200% 3/1/11 75,000 75,000
2 Fannie Mae Discount Notes 0.200% 3/2/11 109,333 109,332
2 Fannie Mae Discount Notes 0.240% 3/9/11 15,000 14,999
2 Fannie Mae Discount Notes 0.240% 3/16/11 138,567 138,553
2 Fannie Mae Discount Notes 0.240% 3/23/11 30,000 29,996
2 Fannie Mae Discount Notes 0.250% 4/6/11 30,000 29,993
2 Fannie Mae Discount Notes 0.180% 4/13/11 120,000 119,974
2 Fannie Mae Discount Notes 0.185% 4/20/11 85,000 84,978
2 Fannie Mae Discount Notes 0.180% 4/27/11 125,000 124,964
2 Fannie Mae Discount Notes 0.230% 6/8/11 43,462 43,435
2 Fannie Mae Discount Notes 0.230%–0.240% 6/15/11 154,648 154,541
2 Fannie Mae Discount Notes 0.190% 6/20/11 75,000 74,956
2 Fannie Mae Discount Notes 0.250% 7/1/11 13,000 12,989
2 Fannie Mae Discount Notes 0.200% 7/8/11 6,800 6,795
2 Fannie Mae Discount Notes 0.190% 8/10/11 60,000 59,949
2 Fannie Mae Discount Notes 0.210% 8/17/11 4,000 3,996
2 Fannie Mae Discount Notes 0.200% 8/24/11 22,444 22,422
2 Federal Home Loan Bank Discount Notes 0.220% 3/2/11 41,567 41,567
2 Federal Home Loan Bank Discount Notes 0.190% 3/25/11 100,000 99,987
2 Federal Home Loan Bank Discount Notes 0.180% 4/15/11 320,000 319,928
2 Federal Home Loan Bank Discount Notes 0.190% 4/25/11 75,000 74,978
2 Federal Home Loan Bank Discount Notes 0.180%–0.185% 4/27/11 30,000 29,991
2 Federal Home Loan Bank Discount Notes 0.200% 5/4/11 70,000 69,975
2 Federal Home Loan Bank Discount Notes 0.210% 5/12/11 45,000 44,981
2 Federal Home Loan Bank Discount Notes 0.220% 5/25/11 155,250 155,169
2 Federal Home Loan Bank Discount Notes 0.240% 6/1/11 35,555 35,533
2 Federal Home Loan Bank Discount Notes 0.230% 6/17/11 45,000 44,969
2 Federal Home Loan Bank Discount Notes 0.190% 8/17/11 85,000 84,924
2,3 Federal Home Loan Banks 0.182% 5/13/11 165,000 164,993
2,3 Federal Home Loan Banks 0.167% 7/25/11 70,000 69,982
2,3 Federal Home Loan Banks 0.184% 9/9/11 24,000 23,994
2,3 Federal Home Loan Banks 0.212% 9/23/11 41,000 40,995
2,3 Federal Home Loan Banks 0.231% 1/9/12 150,000 149,958
2,3 Federal Home Loan Banks 0.232% 1/23/12 25,000 24,994
2,3 Federal Home Loan Banks 0.228% 2/3/12 100,000 99,972
2,3 Federal Home Loan Mortgage Corp. 0.353% 4/7/11 500,000 499,996

 

32

 

Federal Money Market Fund

        Face Market
      Maturity Amount Value
    Yield1 Date ($000) ($000)
2,3 Federal Home Loan Mortgage Corp. 0.241% 8/5/11 95,000 94,996
2,3 Federal Home Loan Mortgage Corp. 0.225% 12/16/11 35,000 34,989
2,3 Federal Home Loan Mortgage Corp. 0.225% 2/16/12 75,000 74,971
2,3 Federal Home Loan Mortgage Corp. 0.201% 8/24/12 60,000 59,957
2,3 Federal National Mortgage Assn. 0.282% 8/23/12 150,000 150,023
2,3 Federal National Mortgage Assn. 0.294% 9/17/12 40,000 39,988
2,3 Federal National Mortgage Assn. 0.282% 11/23/12 70,000 69,963
2 Freddie Mac Discount Notes 0.240% 3/14/11 20,000 19,998
2 Freddie Mac Discount Notes 0.240% 3/21/11 70,371 70,362
2 Freddie Mac Discount Notes 0.180% 3/28/11 97,800 97,787
2 Freddie Mac Discount Notes 0.230% 4/18/11 10,000 9,997
2 Freddie Mac Discount Notes 0.230% 4/21/11 5,650 5,648
2 Freddie Mac Discount Notes 0.180%–0.185% 5/2/11 153,082 153,033
2 Freddie Mac Discount Notes 0.180% 5/9/11 150,000 149,948
2 Freddie Mac Discount Notes 0.230% 5/23/11 14,619 14,611
2 Freddie Mac Discount Notes 0.240% 5/31/11 50,000 49,970
2 Freddie Mac Discount Notes 0.230% 6/13/11 60,000 59,960
2 Freddie Mac Discount Notes 0.240% 6/22/11 38,460 38,431
2 Freddie Mac Discount Notes 0.240% 6/27/11 80,000 79,937
2 Freddie Mac Discount Notes 0.200% 7/12/11 4,654 4,651
2 Freddie Mac Discount Notes 0.200% 7/18/11 85,000 84,934
2 Freddie Mac Discount Notes 0.250% 7/25/11 20,000 19,980
2 Freddie Mac Discount Notes 0.210% 8/8/11 4,504 4,500
  United States Treasury Bill 0.190% 3/3/11 200,000 199,998
  United States Treasury Bill 0.180% 3/10/11 120,000 119,995
  United States Treasury Bill 0.190% 3/17/11 120,000 119,990
  United States Treasury Bill 0.181% 5/19/11 100,000 99,960
  United States Treasury Bill 0.196% 5/26/11 20,000 19,991
  United States Treasury Bill 0.145%–0.212% 6/2/11 310,000 309,876
  United States Treasury Bill 0.190% 6/16/11 10,000 9,994
Total U.S. Government and Agency Obligations (Cost $5,452,196)     5,452,196
Repurchase Agreements (3.4%)        
  Barclays Capital Inc.        
  (Dated 1/4/11, Repurchase Value        
  $20,007,000, collateralized by Federal        
  Home Loan Bank 0.750%, 12/21/11, and        
  Federal Home Loan Mortgage Corp.        
  0.875%, 10/28/13) 0.200% 3/4/11 20,000 20,000
  BNP Paribas Securities Corp.        
  (Dated 2/28/11, Repurchase Value        
  $6,252,000, collateralized by U.S. Treasury      
  Note 0.500%–2.750%, 11/15/13–2/28/18) 0.170% 3/1/11 6,252 6,252
  BNP Paribas Securities Corp.        
  (Dated 1/11/11, Repurchase Value        
  $100,030,000, collateralized by U.S.        
  Treasury Inflation Indexed Bond        
  1.750%–2.375%, 1/15/25–1/15/28, and        
  U.S. Treasury Inflation Indexed Note        
  1.875%–3.000%, 7/15/12–7/15/19) 0.180% 3/7/11 100,000 100,000
  Deutsche Bank Securities, Inc.        
  (Dated 1/11/11, Repurchase Value        
  $50,015,000, collateralized by U.S.        
  Treasury Inflation Indexed Note 1.375%,        
  7/15/18, and U.S. Treasury Note 4.500%,        
  11/30/11) 0.180% 3/7/11 50,000 50,000

 

33

 

Federal Money Market Fund

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
Societe Generale        
(Dated 2/28/11, Repurchase Value        
$5,000,000, collateralized by U.S. Treasury        
Inflation Indexed Bond 2.000%, 1/15/26) 0.170% 3/1/11 5,000 5,000
Total Repurchase Agreements (Cost $181,252)       181,252
Total Investments (106.4%) (Cost $5,633,448)       5,633,448
Other Assets and Liabilities (-6.4%)        
Other Assets       8,502
Liabilities       (344,921)
        (336,419)
Net Assets (100%)        
Applicable to 5,296,422,996 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)       5,297,029
Net Asset Value per Share       $1.00
 
Statement of Assets and Liabilities        
Assets        
Investments in Securities, at Value       5,633,448
Receivables for Capital Shares Issued       3,212
Other Assets       5,290
Total Assets       5,641,950
Liabilities        
Payables for Investment Securities Purchased       332,279
Payables for Capital Shares Redeemed       9,831
Other Liabilities       2,811
Total Liabilities       344,921
Net Assets       5,297,029
 
 
At February 28, 2011, net assets consisted of:        
        Amount
        ($000)
Paid-in-Capital       5,296,942
Undistributed Net Investment Income       —
Accumulated Net Realized Gains       87
Net Assets       5,297,029

 

See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
3 Adjustable-rate security.
See accompanying Notes, which are an integral part of the Financial Statements.

34

 

Federal Money Market Fund

Statement of Operations

  Six Months Ended
  February 28, 2011
  ($000)
Investment Income  
Income  
Interest 6,727
Total Income 6,727
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 139
Management and Administrative 4,975
Marketing and Distribution 1,013
Custodian Fees 49
Shareholders’ Reports 22
Trustees’ Fees and Expenses 4
Total Expenses 6,202
Net Investment Income 525
Realized Net Gain (Loss) on Investment Securities Sold 24
Net Increase (Decrease) in Net Assets Resulting from Operations 549

 

See accompanying Notes, which are an integral part of the Financial Statements.

35

 

Federal Money Market Fund

Statement of Changes in Net Assets

  Six Months Ended Year Ended
  February 28, August 31,
  2011 2010
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 525 3,190
Realized Net Gain (Loss) 24 63
Net Increase (Decrease) in Net Assets Resulting from Operations 549 3,253
Distributions    
Net Investment Income (525) (3,190)
Realized Capital Gain — —
Total Distributions (525) (3,190)
Capital Share Transactions (at $1.00)    
Issued 247,820 617,905
Issued in Lieu of Cash Distributions 512 3,094
Redeemed (999,313) (3,959,429)
Net Increase (Decrease) from Capital Share Transactions (750,981) (3,338,430)
Total Increase (Decrease) (750,957) (3,338,367)
Net Assets    
Beginning of Period 6,047,986 9,386,353
End of Period 5,297,029 6,047,986

 

See accompanying Notes, which are an integral part of the Financial Statements.

36

 

Federal Money Market Fund

Financial Highlights

  Six Months           
    Ended          
For a Share Outstanding   Year Ended August 31,
Throughout Each Period   2011 2010 2009 2008 2007 2006
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations              
Net Investment Income   .0001 .0004 .011 .034 .051 .042
Net Realized and Unrealized Gain (Loss)            
on Investments   — — — — — —
Total from Investment Operations .0001 .0004 .011 .034 .051 .042
Distributions              
Dividends from Net Investment Income (.0001) (.0004) (.011) (.034) (.051) (.042)
Distributions from Realized Capital Gains — — — — — —
Total Distributions   (.0001) (.0004) (.011) (.034) (.051) (.042)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
 
Total Return1   0.01% 0.04% 1.06% 3.46% 5.17% 4.31%
 
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $5,297 $6,048 $9,386 $8,982 $7,672 $6,360
Ratio of Total Expenses to              
Average Net Assets   0.22% 0.22% 0.27%2 0.23% 0.24% 0.29%
Ratio of Net Investment Income to            
Average Net Assets   0.02% 0.04% 1.03% 3.33% 5.05% 4.25%

 

The expense ratio and net income ratio for the current period have been annualized.
1 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.
2 Includes 0.02% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds.

See accompanying Notes, which are an integral part of the Financial Statements.

37

 

Federal Money Market Fund

Notes to Financial Statements

Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued at amortized cost, which approximates market value.

2. Repurchase Agreements: The fund invests in 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; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.

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 (August 31, 2007–2010), and for the period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month.

5. Other: 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $900,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.36% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard. Beginning in July 2009, Vanguard and the board of trustees agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield so as to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time.

38

 

Federal Money Market Fund

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At February 28, 2011, 100% of the fund’s investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.

D. In preparing the financial statements as of February 28, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

39

 

Admiral Treasury Money Market Fund

Fund Profile
As of February 28, 2011

Financial Attributes  
Ticker Symbol VUSXX
Expense Ratio1 0.14%
7-Day SEC Yield 0.02%
Average Weighted  
Maturity 55 days
 
Sector Diversification (% of portfolio)  
U.S. Treasury Bills 100.0%

 

The agency and mortgage-backed securities sectors may include
issues from government-sponsored enterprises; such issues are not
backed by the full faith and credit of the U.S. government.

Distribution by Credit Quality (% of portfolio)
First Tier 100.0%
For information about these ratings, see the Glossary entry for Credit Quality.

 

1 The expense ratio shown is from the prospectus dated December 23, 2010, and represents estimated costs for the current fiscal year. For
the six months ended February 28, 2011, the annualized expense ratio was 0.14%.

40

 

Admiral Treasury Money Market Fund

Performance Summary

Investment returns will fluctuate. 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.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.

Fiscal-Year Total Returns (%): August 31, 2000, Through February 28, 2011    
    iMoneyNet
    Average
Fiscal Year Total Returns Total Returns
2001 5.31% 4.73%
2002 2.15 1.58
2003 1.20 0.67
2004 0.91 0.39
2005 2.29 1.61
2006 4.22 3.54
2007 5.01 4.34
2008 3.08 2.08
2009 0.70 0.17
2010 0.03 0.00
2011 0.01 0.00

 

7-day SEC yield (2/28/2011): 0.02%
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc.
Note: For 2011, performance data reflect the six months ended February 28, 2011.

Average Annual Total Returns: Periods Ended December 31, 2010

This table presents average annual total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.

  Inception One Five Ten
  Date Year Years Years
Admiral Treasury Money Market        
Fund 12/14/1992 0.01% 2.35% 2.27%

 

See Financial Highlights for dividend information.

41

 

Admiral Treasury Money Market Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in various monthly and quarterly regulatory filings.

The fund publishes its holdings on a monthly basis at vanguard.com and files them with the Securities and Exchange Commission on Form N-MFP. The fund’s Form N-MFP filings become public 60 days after the relevant month-end, and may be viewed at sec.gov or via a link on the “Portfolio Holdings” page on vanguard.com. 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 SEC 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).

      Face Market
    Maturity Amount Value
  Yield1 Date ($000) ($000)
U.S. Government and Agency Obligations (106.8%)      
United States Treasury Bill 0.175% 3/3/11 1,121,479 1,121,468
United States Treasury Bill 0.145%–0.150% 3/10/11 1,200,000 1,199,956
United States Treasury Bill 0.140%–0.145% 3/17/11 1,296,491 1,296,408
United States Treasury Bill 0.130% 3/24/11 1,219,000 1,218,899
United States Treasury Bill 0.180% 3/31/11 674,000 673,899
United States Treasury Bill 0.150% 4/7/11 1,357,000 1,356,791
United States Treasury Bill 0.150%–0.165% 4/14/11 600,000 599,882
United States Treasury Bill 0.155%–0.170% 4/21/11 1,025,000 1,024,769
United States Treasury Bill 0.155%–0.170% 4/28/11 1,024,000 1,023,733
United States Treasury Bill 0.150%–0.155% 5/5/11 1,416,500 1,416,113
United States Treasury Bill 0.150% 5/12/11 1,295,000 1,294,611
United States Treasury Bill 0.130% 5/19/11 1,371,000 1,370,609
United States Treasury Bill 0.110% 5/26/11 1,447,255 1,446,875
United States Treasury Bill 0.145% 6/2/11 1,321,000 1,320,516
United States Treasury Bill 0.225% 6/30/11 350,000 349,735
United States Treasury Bill 0.180% 7/14/11 573,000 572,613
United States Treasury Bill 0.185% 7/21/11 450,000 449,672
United States Treasury Bill 0.180% 7/28/11 224,000 223,833
Total U.S. Government and Agency Obligations (Cost $17,960,382)     17,960,382
Total Investments (106.8%) (Cost $17,960,382)     17,960,382
Other Assets and Liabilities (-6.8%)        
Other Assets       212,927
Liabilities       (1,350,314)
        (1,137,387)
Net Assets (100%)        
Applicable to 16,819,927,035 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)     16,822,995
Net Asset Value per Share     $1.00

 

42

 

Admiral Treasury Money Market Fund  
 
 
 
  Market
  Value
  ($000)
Statement of Assets and Liabilities  
Assets  
Investments in Securities, at Value 17,960,382
Receivables for Investment Securities Sold 199,992
Receivables for Capital Shares Issued 6,152
Other Assets 6,783
Total Assets 18,173,309
Liabilities  
Payables for Investment Securities Purchased 1,320,516
Payables for Capital Shares Redeemed 21,632
Other Liabilities 8,166
Total Liabilities 1,350,314
Net Assets 16,822,995
 
 
At February 28, 2011, net assets consisted of:  
  Amount
  ($000)
Paid-in-Capital 16,822,979
Undistributed Net Investment Income —
Accumulated Net Realized Gains 16
Net Assets 16,822,995

 

See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
See accompanying Notes, which are an integral part of the Financial Statements.

43

 

Admiral Treasury Money Market Fund

Statement of Operations

  Six Months Ended
  February 28, 2011
  ($000)
Investment Income  
Income  
Interest 13,645
Total Income 13,645
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 431
Management and Administrative 9,225
Marketing and Distribution 2,601
Custodian Fees 135
Shareholders’ Reports 33
Trustees’ Fees and Expenses 11
Total Expenses 12,436
Net Investment Income 1,209
Realized Net Gain (Loss) on Investment Securities Sold (17)
Net Increase (Decrease) in Net Assets Resulting from Operations 1,192

 

See accompanying Notes, which are an integral part of the Financial Statements.

44

 

Admiral Treasury Money Market Fund

Statement of Changes in Net Assets

  Six Months Ended Year Ended
  February 28, August 31,
  2011 2010
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 1,209 6,087
Realized Net Gain (Loss) (17) 33
Net Increase (Decrease) in Net Assets Resulting from Operations 1,192 6,120
Distributions    
Net Investment Income (1,209) (6,087)
Realized Capital Gain — —
Total Distributions (1,209) (6,087)
Capital Share Transactions (at $1.00)    
Issued 485,942 1,061,537
Issued in Lieu of Cash Distributions 1,172 5,859
Redeemed (2,390,500) (7,775,844)
Net Increase (Decrease) from Capital Share Transactions (1,903,386) (6,708,448)
Total Increase (Decrease) (1,903,403) (6,708,415)
Net Assets    
Beginning of Period 18,726,398 25,434,813
End of Period 16,822,995 18,726,398

 

See accompanying Notes, which are an integral part of the Financial Statements.

45

 

Admiral Treasury Money Market Fund

Financial Highlights

  Six Months           
  Ended          
For a Share Outstanding February 28,  Year Ended August 31,
Throughout Each Period 2011 2010 2009 2008 2007 2006
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations            
Net Investment Income .0001 .0003 .007 .030 .049 .041
Net Realized and Unrealized Gain (Loss)            
on Investments — — — — — —
Total from Investment Operations .0001 .0003 .007 .030 .049 .041
Distributions            
Dividends from Net Investment Income (.0001) (.0003) (.007) (.030) (.049) (.041)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.0001) (.0003) (.007) (.030) (.049) (.041)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
 
Total Return1 0.01% 0.03% 0.70% 3.08% 5.02% 4.22%
 
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $16,823 $18,726 $25,435 $23,289 $20,064 $15,982
Ratio of Total Expenses to            
Average Net Assets 0.14% 0.14% 0.15%2 0.10% 0.10% 0.13%
Ratio of Net Investment Income to            
Average Net Assets 0.01% 0.03% 0.74% 2.98% 4.90% 4.15%

 

The expense ratio and net income ratio for the current period have been annualized.
1 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.
2 Includes 0.03% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds.

See accompanying Notes, which are an integral part of the Financial Statements.

46

 

Admiral Treasury Money Market Fund

Notes to Financial Statements

Vanguard Admiral Treasury Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments backed by the full faith and credit of the U.S. government.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued at amortized cost, which approximates market value.

2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2007–2010), and for the period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month.

4. Other: 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $2,850,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.14% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard. Beginning in July 2009, Vanguard and the board of trustees agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield so as to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time.

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 February 28, 2011, 100% of the fund’s investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.

D. In preparing the financial statements as of February 28, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

47

 

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 the account service fee described in the prospectus (the fee does not apply to the Prime Money Market Fund’s Institutional Shares or the Admiral Treasury Money Market Fund). If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it 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.

48

 

Six Months Ended February 28, 2011      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  8/31/2010 2/28/2011 Period
Based on Actual Fund Return      
Prime Money Market Fund      
Investor Shares $1,000.00 $1,000.36 $1.14
Institutional Shares 1,000.00 1,001.04 0.45
Federal Money Market Fund $1,000.00 $1,000.09 $1.09
Admiral Treasury Money Market Fund $1,000.00 $1,000.07 $0.69
Based on Hypothetical 5% Yearly Return      
Prime Money Market Fund      
Investor Shares $1,000.00 $1,023.65 $1.15
Institutional Shares 1,000.00 1,024.35 0.45
Federal Money Market Fund $1,000.00 $1,023.70 $1.10
Admiral Treasury Money Market Fund $1,000.00 $1,024.10 $0.70

 

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 Prime Money Market Fund, 0.23% for Investor Shares and 0.09% for Institutional Shares; for the Federal Money Market
Fund, 0.22%; and for the Admiral Treasury Money Market Fund, 0.14%. 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.

49

 

Glossary

SEC Yields. A money market fund’s 7-day SEC yield is calculated by annualizing its income distributions for the previous seven days, as required by the U.S. Securities and Exchange Commission.

Average Weighted Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid. The figure reflects the proportion of fund assets represented by each security.

Credit Quality. The credit ratings assigned to fixed income securities are an indicator of risk. They represent a rating agency’s assessment of the issuer’s ability to meet its obligations. For Vanguard money market funds, the Distribution by Credit Quality table was revised to include tier ratings for consistency with SEC Rule 2a-7 under the Investment Company Act of 1940, which governs money market funds. A First Tier security is one that is eligible for money market funds and that is rated in the highest category for short-term debt obligations by nationally recognized statistical rating organizations. An unrated security is considered to be First Tier if it represents quality comparable to that of a rated security, as determined in accordance with the SEC rule. A Second Tier security is one that is eligible for money market funds and is not a First Tier security.

Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.

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.

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.

The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee1 and President (2006–2008) of Rohm and Haas Co.
  (chemicals); Director of Tyco International, Ltd.
F. William McNabb III (diversified manufacturing and services) and Hewlett-
Born 1957. Trustee Since July 2009. Chairman of the Packard Co. (electronic computer manufacturing);
Board. Principal Occupation(s) During the Past Five Senior Advisor at New Mountain Capital; Trustee
Years: Chairman of the Board of The Vanguard Group, of The Conference Board; Member of the Board of
Inc., and of each of the investment companies served Managers of Delphi Automotive LLP (automotive
by The Vanguard Group, since January 2010; Director components).
of The Vanguard Group since 2008; Chief Executive  
Officer and President of The Vanguard Group and of Amy Gutmann
each of the investment companies served by The Born 1949. Trustee Since June 2006. Principal
Vanguard Group since 2008; Director of Vanguard Occupation(s) During the Past Five Years: President
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Christopher H.
Vanguard Group (1995–2008). Browne Distinguished Professor of Political Science
  in the School of Arts and Sciences with secondary
  appointments at the Annenberg School for Commu-
Independent Trustees nication and the Graduate School of Education
  of the University of Pennsylvania; Director of
Emerson U. Fullwood Carnegie Corporation of New York, Schuylkill River
Born 1948. Trustee Since January 2008. Principal Development Corporation, and Greater Philadelphia
Occupation(s) During the Past Five Years: Executive Chamber of Commerce; Trustee of the National
Chief Staff and Marketing Officer for North America Constitution Center; Chair of the Presidential
and Corporate Vice President (retired 2008) of Xerox Commission for the Study of Bioethical Issues.
Corporation (document management products and  
services); Executive in Residence and 2010 JoAnn Heffernan Heisen
Distinguished Minett Professor at the Rochester Born 1950. Trustee Since July 1998. Principal
Institute of Technology; Director of SPX Corporation Occupation(s) During the Past Five Years: Corporate
(multi-industry manufacturing), the United Way of Vice President and Chief Global Diversity Officer
Rochester, Amerigroup Corporation (managed health (retired 2008) and Member of the Executive
care), the University of Rochester Medical Center, Committee (1997–2008) of Johnson & Johnson
Monroe Community College Foundation, and North (pharmaceuticals/consumer products); Director of
Carolina A&T University. Skytop Lodge Corporation (hotels), the University
  Medical Center at Princeton, the Robert Wood
Rajiv L. Gupta Johnson Foundation, and the Center for Work Life
Born 1945. Trustee Since December 2001. 2 Policy; Member of the Advisory Board of the
Principal Occupation(s) During the Past Five Years: Maxwell School of Citizenship and Public Affairs
Chairman and Chief Executive Officer (retired 2009) at Syracuse University.

 

 

F. Joseph Loughrey Thomas J. Higgins  
Born 1949. Trustee Since October 2009. Principal Born 1957. Chief Financial Officer Since September
Occupation(s) During the Past Five Years: President 2008. Principal Occupation(s) During the Past Five
and Chief Operating Officer (retired 2009) and Vice Years: Principal of The Vanguard Group, Inc.; Chief
Chairman of the Board (2008–2009) of Cummins Inc. Financial Officer of each of the investment companies
(industrial machinery); Director of SKF AB (industrial served by The Vanguard Group since 2008; Treasurer
machinery), Hillenbrand, Inc. (specialized consumer of each of the investment companies served by The
services), the Lumina Foundation for Education, and Vanguard Group (1998–2008).
Oxfam America; Chairman of the Advisory Council    
for the College of Arts and Letters and Member Kathryn J. Hyatt  
of the Advisory Board to the Kellogg Institute for Born 1955. Treasurer Since November 2008. Principal
International Studies at the University of Notre Dame. Occupation(s) During the Past Five Years: Principal
  of The Vanguard Group, Inc.; Treasurer of each of
André F. Perold the investment companies served by The Vanguard
Born 1952. Trustee Since December 2004. Principal Group since 2008; Assistant Treasurer of each of the
Occupation(s) During the Past Five Years: George investment companies served by The Vanguard Group
Gund Professor of Finance and Banking at the Harvard (1988–2008).  
Business School; Chair of the Investment Committee    
of HighVista Strategies LLC (private investment firm). Heidi Stam  
  Born 1956. Secretary Since July 2005. Principal
Alfred M. Rankin, Jr. Occupation(s) During the Past Five Years: Managing
Born 1941. Trustee Since January 1993. Principal Director of The Vanguard Group, Inc., since 2006;
Occupation(s) During the Past Five Years: Chairman, General Counsel of The Vanguard Group since 2005;
President, and Chief Executive Officer of NACCO Secretary of The Vanguard Group and of each of the
Industries, Inc. (forklift trucks/housewares/lignite); investment companies served by The Vanguard Group
Director of Goodrich Corporation (industrial products/ since 2005; Director and Senior Vice President of
aircraft systems and services) and the National Vanguard Marketing Corporation since 2005;
Association of Manufacturers; Chairman of the Principal of The Vanguard Group (1997–2006).
Federal Reserve Bank of Cleveland; Vice Chairman    
of University Hospitals of Cleveland; President of    
the Board of The Cleveland Museum of Art. Vanguard Senior Management Team
 
Peter F. Volanakis R. Gregory Barton Michael S. Miller
Born 1955. Trustee Since July 2009. Principal Mortimer J. Buckley James M. Norris
Occupation(s) During the Past Five Years: President Kathleen C. Gubanich Glenn W. Reed
and Chief Operating Officer (retired 2010) of Corning Paul A. Heller George U. Sauter
Incorporated (communications equipment); Director of    
Corning Incorporated (2000–2010) and Dow Corning    
(2001–2010); Overseer of the Amos Tuck School of Chairman Emeritus and Senior Advisor
Business Administration at Dartmouth College.    
  John J. Brennan  
  Chairman, 1996–2009  
Executive Officers Chief Executive Officer and President, 1996–2008
 
Glenn Booraem    
Born 1967. Controller Since July 2010. Principal  
Occupation(s) During the Past Five Years: Principal Founder   
of The Vanguard Group, Inc.; Controller of each of John C. Bogle  
the investment companies served by The Vanguard Chairman and Chief Executive Officer, 1974–1996
Group since 2010; Assistant Controller of each of    
the investment companies served by The Vanguard    
Group (2001–2010).    

 

1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard
State Tax-Exempt Funds.

 

  P.O. Box 2600
  Valley Forge, PA 19482-2600
 
 
 
Connect with Vanguard® > vanguard.com  
 
 
 
Fund Information > 800-662-7447  
Direct Investor Account Services > 800-662-2739  
Institutional Investor Services > 800-523-1036  
Text Telephone for People  
With Hearing Impairment > 800-749-7273  
 
This material may be used in conjunction  
with the offering of shares of any Vanguard  
fund only if preceded or accompanied by  
the fund’s current prospectus.  
 
All comparative mutual fund data are from Lipper Inc. or  
Morningstar, Inc., unless otherwise noted.  
 
You can obtain a free copy of Vanguard’s proxy voting  
guidelines by visiting vanguard.com/proxyreporting or by  
calling Vanguard at 800-662-2739. The guidelines are  
also available from the SEC’s website, sec.gov. In  
addition, you may obtain a free report on how your fund  
voted the proxies for securities it owned during the 12  
months ended June 30. To get the report, visit either  
vanguard.com/proxyreporting or sec.gov.  
 
You can review and copy information about your fund at  
the SEC’s Public Reference Room in Washington, D.C. To  
find out more about this public service, call the SEC at  
202-551-8090. Information about your fund is also  
available on the SEC’s website, and you can receive  
copies of this information, for a fee, by sending a  
request in either of two ways: via e-mail addressed to  
publicinfo@sec.gov or via regular mail addressed to the  
Public Reference Section, Securities and Exchange  
Commission, Washington, DC 20549-1520.  
 
 
  © 2011 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
 
  Q302 042011

 

 

Vanguard S&P Mid-Cap 400 Index Funds
Semiannual Report
February 28, 2011

Vanguard S&P Mid-Cap 400 Index Fund
Vanguard S&P Mid-Cap 400 Value Index Fund
Vanguard S&P Mid-Cap 400 Growth Index Fund

 

 

> The Vanguard S&P Mid-Cap 400 Index Funds made their debut in a period

of stock market strength, delivering double-digit returns since their inception.

> All three funds closely tracked the returns of their benchmark indexes.

> Information technology, energy, and industrial stocks were especially

strong performers.

Contents  
 
Your Fund’s Total Returns 1
Chairman’s Letter 2
S&P Mid-Cap 400 Index Fund 6
S&P Mid-Cap 400 Value Index Fund 18
S&P Mid-Cap 400 Growth Index Fund 30
Trustees Approve Advisory Arrangement 41
Glossary 42

 

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.
Cover photograph: Jean Maher.

 

Your Fund’s Total Returns

Period Ended February 28, 2011    
  Ticker Total Returns
  Symbol Since Inception
Vanguard S&P Mid-Cap 400 Index Fund    
ETF Shares (Inception: 9/7/2010) IVOO  
Market Price   28.76%
Net Asset Value   28.75
S&P MidCap 400 Index   28.84
Mid-Cap Core Funds Average1   27.59
 
Vanguard S&P Mid-Cap 400 Value Index Fund    
Institutional Shares (Inception: 11/2/2010) VMFVX 15.42%
ETF Shares (Inception: 9/7/2010) IVOV  
Market Price   26.49
Net Asset Value   26.82
S&P MidCap 400 Value Index   26.96
Mid-Cap Value Funds Average1   26.01
 
Vanguard S&P Mid-Cap 400 Growth Index Fund    
ETF Shares (Inception: 9/7/2010) IVOG  
Market Price   30.61%
Net Asset Value   30.55
S&P MidCap 400 Growth Index   30.64
Mid-Cap Growth Funds Average1   29.17

 

Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides
ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
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.
1 Derived from data provided by Lipper Inc.

1

 

 

 

 

Chairman’s Letter

Dear Shareholder,

In the brief period since their September 2010 inception, the Vanguard S&P Mid-Cap 400 Index Funds produced exceptional returns, benefiting from the broad-based rally among medium-sized stocks.

The returns of the funds’ ETF Shares ranged from 26.82% for Vanguard S&P Mid-Cap 400 Value Index Fund to 30.55% for Vanguard S&P Mid-Cap 400 Growth Index Fund. (Returns are based on changes in the funds’ net asset values, adjusted to account for dividend distributions during the period.) Vanguard S&P Mid-Cap 400 Index Fund, a blend of the Growth and Value Funds, returned 28.75%. After the launch of the ETF Shares for all three funds, the S&P Mid-Cap 400 Value Index Fund introduced Institutional Shares.

The new S&P Mid-Cap 400 Index Funds mark an extension of Vanguard’s equity indexing franchise, which now includes suites of broad-market portfolios benchmarked to the Russell, Standard & Poor’s, and MSCI indexes. Our research indicates that correlation among the returns of the indexes from all three providers is very high. We would expect limited differences in long-term performance from one provider’s index to another.

2

 

This report begins with a look at the investment environment throughout the full six months of the new funds’ fiscal half-year and then reviews the drivers of fund performance during their briefer period of operation.

A fretful start, an optimistic finish for global stock markets

Stock markets rallied from their midsummer malaise to produce exceptional returns for the six months ended February 28. At the start of the period, the U.S. economy seemed in danger of tipping back into recession. By the end, hopes were high that it had reached escape velocity, propelled by steady job growth and notable strength in the manufacturing sector. Smaller stocks,

which are especially sensitive to the rhythms of the business cycle, produced the highest six-month returns.

In Europe, investor optimism subdued sovereign-debt jitters, driving stock prices higher. Developed markets in the Pacific region perked up on signs of recovery in global trade. Australian stocks posted especially strong returns, benefiting from a surge in the prices of metals and other natural resources. Emerging stock markets trailed a few steps behind their developed-market counterparts. Most major currencies appreciated relative to the U.S. dollar, enhancing returns from abroad for U.S.-based investors.

Market Barometer      
  Total Returns
  Periods Ended February 28, 2011
  Six One Five Years
  Months Year (Annualized)
Stocks      
Russell 1000 Index (Large-caps) 28.65% 23.54% 3.17%
Russell 2000 Index (Small-caps) 37.55 32.60 3.80
Dow Jones U.S. Total Stock Market Index 29.24 24.45 3.59
MSCI All Country World Index ex USA (International) 22.16 21.12 4.23
 
Bonds      
Barclays Capital U.S. Aggregate Bond Index      
(Broad taxable market) –0.83% 4.93% 5.80%
Barclays Capital Municipal Bond Index      
(Broad tax-exempt market) –3.51 1.72 4.07
Citigroup Three-Month Treasury Bill Index 0.06 0.14 2.16
 
CPI      
Consumer Price Index 1.37% 2.11% 2.18%

 

3

 

Interest rates rose, depressing bond prices

U.S. interest rates hovered near generational lows early in the period, but then moved higher, putting pressure on bond prices. For the six-month period, the broad taxable bond market produced a small negative return. The municipal bond market did worse. Corporate bonds outperformed government debt, as investors stretched for yield beyond government securities, where rates remained low by historical standards.

As it has since December 2008, the Federal Reserve held its target for short-term interest rates near 0%. This stance kept the returns available from money market instruments, such as the 3-month Treasury bill, in the same neighborhood.

Funds debuted amid stock market strength

During their first few months of operation, the Vanguard S&P Mid-Cap 400 Index Funds benefited from general strength among midsized stocks. Information technology stocks were among the best performers, rallying on both consumer enthusiasm for platforms such as tablets and smart phones and signs that business investment is set to pick up. The strength of tech stocks helped all three funds but made an especially big contribution to Vanguard S&P Mid-Cap 400 Growth Index Fund. At the end of the period, tech stocks accounted for almost 24% of fund assets.

Energy stocks delivered exceptional returns, reflecting rising oil prices and a gradual clearing of the clouds that have hung over energy stocks since the Gulf oil spill. The sector made significant contributions to all three funds. Industrials were another source of strength, particularly in Vanguard S&P Mid-Cap 400 Value Index Fund. Machinery makers and transportation companies performed well as activity on factory floors began to pick up.

Weak spots were conspicuous by their absence. Utilities and telecommunication stocks produced some of the weakest returns, but that generally meant absolute returns in the double digits.

All three funds succeeded in capturing most of the returns of their target indexes. Fund returns were within 14 basis points (0.14 percentage point) of the index results, a shortfall consistent with the costs of managing a real-world portfolio. Such performance is a tribute to Vanguard Quantitative Equity Group, the funds’ advisor, which has spent more than 35 years developing and refining index-fund management strategies. The funds’ low costs are an important ally in the advisor’s effort to capture the index return.

4

 

Solid building blocks for a long-term portfolio

It would be wonderful if the exceptional returns produced during the funds’ first few months could be expected to continue forever. The stock market doesn’t work that way, however. Returns are volatile, with periods of strength often followed by stretches of weakness. And, as we have seen in recent weeks, unpredictable events such as those in the Middle East, North Africa, and Japan can disrupt market trends. That’s why we counsel investors to develop allocations to stock, bond, and money market funds in proportions consistent with their goals and ability to withstand the stock market’s occasionally sharp declines.

The new Vanguard S&P Mid-Cap 400 Index Funds can be powerful building blocks in such a portfolio. They provide comprehensive, low-cost exposure to the U.S. stock market’s midsized companies.

Thank you for entrusting your assets to Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2011

Your Fund’s Performance at a Glance        
Inception Through February 28, 2011        
      Distributions Per Share
  Starting Ending Income Capital
Share Price Share Price Dividends Gains
Vanguard S&P Mid-Cap 400 Index Fund        
ETF Shares (Inception: 9/7/2010) $49.95 $64.12 $0.180 $0.000
Vanguard S&P Mid-Cap 400 Value Index Fund        
Institutional Shares (Inception: 11/2/2010) $109.35 $125.65 $0.529 $0.000
ETF Shares (Inception: 9/7/2010) 49.86 62.96 0.256 0.000
Vanguard S&P Mid-Cap 400 Growth Index Fund        
ETF Shares (Inception: 9/7/2010) $50.04 $65.22 $0.100 $0.000

 

5

 

S&P Mid-Cap 400 Index Fund

Fund Profile
As of February 28, 2011

Portfolio Characteristics    
    Target Broad
  Fund Index1 Index2
Number of Stocks 400 400 3,845
Median Market Cap $3.6B $3.6B $31.4B
Price/Earnings Ratio 23.0x 23.0x 17.9x
Price/Book Ratio 2.2x 2.2x 2.3x
Yield3 1.1% 1.3% 1.6%
Return on Equity 14.0% 14.0% 19.2%
Earnings Growth Rate 3.6% 3.6% 5.4%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate4 12% — —
Expense Ratio5      
ETF Shares 0.15%    
Short-Term Reserves 0.0% — —

 

Sector Diversification (% of equity exposure)
    Target Broad
  Fund Index1 Index2
Consumer Discretionary  14.1% 14.1% 11.8%
Consumer Staples 3.6 3.6 9.1
Energy 6.6 6.6 11.6
Financials 20.0 20.0 16.6
Health Care 11.4 11.4 10.5
Industrials 15.0 15.0 11.4
Information Technology 16.2 16.2 18.9
Materials 6.7 6.7 4.5
Telecommunication      
Services 0.5 0.5 2.5
Utilities 5.9 5.9 3.1

 

Ten Largest Holdings6 (% of total net assets)
 
Cimarex Energy Co. Oil & Gas Exploration  
  & Production 0.8%
Edwards Lifesciences Health Care  
Corp. Equipment 0.8
Vertex Pharmaceuticals    
Inc. Biotechnology 0.8
BorgWarner Inc. Auto Parts  
  & Equipment 0.7
New York Community Thrifts & Mortgage  
Bancorp Inc. Finance 0.7
Chipotle Mexican    
Grill Inc. Class A Restaurants 0.6
Bucyrus International Inc. Construction  
Class A & Farm Machinery  
  & Heavy Trucks 0.6
Pride International Inc. Oil & Gas Drilling 0.6
Lubrizol Corp. Specialty Chemicals 0.6
Lam Research Corp. Semiconductor  
  Equipment 0.6
Top Ten   6.8%

 

Investment Focus


1 S&P MidCap 400 Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 Annualized.
5 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year. For the
period ended February 28, 2011, the annualized expense ratio was 0.15%.
6 The holdings listed exclude any temporary cash investments and equity index products.

6

 

S&P Mid-Cap 400 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-Period Total Returns (%): September 7, 2010, Through February 28, 2011


Total Returns: Period Ended December 31, 2010

This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.

Securities and Exchange Commission rules require that we provide this information.

    Since
  Inception Date Inception
ETF Shares 9/7/2010  
Market Price   21.44%
Net Asset Value   20.64

 

 

S&P Mid-Cap 400 Index Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

      Market
      Value•
  Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (14.1%)    
* BorgWarner Inc. 1,240 96
* Chipotle Mexican Grill Inc.    
  Class A 336 82
* Dollar Tree Inc. 1,358 68
  Advance Auto Parts Inc. 912 57
  PetSmart Inc. 1,276 52
  Gentex Corp. 1,529 46
* NVR Inc. 62 45
  Phillips-Van Heusen Corp. 725 44
* Fossil Inc. 557 43
  Williams-Sonoma Inc. 1,152 42
  Tractor Supply Co. 794 41
* Panera Bread Co. Class A 333 39
* LKQ Corp. 1,569 37
* Deckers Outdoor Corp. 418 37
  Tupperware Brands Corp. 684 37
  Sotheby’s 734 36
* Dick’s Sporting Goods Inc. 963 36
* Mohawk Industries Inc. 614 36
* Toll Brothers Inc. 1,583 34
  Foot Locker Inc. 1,689 34
  American Eagle Outfitters Inc. 2,135 33
  Guess? Inc. 692 31
* J Crew Group Inc. 697 30
  Service Corp. International 2,652 29
* Warnaco Group Inc. 487 29
  Polaris Industries Inc. 369 28
* Hanesbrands Inc. 1,049 27
  Chico’s FAS Inc. 1,927 26
* Aeropostale Inc. 1,011 26
* Under Armour Inc. Class A 385 25
* WMS Industries Inc. 626 25
* Lamar Advertising Co. Class A 627 24
  John Wiley & Sons Inc. Class A 503 24
* Ascena Retail Group Inc. 760 24
  Brinker International Inc. 998 24
  Rent-A-Center Inc. 696 23
* Bally Technologies Inc. 589 23
* DreamWorks Animation    
  SKG Inc. Class A 786 22
* Saks Inc. 1,771 22
* ITT Educational Services Inc. 284 22
  Strayer Education Inc. 147 20
  Aaron’s Inc. 805 19
* Cheesecake Factory Inc. 643 19
* Life Time Fitness Inc. 454 17
* Career Education Corp. 710 17
  Wendy’s/Arby’s Group Inc.    
  Class A 3,559 17
* Office Depot Inc. 3,006 16
* Collective Brands Inc. 695 16
* Timberland Co. Class A 423 16
  Thor Industries Inc. 457 15
* AnnTaylor Stores Corp. 628 15
  Meredith Corp. 395 14
* New York Times Co. Class A 1,282 13
  Matthews International Corp.    
  Class A 322 12
  Regis Corp. 618 11
  MDC Holdings Inc. 406 11
  KB Home 786 10
  Bob Evans Farms Inc. 326 10
* Eastman Kodak Co. 2,917 10
  American Greetings Corp.    
  Class A 428 9
  International Speedway Corp.    
  Class A 320 9
  Scholastic Corp. 268 8
* 99 Cents Only Stores 500 8
  Ryland Group Inc. 476 8
* Boyd Gaming Corp. 598 6
* Scientific Games Corp. Class A 676 6
  Barnes & Noble Inc. 424 6
  Harte-Hanks Inc. 414 5
      1,802

 

8

 

S&P Mid-Cap 400 Index Fund

      Market
      Value•
    Shares ($000)
Consumer Staples (3.6%)    
  Church & Dwight Co. Inc. 775 58
* Green Mountain Coffee    
  Roasters Inc. 1,266 52
* Energizer Holdings Inc. 768 51
* Hansen Natural Corp. 752 43
* Smithfield Foods Inc. 1,811 42
  Corn Products International    
  Inc. 823 40
* Ralcorp Holdings Inc. 600 39
  Alberto-Culver Co. Class B 937 35
* BJ’s Wholesale Club Inc. 595 29
  Flowers Foods Inc. 822 22
  Ruddick Corp. 465 17
  Lancaster Colony Corp. 208 12
  Universal Corp. 257 11
  Tootsie Roll Industries Inc. 261 7
      458
Energy (6.6%)    
  Cimarex Energy Co. 921 107
* Pride International Inc. 1,907 79
* Plains Exploration    
  & Production Co. 1,525 60
  Arch Coal Inc. 1,763 59
  SM Energy Co. 685 50
* Oceaneering International Inc. 588 49
  Patterson-UTI Energy Inc. 1,677 46
* Forest Oil Corp. 1,230 44
  Southern Union Co. 1,358 39
  Tidewater Inc. 557 35
* Superior Energy Services Inc. 862 33
* Frontier Oil Corp. 1,157 32
* Dril-Quip Inc. 372 28
* Atwood Oceanics Inc. 606 27
* Unit Corp. 431 26
* Patriot Coal Corp. 986 23
* Bill Barrett Corp. 511 20
* Quicksilver Resources Inc. 1,273 20
* Northern Oil and Gas Inc. 564 18
* Helix Energy Solutions Group    
  Inc. 1,132 17
* Exterran Holdings Inc. 701 16
* Comstock Resources Inc. 508 13
  Overseas Shipholding Group    
  Inc. 288 10
      851
Financials (20.0%)    
  New York Community    
  Bancorp Inc. 4,754 89
  Macerich Co. 1,411 71
  AMB Property Corp. 1,827 66
  SL Green Realty Corp. 856 65
* Affiliated Managers Group Inc. 561 60
  Nationwide Health Properties    
  Inc. 1,378 59
  Federal Realty Investment    
  Trust 668 56
  Rayonier Inc. 877 54
  Everest Re Group Ltd. 593 53
  UDR Inc. 1,994 48
  Reinsurance Group    
  of America Inc. Class A 798 48
  Alexandria Real Estate    
  Equities Inc. 600 48
* MSCI Inc. Class A 1,295 46
  Realty Income Corp. 1,274 46
  Jones Lang LaSalle Inc. 463 46
  Camden Property Trust 745 44
  Essex Property Trust Inc. 341 42
  Liberty Property Trust 1,243 42
  Raymond James Financial Inc. 1,089 42
  Eaton Vance Corp. 1,291 40
  Regency Centers Corp. 893 40
  HCC Insurance Holdings Inc. 1,257 39
  Cullen/Frost Bankers Inc. 663 39
  WR Berkley Corp. 1,290 39
  Duke Realty Corp. 2,731 38
  Waddell & Reed Financial Inc.    
  Class A 931 38
  Senior Housing Properties    
  Trust 1,527 37
  East West Bancorp Inc. 1,606 37
  Arthur J Gallagher & Co. 1,162 36
  SEI Investments Co. 1,583 36
  Transatlantic Holdings Inc. 685 35
  Old Republic International    
  Corp. 2,761 35
  Fidelity National Financial Inc.    
  Class A 2,480 34
  Weingarten Realty Investors 1,314 34
  Commerce Bancshares Inc. 845 34
  Brown & Brown Inc. 1,274 33
  First Niagara Financial Group    
  Inc. 2,285 33
  BRE Properties Inc. 693 33
  Taubman Centers Inc. 591 33
  Jefferies Group Inc. 1,343 32
  Mack-Cali Realty Corp. 930 32
  Hospitality Properties Trust 1,350 31
  City National Corp. 503 30
  American Financial Group Inc. 853 30
  Associated Banc-Corp 1,897 27
  Protective Life Corp. 939 27
  Apollo Investment Corp. 2,133 26
  Highwoods Properties Inc. 777 26
  Corporate Office Properties    
  Trust 729 26

 

9

 

S&P Mid-Cap 400 Index Fund

      Market
      Value•
  Shares ($000)
  Omega Healthcare Investors    
  Inc. 1,069 26
  Bank of Hawaii Corp. 529 25
* SVB Financial Group 460 25
  Aspen Insurance Holdings Ltd. 830 25
  Valley National Bancorp 1,770 24
  Fulton Financial Corp. 2,158 23
  StanCorp Financial Group Inc. 502 23
  Hanover Insurance Group Inc. 488 23
  TCF Financial Corp. 1,379 22
  Washington Federal Inc. 1,239 22
  Synovus Financial Corp. 8,518 22
  Prosperity Bancshares Inc. 506 21
  FirstMerit Corp. 1,197 20
  Greenhill & Co. Inc. 272 20
  Webster Financial Corp. 801 19
  First American Financial Corp. 1,131 18
  NewAlliance Bancshares Inc. 1,136 18
  Potlatch Corp. 430 17
  Westamerica Bancorporation 314 16
  Mercury General Corp. 383 16
  Unitrin Inc. 536 16
  Cathay General Bancorp 844 15
  Trustmark Corp. 612 14
  BancorpSouth Inc. 790 13
  Astoria Financial Corp. 884 12
  International Bancshares Corp. 590 11
  Equity One Inc. 501 10
  Cousins Properties Inc. 1,105 9
  PacWest Bancorp 336 7
      2,567
Health Care (11.4%)    
* Edwards Lifesciences Corp. 1,240 105
* Vertex Pharmaceuticals Inc. 2,215 103
* Henry Schein Inc. 1,003 69
  Perrigo Co. 903 69
  Beckman Coulter Inc. 752 63
* Mettler-Toledo International    
  Inc. 356 61
* Hologic Inc. 2,830 57
* ResMed Inc. 1,640 52
  Universal Health Services Inc.    
  Class B 1,061 49
* IDEXX Laboratories Inc. 624 48
* Endo Pharmaceuticals    
  Holdings Inc. 1,252 44
* Allscripts Healthcare    
  Solutions Inc. 2,029 43
* Community Health    
  Systems Inc. 1,004 41
* Covance Inc. 707 40
* United Therapeutics Corp. 543 37
  Omnicare Inc. 1,257 36
  Pharmaceutical Product    
  Development Inc. 1,296 36
* Mednax Inc. 518 34
* Kinetic Concepts Inc. 684 33
* Gen-Probe Inc. 523 33
  Lincare Holdings Inc. 1,067 31
* Health Net Inc. 1,036 30
  Techne Corp. 402 29
* Health Management    
  Associates Inc. Class A 2,752 28
  Hill-Rom Holdings Inc. 684 26
  Teleflex Inc. 438 26
* Bio-Rad Laboratories Inc.    
  Class A 210 24
* VCA Antech Inc. 934 23
* Charles River Laboratories    
  International Inc. 627 23
* LifePoint Hospitals Inc. 572 22
  STERIS Corp. 641 22
  Owens & Minor Inc. 687 21
  Medicis Pharmaceutical Corp.    
  Class A 655 21
  Masimo Corp. 639 19
* Thoratec Corp. 637 18
* WellCare Health Plans Inc. 470 18
* Immucor Inc. 752 15
* Kindred Healthcare Inc. 424 11
      1,460
Industrials (15.0%)    
  Bucyrus International Inc.    
  Class A 884 80
  AMETEK Inc. 1,736 73
* Kansas City Southern 1,113 60
  Manpower Inc. 884 56
* AGCO Corp. 1,014 55
  KBR Inc. 1,637 54
  Donaldson Co. Inc. 829 47
  Hubbell Inc. Class B 655 44
  SPX Corp. 547 44
  Timken Co. 875 43
  Gardner Denver Inc. 571 42
* URS Corp. 897 42
  JB Hunt Transport Services    
  Inc. 964 40
  Nordson Corp. 368 40
* Terex Corp. 1,187 40
  Pentair Inc. 1,077 40
* BE Aerospace Inc. 1,117 38
* Aecom Technology Corp. 1,286 37
  IDEX Corp. 892 37
* Shaw Group Inc. 925 37
  Waste Connections Inc. 1,249 36
* Oshkosh Corp. 987 35
  Kennametal Inc. 897 34
  Lincoln Electric Holdings Inc. 458 33
* Kirby Corp. 580 32
* Thomas & Betts Corp. 562 31

 

10

 

S&P Mid-Cap 400 Index Fund

      Market
      Value•
  Shares ($000)
  MSC Industrial Direct Co.    
  Class A 488 31
  Regal-Beloit Corp. 419 31
* Corrections Corp. of America 1,205 30
  Harsco Corp. 873 30
  Wabtec Corp. 520 29
  Towers Watson & Co. Class A 491 29
  Carlisle Cos. Inc. 666 29
  Trinity Industries Inc. 873 27
* Copart Inc. 646 27
  Acuity Brands Inc. 467 26
  Graco Inc. 648 26
  Alliant Techsystems Inc. 363 26
  Valmont Industries Inc. 235 24
  Landstar System Inc. 534 24
* Alaska Air Group Inc. 399 24
  Crane Co. 500 24
  Lennox International Inc. 487 24
* Clean Harbors Inc. 252 23
  Woodward Inc. 642 21
* United Rentals Inc. 667 21
  Con-way Inc. 602 20
  Watsco Inc. 302 19
  Alexander & Baldwin Inc. 444 19
  GATX Corp. 499 17
* FTI Consulting Inc. 502 17
  Herman Miller Inc. 614 16
  Brink’s Co. 508 16
  HNI Corp. 484 15
  Corporate Executive Board Co. 368 15
  Deluxe Corp. 552 14
  Rollins Inc. 680 13
* JetBlue Airways Corp. 2,162 12
  Mine Safety Appliances Co. 330 12
* Korn/Ferry International 497 11
  Werner Enterprises Inc. 476 11
* AirTran Holdings Inc. 1,456 11
  Granite Construction Inc. 365 10
      1,924
Information Technology (16.2%)    
* Lam Research Corp. 1,343 74
* Atmel Corp. 4,972 73
* Skyworks Solutions Inc. 1,996 72
* Rovi Corp. 1,209 67
* Riverbed Technology Inc. 1,596 66
* Trimble Navigation Ltd. 1,308 64
* Cree Inc. 1,176 62
* Avnet Inc. 1,649 56
* ANSYS Inc. 987 56
  Factset Research Systems    
  Inc. 503 53
* Arrow Electronics Inc. 1,256 49
* Informatica Corp. 1,018 48
* TIBCO Software Inc. 1,826 45
* Synopsys Inc. 1,621 45
* Polycom Inc. 930 44
* Alliance Data Systems Corp. 564 44
* Equinix Inc. 501 43
* MICROS Systems Inc. 878 42
  Global Payments Inc. 870 42
  Solera Holdings Inc. 765 39
* Rackspace Hosting Inc. 1,055 39
* Cypress Semiconductor Corp. 1,815 38
* Gartner Inc. 927 35
* Ingram Micro Inc. 1,713 34
  Lender Processing Services    
  Inc. 990 34
* NCR Corp. 1,727 33
* Vishay Intertechnology Inc. 1,809 32
  ADTRAN Inc. 690 31
  Broadridge Financial Solutions    
  Inc. 1,356 31
* Parametric Technology Corp. 1,281 30
  Jack Henry & Associates Inc. 937 30
  National Instruments Corp. 954 30
* Cadence Design Systems Inc. 2,916 29
* Ciena Corp. 1,023 28
* Concur Technologies Inc. 495 26
  Diebold Inc. 723 25
* Tech Data Corp. 509 25
* Itron Inc. 438 25
* AOL Inc. 1,171 24
* International Rectifier Corp. 754 24
* Fairchild Semiconductor    
  International Inc. Class A 1,341 24
* Zebra Technologies Corp. 620 23
* RF Micro Devices Inc. 2,999 23
* Silicon Laboratories Inc. 474 22
* CoreLogic Inc. 1,145 21
* QLogic Corp. 1,144 21
* NeuStar Inc. Class A 800 20
  DST Systems Inc. 386 20
* Mentor Graphics Corp. 1,207 19
* Convergys Corp. 1,320 19
  Plantronics Inc. 516 18
  Intersil Corp. Class A 1,375 18
* Quest Software Inc. 656 18
* Semtech Corp. 691 16
* Acxiom Corp. 861 15
* Digital River Inc. 428 14
* Integrated Device Technology    
  Inc. 1,697 13
* ValueClick Inc. 872 13
* SRA International Inc. Class A 462 13
  Fair Isaac Corp. 438 12
* ACI Worldwide Inc. 362 11
* Mantech International Corp.    
  Class A 242 10
* Advent Software Inc. 341 10
      2,080

 

11

 

S&P Mid-Cap 400 Index Fund

      Market
      Value•
  Shares ($000)
Materials (6.7%)    
  Lubrizol Corp. 712 77
  Albemarle Corp. 997 57
  Ashland Inc. 860 48
  Reliance Steel    
  & Aluminum Co. 812 45
  Martin Marietta Materials Inc. 496 44
  Steel Dynamics Inc. 2,366 44
  Valspar Corp. 1,074 41
  Sonoco Products Co. 1,126 41
  Aptargroup Inc. 728 35
  Compass Minerals    
  International Inc. 355 33
  RPM International Inc. 1,398 32
  Packaging Corp. of America 1,112 32
  Cabot Corp. 714 31
  Cytec Industries Inc. 540 31
  Rock-Tenn Co. Class A 422 29
  Scotts Miracle-Gro Co. Class A 501 28
  Temple-Inland Inc. 1,178 28
  Greif Inc. Class A 336 22
  Commercial Metals Co. 1,240 21
  Carpenter Technology Corp. 485 20
  Silgan Holdings Inc. 544 20
* Intrepid Potash Inc. 480 18
  Sensient Technologies Corp. 539 18
  Olin Corp. 879 16
* Louisiana-Pacific Corp. 1,445 15
  NewMarket Corp. 107 14
  Minerals Technologies Inc. 200 13
  Worthington Industries Inc. 605 12
      865
Telecommunication Services (0.5%)  
  Telephone & Data Systems    
  Inc. 996 33
* tw telecom inc Class A 1,641 31
      64
Utilities (5.9%)    
  National Fuel Gas Co. 895 65
  OGE Energy Corp. 1,063 51
  NSTAR 1,125 51
  Energen Corp. 784 48
  Alliant Energy Corp. 1,209 48
  MDU Resources Group Inc. 2,053 44
  UGI Corp. 1,197 38
  NV Energy Inc. 2,565 38
Questar Corp. 1,911 34
DPL Inc. 1,299 34
Aqua America Inc. 1,500 34
Atmos Energy Corp. 985 33
AGL Resources Inc. 853 32
Westar Energy Inc. 1,214 32
Great Plains Energy Inc. 1,486 28
Hawaiian Electric Industries    
Inc. 1,032 25
Vectren Corp. 896 24
Cleco Corp. 670 22
WGL Holdings Inc. 560 21
IDACORP Inc. 536 20
Black Hills Corp. 422 13
PNM Resources Inc. 932 12
* Dynegy Inc. Class A 1,097 6
    753
Total Common Stocks    
(Cost $11,341)   12,824
Total Investments (100.0%)    
(Cost $11,341)   12,824
Other Assets and Liabilities (0.0%)  
Other Assets   122
Liabilities   (122)
    —
Net Assets (100%)    
Applicable to 200,000 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization)   12,824
Net Asset Value Per Share—ETF Shares $64.12
 
 
At February 28, 2011, net assets consisted of:
    Amount
    ($000)
Paid-in Capital   11,286
Undistributed Net Investment Income 17
Accumulated Net Realized Gains   38
Unrealized Appreciation (Depreciation) 1,483
Net Assets   12,824

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.

12

 

S&P Mid-Cap 400 Index Fund

Statement of Operations

  September 7, 20101 to
  February 28, 2011
  ($000)
Investment Income  
Income  
Dividends 49
Total Income 49
Expenses  
The Vanguard Group—Note B  
Management and Administrative 3
Custodian Fees 2
Total Expenses 5
Net Investment Income 44
Realized Net Gain (Loss) on Investment Securities Sold 80
Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,483
Net Increase (Decrease) in Net Assets Resulting from Operations 1,607
1 Inception.

 

See accompanying Notes, which are an integral part of the Financial Statements.

13

 

S&P Mid-Cap 400 Index Fund

Statement of Changes in Net Assets

  September 7, 20101 to
  February 28, 2011
  ($000)
Increase (Decrease) in Net Assets  
Operations  
Net Investment Income 44
Realized Net Gain (Loss) 80
Change in Unrealized Appreciation (Depreciation) 1,483
Net Increase (Decrease) in Net Assets Resulting from Operations 1,607
Distributions  
Net Investment Income  
Institutional Shares —
ETF Shares (27)
Realized Capital Gain  
Institutional Shares —
ETF Shares —
Total Distributions (27)
Capital Share Transactions  
Institutional Shares (2)
ETF Shares 11,246
Net Increase (Decrease) from Capital Share Transactions 11,244
Total Increase (Decrease) 12,824
Net Assets  
Beginning of Period —
End of Period2 12,824
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $17,000.

 

See accompanying Notes, which are an integral part of the Financial Statements.

14

 

S&P Mid-Cap 400 Index Fund

Financial Highlights

ETF Shares  
  September 7, 20101 to
For a Share Outstanding Throughout the Period February 28, 2011
Net Asset Value, Beginning of Period $49.95
Investment Operations  
Net Investment Income .264
Net Realized and Unrealized Gain (Loss) on Investments 14.086
Total from Investment Operations 14.350
Distributions  
Dividends from Net Investment Income (.180)
Distributions from Realized Capital Gains —
Total Distributions (.180)
Net Asset Value, End of Period $64.12
 
Total Return 28.75%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $13
Ratio of Total Expenses to Average Net Assets 0.15%
Ratio of Net Investment Income to Average Net Assets 1.26%
Portfolio Turnover Rate2 12%
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
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.

15

 

S&P Mid-Cap 400 Index Fund

Notes to Financial Statements

Vanguard S&P Mid-Cap 400 Index 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: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010. On December 17, 2010, the sole shareholder redeemed all shares. As of February 28, 2011, there were no investors in the Institutional share class. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

4. Other: Dividend income is recorded on the ex-dividend date. 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $2,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

16

 

S&P Mid-Cap 400 Index Fund

At February 28, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.

D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.

During the period ended February 28, 2011, the fund realized $42,000 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.

At February 28, 2011, the cost of investment securities for tax purposes was $11,341,000. Net unrealized appreciation of investment securities for tax purposes was $1,483,000, consisting of unrealized gains of $1,524,000 on securities that had risen in value since their purchase and $41,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the period ended February 28, 2011, the fund purchased $11,898,000 of investment securities and sold $637,000 of investment securities, other than temporary cash investments.

F. Capital share transactions for each class of shares were:

    Inception1 to
  February 28, 2011 
  Amount Shares
  ($000) (000)
Institutional Shares    
Issued 155 1
Issued in Lieu of Cash Distributions — —
Redeemed (157) (1)
Net Increase (Decrease)—Institutional Shares (2) —
ETF Shares    
Issued 11,246 200
Issued in Lieu of Cash Distributions — —
Redeemed — —
Net Increase (Decrease)—ETF Shares 11,246 200
1 Inception was September 7, 2010, for ETF Shares and December 15, 2010, for Institutional Shares. On December 17, 2010, the sole
shareholder in the Institutional share class redeemed all shares. As of February 28, 2011, there were no investors in the Institutional
share class.

 

G. In preparing the financial statements as of February 28, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

17

 

S&P Mid-Cap 400 Value Index Fund

Fund Profile
As of February 28, 2011

Portfolio Characteristics    
    Target Broad
  Fund Index1 Index2
Number of Stocks 293 293 3,845
Median Market Cap $3.3B $3.3B $31.4B
Price/Earnings Ratio 22.3x 22.3x 17.9x
Price/Book Ratio 1.7x 1.7x 2.3x
Yield3   1.7% 1.6%
Institutional Shares 1.7%    
ETF Shares 1.5%    
Return on Equity 11.3% 11.3% 19.2%
Earnings Growth Rate –2.4% –2.4% 5.4%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate4 24% — —
Expense Ratio5      
Institutional Shares 0.08%    
ETF Shares 0.20%    
Short-Term Reserves 0.0% — —

 

Sector Diversification (% of equity exposure)
    Target Broad
  Fund Index1 Index2
Consumer Discretionary 8.6% 8.6% 11.8%
Consumer Staples 3.8 3.8 9.1
Energy 7.8 7.8 11.6
Financials 26.5 26.5 16.6
Health Care 7.4 7.4 10.5
Industrials 17.3 17.3 11.4
Information Technology 9.0 9.0 18.9
Materials 8.7 8.7 4.5
Telecommunication      
Services 0.5 0.5 2.5
Utilities 10.4 10.4 3.1

 

Ten Largest Holdings6 (% of total net assets)
 
New York Community Thrifts & Mortgage  
Bancorp Inc. Finance 1.4%
Pride International Inc. Oil & Gas Drilling 1.2
Plains Exploration Oil & Gas Exploration  
& Production Co. & Production 0.9
Avnet Inc. Technology  
  Distributors 0.9
Manpower Inc. Human Resource  
  & Employment  
  Services 0.9
Vertex Pharmaceuticals    
Inc. Biotechnology 0.8
KBR Inc. Construction  
  & Engineering 0.8
Everest Re Group Ltd. Reinsurance 0.8
OGE Energy Corp. Multi-Utilities 0.8
NSTAR Multi-Utilities 0.8
Top Ten   9.3%

 

Investment Focus

 

1 S&P MidCap 400 Value Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 Annualized.
5 The expense ratios shown are from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year.
For the period ended February 28, 2011, the annualized expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
6 The holdings listed exclude any temporary cash investments and equity index products.

18

 

S&P Mid-Cap 400 Value 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-Period Total Returns (%): September 7, 2010, Through February 28, 2011


Total Returns: Period Ended December 31, 2010

This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.

Securities and Exchange Commission rules require that we provide this information.

    Since
  Inception Date Inception
Institutional Shares 11/2/2010 7.97%
ETF Shares 9/7/2010  
Market Price   19.32
Net Asset Value   18.66

 

See Financial Highlights for dividend and capital gains information.

19

 

S&P Mid-Cap 400 Value Index Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

      Market
      Value•
    Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (8.6%)    
* NVR Inc. 134 98
* BorgWarner Inc. 1,106 86
* Mohawk Industries Inc. 1,335 78
  Foot Locker Inc. 3,696 73
* Toll Brothers Inc. 3,427 73
  Rent-A-Center Inc. 1,523 50
* Saks Inc. 3,820 47
  Aaron’s Inc. 1,732 41
  American Eagle Outfitters Inc. 2,649 41
* Hanesbrands Inc. 1,456 38
* Career Education Corp. 1,564 38
  Wendy’s/Arby’s Group Inc.    
  Class A 7,643 36
* Office Depot Inc. 6,580 35
* Collective Brands Inc. 1,529 35
  Thor Industries Inc. 1,007 33
  Service Corp. International 2,787 30
* New York Times Co. Class A 2,807 29
  Brinker International Inc. 1,118 26
  Matthews International Corp.    
  Class A 700 26
  Regis Corp. 1,367 24
  MDC Holdings Inc. 895 23
  KB Home 1,715 23
  Bob Evans Farms Inc. 721 23
* Eastman Kodak Co. 6,386 22
  John Wiley & Sons Inc.    
  Class A 440 21
  American Greetings Corp.    
  Class A 952 21
  International Speedway Corp.    
  Class A 695 19
  Ryland Group Inc. 1,047 18
  Scholastic Corp. 564 18
  Meredith Corp. 502 18
* Timberland Co. Class A 458 17
* Boyd Gaming Corp. 1,317 14
* Scientific Games Corp.    
  Class A 1,502 13
  Barnes & Noble Inc. 929 12
  Harte-Hanks Inc. 924 12
* 99 Cents Only Stores 556 9
      1,220
Consumer Staples (3.8%)    
* Smithfield Foods Inc. 3,939 91
* Ralcorp Holdings Inc. 1,303 85
* Energizer Holdings Inc. 955 64
  Church & Dwight Co. Inc. 844 64
* BJ’s Wholesale Club Inc. 1,296 63
  Corn Products International    
  Inc. 808 39
  Ruddick Corp. 1,015 37
  Alberto-Culver Co. Class B 917 34
  Universal Corp. 565 24
  Flowers Foods Inc. 845 22
  Lancaster Colony Corp. 196 11
  Tootsie Roll Industries Inc. 330 9
      543
Energy (7.8%)    
* Pride International Inc. 4,168 173
* Plains Exploration    
  & Production Co. 3,327 130
  Patterson-UTI Energy Inc. 3,655 100
  Cimarex Energy Co. 844 98
  Southern Union Co. 2,957 84
  Tidewater Inc. 1,220 76
* Frontier Oil Corp. 2,510 70
  Arch Coal Inc. 2,083 70
* Unit Corp. 943 56
* Forest Oil Corp. 1,499 53
  SM Energy Co. 629 46
* Helix Energy Solutions    
  Group Inc. 2,505 39
* Exterran Holdings Inc. 1,501 34

 

20

 

S&P Mid-Cap 400 Value Index Fund

      Market
      Value•
    Shares ($000)
* Comstock Resources Inc. 1,124 30
* Patriot Coal Corp. 1,079 26
  Overseas Shipholding    
  Group Inc. 635 21
      1,106
Financials (26.5%)    
  New York Community    
  Bancorp Inc. 10,343 193
  Everest Re Group Ltd. 1,298 115
  Reinsurance Group of    
  America Inc. Class A 1,738 105
  AMB Property Corp. 2,639 96
  Raymond James Financial Inc. 2,374 91
  HCC Insurance Holdings Inc. 2,738 85
  Cullen/Frost Bankers Inc. 1,447 85
  WR Berkley Corp. 2,824 85
  East West Bancorp Inc. 3,513 82
  Transatlantic Holdings Inc. 1,503 77
  Old Republic International    
  Corp. 6,046 76
  Fidelity National Financial Inc.    
  Class A 5,390 75
  Commerce Bancshares Inc. 1,842 74
  First Niagara Financial    
  Group Inc. 4,965 72
  Hospitality Properties Trust 2,934 67
  City National Corp. 1,101 65
  American Financial Group Inc. 1,868 65
  Alexandria Real Estate    
  Equities Inc. 776 62
  Rayonier Inc. 994 61
  Associated Banc-Corp 4,109 59
  Protective Life Corp. 2,034 58
  Apollo Investment Corp. 4,632 57
  UDR Inc. 2,335 57
  Federal Realty Investment    
  Trust 672 57
* Affiliated Managers Group Inc. 527 56
  Liberty Property Trust 1,627 55
  Nationwide Health Properties    
  Inc. 1,282 55
  Duke Realty Corp. 3,891 55
  Valley National Bancorp 3,830 52
  Fulton Financial Corp. 4,724 51
  Regency Centers Corp. 1,127 51
  StanCorp Financial Group Inc. 1,092 50
  Hanover Insurance Group Inc. 1,071 50
  Weingarten Realty Investors 1,915 50
  Camden Property Trust 831 49
  TCF Financial Corp. 3,014 49
  Synovus Financial Corp. 18,644 48
  Washington Federal Inc. 2,672 47
  Mack-Cali Realty Corp. 1,363 46
  Prosperity Bancshares Inc. 1,109 45
  Jefferies Group Inc. 1,881 45
  Essex Property Trust Inc. 364 45
  Arthur J Gallagher & Co. 1,434 45
  Senior Housing Properties    
  Trust 1,828 45
  FirstMerit Corp. 2,583 44
  SEI Investments Co. 1,767 41
  Webster Financial Corp. 1,740 40
  Brown & Brown Inc. 1,500 39
  NewAlliance Bancshares Inc. 2,495 39
  First American Financial Corp. 2,476 39
  BRE Properties Inc. 761 36
  Realty Income Corp. 1,001 36
* SVB Financial Group 649 35
  Bank of Hawaii Corp. 745 35
  Mercury General Corp. 845 35
  Unitrin Inc. 1,182 35
  Eaton Vance Corp. 1,096 34
  Highwoods Properties Inc. 1,004 34
  Cathay General Bancorp 1,864 33
  Trustmark Corp. 1,350 32
  Aspen Insurance Holdings Ltd. 1,017 30
  BancorpSouth Inc. 1,744 28
  Astoria Financial Corp. 1,952 27
  Omega Healthcare Investors    
  Inc. 1,123 27
  Potlatch Corp. 637 24
  International Bancshares Corp. 1,254 24
  Greenhill & Co. Inc. 306 22
  Equity One Inc. 1,097 21
  Cousins Properties Inc. 2,464 21
  Westamerica Bancorporation 394 20
  Taubman Centers Inc. 338 19
  PacWest Bancorp 748 15
      3,773
Health Care (7.4%)    
* Vertex Pharmaceuticals Inc. 2,557 119
* Community Health Systems    
  Inc. 2,198 90
* Hologic Inc. 4,074 82
  Beckman Coulter Inc. 953 79
  Omnicare Inc. 2,752 79
* Henry Schein Inc. 1,007 70
* Health Net Inc. 2,269 67
  Teleflex Inc. 949 55
* LifePoint Hospitals Inc. 1,251 49
  Pharmaceutical Product    
  Development Inc. 1,722 47
  Owens & Minor Inc. 1,504 47
* Covance Inc. 678 38
  Hill-Rom Holdings Inc. 913 35
* Charles River Laboratories    
  International Inc. 753 27
  Techne Corp. 369 26

 

21

 

S&P Mid-Cap 400 Value Index Fund

      Market
      Value•
    Shares ($000)
* VCA Antech Inc. 1,024 26
  STERIS Corp. 702 24
* Kindred Healthcare Inc. 937 23
* Bio-Rad Laboratories Inc.    
  Class A 195 22
* WellCare Health Plans Inc. 495 19
  Masimo Corp. 560 17
* Immucor Inc. 665 13
      1,054
Industrials (17.3%)    
  Manpower Inc. 1,937 123
  KBR Inc. 3,585 118
* URS Corp. 1,965 92
* Terex Corp. 2,584 87
  Pentair Inc. 2,342 87
* Aecom Technology Corp. 2,815 81
* Shaw Group Inc. 2,017 80
* Kansas City Southern 1,340 72
  Harsco Corp. 1,911 65
  Carlisle Cos. Inc. 1,448 62
  AMETEK Inc. 1,406 59
  Trinity Industries Inc. 1,893 59
* AGCO Corp. 1,060 58
  Alliant Techsystems Inc. 791 57
  Kennametal Inc. 1,306 50
  SPX Corp. 608 49
  Timken Co. 976 48
  Donaldson Co. Inc. 835 47
  Lincoln Electric Holdings Inc. 653 47
  Hubbell Inc. Class B 670 45
  Con-way Inc. 1,300 42
  JB Hunt Transport Services    
  Inc. 991 41
  Alexander & Baldwin Inc. 980 41
  Regal-Beloit Corp. 541 40
  GATX Corp. 1,099 38
  Towers Watson & Co.    
  Class A 645 38
  Nordson Corp. 339 37
  Acuity Brands Inc. 644 36
  IDEX Corp. 855 35
* Oshkosh Corp. 970 35
  Brink’s Co. 1,101 34
  HNI Corp. 1,064 34
  Landstar System Inc. 747 33
  Waste Connections Inc. 1,121 33
  Lennox International Inc. 639 31
* Kirby Corp. 560 31
  Graco Inc. 740 30
  MSC Industrial Direct Co.    
  Class A 455 29
* Clean Harbors Inc. 310 29
* Corrections Corp. of America 1,125 28
  Watsco Inc. 424 27
* JetBlue Airways Corp. 4,788 27
  Wabtec Corp. 478 27
  Mine Safety Appliances Co. 733 27
* United Rentals Inc. 848 26
* Thomas & Betts Corp. 456 25
* Korn/Ferry International 1,099 25
  Werner Enterprises Inc. 1,052 25
  Herman Miller Inc. 867 23
* AirTran Holdings Inc. 3,185 23
  Granite Construction Inc. 810 23
* Alaska Air Group Inc. 358 21
  Crane Co. 450 21
  Deluxe Corp. 743 19
  Valmont Industries Inc. 168 17
* FTI Consulting Inc. 519 17
  Corporate Executive Board Co. 343 14
      2,468
Information Technology (9.0%)    
* Avnet Inc. 3,608 123
* Arrow Electronics Inc. 2,750 108
* Lam Research Corp. 1,431 79
* Ingram Micro Inc. 3,721 74
* NCR Corp. 3,783 72
* Tech Data Corp. 1,107 55
  Diebold Inc. 1,559 55
* AOL Inc. 2,535 53
* Trimble Navigation Ltd. 1,055 52
* CoreLogic Inc. 2,473 46
* Synopsys Inc. 1,659 46
* Convergys Corp. 2,893 41
  Intersil Corp. Class A 2,954 38
* Cadence Design Systems Inc. 3,427 34
  Broadridge Financial Solutions    
  Inc. 1,455 33
* Parametric Technology Corp. 1,371 32
* Ciena Corp. 1,134 31
  National Instruments Corp. 982 31
* Vishay Intertechnology Inc. 1,644 29
* International Rectifier Corp. 889 29
* Integrated Device Technology    
  Inc. 3,646 28
* SRA International Inc.    
  Class A 1,017 28
* Mentor Graphics Corp. 1,692 27
* Fairchild Semiconductor    
  International Inc. Class A 1,265 22
  DST Systems Inc. 422 22
* Acxiom Corp. 1,066 18
  Fair Isaac Corp. 606 17
* Itron Inc. 288 16
  Plantronics Inc. 407 14
* Mantech International Corp.    
  Class A 263 11
* ValueClick Inc. 672 10
      1,274

 

22

 

S&P Mid-Cap 400 Value Index Fund

      Market
      Value•
    Shares ($000)
Materials (8.7%)    
  Ashland Inc. 1,871 105
  Reliance Steel & Aluminum    
  Co. 1,772 98
  Steel Dynamics Inc. 5,154 95
  Valspar Corp. 2,338 89
  Sonoco Products Co. 2,442 88
  RPM International Inc. 3,063 70
  Cabot Corp. 1,552 67
  Cytec Industries Inc. 1,172 67
  Martin Marietta Materials Inc. 714 64
  Temple-Inland Inc. 2,562 60
  Greif Inc. Class A 740 48
  Commercial Metals Co. 2,715 45
  Sensient Technologies Corp. 1,180 40
  Aptargroup Inc. 749 36
  Olin Corp. 1,889 35
  Packaging Corp. of America 1,217 35
* Louisiana-Pacific Corp. 3,125 32
  Scotts Miracle-Gro Co.    
  Class A 534 30
  Rock-Tenn Co. Class A 426 29
  Minerals Technologies Inc. 439 29
  Carpenter Technology Corp. 657 27
  Worthington Industries Inc. 1,318 26
  Silgan Holdings Inc. 608 22
      1,237
Telecommunication Services (0.5%)    
  Telephone & Data Systems    
  Inc. 2,181 73
 
Utilities (10.4%)    
  OGE Energy Corp. 2,315 111
  NSTAR 2,460 111
  Energen Corp. 1,707 104
  Alliant Energy Corp. 2,631 104
  MDU Resources Group Inc. 4,470 96
  UGI Corp. 2,623 84
  NV Energy Inc. 5,584 82
  Questar Corp. 4,148 74
  Atmos Energy Corp. 2,146 73
  AGL Resources Inc. 1,853 71
  Westar Energy Inc. 2,645 69
  National Fuel Gas Co. 936 68
  Great Plains Energy Inc. 3,221 62
  Hawaiian Electric Industries    
  Inc. 2,236 54
  Vectren Corp. 1,939 51
  Cleco Corp. 1,442 47
WGL Holdings Inc. 1,212 46
IDACORP Inc. 1,169 44
DPL Inc. 1,469 38
Aqua America Inc. 1,600 36
PNM Resources Inc. 2,058 27
Black Hills Corp. 466 14
* Dynegy Inc. Class A 2,458 14
    1,480
Total Common Stocks    
(Cost $12,365)   14,228
Total Investments (100.0%)    
(Cost $12,365)   14,228
Other Assets and Liabilities (0.0%)  
Other Assets   32
Liabilities   (31)
    1
Net Assets (100%)   14,229
 
 
At February 28, 2011, net assets consisted of:
    Amount
    ($000)
Paid-in Capital   12,136
Undistributed Net Investment Income 35
Accumulated Net Realized Gains   195
Unrealized Appreciation (Depreciation) 1,863
Net Assets   14,229
 
 
Institutional Shares—Net Assets    
Applicable to 88,186 outstanding    
$.001 par value shares of beneficial  
interest (unlimited authorization)   11,081
Net Asset Value Per Share—    
Institutional Shares   $125.65
 
 
ETF Shares—Net Assets    
Applicable to 50,000 outstanding    
$.001 par value shares of beneficial  
interest (unlimited authorization)   3,148
Net Asset Value Per Share—    
ETF Shares   $62.96

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.

23

 

S&P Mid-Cap 400 Value Index Fund

Statement of Operations

  September 7, 20101 to
  February 28, 2011
  ($000)
Investment Income  
Income  
Dividends 100
Total Income 100
Expenses  
The Vanguard Group—Note B  
Management and Administrative—Institutional Shares 1
Management and Administrative—ETF Shares 2
Custodian Fees 3
Total Expenses 6
Net Investment Income 94
Realized Net Gain (Loss) on Investment Securities Sold 403
Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,863
Net Increase (Decrease) in Net Assets Resulting from Operations 2,360
1 Inception.

 

See accompanying Notes, which are an integral part of the Financial Statements.

24

 

S&P Mid-Cap 400 Value Index Fund

Statement of Changes in Net Assets

  September 7, 20101 to
  February 28, 2011
  ($000)
Increase (Decrease) in Net Assets  
Operations  
Net Investment Income 94
Realized Net Gain (Loss) 403
Change in Unrealized Appreciation (Depreciation) 1,863
Net Increase (Decrease) in Net Assets Resulting from Operations 2,360
Distributions  
Net Investment Income  
Institutional Shares (46)
ETF Shares (13)
Realized Capital Gain  
Institutional Shares —
ETF Shares —
Total Distributions (59)
Capital Share Transactions  
Institutional Shares 9,647
ETF Shares 2,281
Net Increase (Decrease) from Capital Share Transactions 11,928
Total Increase (Decrease) 14,229
Net Assets  
Beginning of Period —
End of Period2 14,229
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $35,000.

 

See accompanying Notes, which are an integral part of the Financial Statements.

25

 

S&P Mid-Cap 400 Value Index Fund

Financial Highlights

Institutional Shares  
  November 2, 20101 to
For a Share Outstanding Throughout the Period February 28, 2011
Net Asset Value, Beginning of Period $109.35
Investment Operations  
Net Investment Income .409
Net Realized and Unrealized Gain (Loss) on Investments 16.420
Total from Investment Operations 16.829
Distributions  
Dividends from Net Investment Income (.529)
Distributions from Realized Capital Gains —
Total Distributions (.529)
Net Asset Value, End of Period $125.65
 
Total Return 15.42%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $11
Ratio of Total Expenses to Average Net Assets 0.08%
Ratio of Net Investment Income to Average Net Assets 1.91%
Portfolio Turnover Rate2 24%
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
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.

26

 

S&P Mid-Cap 400 Value Index Fund

Financial Highlights

ETF Shares  
  September 7, 20101 to
For a Share Outstanding Throughout the Period February 28, 2011
Net Asset Value, Beginning of Period $49.86
Investment Operations  
Net Investment Income .403
Net Realized and Unrealized Gain (Loss) on Investments 12.953
Total from Investment Operations 13.356
Distributions  
Dividends from Net Investment Income (.256)
Distributions from Realized Capital Gains —
Total Distributions (.256)
Net Asset Value, End of Period $62.96
 
Total Return 26.82%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $3
Ratio of Total Expenses to Average Net Assets 0.20%
Ratio of Net Investment Income to Average Net Assets 1.79%
Portfolio Turnover Rate2 24%
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
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.

27

 

S&P Mid-Cap 400 Value Index Fund

Notes to Financial Statements

Vanguard S&P Mid-Cap 400 Value Index 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: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on November 2, 2010. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

4. Other: Dividend income is recorded on the ex-dividend date. 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $3,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

28

 

S&P Mid-Cap 400 Value Index Fund

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 February 28, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.

D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.

During the period ended February 28, 2011, the fund realized $208,000 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.

At February 28, 2011, the cost of investment securities for tax purposes was $12,365,000. Net unrealized appreciation of investment securities for tax purposes was $1,863,000, consisting of unrealized gains of $1,929,000 on securities that had risen in value since their purchase and $66,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the period ended February 28, 2011, the fund purchased $16,872,000 of investment securities and sold $4,910,000 of investment securities, other than temporary cash investments.

F. Capital share transactions for each class of shares were:

    Inception1 to
  February 28, 2011 
  Amount Shares
  ($000) (000)
Institutional Shares    
Issued 9,601 88
Issued in Lieu of Cash Distributions 46 —
Redeemed — —
Net Increase (Decrease)—Institutional Shares 9,647 88
ETF Shares    
Issued 4,986 100
Issued in Lieu of Cash Distributions — —
Redeemed (2,705) (50)
Net Increase (Decrease)—ETF Shares 2,281 50
1 Inception was September 7, 2010, for the ETF Shares and November 2, 2010, for the Institutional Shares.

 

G. In preparing the financial statements as of February 28, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

29

 

S&P Mid-Cap 400 Growth Index Fund

Fund Profile
As of February 28, 2011

Portfolio Characteristics    
    Target Broad
  Fund Index1 Index2
Number of Stocks 239 239 3,845
Median Market Cap $4.0B $4.0B $31.4B
Price/Earnings Ratio 23.9x 23.9x 17.9x
Price/Book Ratio 3.4x 3.4x 2.3x
Yield3 0.6% 0.8% 1.6%
Return on Equity 16.9% 16.9% 19.2%
Earnings Growth Rate 9.7% 9.7% 5.4%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate4 25% — —
Expense Ratio5      
ETF Shares 0.20%    
Short-Term Reserves 0.0% — —

 

Sector Diversification (% of equity exposure)
    Target Broad
  Fund Index1 Index2
Consumer Discretionary 19.7% 19.7% 11.8%
Consumer Staples 3.3 3.3 9.1
Energy 5.5 5.5 11.6
Financials 13.3 13.3 16.6
Health Care 15.5 15.5 10.5
Industrials 12.6 12.6 11.4
Information Technology 23.7 23.7 18.9
Materials 4.7 4.7 4.5
Telecommunication      
Services 0.5 0.5 2.5
Utilities 1.2 1.2 3.1

 

Ten Largest Holdings6 (% of total net assets)
 
Edwards Lifesciences Health Care  
Corp. Equipment 1.7%
Chipotle Mexican    
Grill Inc. Class A Restaurants 1.3
Bucyrus International Inc. Construction  
Class A & Farm Machinery  
  & Heavy Trucks 1.3
Lubrizol Corp. Specialty Chemicals 1.2
Atmel Corp. Semiconductors 1.2
Macerich Co. Retail REITs 1.1
Skyworks Solutions Inc. Semiconductors 1.1
Perrigo Co. Pharmaceuticals 1.1
Dollar Tree Inc. General  
  Merchandise Stores 1.1
Rovi Corp. Systems Software 1.1
Top Ten   12.2%

 

Investment Focus


1 S&P MidCap 400 Growth Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 Annualized.
5 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year. For the
period ended February 28, 2011, the annualized expense ratio was 0.20%.
6 The holdings listed exclude any temporary cash investments and equity index products.

30

 

S&P Mid-Cap 400 Growth 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-Period Total Returns (%): September 7, 2010, Through February 28, 2011


Total Returns: Period Ended December 31, 2010

This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.

Securities and Exchange Commission rules require that we provide this information.

    Since
  Inception Date Inception
ETF Shares 9/7/2010  
Market Price   22.57%
Net Asset Value   22.54

 

See Financial Highlights for dividend and capital gains information.

31

 

S&P Mid-Cap 400 Growth Index Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

      Market
      Value•
    Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (19.7%)    
* Chipotle Mexican Grill Inc.    
  Class A 1,046 256
* Dollar Tree Inc. 4,230 213
  Advance Auto Parts Inc. 2,840 178
* BorgWarner Inc. 2,268 176
  PetSmart Inc. 3,973 162
  Gentex Corp. 4,742 144
  Phillips-Van Heusen Corp. 2,242 135
* Fossil Inc. 1,736 133
  Williams-Sonoma Inc. 3,586 129
  Tractor Supply Co. 2,463 128
* Panera Bread Co. Class A 1,026 120
* LKQ Corp. 4,879 116
* Deckers Outdoor Corp. 1,302 115
  Tupperware Brands Corp. 2,134 115
  Sotheby’s 2,266 112
* Dick’s Sporting Goods Inc. 2,994 111
  Guess? Inc. 2,145 97
* J Crew Group Inc. 2,160 93
* Warnaco Group Inc. 1,506 88
  Polaris Industries Inc. 1,145 86
  Chico’s FAS Inc. 6,000 82
* Aeropostale Inc. 3,127 81
* Under Armour Inc. Class A 1,189 79
* WMS Industries Inc. 1,952 78
* Lamar Advertising Co. Class A 1,939 75
* Ascena Retail Group Inc. 2,341 73
* Bally Technologies Inc. 1,811 70
* ITT Educational Services Inc. 885 67
* DreamWorks Animation    
  SKG Inc. Class A 2,410 67
  Strayer Education Inc. 456 63
* Cheesecake Factory Inc. 2,002 58
* Life Time Fitness Inc. 1,415 54
  Service Corp. International 4,294 47
* AnnTaylor Stores Corp. 1,959 46
  John Wiley & Sons Inc.    
  Class A 942 45
  American Eagle Outfitters Inc. 2,843 44
  Brinker International Inc. 1,533 36
* Hanesbrands Inc. 1,170 30
* Timberland Co. Class A 644 24
  Meredith Corp. 510 18
* 99 Cents Only Stores 782 13
      3,857
Consumer Staples (3.3%)    
* Green Mountain Coffee    
  Roasters Inc. 3,916 160
* Hansen Natural Corp. 2,334 134
  Church & Dwight Co. Inc. 1,202 91
* Energizer Holdings Inc. 1,027 69
  Corn Products International    
  Inc. 1,405 69
  Alberto-Culver Co. Class B 1,595 59
  Flowers Foods Inc. 1,361 36
  Lancaster Colony Corp. 367 21
  Tootsie Roll Industries Inc. 353 10
      649
Energy (5.5%)    
  Cimarex Energy Co. 1,660 193
* Oceaneering International Inc. 1,828 153
* Superior Energy Services Inc. 2,663 102
  SM Energy Co. 1,236 89
* Dril-Quip Inc. 1,159 89
* Atwood Oceanics Inc. 1,898 86
  Arch Coal Inc. 2,528 85
* Quicksilver Resources Inc. 3,970 61
* Bill Barrett Corp. 1,572 61
* Forest Oil Corp. 1,679 60
* Northern Oil and Gas Inc. 1,759 56
* Patriot Coal Corp. 1,525 36
      1,071

 

32

 

S&P Mid-Cap 400 Growth Index Fund

      Market
      Value•
    Shares ($000)
Financials (13.3%)    
  Macerich Co. 4,395 223
  SL Green Realty Corp. 2,644 200
* MSCI Inc. Class A 4,013 142
  Jones Lang LaSalle Inc. 1,441 142
  Waddell & Reed Financial Inc.    
  Class A 2,885 117
* Affiliated Managers Group Inc. 993 106
  Nationwide Health Properties    
  Inc. 2,432 104
  Federal Realty Investment    
  Trust 1,123 95
  Realty Income Corp. 2,533 91
  Corporate Office Properties    
  Trust 2,264 81
  Rayonier Inc. 1,309 80
  Eaton Vance Corp. 2,442 76
  Taubman Centers Inc. 1,367 76
  AMB Property Corp. 1,934 70
  UDR Inc. 2,820 69
  Camden Property Trust 1,137 67
  Essex Property Trust Inc. 540 67
  Alexandria Real Estate    
  Equities Inc. 763 61
  SEI Investments Co. 2,407 55
  Regency Centers Corp. 1,162 53
  Senior Housing Properties    
  Trust 2,128 52
  Liberty Property Trust 1,539 52
  BRE Properties Inc. 1,083 51
  Arthur J Gallagher & Co. 1,540 48
  Brown & Brown Inc. 1,818 48
  Duke Realty Corp. 2,985 42
  Omega Healthcare Investors    
  Inc. 1,732 42
  Jefferies Group Inc. 1,507 36
  Weingarten Realty Investors 1,347 35
  Highwoods Properties Inc. 998 34
  Aspen Insurance Holdings Ltd. 1,131  33
  Mack-Cali Realty Corp. 950 32
  Greenhill & Co. Inc. 421 30
  Bank of Hawaii Corp. 574 27
* SVB Financial Group 491 27
  Westamerica Bancorporation 420 22
  Potlatch Corp. 440 17
      2,603
Health Care (15.5%)    
* Edwards Lifesciences Corp. 3,857 328
  Perrigo Co. 2,804 214
* Mettler-Toledo International    
  Inc. 1,109 190
* ResMed Inc. 5,108 161
* IDEXX Laboratories Inc. 1,943 151
* Vertex Pharmaceuticals Inc. 3,226 151
  Universal Health Services Inc.    
  Class B 3,286 150
* Endo Pharmaceuticals    
  Holdings Inc. 3,905 139
* Allscripts Healthcare    
  Solutions Inc. 6,321 135
* Henry Schein Inc. 1,684 116
* United Therapeutics Corp. 1,692 114
* Mednax Inc. 1,611 105
* Kinetic Concepts Inc. 2,115 104
* Gen-Probe Inc. 1,629 102
  Lincare Holdings Inc. 3,298 97
* Health Management    
  Associates Inc. Class A 8,482 85
  Beckman Coulter Inc. 985 82
* Covance Inc. 1,221 69
  Medicis Pharmaceutical Corp.    
  Class A 2,040 65
* Hologic Inc. 2,985 60
* Thoratec Corp. 1,976 55
  Techne Corp. 727 52
* Bio-Rad Laboratories Inc.    
  Class A 382 44
  Pharmaceutical Product    
  Development Inc. 1,566 43
* VCA Antech Inc. 1,459 36
  Masimo Corp. 1,197 36
  STERIS Corp. 998 34
  Hill-Rom Holdings Inc. 836 32
* Charles River Laboratories    
  International Inc. 869 32
* WellCare Health Plans Inc. 738 28
* Immucor Inc. 1,403 27
      3,037
Industrials (12.6%)    
  Bucyrus International Inc.    
  Class A 2,737 249
  AMETEK Inc. 3,406 143
  Gardner Denver Inc. 1,773 130
* BE Aerospace Inc. 3,455 116
* AGCO Corp. 1,636 90
* Copart Inc. 2,011 84
* Kansas City Southern 1,560 84
  Donaldson Co. Inc. 1,398 79
  Hubbell Inc. Class B 1,075 73
  Nordson Corp. 666 73
  Waste Connections Inc. 2,295 66
  SPX Corp. 831 66
  JB Hunt Transport Services    
  Inc. 1,583 66
  Woodward Inc. 1,994 66
  Timken Co. 1,334 65

 

33

 

S&P Mid-Cap 400 Growth Index Fund

      Market
      Value•
    Shares ($000)
  IDEX Corp. 1,549 64
* Thomas & Betts Corp. 1,103 61
* Oshkosh Corp. 1,686 60
* Kirby Corp. 1,013 56
  MSC Industrial Direct Co.    
  Class A 859 54
  Wabtec Corp. 940 53
* Corrections Corp. of America 2,123 53
  Valmont Industries Inc. 484 49
* Alaska Air Group Inc. 735 44
  Crane Co. 921 43
  Rollins Inc. 2,140 42
  Graco Inc. 973 40
  Regal-Beloit Corp. 536 39
  Towers Watson & Co. Class A 615 36
  Lincoln Electric Holdings Inc. 501 36
  Kennametal Inc. 919 35
* Clean Harbors Inc. 330 30
  Acuity Brands Inc. 533 30
  Lennox International Inc. 610 30
* FTI Consulting Inc. 822 27
  Landstar System Inc. 601 27
  Corporate Executive Board Co.  664 27
* United Rentals Inc. 829 26
  Watsco Inc. 335 22
  Herman Miller Inc. 686 18
  Deluxe Corp. 667 17
      2,469
Information Technology (23.7%)    
* Atmel Corp. 15,481 227
* Skyworks Solutions Inc. 6,192 223
* Rovi Corp. 3,738 207
* Riverbed Technology Inc. 4,966 205
* Cree Inc. 3,664 193
* ANSYS Inc. 3,074 173
  Factset Research Systems    
  Inc. 1,567 164
* Informatica Corp. 3,170 149
* TIBCO Software Inc. 5,641 139
* Alliance Data Systems Corp. 1,757 138
* Polycom Inc. 2,885 138
* Equinix Inc. 1,554 134
* MICROS Systems Inc. 2,722 130
  Global Payments Inc. 2,692 129
* Trimble Navigation Ltd. 2,556 126
  Solera Holdings Inc. 2,373 121
* Rackspace Hosting Inc. 3,281 121
* Cypress Semiconductor Corp. 5,603 118
* Lam Research Corp. 2,119 116
* Gartner Inc. 2,890 109
  Lender Processing Services    
  Inc. 3,085 105
  ADTRAN Inc. 2,132 97
  Jack Henry & Associates Inc. 2,893 92
* Concur Technologies Inc. 1,543 80
* Synopsys Inc. 2,666 74
* Zebra Technologies Corp. 1,902 71
* RF Micro Devices Inc. 9,242 69
* Silicon Laboratories Inc. 1,471 67
* QLogic Corp. 3,568 65
* NeuStar Inc. Class A 2,483 63
* Vishay Intertechnology Inc. 3,232 56
* Quest Software Inc. 2,032 55
* Itron Inc. 953 54
* Semtech Corp. 2,107 50
  Broadridge Financial Solutions    
  Inc. 2,154 49
  National Instruments Corp. 1,576 49
* Parametric Technology Corp. 2,031 48
* Digital River Inc. 1,341 45
* Ciena Corp. 1,549 43
* Fairchild Semiconductor    
  International Inc. Class A 2,385 42
* Cadence Design Systems Inc. 4,158 41
  Plantronics Inc. 1,034 36
* ACI Worldwide Inc. 1,126 35
* International Rectifier Corp. 1,084 35
* Advent Software Inc. 1,084 32
  DST Systems Inc. 606 31
* ValueClick Inc. 1,785 27
* Mentor Graphics Corp. 1,283 20
* Acxiom Corp. 1,179 20
* Mantech International Corp.    
  Class A 384 17
  Fair Isaac Corp. 480 13
      4,641
Materials (4.7%)    
  Lubrizol Corp. 2,217 241
  Albemarle Corp. 3,094 178
  Compass Minerals    
  International Inc. 1,106 103
* Intrepid Potash Inc. 1,497 58
  Aptargroup Inc. 1,197 58
  Packaging Corp. of America 1,735 50
  Rock-Tenn Co. Class A 710 49
  Martin Marietta Materials Inc. 523 46
  Scotts Miracle-Gro Co. Class A 793 45
  NewMarket Corp. 331 42
  Silgan Holdings Inc. 836 31
  Carpenter Technology Corp. 545 23
      924
Telecommunication Services (0.5%)  
* tw telecom inc Class A 5,113 95

 

34

 

S&P Mid-Cap 400 Growth Index Fund

    Market
    Value•
  Shares ($000)
Utilities (1.2%)    
National Fuel Gas Co. 1,444 105
Aqua America Inc. 2,370 54
DPL Inc. 1,929 50
Black Hills Corp. 655 20
    229
Total Common Stocks    
(Cost $17,698)   19,575
Total Investments (100.0%)    
(Cost $17,698)   19,575
Other Assets and Liabilities (0.0%)  
Other Assets   338
Liabilities   (347)
    (9)
Net Assets (100%)    
Applicable to 300,000 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 19,566
Net Asset Value Per Share—    
ETF Shares   $65.22

 

At February 28, 2011, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 17,502
Undistributed Net Investment Income 14
Accumulated Net Realized Gains 173
Unrealized Appreciation (Depreciation) 1,877
Net Assets 19,566

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.

35

 

S&P Mid-Cap 400 Growth Index Fund

Statement of Operations

  September 7, 20101 to
  February 28, 2011
  ($000)
Investment Income  
Income  
Dividends 44
Total Income 44
Expenses  
The Vanguard Group—Note B  
Management and Administrative 5
Custodian Fees 3
Shareholders’ Reports 2
Total Expenses 10
Net Investment Income 34
Realized Net Gain (Loss) on Investment Securities Sold 471
Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,877
Net Increase (Decrease) in Net Assets Resulting from Operations 2,382
1 Inception.

 

See accompanying Notes, which are an integral part of the Financial Statements.

36

 

S&P Mid-Cap 400 Growth Index Fund

Statement of Changes in Net Assets

  September 7, 20101 to
  February 28, 2011
  ($000)
Increase (Decrease) in Net Assets  
Operations  
Net Investment Income 34
Realized Net Gain (Loss) 471
Change in Unrealized Appreciation (Depreciation) 1,877
Net Increase (Decrease) in Net Assets Resulting from Operations 2,382
Distributions  
Net Investment Income  
Institutional Shares —
ETF Shares (20)
Realized Capital Gain  
Institutional Shares —
ETF Shares —
Total Distributions (20)
Capital Share Transactions  
Institutional Shares (4)
ETF Shares 17,208
Net Increase (Decrease) from Capital Share Transactions 17,204
Total Increase (Decrease) 19,566
Net Assets  
Beginning of Period —
End of Period2 19,566
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $14,000.

 

See accompanying Notes, which are an integral part of the Financial Statements.

37

 

S&P Mid-Cap 400 Growth Index Fund

Financial Highlights

ETF Shares  
  September 7, 20101 to
For a Share Outstanding Throughout the Period February 28, 2011
Net Asset Value, Beginning of Period $50.04
Investment Operations  
Net Investment Income .147
Net Realized and Unrealized Gain (Loss) on Investments 15.133
Total from Investment Operations 15.280
Distributions  
Dividends from Net Investment Income (.100)
Distributions from Realized Capital Gains —
Total Distributions (.100)
Net Asset Value, End of Period $65.22
 
Total Return 30.55%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $20
Ratio of Total Expenses to Average Net Assets 0.20%
Ratio of Net Investment Income to Average Net Assets 0.67%
Portfolio Turnover Rate2 25%
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
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.

38

 

S&P Mid-Cap 400 Growth Index Fund

Notes to Financial Statements

Vanguard S&P Mid-Cap 400 Growth Index 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: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010. On December 17, 2010, the sole shareholder redeemed all shares. As of February 28, 2011, there were no investors in the Institutional share class. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

4. Other: Dividend income is recorded on the ex-dividend date. 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $3,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

39

 

S&P Mid-Cap 400 Growth Index Fund

At February 28, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.

D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.

During the period ended February 28, 2011, the fund realized $298,000 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.

At February 28, 2011, the cost of investment securities for tax purposes was $17,698,000. Net unrealized appreciation of investment securities for tax purposes was $1,877,000, consisting of unrealized gains of $2,007,000 on securities that had risen in value since their purchase and $130,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the period ended February 28, 2011, the fund purchased $22,154,000 of investment securities and sold $4,927,000 of investment securities, other than temporary cash investments.

F. Capital share transactions for each class of shares were:

  Inception1 to
  February 28, 2011
  Amount Shares
  ($000) (000)
Institutional Shares    
Issued 305 3
Issued in Lieu of Cash Distributions — —
Redeemed (309) (3)
Net Increase (Decrease)—Institutional Shares (4) —
ETF Shares    
Issued 19,926 350
Issued in Lieu of Cash Distributions — —
Redeemed (2,718) (50)
Net Increase (Decrease)—ETF Shares 17,208 300
1 Inception was September 7, 2010, for ETF Shares and December 15, 2010, for Institutional Shares. On December 17, 2010, the sole
shareholder in the Institutional share class redeemed all shares. As of February 28, 2011, there were no investors in the Institutional
share class.

 

G. In preparing the financial statements as of February 28, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

40

 

Trustees Approve Advisory Arrangement

The board of trustees approved the launch of Vanguard S&P Mid-Cap 400 Index Fund, S&P Mid-Cap 400 Value Index Fund, and S&P Mid-Cap 400 Growth Index Fund utilizing an internalized management structure whereby The Vanguard Group, Inc.—through its Quantitative Equity Group—would provide investment advisory services to the funds at cost. The board determined that the investment advisory arrangement with Vanguard was in the best interest of the funds and their prospective shareholders.

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.

Nature, extent, and quality of services

The board considered the quality of the investment management services to be provided to the funds and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity 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 approval of the advisory arrangement.

Investment performance

The board determined that, in its management of other Vanguard index funds, the Quantitative Equity Group has a track record of consistent performance and disciplined investment processes. Information about each fund’s performance since inception can be found in the Performance Summary pages of this report.

Cost

The board considered the cost of services to be provided and concluded that the funds’ expense ratios will be below the average expense ratios charged by funds in their peer groups. Information about the funds’ expense ratios appears in the Financial Statements pages of this report.

The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.

The benefit of economies of scale

The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.

The board will consider whether to renew the advisory arrangement after a one-year period.

41

 

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 (in the case of bonds) 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.

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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.

Foreign Holdings. The percentage of a fund represented by stocks 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.

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.

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.

42

 

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.

43

 

The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.

The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee1 and President (2006–2008) of Rohm and Haas Co.
  (chemicals); Director of Tyco International, Ltd.
F. William McNabb III (diversified manufacturing and services) and Hewlett-
Born 1957. Trustee Since July 2009. Chairman of the Packard Co. (electronic computer manufacturing);
Board. Principal Occupation(s) During the Past Five Senior Advisor at New Mountain Capital; Trustee
Years: Chairman of the Board of The Vanguard Group, of The Conference Board; Member of the Board of
Inc., and of each of the investment companies served Managers of Delphi Automotive LLP (automotive
by The Vanguard Group, since January 2010; Director components).
of The Vanguard Group since 2008; Chief Executive  
Officer and President of The Vanguard Group and of Amy Gutmann
each of the investment companies served by The Born 1949. Trustee Since June 2006. Principal
Vanguard Group since 2008; Director of Vanguard Occupation(s) During the Past Five Years: President
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Christopher H.
Vanguard Group (1995–2008). Browne Distinguished Professor of Political Science
  in the School of Arts and Sciences with secondary
  appointments at the Annenberg School for Commu-
Independent Trustees nication and the Graduate School of Education
  of the University of Pennsylvania; Director of
Emerson U. Fullwood Carnegie Corporation of New York, Schuylkill River
Born 1948. Trustee Since January 2008. Principal Development Corporation, and Greater Philadelphia
Occupation(s) During the Past Five Years: Executive Chamber of Commerce; Trustee of the National
Chief Staff and Marketing Officer for North America Constitution Center; Chair of the Presidential
and Corporate Vice President (retired 2008) of Xerox Commission for the Study of Bioethical Issues.
Corporation (document management products and  
services); Executive in Residence and 2010 JoAnn Heffernan Heisen
Distinguished Minett Professor at the Rochester Born 1950. Trustee Since July 1998. Principal
Institute of Technology; Director of SPX Corporation Occupation(s) During the Past Five Years: Corporate
(multi-industry manufacturing), the United Way of Vice President and Chief Global Diversity Officer
Rochester, Amerigroup Corporation (managed health (retired 2008) and Member of the Executive
care), the University of Rochester Medical Center, Committee (1997–2008) of Johnson & Johnson
Monroe Community College Foundation, and North (pharmaceuticals/consumer products); Director of
Carolina A&T University. Skytop Lodge Corporation (hotels), the University
  Medical Center at Princeton, the Robert Wood
Rajiv L. Gupta Johnson Foundation, and the Center for Work Life
Born 1945. Trustee Since December 2001.2 Policy; Member of the Advisory Board of the
Principal Occupation(s) During the Past Five Years: Maxwell School of Citizenship and Public Affairs
Chairman and Chief Executive Officer (retired 2009) at Syracuse University.

 

 

F. Joseph Loughrey Thomas J. Higgins  
Born 1949. Trustee Since October 2009. Principal Born 1957. Chief Financial Officer Since September
Occupation(s) During the Past Five Years: President 2008. Principal Occupation(s) During the Past Five
and Chief Operating Officer (retired 2009) and Vice Years: Principal of The Vanguard Group, Inc.; Chief
Chairman of the Board (2008–2009) of Cummins Inc. Financial Officer of each of the investment companies
(industrial machinery); Director of SKF AB (industrial served by The Vanguard Group since 2008; Treasurer
machinery), Hillenbrand, Inc. (specialized consumer of each of the investment companies served by The
services), the Lumina Foundation for Education, and Vanguard Group (1998–2008).
Oxfam America; Chairman of the Advisory Council    
for the College of Arts and Letters and Member Kathryn J. Hyatt  
of the Advisory Board to the Kellogg Institute for Born 1955. Treasurer Since November 2008. Principal
International Studies at the University of Notre Dame. Occupation(s) During the Past Five Years: Principal
  of The Vanguard Group, Inc.; Treasurer of each of
André F. Perold the investment companies served by The Vanguard
Born 1952. Trustee Since December 2004. Principal Group since 2008; Assistant Treasurer of each of the
Occupation(s) During the Past Five Years: George investment companies served by The Vanguard Group
Gund Professor of Finance and Banking at the Harvard (1988–2008).  
Business School; Chair of the Investment Committee    
of HighVista Strategies LLC (private investment firm). Heidi Stam  
  Born 1956. Secretary Since July 2005. Principal
Alfred M. Rankin, Jr. Occupation(s) During the Past Five Years: Managing
Born 1941. Trustee Since January 1993. Principal Director of The Vanguard Group, Inc., since 2006;
Occupation(s) During the Past Five Years: Chairman, General Counsel of The Vanguard Group since 2005;
President, and Chief Executive Officer of NACCO Secretary of The Vanguard Group and of each of the
Industries, Inc. (forklift trucks/housewares/lignite); investment companies served by The Vanguard Group
Director of Goodrich Corporation (industrial products/ since 2005; Director and Senior Vice President of
aircraft systems and services) and the National Vanguard Marketing Corporation since 2005;
Association of Manufacturers; Chairman of the Principal of The Vanguard Group (1997–2006).
Federal Reserve Bank of Cleveland; Vice Chairman    
of University Hospitals of Cleveland; President of    
the Board of The Cleveland Museum of Art. Vanguard Senior Management Team
 
Peter F. Volanakis R. Gregory Barton Michael S. Miller
Born 1955. Trustee Since July 2009. Principal Mortimer J. Buckley James M. Norris
Occupation(s) During the Past Five Years: President Kathleen C. Gubanich Glenn W. Reed
and Chief Operating Officer (retired 2010) of Corning Paul A. Heller George U. Sauter
Incorporated (communications equipment); Director of    
Corning Incorporated (2000–2010) and Dow Corning    
(2001–2010); Overseer of the Amos Tuck School of Chairman Emeritus and Senior Advisor
Business Administration at Dartmouth College.    
  John J. Brennan  
  Chairman, 1996–2009  
Executive Officers Chief Executive Officer and President, 1996–2008
 
Glenn Booraem    
Born 1967. Controller Since July 2010. Principal  
Occupation(s) During the Past Five Years: Principal Founder  
of The Vanguard Group, Inc.; Controller of each of John C. Bogle  
the investment companies served by The Vanguard Chairman and Chief Executive Officer, 1974–1996
Group since 2010; Assistant Controller of each of    
the investment companies served by The Vanguard    
Group (2001–2010).    

 

1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard
State Tax-Exempt Funds.

 

 

  P.O. Box 2600
  Valley Forge, PA 19482-2600
 
 
 
Connect with Vanguard® > vanguard.com  
 
 
 
Fund Information > 800-662-7447 Standard & Poor’s®, S&P ®, and S&P MidCap 400® are
  registered trademarks of Standard & Poor’s Financial
Direct Investor Account Services > 800-662-2739 Services LLC (”S&P”) and have been licensed for use
  by The Vanguard Group, Inc. The Vanguard mutual funds
Institutional Investor Services > 800-523-1036 and ETFs are not sponsored, endorsed, sold, or promoted
  by S&P or its Affiliates, and S&P and its Affiliates make
Text Telephone for People no representation, warranty, or condition regarding the
With Hearing Impairment > 800-749-7273 advisability of buying, selling, or holding units/shares
This material may be used in conjunction in the funds.
with the offering of shares of any Vanguard
fund only if preceded or accompanied by  
the fund’s current prospectus.  
 
All comparative mutual fund data are from Lipper Inc.  
or Morningstar, Inc., unless otherwise noted.  
 
You can obtain a free copy of Vanguard’s proxy voting  
guidelines by visiting vanguard.com/proxyreporting or  
by calling Vanguard at 800-662-2739. The guidelines  
are also available from the SEC’s website, sec.gov.  
In addition, you may obtain a free report on how your  
fund voted the proxies for securities it owned during  
the 12 months ended June 30. To get the report, visit  
either vanguard.com/proxyreporting or sec.gov.  
 
You can review and copy information about your fund  
at the SEC’s Public Reference Room in Washington, D.C.  
To find out more about this public service, call the SEC  
at 202-551-8090. Information about your fund is also  
available on the SEC’s website, and you can receive  
copies of this information, for a fee, by sending a  
request in either of two ways: via e-mail addressed to  
publicinfo@sec.gov or via regular mail addressed to the  
Public Reference Section, Securities and Exchange  
Commission, Washington, DC 20549-1520.  
 
  © 2011 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
  Q18422 042011

 

 

Vanguard S&P 500 Value
and Growth Index Funds
Semiannual Report
February 28, 2011

  

Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund

 

 

> The Vanguard S&P 500 Value and Growth Index Funds made their debut in a

period of stock market strength, returning almost 23% each for the period since

their inception.

> The funds closely tracked the returns of their respective benchmark indexes.

> Information technology made significant contributions to the Growth Fund,

while the Value Fund rallied on strength in the energy and financial sectors.

Contents  
 
Your Fund’s Total Returns 1
Chairman’s Letter 2
S&P 500 Value Index Fund 6
S&P 500 Growth Index Fund 18
Trustees Approve Advisory Arrangement 30
Glossary 31

 

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.

Cover photograph: Jean Maher.

 

Your Fund’s Total Returns

Period Ended February 28, 2011    
    Total
    Returns
  Ticker Since
  Symbol Inception
Vanguard S&P 500 Value Index Fund    
ETF Shares (Inception: 9/7/2010) VOOV  
Market Price   22.71%
Net Asset Value   22.61
S&P 500 Value Index   22.69
Large-Cap Value Funds Average1   21.37
 
Vanguard S&P 500 Growth Index Fund    
ETF Shares (Inception: 9/7/2010) VOOG  
Market Price   22.79%
Net Asset Value   22.74
S&P 500 Growth Index   22.82
Large-Cap Growth Funds Average1   23.43

 

Your Fund’s Performance at a Glance        
Inception Through February 28, 2011        
      Distributions Per Share
  Starting Ending Income Capital
  Share Price Share Price Dividends Gains
Vanguard S&P 500 Value Index Fund        
ETF Shares (Inception: 9/7/2010) $49.93 $60.81 $0.380 $0.000
Vanguard S&P 500 Growth Index Fund        
ETF Shares (Inception: 9/7/2010) $50.23 $61.43 $0.210 $0.000

 

The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF
returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
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.
1 Derived from data provided by Lipper Inc.

1

 

 

 

 

Chairman’s Letter

Dear Shareholder,

In the brief period since their September 2010 inception, the Vanguard S&P 500 Value and Growth Index Funds produced exceptional and, coincidentally, almost identical returns. The Growth Fund returned 22.74% (based on changes in net asset value, adjusted to account for the fund’s dividend distributions during the period), while its Value counterpart returned 22.61%. Vanguard also offers exchange-traded and conventional shares in Vanguard 500 Index Fund, a blend of the Growth and Value Funds. Vanguard 500 Index Fund, the world’s first index mutual fund, is covered in a separate report.

The new S&P 500 Value and Growth Index Funds mark an extension of Vanguard’s equity indexing franchise, which now includes suites of broad-market portfolios benchmarked to the Russell, Standard & Poor’s, and MSCI indexes. Our research indicates that correlation among the returns of the indexes from all three providers is very high. We would expect limited differences in long-term performance from one provider’s index to another.

This report begins with a look at the investment environment throughout the full six months of the new funds’ fiscal half-year and then reviews the drivers of fund performance during their briefer period of operation.


 

A fretful start, an optimistic finish for global stock markets

Stock markets rallied from their midsummer malaise to produce exceptional returns for the six months ended February 28. At the start of the period, the U.S. economy seemed in danger of tipping back into recession. By the end, hopes were high that it had reached escape velocity, propelled by steady job growth and notable strength in the manufacturing sector. Smaller stocks, which are especially sensitive to the rhythms of the business cycle, produced the highest six-month returns.

In Europe, investor optimism subdued sovereign-debt jitters, driving stock prices higher. Developed markets in the Pacific region perked up on signs of recovery

in global trade. Australian stocks posted especially strong returns, benefiting from a surge in the prices of metals and other natural resources. Emerging stock markets trailed a few steps behind their developed-market counterparts. Most major currencies appreciated relative to the U.S. dollar, enhancing returns from abroad for U.S.-based investors.

Interest rates rose, depressing bond prices

U.S. interest rates hovered near generational lows early in the period but then moved higher, putting pressure on bond prices. For the six-month period, the broad taxable bond market produced a small negative return. The municipal bond market did worse. Corporate bonds outperformed government debt as

Market Barometer      
  Total Returns
  Periods Ended February 28, 2011
  Six One Five Years
  Months Year (Annualized)
Stocks      
Russell 1000 Index (Large-caps) 28.65% 23.54% 3.17%
Russell 2000 Index (Small-caps) 37.55 32.60 3.80
Dow Jones U.S. Total Stock Market Index 29.24 24.45 3.59
MSCI All Country World Index ex USA (International) 22.16 21.12 4.23
 
Bonds      
Barclays Capital U.S. Aggregate Bond Index      
(Broad taxable market) –0.83% 4.93% 5.80%
Barclays Capital Municipal Bond Index      
(Broad tax-exempt market) –3.51 1.72 4.07
Citigroup Three-Month U.S. Treasury Bill Index 0.06 0.14 2.16
 
CPI      
Consumer Price Index 1.37% 2.11% 2.18%

 

3

 

investors stretched for yield beyond government securities, where rates remained low by historical standards.

As it has since December 2008, the Federal Reserve held its target for short-term interest rates near 0%. This stance kept the returns available from money market instruments such as the 3-month Treasury bill in the same neighborhood.

Funds debuted amid stock market strength

During their first few months of operation, the Vanguard S&P 500 Value and Growth Index Funds benefited from general strength among large-cap stocks. In the S&P 500 Growth Index Fund, information technology stocks were among the best performers, rallying on both consumer enthusiasm for platforms such as tablets and smart phones and signs that business investment is set to pick up. These stocks account for almost one-third of the Growth Fund’s assets.

Energy, consumer discretionary, and industrial stocks also made big contributions. Industrial stocks rallied as manufacturing and agricultural businesses demonstrated notable strength. The energy sector’s high return reflected rising oil prices and a gradual clearing of the clouds that have hung over these stocks since the Gulf oil spill. Equipment and service providers were some of the energy sector’s best performers.

The S&P 500 Value Index Fund also benefited from the rally in energy, consumer discretionary, and industrial stocks. Financial stocks, which accounted for almost 27% of fund assets at the end of the period, made one of the largest contributions to performance. The big commercial and investment banks continued to wrestle with a number of challenges, but the long period of low interest rates and accommodative capital markets helped restore the sector’s financial health, positioning financial services providers for growth as the economy grinds into gear.

Weak spots were conspicuous by their absence. In both the Growth and Value Funds, the utilities, telecommunication, and consumer staples sectors produced below-benchmark returns.

The two funds succeeded in capturing most of the returns of their target indexes. Fund returns were within 8 basis points (0.08 percentage point) of the index results, a shortfall consistent with the costs of managing a real-world portfolio. Such performance is a tribute to Vanguard Quantitative Equity Group, the funds’ advisor, which has spent more than 35 years developing and refining index fund management strategies. The funds’ low costs are an important ally in the advisor’s effort to capture the index return.

4

 

Solid building blocks for a long-term portfolio

It would be wonderful if the exceptional returns produced during the funds’ first few months could be expected to continue forever. The stock market doesn’t work that way, however. Returns are volatile, with periods of strength often followed by stretches of weakness. And, as we have seen in recent weeks, unpredictable events such as those in the Middle East, North Africa, and Japan can disrupt market trends. That’s why we counsel investors to develop allocations to stock, bond, and money market funds in proportions consistent with their goals and ability to withstand the stock market’s occasionally sharp declines.

The new Vanguard S&P 500 Value and Growth Index Funds can be powerful building blocks for such a portfolio. Together with Vanguard 500 Index Fund, they provide comprehensive, low-cost exposure to the large-cap segment of the U.S. stock market.

Thank you for entrusting your assets to Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2011

 

S&P 500 Value Index Fund

Fund Profile
As of February 28, 2011

Portfolio Characteristics    
    Target Broad
  Fund Index1 Index2
Number of Stocks 339 338 3,845
Median Market Cap $49.7B $49.2B $31.4B
Price/Earnings Ratio 15.8x 15.8x 17.9x
Price/Book Ratio 1.7x 1.7x 2.3x
Yield3 1.8% 2.1% 1.6%
Return on Equity 16.3% 16.3% 19.2%
Earnings Growth Rate –2.5% –2.4% 5.4%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate4 18% — —
Expense Ratio5 0.15% — —
Short-Term Reserves 0.0% — —

 

Sector Diversification (% of equity exposure)
    Target Broad
  Fund Index1 Index2
Consumer Discretionary 7.3% 7.3% 11.8%
Consumer Staples 9.0 9.0 9.1
Energy 18.6 18.6 11.6
Financials 26.8 26.9 16.6
Health Care 8.8 8.7 10.5
Industrials 11.7 11.7 11.4
Information Technology 5.6 5.6 18.9
Materials 3.1 3.1 4.5
Telecommunication      
Services 3.1 3.1 2.5
Utilities 6.0 6.0 3.1

 

Ten Largest Holdings6 (% of total net assets)
 
Exxon Mobil Corp. Integrated Oil &  
  Gas 7.2%
General Electric Co. Industrial  
  Conglomerates 3.7
Chevron Corp. Integrated Oil &  
  Gas 3.5
JPMorgan Chase & Co. Diversified Financial  
  Services 3.0
Pfizer Inc. Pharmaceuticals 2.6
Berkshire Hathaway Inc. Property & Casualty  
Class B Insurance 2.5
Bank of America Corp. Diversified Financial  
  Services 2.4
Citigroup Inc. Diversified Financial  
  Services 2.3
ConocoPhillips Integrated Oil &  
  Gas 1.9
Wal-Mart Stores Inc. Hypermarkets &  
  Super Centers 1.7
Top Ten   30.8%

 

Investment Focus


1 S&P 500 Value Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 Annualized.
5 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year.
For the fiscal period ended February 28, 2011, the annualized expense ratio was 0.15%.
6 The holdings listed exclude any temporary cash investments and equity index products.

 

S&P 500 Value 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-Period Total Returns (%): September 7, 2010, Through February 28, 2011


Total Returns: Period Ended December 31, 2010

This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.

Securities and Exchange Commission rules require that we provide this information.

    Since
  Inception Date Inception
ETF Shares 9/7/2010  
Market Price   14.58%
Net Asset Value   14.56

 

See Financial Highlights for dividend and capital gains information.

7

 

S&P 500 Value Index Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

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 (99.8%)    
Consumer Discretionary (7.2%)    
  Home Depot Inc. 4,158 156
  Time Warner Inc. 2,822 108
  Walt Disney Co. 2,210 97
  Lowe’s Cos. Inc. 3,501 92
  Johnson Controls Inc. 1,707 70
* Ford Motor Co. 3,918 59
  News Corp. Class A 2,445 42
  CBS Corp. Class B 1,737 41
  Target Corp. 776 41
  Fortune Brands Inc. 385 24
  Carnival Corp. 537 23
  Time Warner Cable Inc. 316 23
  Genuine Parts Co. 399 21
  JC Penney Co. Inc. 597 21
  Staples Inc. 923 20
  Stanley Black & Decker Inc. 212 16
* Kohl’s Corp. 297 16
  Whirlpool Corp. 192 16
  Omnicom Group Inc. 286 14
  Newell Rubbermaid Inc. 734 14
  Harley-Davidson Inc. 337 14
  McGraw-Hill Cos. Inc. 336 13
  H&R Block Inc. 788 12
  Best Buy Co. Inc. 362 12
  Gap Inc. 491 11
  Gannett Co. Inc. 610 10
  Macy’s Inc. 410 10
* Sears Holdings Corp. 114 9
  VF Corp. 93 9
* Goodyear Tire & Rubber Co. 613 9
  Leggett & Platt Inc. 371 8
  Mattel Inc. 337 8
  DR Horton Inc. 705 8
* GameStop Corp. Class A 387 8
  International Game Technology 434 7
  Washington Post Co. Class B 14 6
* Pulte Group Inc. 829 6
* AutoNation Inc. 168 6
  Abercrombie & Fitch Co. 95 5
  RadioShack Corp. 287 4
  Lennar Corp. Class A 202 4
  Harman International    
  Industries Inc. 75 4
* Big Lots Inc. 83 3
      1,100
Consumer Staples (9.0%)    
  Wal-Mart Stores Inc. 4,971 258
  Procter & Gamble Co. 3,693 233
  CVS Caremark Corp. 3,447 114
  Walgreen Co. 2,348 102
  Altria Group Inc. 3,441 87
  Costco Wholesale Corp. 1,096 82
  Kraft Foods Inc. 2,301 73
  Archer-Daniels-Midland Co. 1,618 60
  Sysco Corp. 1,485 41
  Kroger Co. 1,620 37
  Kimberly-Clark Corp. 405 27
  ConAgra Foods Inc. 1,122 26
  General Mills Inc. 604 23
  JM Smucker Co. 302 21
  Safeway Inc. 938 21
  Molson Coors Brewing Co.    
  Class B 399 18
  Lorillard Inc. 209 16
  HJ Heinz Co. 295 15
  Reynolds American Inc. 422 15
  Tyson Foods Inc. Class A 759 14
  Kellogg Co. 248 13
  Sara Lee Corp. 766 13
* Constellation Brands Inc.    
  Class A 462 9
  Clorox Co. 135 9
  Hershey Co. 161 8
  Campbell Soup Co. 229 8
  McCormick & Co. Inc. 131 6
* Dean Foods Co. 460 5

 

8

 

S&P 500 Value Index Fund

      Market
      Value•
    Shares ($000)
  SUPERVALU Inc. 535 5
  Hormel Foods Corp. 138 4
      1,363
Energy (18.5%)    
  Exxon Mobil Corp. 12,795 1,094
  Chevron Corp. 5,106 530
  ConocoPhillips 3,728 290
  Occidental Petroleum Corp. 1,030 105
  Marathon Oil Corp. 1,800 89
  Hess Corp. 765 67
  Anadarko Petroleum Corp. 803 66
  Devon Energy Corp. 689 63
  Apache Corp. 497 62
  Halliburton Co. 1,108 52
  Williams Cos. Inc. 1,479 45
  Baker Hughes Inc. 617 44
  Valero Energy Corp. 1,448 41
  EOG Resources Inc. 351 39
  Chesapeake Energy Corp. 1,033 37
  Noble Energy Inc. 246 23
  Spectra Energy Corp. 826 22
* Nabors Industries Ltd. 728 21
  Murphy Oil Corp. 246 18
  QEP Resources Inc. 448 18
  El Paso Corp. 751 14
* Rowan Cos. Inc. 322 14
  Sunoco Inc. 303 13
  Range Resources Corp. 209 11
  EQT Corp. 211 10
* Tesoro Corp. 360 8
  Helmerich & Payne Inc. 122 8
  Noble Corp. 156 7
  Cabot Oil & Gas Corp. 151 7
      2,818
Financials (26.8%)    
  JPMorgan Chase & Co. 9,919 463
* Berkshire Hathaway Inc.    
  Class B 4,390 383
  Bank of America Corp. 25,590 366
* Citigroup Inc. 73,712 345
  Wells Fargo & Co. 6,792 219
  Goldman Sachs Group Inc. 1,297 212
  US Bancorp 4,867 135
  Morgan Stanley 3,838 114
  MetLife Inc. 2,299 109
  Bank of New York    
  Mellon Corp. 3,146 96
  PNC Financial Services    
  Group Inc. 1,333 82
  Prudential Financial Inc. 1,230 81
  Travelers Cos. Inc. 1,104 66
  Capital One Financial Corp. 1,166 58
  State Street Corp. 1,281 57
  ACE Ltd. 866 55
  CME Group Inc. 171 53
  American Express Co. 1,202 52
  BB&T Corp. 1,770 49
  Chubb Corp. 774 47
  AON Corp. 843 44
  Allstate Corp. 1,374 44
  Marsh & McLennan Cos. Inc. 1,389 42
  SunTrust Banks Inc. 1,279 39
  Progressive Corp. 1,683 35
  Loews Corp. 801 35
  Fifth Third Bancorp 2,332 34
  Weyerhaeuser Co. 1,367 33
  Hartford Financial Services    
  Group Inc. 1,122 33
  Discover Financial Services 1,374 30
  Principal Financial Group Inc. 818 28
  Aflac Inc. 468 28
  M&T Bank Corp. 303 27
  Charles Schwab Corp. 1,392 26
  Lincoln National Corp. 806 26
  NYSE Euronext 667 25
  Regions Financial Corp. 3,170 24
  ProLogis 1,452 24
  Unum Group 800 21
  Vornado Realty Trust 224 21
  Northern Trust Corp. 402 21
  XL Group plc Class A 825 19
* SLM Corp. 1,226 18
  Boston Properties Inc. 189 18
  Host Hotels & Resorts Inc. 950 18
  Comerica Inc. 445 17
  Franklin Resources Inc. 134 17
  Invesco Ltd. 625 17
* Genworth Financial Inc.    
  Class A 1,234 16
  KeyCorp 1,773 16
  Public Storage 141 16
  HCP Inc. 409 16
  Legg Mason Inc. 391 14
  Cincinnati Financial Corp. 412 14
  Kimco Realty Corp. 714 14
  American International    
  Group Inc. 365 14
  Torchmark Corp. 205 13
  People’s United Financial Inc. 938 12
  Health Care REIT Inc. 214 11
  Assurant Inc. 274 11
* NASDAQ OMX Group Inc. 379 11
  Huntington Bancshares Inc. 1,519 10
  Marshall & Ilsley Corp. 1,333 10
  Zions Bancorporation 442 10
  Plum Creek Timber Co. Inc. 218 9
* E*Trade Financial Corp. 562 9
  Moody’s Corp. 248 8
* First Horizon National Corp. 665 8

 

9

 

S&P 500 Value Index Fund

      Market
      Value•
    Shares ($000)
  Hudson City Bancorp Inc. 605 7
  Leucadia National Corp. 200 7
  Apartment Investment &    
  Management Co. 135 4
  Janus Capital Group Inc. 245 3
  Federated Investors Inc.    
  Class B 85 2
      4,071
Health Care (8.8%)    
  Pfizer Inc. 20,324 391
  Johnson & Johnson 2,787 171
  UnitedHealth Group Inc. 2,791 119
  Merck & Co. Inc. 2,736 89
* WellPoint Inc. 1,003 67
* Amgen Inc. 1,108 57
  Bristol-Myers Squibb Co. 2,008 52
  McKesson Corp. 643 51
  Medtronic Inc. 993 40
  Aetna Inc. 1,016 38
  Cardinal Health Inc. 893 37
  Baxter International Inc. 535 28
* Humana Inc. 427 28
* Boston Scientific Corp. 3,831 27
* Thermo Fisher Scientific Inc. 406 23
  Becton Dickinson and Co. 210 17
  Covidien plc 314 16
* CareFusion Corp. 563 15
  AmerisourceBergen Corp.    
  Class A 345 13
* Zimmer Holdings Inc. 187 12
* Coventry Health Care Inc. 374 11
  Quest Diagnostics Inc. 197 11
* Forest Laboratories Inc. 248 8
* Cephalon Inc. 117 7
  DENTSPLY International Inc. 133 5
  PerkinElmer Inc. 135 3
      1,336
Industrials (11.7%)    
  General Electric Co. 27,035 566
  United Parcel Service Inc.    
  Class B 1,203 89
  Caterpillar Inc. 740 76
  3M Co. 816 75
  FedEx Corp. 797 72
  United Technologies Corp. 819 68
  Lockheed Martin Corp. 749 59
  Boeing Co. 747 54
  Emerson Electric Co. 863 51
  Northrop Grumman Corp. 738 49
  Union Pacific Corp. 490 47
  Honeywell International Inc. 717 42
  Norfolk Southern Corp. 547 36
  Illinois Tool Works Inc. 595 32
  General Dynamics Corp. 421 32
  Tyco International Ltd. 659 30
  CSX Corp. 382 29
  Waste Management Inc. 740 27
  Danaher Corp. 534 27
  PACCAR Inc. 530 27
  Raytheon Co. 483 25
  Eaton Corp. 223 25
  L-3 Communications    
  Holdings Inc. 290 23
  Textron Inc. 692 19
* Jacobs Engineering Group Inc. 317 16
  Parker Hannifin Corp. 169 15
  Dover Corp. 220 14
  Fluor Corp. 195 14
  Pitney Bowes Inc. 519 13
  ITT Corp. 221 13
  Masco Corp. 905 12
* Quanta Services Inc. 538 12
  Expeditors International of    
  Washington Inc. 237 11
  Southwest Airlines Co. 933 11
  Republic Services Inc. Class A 352 10
  RR Donnelley & Sons Co. 522 10
  Cintas Corp. 327 9
  Robert Half International Inc. 215 7
  Avery Dennison Corp. 170 7
  Ryder System Inc. 132 6
  Iron Mountain Inc. 242 6
  Snap-On Inc. 81 5
  Equifax Inc. 125 4
      1,775
Information Technology (5.6%)    
  Intel Corp. 5,944 128
  Hewlett-Packard Co. 2,646 115
* Cisco Systems Inc. 6,047 112
* Dell Inc. 4,255 67
  Xerox Corp. 3,538 38
  Applied Materials Inc. 2,078 34
  Corning Inc. 1,476 34
* Motorola Solutions Inc. 856 33
* Yahoo! Inc. 1,763 29
* Motorola Mobility    
  Holdings Inc. 749 23
  Automatic Data    
  Processing Inc. 452 23
  Fidelity National Information    
  Services Inc. 679 22
* Adobe Systems Inc. 623 21
  Computer Sciences Corp. 394 19
* NVIDIA Corp. 638 14
  Paychex Inc. 353 12
  KLA-Tencor Corp. 218 11
  Jabil Circuit Inc. 492 11
* Fiserv Inc. 166 11

 

10

 

S&P 500 Value Index Fund

      Market
      Value•
    Shares ($000)
* Electronic Arts Inc. 477 9
  CA Inc. 322 8
* MEMC Electronic    
  Materials Inc. 574 8
* Lexmark International Inc.    
  Class A 198 7
  VeriSign Inc. 196 7
  Harris Corp. 147 7
* SAIC Inc. 405 7
  Molex Inc. 221 6
* LSI Corp. 868 5
* Novell Inc. 887 5
  Tellabs Inc. 941 5
  National Semiconductor Corp. 322 5
* Novellus Systems Inc. 123 5
  Total System Services Inc. 248 4
* Teradyne Inc. 200 4
* Monster Worldwide Inc. 161 3
* Compuware Corp. 194 2
      854
Materials (3.1%)    
  Dow Chemical Co. 2,945 109
  EI du Pont de Nemours & Co. 954 52
  Monsanto Co. 617 44
  Alcoa Inc. 2,582 43
  Nucor Corp. 806 39
  International Paper Co. 1,116 31
  Air Products & Chemicals Inc. 246 23
  United States Steel Corp. 278 16
  Vulcan Materials Co. 323 15
  PPG Industries Inc. 166 15
* Owens-Illinois Inc. 417 13
  MeadWestvaco Corp. 429 13
  Sealed Air Corp. 402 11
  Allegheny Technologies Inc. 151 10
  Sherwin-Williams Co. 111 9
  Bemis Co. Inc. 275 9
  Eastman Chemical Co. 90 8
  AK Steel Holding Corp. 281 4
  Airgas Inc. 64 4
* Titanium Metals Corp. 133 3
      471
Telecommunication Services (3.1%)  
  AT&T Inc. 8,697 247
  Verizon Communications Inc. 4,303 159
* Sprint Nextel Corp. 7,642 33
  CenturyLink Inc. 386 16
  Frontier    
  Communications Corp. 1,343 12
  Windstream Corp. 493 6
      473
Utilities (6.0%)    
  Exelon Corp. 1,675 70
  Duke Energy Corp. 3,379 61
  NextEra Energy Inc. 1,061 59
  Southern Co. 1,305 50
  PG&E Corp. 1,001 46
  American Electric    
  Power Co. Inc. 1,226 44
  Public Service Enterprise    
  Group Inc. 1,294 42
  FirstEnergy Corp. 1,054 40
  Dominion Resources Inc. 844 38
  Consolidated Edison Inc. 742 37
  Progress Energy Inc. 748 34
  Entergy Corp. 459 33
  Sempra Energy 607 32
  PPL Corp. 1,224 31
  Edison International 822 30
  Xcel Energy Inc. 1,161 28
* AES Corp. 1,689 21
  DTE Energy Co. 427 20
  Oneok Inc. 268 17
  Ameren Corp. 604 17
  CenterPoint Energy Inc. 1,061 17
  Constellation Energy    
  Group Inc. 508 16
  Northeast Utilities 445 15
  NiSource Inc. 701 13
* NRG Energy Inc. 632 13
  CMS Energy Corp. 619 12
  SCANA Corp. 287 12
  Pinnacle West Capital Corp. 273 12
  Pepco Holdings Inc. 565 11
  TECO Energy Inc. 540 10
  Integrys Energy Group Inc. 196 10
  Wisconsin Energy Corp. 160 9
  Nicor Inc. 115 6
      906
Total Common Stocks    
(Cost $13,695)   15,167
Total Investments (99.8%)    
(Cost $13,695)   15,167
Other Assets and Liabilities (0.2%)  
Other Assets   76
Liabilities   (41)
      35
ETF Shares—Net Assets (100%)    
Applicable to 250,000 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization)   15,202
Net Asset Value Per Share—    
ETF Shares   $60.81

 

11

 

S&P 500 Value Index Fund

At February 28, 2011, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 13,538
Undistributed Net Investment Income 44
Accumulated Net Realized Gains 148
Unrealized Appreciation (Depreciation) 1,472
Net Assets 15,202

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.

12

 

S&P 500 Value Index Fund

Statement of Operations

  September 7, 20101 to
  February 28, 2011
  ($000)
Investment Income  
Income  
Dividends 107
Total Income 107
Expenses  
The Vanguard Group—Note B  
Management and Administrative 3
Custodian Fees 3
Total Expenses 6
Net Investment Income 101
Realized Net Gain (Loss) on Investment Securities Sold 148
Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,472
Net Increase (Decrease) in Net Assets Resulting from Operations 1,721
1 Inception.

 

See accompanying Notes, which are an integral part of the Financial Statements.

13

 

S&P 500 Value Index Fund

Statement of Changes in Net Assets

  September 7, 20101 to
  February 28, 2011
  ($000)
Increase (Decrease) in Net Assets  
Operations  
Net Investment Income 101
Realized Net Gain (Loss) 148
Change in Unrealized Appreciation (Depreciation) 1,472
Net Increase (Decrease) in Net Assets Resulting from Operations 1,721
Distributions  
Net Investment Income (57)
Realized Capital Gain —
Total Distributions (57)
Capital Share Transactions  
Issued 13,538
Issued in Lieu of Cash Distributions —
Redeemed —
Net Increase (Decrease) from Capital Share Transactions 13,538
Total Increase (Decrease) 15,202
Net Assets  
Beginning of Period —
End of Period2 15,202

 

1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $44,000.

See accompanying Notes, which are an integral part of the Financial Statements.

14

 

S&P 500 Value Index Fund

Financial Highlights

ETF Shares  
  September 7, 20101 to
For a Share Outstanding Throughout the Period February 28, 2011
Net Asset Value, Beginning of Period $49.93
Investment Operations  
Net Investment Income .554
Net Realized and Unrealized Gain (Loss) on Investments 10.706
Total from Investment Operations 11.260
Distributions  
Dividends from Net Investment Income (.380)
Distributions from Realized Capital Gains —
Total Distributions (.380)
Net Asset Value, End of Period $60.81
 
Total Return 22.61%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $15
Ratio of Total Expenses to Average Net Assets 0.15%
Ratio of Net Investment Income to Average Net Assets 2.41%
Portfolio Turnover Rate2 18%

 

The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception.

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.

 

S&P 500 Value Index Fund

Notes to Financial Statements

Vanguard S&P 500 Value Index 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: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. The fund has not issued any Institutional Shares as of February 28, 2011. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

4. Other: Dividend income is recorded on the ex-dividend date. 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $2,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At February 28, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.

16

 

S&P 500 Value Index Fund

D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.

At February 28, 2011, the cost of investment securities for tax purposes was $13,695,000. Net unrealized appreciation of investment securities for tax purposes was $1,472,000, consisting of unrealized gains of $1,511,000 on securities that had risen in value since their purchase and $39,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the period ended February 28, 2011, the fund purchased $15,169,000 of investment securities and sold $1,622,000 of investment securities, other than temporary cash investments.

F. Capital shares issued and redeemed were:

  September 7, 20101 to
  February 28, 2011
  Shares
  (000)
ETF Shares  
Issued 250
Issued in Lieu of Cash Distributions —
Redeemed —
Net Increase (Decrease) in Shares Outstanding 250
1 Inception.  

 

G. In preparing the financial statements as of February 28, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

17

 

S&P 500 Growth Index Fund

Fund Profile
As of February 28, 2011

Portfolio Characteristics    
    Target Broad
  Fund Index1 Index2
Number of Stocks 327 327 3,845
Median Market Cap $49.7B $49.7B $31.4B
Price/Earnings Ratio 17.7x 17.7x 17.9x
Price/Book Ratio 3.6x 3.6x 2.3x
Yield3 1.5% 1.6% 1.6%
Return on Equity 25.1% 25.1% 19.2%
Earnings Growth Rate 12.6% 12.6% 5.4%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate4 20% — —
Expense Ratio5 0.15% — —
Short-Term Reserves 0.0% — —

 

Sector Diversification (% of equity exposure)
    Target Broad
  Fund Index1 Index2
Consumer Discretionary 13.8%  13.8% 11.8%
Consumer Staples 11.2 11.2 9.1
Energy 7.8 7.8 11.6
Financials 5.5 5.5 16.6
Health Care 12.6 12.6 10.5
Industrials 10.5 10.5 11.4
Information Technology 31.4 31.4 18.9
Materials 4.1 4.1 4.5
Telecommunication      
Services 2.7 2.7 2.5
Utilities 0.4 0.4 3.1

 

Ten Largest Holdings6 (% of total net assets)
 
Apple Inc. Computer  
  Hardware 5.3%
International Business IT Consulting &  
Machines Corp. Other Services 3.3
Microsoft Corp. Systems Software 3.3
Google Inc. Class A Internet Software &  
  Services 2.5
Coca-Cola Co. Soft Drinks 2.4
Schlumberger Ltd. Oil &  
  Gas Equipment &  
  Services 2.1
Oracle Corp. Systems Software 2.1
Philip Morris Tobacco  
International Inc.   1.9
Johnson & Johnson Pharmaceuticals 1.7
PepsiCo Inc. Soft Drinks 1.6
Top Ten   26.2%

 

Investment Focus


1 S&P 500 Growth Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 Annualized.
5 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year.
For the fiscal period ended February 28, 2011, the annualized expense ratio was 0.15%.
6 The holdings listed exclude any temporary cash investments and equity index products.

18

 

S&P 500 Growth 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-Period Total Returns (%): September 7, 2010, Through February 28, 2011


Total Returns: Period Ended December 31, 2010

This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.

Securities and Exchange Commission rules require that we provide this information.

    Since
  Inception Date Inception
ETF Shares 9/7/2010  
Market Price   17.20%
Net Asset Value   17.18

 

See Financial Highlights for dividend and capital gains information.

19

 

S&P 500 Growth Index Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

      Market
      Value•
    Shares ($000)
Common Stocks (100.1%)    
Consumer Discretionary (13.8%)    
  McDonald’s Corp. 6,377 483
  Comcast Corp. Class A 16,841 434
* Amazon.com Inc. 2,141 371
  Walt Disney Co. 6,174 270
* DIRECTV Class A 5,035 231
  NIKE Inc. Class B 2,309 206
* Ford Motor Co. 13,321 200
  Viacom Inc. Class B 3,652 163
  Starbucks Corp. 4,477 148
  Yum! Brands Inc. 2,829 142
  News Corp. Class A 7,997 139
* priceline.com Inc. 296 134
  Target Corp. 2,431 128
  TJX Cos. Inc. 2,392 119
  Time Warner Cable Inc. 1,397 101
  Coach Inc. 1,791 98
* Bed Bath & Beyond Inc. 1,565 75
* Discovery    
  Communications Inc.    
  Class A 1,719 74
  Starwood Hotels &    
  Resorts Worldwide Inc. 1,149 70
  Marriott International Inc.    
  Class A 1,739 68
  Omnicom Group Inc. 1,129 57
* Kohl’s Corp. 1,057 57
  Carnival Corp. 1,326 57
  Wynn Resorts Ltd. 454 56
* NetFlix Inc. 263 54
  Cablevision Systems Corp.    
  Class A 1,452 53
  Ross Stores Inc. 724 52
  Limited Brands Inc. 1,599 51
  Polo Ralph Lauren Corp.    
  Class A 388 49
* CarMax Inc. 1,349 48
  Tiffany & Co. 760 47
      Market
      Value•
    Shares ($000)
* O’Reilly Automotive Inc. 838 47
  Staples Inc. 2,185 47
  Nordstrom Inc. 1,015 46
* AutoZone Inc. 165 43
  McGraw-Hill Cos. Inc. 1,056 41
  Darden Restaurants Inc. 838 39
* Interpublic Group of Cos. Inc. 2,952 39
  Stanley Black & Decker Inc. 502 38
  Family Dollar Stores Inc. 760 38
  Macy’s Inc. 1,587 38
  Hasbro Inc. 821 37
  Best Buy Co. Inc. 1,138 37
* Apollo Group Inc. Class A 763 35
  Mattel Inc. 1,365 34
  Gap Inc. 1,484 33
  Wyndham Worldwide Corp. 1,054 33
* Urban Outfitters Inc. 775 30
  VF Corp. 304 29
  Scripps Networks    
  Interactive Inc. Class A 544 28
  Harley-Davidson Inc. 625 25
  Expedia Inc. 1,220 24
  DeVry Inc. 380 21
  Abercrombie & Fitch Co. 309 18
  International Game Technology  773 13
  Harman International    
  Industries Inc. 242 12
* Big Lots Inc. 262 11
  Lennar Corp. Class A 481 10
      5,081
Consumer Staples (11.2%)    
  Coca-Cola Co. 14,015 896
  Philip Morris    
  International Inc. 10,952 687
  PepsiCo Inc. 9,566 607
  Procter & Gamble Co. 8,110 511
  Colgate-Palmolive Co. 2,914 229
  Kraft Foods Inc. 5,050 161
  Altria Group Inc. 4,415 112

 

20

 

S&P 500 Growth Index Fund

      Market
      Value•
    Shares ($000)
  Kimberly-Clark Corp. 1,503 99
  General Mills Inc. 2,439 91
  Mead Johnson Nutrition Co. 1,237 74
  Avon Products Inc. 2,587 72
  Estee Lauder Cos. Inc.    
  Class A 686 65
  HJ Heinz Co. 1,240 62
  Coca-Cola Enterprises Inc. 2,047 54
  Whole Foods Market Inc. 886 52
  Kellogg Co. 930 50
  Dr Pepper Snapple Group Inc. 1,372 49
  Brown-Forman Corp. Class B 627 43
  Reynolds American Inc. 1,044 36
  Clorox Co. 522 35
  Sara Lee Corp. 2,047 35
  Lorillard Inc. 407 31
  Hershey Co. 552 29
  McCormick & Co. Inc. 491 23
  Campbell Soup Co. 612 21
  Hormel Foods Corp. 510 14
      4,138
Energy (7.8%)    
  Schlumberger Ltd. 8,235 769
  Occidental Petroleum Corp. 2,453 250
  National Oilwell Varco Inc. 2,535 202
  Apache Corp. 1,132 141
  Halliburton Co. 2,853 134
  Peabody Energy Corp. 1,623 106
  Anadarko Petroleum Corp. 1,078 88
  Devon Energy Corp. 964 88
* Cameron International Corp. 1,462 87
* Southwestern Energy Co. 2,089 83
  Baker Hughes Inc. 1,145 81
  EOG Resources Inc. 706 79
  Pioneer Natural    
  Resources Co. 698 71
  Consol Energy Inc. 1,359 69
* FMC Technologies Inc. 721 68
* Newfield Exploration Co. 809 59
* Denbury Resources Inc. 2,409 58
  Chesapeake Energy Corp. 1,502 54
  Noble Corp. 1,173 52
  Spectra Energy Corp. 1,959 52
  El Paso Corp. 2,463 46
  Noble Energy Inc. 477 44
  Murphy Oil Corp. 580 43
  Massey Energy Co. 612 39
  Diamond Offshore Drilling Inc. 419 33
  Range Resources Corp. 472 26
  Helmerich & Payne Inc. 351 23
  EQT Corp. 406 20
  Cabot Oil & Gas Corp. 268 12
      2,877
Financials (5.5%)    
  Wells Fargo & Co. 15,523 501
  Simon Property Group Inc. 1,768 194
  American Express Co. 3,477 151
  T Rowe Price Group Inc. 1,550 104
  Aflac Inc. 1,736 102
  Equity Residential 1,719 95
  Ameriprise Financial Inc. 1,492 94
  Franklin Resources Inc. 564 71
  AvalonBay Communities Inc. 516 62
  Public Storage 506 57
* IntercontinentalExchange Inc. 442 57
  Ventas Inc. 947 52
  Charles Schwab Corp. 2,696 51
  HCP Inc. 1,232 47
* CB Richard Ellis Group Inc.    
  Class A 1,746 44
  Vornado Realty Trust 448 42
  Boston Properties Inc. 398 38
  Invesco Ltd. 1,311 35
  Host Hotels & Resorts Inc. 1,770 33
  Northern Trust Corp. 513 26
  Leucadia National Corp. 714 24
  Moody’s Corp. 663 21
  Hudson City Bancorp Inc. 1,748 20
  Health Care REIT Inc. 376 20
  Plum Creek Timber Co. Inc. 448 19
  Kimco Realty Corp. 760 15
  Huntington Bancshares Inc. 1,616 11
  KeyCorp 1,118 10
  Apartment Investment &    
  Management Co. 383 10
  Federated Investors Inc.    
  Class B 352 10
  Janus Capital Group Inc. 531 7
      2,023
Health Care (12.6%)    
  Johnson & Johnson 9,946 611
  Abbott Laboratories 9,330 449
  Merck & Co. Inc. 12,087 394
  Eli Lilly & Co. 6,116 211
* Gilead Sciences Inc. 4,904 191
* Express Scripts Inc. 3,175 178
  Medtronic Inc. 4,173 167
* Medco Health Solutions Inc. 2,563 158
* Amgen Inc. 3,076 158
* Celgene Corp. 2,843 151
  Bristol-Myers Squibb Co. 5,584 144
  Allergan Inc. 1,856 138
  Stryker Corp. 2,058 130
  Baxter International Inc. 2,254 120
* Genzyme Corp. 1,565 118
* St. Jude Medical Inc. 2,065 99

 

21

 

S&P 500 Growth Index Fund

      Market
      Value•
    Shares ($000)
* Biogen Idec Inc. 1,440 98
* Agilent Technologies Inc. 2,093 88
* Thermo Fisher Scientific Inc. 1,441 80
* Intuitive Surgical Inc. 237 78
  Becton Dickinson and Co. 890 71
  CIGNA Corp. 1,632 69
* Life Technologies Corp. 1,126 60
* Mylan Inc. 2,624 60
* Laboratory Corp. of    
  America Holdings 612 55
  CR Bard Inc. 563 55
* Hospira Inc. 1,007 53
* Varian Medical Systems Inc. 719 50
* Zimmer Holdings Inc. 750 47
* DaVita Inc. 586 47
* Waters Corp. 550 46
* Cerner Corp. 430 43
* Watson Pharmaceuticals Inc. 754 42
* Forest Laboratories Inc. 1,140 37
  AmerisourceBergen Corp.    
  Class A 853 32
  Quest Diagnostics Inc. 468 27
* Tenet Healthcare Corp. 2,934 21
  DENTSPLY International Inc. 525 20
  Patterson Cos. Inc. 586 20
  PerkinElmer Inc. 394 10
* Cephalon Inc. 180 10
      4,636
Industrials (10.5%)    
  United Technologies Corp. 3,623 303
  Deere & Co. 2,560 231
  United Parcel Service Inc.    
  Class B 3,105 229
  3M Co. 2,371 219
  Caterpillar Inc. 2,069 213
  Boeing Co. 2,657 191
  Honeywell International Inc. 3,016 175
  Union Pacific Corp. 1,818 173
  Emerson Electric Co. 2,493 149
  Precision Castparts Corp. 862 122
  Cummins Inc. 1,194 121
  CSX Corp. 1,357 101
  Danaher Corp. 1,975 100
  General Dynamics Corp. 1,274 97
  Ingersoll-Rand plc 1,959 89
  Illinois Tool Works Inc. 1,587 86
  Rockwell Automation Inc. 856 75
  CH Robinson Worldwide Inc. 1,002 72
  Goodrich Corp. 755 65
  Tyco International Ltd. 1,387 63
  Rockwell Collins Inc. 945 61
  Joy Global Inc. 623 61
  Norfolk Southern Corp. 900 59
  Fastenal Co. 888 55
  Raytheon Co. 1,058 54
  Eaton Corp. 485 54
  Parker Hannifin Corp. 576 51
  Roper Industries Inc. 574 48
  PACCAR Inc. 949 48
  WW Grainger Inc. 350 47
* Stericycle Inc. 515 44
  Fluor Corp. 616 44
  Flowserve Corp. 335 42
  Waste Management Inc. 1,121 41
  Dover Corp. 605 39
  Pall Corp. 697 38
  Expeditors International of    
  Washington Inc. 718 34
  ITT Corp. 588 34
  Republic Services Inc.    
  Class A 1,022 30
  Southwest Airlines Co. 2,301 27
  Dun & Bradstreet Corp. 300 24
  Iron Mountain Inc. 642 17
  Equifax Inc. 446 16
  Robert Half International Inc. 383 12
  Avery Dennison Corp. 250 10
  Snap-On Inc. 158 9
      3,873
Information Technology (31.5%)    
* Apple Inc. 5,537 1,956
  International Business    
  Machines Corp. 7,499 1,214
  Microsoft Corp. 45,431 1,208
* Google Inc. Class A 1,506 924
  Oracle Corp. 23,364 769
  QUALCOMM Inc. 9,764 582
  Intel Corp. 19,527 419
* Cisco Systems Inc. 19,069 354
* EMC Corp. 12,436 338
  Hewlett-Packard Co. 7,392 322
  Texas Instruments Inc. 7,091 252
* eBay Inc. 6,926 232
  Visa Inc. Class A 2,943 215
* Cognizant Technology    
  Solutions Corp. Class A 1,834 141
  Mastercard Inc. Class A 586 141
* Juniper Networks Inc. 3,153 139
  Corning Inc. 5,943 137
  Broadcom Corp. Class A 2,748 113
* NetApp Inc. 2,184 113
  Automatic Data    
  Processing Inc. 1,909 95
* Salesforce.com Inc. 715 95
* Intuit Inc. 1,688 89
  Western Union Co. 3,962 87

 

22

 

S&P 500 Growth Index Fund

      Market
      Value•
    Shares ($000)
* Symantec Corp. 4,690 85
* Citrix Systems Inc. 1,130 79
  Altera Corp. 1,889 79
  Analog Devices Inc. 1,805 72
* SanDisk Corp. 1,418 70
* Yahoo! Inc. 3,701 61
  Amphenol Corp. Class A 1,053 60
* F5 Networks Inc. 490 58
* Micron Technology Inc. 5,175 58
* Autodesk Inc. 1,369 58
* Adobe Systems Inc. 1,598 55
* BMC Software Inc. 1,070 53
  Xilinx Inc. 1,560 52
  Applied Materials Inc. 3,149 52
* Teradata Corp. 1,005 48
* First Solar Inc. 325 48
* Red Hat Inc. 1,154 48
  Linear Technology Corp. 1,357 47
* NVIDIA Corp. 1,999 45
* McAfee Inc. 924 44
* Western Digital Corp. 1,383 42
  Microchip Technology Inc. 1,130 42
* Akamai Technologies Inc. 1,100 41
  CA Inc. 1,553 38
  Paychex Inc. 1,104 37
* JDS Uniphase Corp. 1,346 33
* Fiserv Inc. 513 32
* Advanced Micro Devices Inc. 3,461 32
  FLIR Systems Inc. 963 31
  KLA-Tencor Corp. 484 24
  VeriSign Inc. 572 20
  Harris Corp. 424 20
* Electronic Arts Inc. 841 16
* SAIC Inc. 817 13
* Teradyne Inc. 624 12
  National Semiconductor Corp. 708 11
* Novellus Systems Inc. 266 11
* LSI Corp. 1,601 10
* Compuware Corp. 831 9
  Molex Inc. 310 9
* Monster Worldwide Inc. 390 7
  Total System Services Inc. 363 6
      11,603
Materials (4.1%)    
  Freeport-McMoRan    
  Copper & Gold Inc. 5,685 301
  Praxair Inc. 1,851 184
  EI du Pont de Nemours & Co. 3,253 179
  Newmont Mining Corp. 2,971 164
  Monsanto Co. 1,781 128
  Cliffs Natural Resources Inc. 816 79
  Ecolab Inc. 1,400 68
  Air Products & Chemicals Inc. 711 65
CF Industries Holdings Inc. 429 61
PPG Industries Inc. 590 52
Sigma-Aldrich Corp. 731 47
Ball Corp. 1,066 38
FMC Corp. 434 34
International Flavors &    
Fragrances Inc. 480 27
Sherwin-Williams Co. 277 23
Eastman Chemical Co. 221 21
Airgas Inc. 299 19
Allegheny Technologies Inc. 238 16
United States Steel Corp. 208 12
* Titanium Metals Corp. 229 4
    1,522
Telecommunication Services (2.7%)  
AT&T Inc. 14,982 425
Verizon Communications Inc. 6,827 252
* American Tower Corp.    
Class A 2,410 130
Qwest Communications    
International Inc. 10,528 72
CenturyLink Inc. 916 38
Frontier    
Communications Corp. 2,824 24
* MetroPCS    
Communications Inc. 1,586 23
Windstream Corp. 1,754 22
    986
Utilities (0.4%)    
Southern Co. 1,976 75
Dominion Resources Inc. 1,507 69
Wisconsin Energy Corp. 325 19
    163
Total Common Stocks    
(Cost $33,312)   36,902
Total Investments (100.1%)    
(Cost $33,312)   36,902
Other Assets and Liabilities (–0.1%)  
Other Assets   111
Liabilities   (156)
    (45)
ETF Shares—Net Assets (100%)    
Applicable to 600,000 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 36,857
Net Asset Value Per Share—    
ETF Shares   $61.43

 

23

 

S&P 500 Growth Index Fund

At February 28, 2011, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 32,890
Undistributed Net Investment Income 81
Accumulated Net Realized Gains 296
Unrealized Appreciation (Depreciation) 3,590
Net Assets 36,857

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.

24

 

S&P 500 Growth Index Fund

Statement of Operations

  September 7, 20101 to
  February 28, 2011
  ($000)
Investment Income  
Income  
Dividends 192
Total Income 192
Expenses  
The Vanguard Group—Note B  
Management and Administrative 7
Custodian Fees 7
Shareholders’ Reports 2
Total Expenses 16
Net Investment Income 176
Realized Net Gain (Loss) on Investment Securities Sold 296
Change in Unrealized Appreciation (Depreciation) of Investment Securities 3,590
Net Increase (Decrease) in Net Assets Resulting from Operations 4,062
1 Inception.

 

See accompanying Notes, which are an integral part of the Financial Statements.

25

 

S&P 500 Growth Index Fund

Statement of Changes in Net Assets

  September 7, 20101 to
  February 28, 2011
  ($000)
Increase (Decrease) in Net Assets  
Operations  
Net Investment Income 176
Realized Net Gain (Loss) 296
Change in Unrealized Appreciation (Depreciation) 3,590
Net Increase (Decrease) in Net Assets Resulting from Operations 4,062
Distributions  
Net Investment Income (95)
Realized Capital Gain —
Total Distributions (95)
Capital Share Transactions  
Issued 32,890
Issued in Lieu of Cash Distributions —
Redeemed —
Net Increase (Decrease) from Capital Share Transactions 32,890
Total Increase (Decrease) 36,857
Net Assets  
Beginning of Period —
End of Period2 36,857
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $81,000.

 

See accompanying Notes, which are an integral part of the Financial Statements.

26

 

S&P 500 Growth Index Fund

Financial Highlights

ETF Shares  
  September 7, 20101 to
For a Share Outstanding Throughout the Period February 28, 2011
Net Asset Value, Beginning of Period $50.23
Investment Operations  
Net Investment Income .345
Net Realized and Unrealized Gain (Loss) on Investments 11.065
Total from Investment Operations 11.410
Distributions  
Dividends from Net Investment Income (.210)
Distributions from Realized Capital Gains —
Total Distributions (.210)
Net Asset Value, End of Period $61.43
 
Total Return 22.74%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $37
Ratio of Total Expenses to Average Net Assets 0.15%
Ratio of Net Investment Income to Average Net Assets 1.60%
Portfolio Turnover Rate2 20%

 

The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
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.

27

 

S&P 500 Growth Index Fund

Notes to Financial Statements

Vanguard S&P 500 Growth Index 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: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. The fund has not issued any Institutional Shares as of February 28, 2011. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

4. Other: Dividend income is recorded on the ex-dividend date. 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $6,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At February 28, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.

28

 

S&P 500 Growth Index Fund

D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.

At February 28, 2011, the cost of investment securities for tax purposes was $33,312,000. Net unrealized appreciation of investment securities for tax purposes was $3,590,000, consisting of unrealized gains of $3,829,000 on securities that had risen in value since their purchase and $239,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the period ended February 28, 2011, the fund purchased $37,709,000 of investment securities and sold $4,693,000 of investment securities, other than temporary cash investments.

F. Capital shares issued and redeemed were:

  September 7, 20101 to
  February 28, 2011
  Shares
  (000)
ETF Shares  
Issued 600
Issued in Lieu of Cash Distributions —
Redeemed —
Net Increase (Decrease) in Shares Outstanding 600
1 Inception.

 

G. In preparing the financial statements as of February 28, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

29

 

Trustees Approve Advisory Arrangement

The board of trustees approved the launch of Vanguard S&P 500 Value Index Fund and S&P 500 Growth Index Fund utilizing an internalized management structure whereby The Vanguard Group, Inc.—through its Quantitative Equity Group—would provide investment advisory services to the funds at cost. The board determined that the investment advisory arrangement with Vanguard was in the best interest of the funds and their prospective shareholders.

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.

Nature, extent, and quality of services

The board considered the quality of the investment management services to be provided to the funds and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity 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 approval of the advisory arrangement.

Investment performance

The board determined that, in its management of other Vanguard index funds, the Quantitative Equity Group has a track record of consistent performance and disciplined investment processes. Information about each fund’s performance since inception can be found in the Performance Summary pages of this report.

Cost

The board considered the cost of services to be provided and concluded that the funds’ expense ratios will be below the average expense ratios charged by funds in their peer groups. Information about the funds’ expense ratios appears in the Financial Statements of this report.

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 it produces “profits” only in the form of reduced expenses for fund shareholders.

The benefit of economies of scale

The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.

The board will consider whether to renew the advisory arrangement after a one-year period.

30

 

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 (in the case of bonds) 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.

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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.

Foreign Holdings. The percentage of a fund represented by stocks 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.

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.

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.

31

 

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.

32

 

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.

The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee1 and President (2006–2008) of Rohm and Haas Co.
  (chemicals); Director of Tyco International, Ltd.
F. William McNabb III (diversified manufacturing and services) and Hewlett-
Born 1957. Trustee Since July 2009. Chairman of the Packard Co. (electronic computer manufacturing);
Board. Principal Occupation(s) During the Past Five Senior Advisor at New Mountain Capital; Trustee
Years: Chairman of the Board of The Vanguard Group, of The Conference Board; Member of the Board of
Inc., and of each of the investment companies served Managers of Delphi Automotive LLP (automotive
by The Vanguard Group, since January 2010; Director components).
of The Vanguard Group since 2008; Chief Executive  
Officer and President of The Vanguard Group and of Amy Gutmann
each of the investment companies served by The Born 1949. Trustee Since June 2006. Principal
Vanguard Group since 2008; Director of Vanguard Occupation(s) During the Past Five Years: President
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Christopher H.
Vanguard Group (1995–2008). Browne Distinguished Professor of Political Science
  in the School of Arts and Sciences with secondary
  appointments at the Annenberg School for Commu-
Independent Trustees nication and the Graduate School of Education
  of the University of Pennsylvania; Director of
Emerson U. Fullwood Carnegie Corporation of New York, Schuylkill River
Born 1948. Trustee Since January 2008. Principal Development Corporation, and Greater Philadelphia
Occupation(s) During the Past Five Years: Executive Chamber of Commerce; Trustee of the National
Chief Staff and Marketing Officer for North America Constitution Center; Chair of the Presidential
and Corporate Vice President (retired 2008) of Xerox Commission for the Study of Bioethical Issues.
Corporation (document management products and  
services); Executive in Residence and 2010 JoAnn Heffernan Heisen
Distinguished Minett Professor at the Rochester Born 1950. Trustee Since July 1998. Principal
Institute of Technology; Director of SPX Corporation Occupation(s) During the Past Five Years: Corporate
(multi-industry manufacturing), the United Way of Vice President and Chief Global Diversity Officer
Rochester, Amerigroup Corporation (managed health (retired 2008) and Member of the Executive
care), the University of Rochester Medical Center, Committee (1997–2008) of Johnson & Johnson
Monroe Community College Foundation, and North (pharmaceuticals/consumer products); Director of
Carolina A&T University. Skytop Lodge Corporation (hotels), the University
  Medical Center at Princeton, the Robert Wood
Rajiv L. Gupta Johnson Foundation, and the Center for Work Life
Born 1945. Trustee Since December 2001.2 Policy; Member of the Advisory Board of the
Principal Occupation(s) During the Past Five Years: Maxwell School of Citizenship and Public Affairs
Chairman and Chief Executive Officer (retired 2009) at Syracuse University.

 

 

F. Joseph Loughrey Thomas J. Higgins  
Born 1949. Trustee Since October 2009. Principal Born 1957. Chief Financial Officer Since September
Occupation(s) During the Past Five Years: President 2008. Principal Occupation(s) During the Past Five
and Chief Operating Officer (retired 2009) and Vice Years: Principal of The Vanguard Group, Inc.; Chief
Chairman of the Board (2008–2009) of Cummins Inc. Financial Officer of each of the investment companies
(industrial machinery); Director of SKF AB (industrial served by The Vanguard Group since 2008; Treasurer
machinery), Hillenbrand, Inc. (specialized consumer of each of the investment companies served by The
services), the Lumina Foundation for Education, and Vanguard Group (1998–2008).
Oxfam America; Chairman of the Advisory Council    
for the College of Arts and Letters and Member Kathryn J. Hyatt  
of the Advisory Board to the Kellogg Institute for Born 1955. Treasurer Since November 2008. Principal
International Studies at the University of Notre Dame. Occupation(s) During the Past Five Years: Principal
  of The Vanguard Group, Inc.; Treasurer of each of
André F. Perold the investment companies served by The Vanguard
Born 1952. Trustee Since December 2004. Principal Group since 2008; Assistant Treasurer of each of the
Occupation(s) During the Past Five Years: George investment companies served by The Vanguard Group
Gund Professor of Finance and Banking at the Harvard (1988–2008).  
Business School; Chair of the Investment Committee    
of HighVista Strategies LLC (private investment firm). Heidi Stam  
  Born 1956. Secretary Since July 2005. Principal
Alfred M. Rankin, Jr. Occupation(s) During the Past Five Years: Managing
Born 1941. Trustee Since January 1993. Principal Director of The Vanguard Group, Inc., since 2006;
Occupation(s) During the Past Five Years: Chairman, General Counsel of The Vanguard Group since 2005;
President, and Chief Executive Officer of NACCO Secretary of The Vanguard Group and of each of the
Industries, Inc. (forklift trucks/housewares/lignite); investment companies served by The Vanguard Group
Director of Goodrich Corporation (industrial products/ since 2005; Director and Senior Vice President of
aircraft systems and services) and the National Vanguard Marketing Corporation since 2005;
Association of Manufacturers; Chairman of the Principal of The Vanguard Group (1997–2006).
Federal Reserve Bank of Cleveland; Vice Chairman    
of University Hospitals of Cleveland; President of    
the Board of The Cleveland Museum of Art. Vanguard Senior Management Team
 
Peter F. Volanakis R. Gregory Barton Michael S. Miller
Born 1955. Trustee Since July 2009. Principal Mortimer J. Buckley James M. Norris
Occupation(s) During the Past Five Years: President Kathleen C. Gubanich Glenn W. Reed
and Chief Operating Officer (retired 2010) of Corning Paul A. Heller George U. Sauter
Incorporated (communications equipment); Director of    
Corning Incorporated (2000–2010) and Dow Corning    
(2001–2010); Overseer of the Amos Tuck School of Chairman Emeritus and Senior Advisor
Business Administration at Dartmouth College.    
  John J. Brennan  
  Chairman, 1996–2009  
Executive Officers Chief Executive Officer and President, 1996–2008
 
Glenn Booraem    
Born 1967. Controller Since July 2010. Principal  
Occupation(s) During the Past Five Years: Principal Founder   
of The Vanguard Group, Inc.; Controller of each of John C. Bogle  
the investment companies served by The Vanguard Chairman and Chief Executive Officer, 1974–1996
Group since 2010; Assistant Controller of each of    
the investment companies served by The Vanguard    
Group (2001–2010).    

 

1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard
State Tax-Exempt Funds.

 

  P.O. Box 2600
  Valley Forge, PA 19482-2600
 
 
 
Connect with Vanguard® > vanguard.com  
 
 
 
Fund Information > 800-662-7447 Standard & Poor’s®, S&P ®, Standard & Poor’s 500 ®,
  500 ®, S&P 500 Value Index®, and S&P 500 Growth
Direct Investor Account Services > 800-662-2739 Index® are registered trademarks of Standard & 
  Poor’s Financial Services LLC (”S&P”) and have been
Institutional Investor Services > 800-523-1036 licensed for use by The Vanguard Group, Inc. The
  Vanguard mutual funds and ETFs are not sponsored,
Text Telephone for People endorsed, sold, or promoted by S&P or its Affiliates,
With Hearing Impairment > 800-749-7273 and S&P and its Affiliates make no representation,
This material may be used in conjunction warranty, or condition regarding the advisability of
with the offering of shares of any Vanguard buying, selling, or holding units/shares in the funds.
fund only if preceded or accompanied by
the fund’s current prospectus.  
 
All comparative mutual fund data are from Lipper Inc.  
or Morningstar, Inc., unless otherwise noted.  
 
You can obtain a free copy of Vanguard’s proxy voting  
guidelines by visiting vanguard.com/proxyreporting or  
by calling Vanguard at 800-662-2739. The guidelines  
are also available from the SEC’s website, sec.gov.  
In addition, you may obtain a free report on how your  
fund voted the proxies for securities it owned during  
the 12 months ended June 30. To get the report, visit  
either vanguard.com/proxyreporting or sec.gov.  
 
You can review and copy information about your fund  
at the SEC’s Public Reference Room in Washington, D.C.  
To find out more about this public service, call the SEC  
at 202-551-8090. Information about your fund is also  
available on the SEC’s website, and you can receive  
copies of this information, for a fee, by sending a  
request in either of two ways: via e-mail addressed to  
publicinfo@sec.gov or via regular mail addressed to the  
Public Reference Section, Securities and Exchange  
Commission, Washington, DC 20549-1520.  
 
  © 2011 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
  Q18402 042011

 

 

Vanguard S&P Small-Cap 600
Index Funds Semiannual Report
 
 
February 28, 2011

 


Vanguard S&P Small-Cap 600 Index Fund
Vanguard S&P Small-Cap 600 Value Index Fund
Vanguard S&P Small-Cap 600 Growth Index Fund

 

 

> The Vanguard S&P Small-Cap 600 Index Funds made their debut in the midst of

a powerful small-cap rally.

> The funds closely tracked the returns of their respective benchmark indexes.

> The small-cap rally was broad-based, with notable strength in information

technology stocks.

Contents  
 
Your Fund’s Total Returns 1
Chairman’s Letter 2
S&P Small-Cap 600 Index Fund 7
S&P Small-Cap 600 Value Index Fund 21
S&P Small-Cap 600 Growth Index Fund 34
Trustees Approve Advisory Arrangement 46
Glossary 47

 

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 the definitions of investment terms used in this report.
Cover photograph: Jean Maher.

 

Your Fund’s Total Returns

Period Ended February 28, 2011    
  Ticker Total Returns
  Symbol Since Inception
Vanguard S&P Small-Cap 600 Index Fund    
ETF Shares (Inception: 9/7/2010) VIOO  
Market Price   29.44%
Net Asset Value   29.45
S&P SmallCap 600 Index   29.54
Small-Cap Core Funds Average1   30.17
 
Vanguard S&P Small-Cap 600 Value Index Fund    
ETF Shares (Inception: 9/7/2010) VIOV  
Market Price   28.97%
Net Asset Value   28.14
S&P SmallCap 600 Value Index   28.25
Small-Cap Value Funds Average1   29.37
 
Vanguard S&P Small-Cap 600 Growth Index Fund    
ETF Shares (Inception: 9/7/2010) VIOG  
Market Price   30.67%
Net Asset Value   30.73
S&P SmallCap 600 Growth Index   30.86
Small-Cap Growth Funds Average1   31.97

 

The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF
returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
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.
1 Derived from data provided by Lipper Inc.

1

 

 

 

 

Chairman’s Letter

Dear Shareholder,

In the brief period since their September 2010 inception, the Vanguard S&P Small-Cap 600 Index Funds produced exceptional returns, benefiting from a powerful rally in small-capitalization stocks.

The returns of the funds’ ETF Shares ranged from 28.14% for Vanguard S&P Small-Cap 600 Value Index Fund to 30.73% for Vanguard S&P Small-Cap 600 Growth Index Fund. (Returns are based on changes in the funds’ net asset values, adjusted to account for dividend distributions during the period.) Vanguard S&P Small-Cap 600 Index Fund, a blend of the Growth and Value Funds, returned 29.45%.

The new S&P Small-Cap 600 Index Funds mark an extension of Vanguard’s equity indexing franchise, which now includes suites of broad-market portfolios benchmarked to the Russell, Standard & Poor’s, and MSCI indexes. Our research indicates that correlation among the returns of the indexes from all three providers is very high. We would expect limited differences in long-term performance from one provider’s index to another.

This report begins with a look at the investment environment throughout the full six months of the new funds’ fiscal half-year and then reviews the drivers of fund performance during their briefer period of operation.

2

 

A fretful start, an optimistic finish for global stock markets

Stock markets rallied from their midsummer malaise to produce exceptional returns for the six months ended February 28. At the start of the period, the U.S. economy seemed in danger of tipping back into recession. By the end, hopes were high that it had reached escape velocity, propelled by steady job growth and notable strength in the manufacturing sector. Smaller stocks, which are especially sensitive to the rhythms of the business cycle, produced the highest six-month returns.

In Europe, investor optimism subdued sovereign-debt jitters, driving stock prices higher. Developed markets in the Pacific region perked up on signs of recovery in

global trade. Australian stocks posted especially strong returns, benefiting from a surge in the prices of metals and other natural resources. Emerging stock markets trailed a few steps behind their developed-market counterparts. Most major currencies appreciated relative to the U.S. dollar, enhancing returns from abroad for U.S.-based investors.

Interest rates rose, depressing bond prices

U.S. interest rates hovered near generational lows early in the period but then moved higher, putting pressure on bond prices. For the six-month period, the broad taxable bond market produced a small negative return. The municipal bond market did worse. Corporate bonds outperformed government debt

Market Barometer      
    Total Returns
    Periods Ended February 28, 2011
  Six One Five Years
  Months Year (Annualized)
Stocks      
Stocks      
Russell 1000 Index (Large-caps) 28.65% 23.54% 3.17%
Russell 2000 Index (Small-caps) 37.55 32.60 3.80
Dow Jones U.S. Total Stock Market Index 29.24 24.45 3.59
MSCI All Country World Index ex USA (International) 22.16 21.12 4.23
 
Bonds      
Barclays Capital U.S. Aggregate Bond Index      
(Broad taxable market) –0.83% 4.93% 5.80%
Barclays Capital Municipal Bond Index (Broad tax-exempt market) –3.51 1.72 4.07
Citigroup 3-Month U.S. Treasury Bill Index 0.06 0.14 2.16
 
CPI      
Consumer Price Index 1.37% 2.11% 2.18%

 

3

 

as investors stretched for yield beyond government securities, where rates remained low by historical standards.

As it has since December 2008, the Federal Reserve held its target for short-term interest rates near 0%. This stance kept the returns available from money market instruments such as the 3-month Treasury bill in the same neighborhood.

Funds debuted amid stock market strength

During their first few months of operation, the Vanguard S&P Small-Cap 600 Index Funds benefited from general strength among small stocks. Information technology stocks were exceptional performers, rallying on both consumer enthusiasm for platforms such as tablets and smart phones and signs that business investment is set to pick up. The strength of tech stocks helped all three funds but made an especially big contribution to Vanguard S&P Small-Cap 600 Growth Index Fund. At the end of the period, tech stocks accounted for 25% of the fund’s assets.

Industrial stocks also delivered strong returns. The sector’s transportation companies have benefited from a recovery in domestic and international trade and travel, while makers and marketers of machinery and farm equipment have profited from increased activity on factory floors and fast-rising food prices. The sector made significant contributions to all three funds, particularly Vanguard Small-Cap 600 Value Index Fund. Financials were another source of strength in the

Value Fund, where these stocks accounted for about 24% of assets. Banks continued to wrestle with a number of challenges, but the long period of low interest rates helped the sector repair its battered balance sheets and position itself for growth.

Weak spots were few but included utilities and consumer staples stocks, which produced returns in the double-digit range.

The Vanguard Small-Cap 600 Index Funds succeeded in capturing most of the returns of their target indexes. Fund returns based on NAV were within 13 basis points (0.13 percentage point) of their respective index results, a shortfall consistent with the costs of managing a start-up real-world portfolio. Such performance is a tribute to Vanguard Quantitative Equity Group, the funds’ advisor, which has spent more than 35 years developing and refining index-fund management strategies. The funds’ low costs are an important ally in the advisor’s effort to capture the index return.

Solid building blocks for a long-term portfolio

It would be wonderful if the exceptional returns produced during the funds’ first few months could be expected to continue forever. The stock market doesn’t work that way, however. Returns are volatile, with periods of strength often followed by stretches of weakness. And, as we have seen in recent weeks, unpredictable events such as those in the Middle East, North Africa, and Japan can disrupt market trends. That’s why we counsel investors to develop allocations

4

 

to stock, bond, and money market funds in proportions consistent with their goals and ability to withstand the stock market’s occasionally sharp declines.

The new Vanguard Small-Cap 600 Index Funds can be powerful building blocks in such a portfolio, providing low-cost exposure to the different segments of U.S. small-cap stocks.

Thank you for entrusting your assets to Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2011

5

 

Your Fund’s Performance at a Glance        
Inception Through February 28, 2011        
      Distributions Per Share
  Starting Ending Income Capital
  Share Price Share Price Dividends Gains
Vanguard S&P Small-Cap 600 Index Fund        
ETF Shares (Inception: 9/7/2010) $49.81 $64.11 $0.360 $0.000
Vanguard S&P Small-Cap 600        
Value Index Fund        
ETF Shares (Inception: 9/7/2010) $49.79 $63.42 $0.370 $0.000
Vanguard S&P Small-Cap 600        
Growth Index Fund        
ETF Shares (Inception: 9/7/2010) $49.82 $64.81 $0.310 $0.000

 

6

 

S&P Small-Cap 600 Index Fund

Fund Profile
As of February 28, 2011

Portfolio Characteristics    
    Target Broad
  Fund Index1 Index2
Number of Stocks 600 600 3,845
Median Market Cap $1.2B $1.2B $31.4B
Price/Earnings Ratio 24.3x 24.3x 17.9x
Price/Book Ratio 2.0x 2.0x 2.3x
Yield3 0.8% 1.0% 1.6%
Return on Equity 11.0% 11.0% 19.2%
Earnings Growth Rate 4.6% 4.6% 5.4%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate4 18% — —
Expense Ratio5 0.15% — —
Short-Term Reserves 0.0% — —

 

Sector Diversification (% of equity exposure)
    Target Broad
  Fund Index1 Index2
Consumer Discretionary 14.2% 14.2% 11.8%
Consumer Staples 3.5 3.5 9.1
Energy 6.1 6.1 11.6
Financials 19.1 19.1 16.6
Health Care 12.7 12.7 10.5
Industrials 16.0 16.0 11.4
Information Technology 19.6 19.5 18.9
Materials 4.5 4.5 4.5
Telecommunication      
Services 0.6 0.7 2.5
Utilities 3.7 3.7 3.1

 

Ten Largest Holdings6 (% of total net assets)
 
Oil States Oil & Gas Equipment  
International Inc. & Services 0.7%
Varian Semiconductor Semiconductor  
Equipment Associates Inc. Equipment 0.7
World Fuel Services Corp. Oil & Gas Refining  
  & Marketing 0.6
AMERIGROUP Corp. Managed  
  Health Care 0.6
Cooper Cos. Inc. Health Care  
  Supplies 0.6
Regeneron    
Pharmaceuticals Inc. Biotechnology 0.5
Holly Corp. Oil & Gas Refining  
  & Marketing 0.5
Stifel Financial Corp. Investment Banking  
  & Brokerage 0.5
BioMed Realty Trust Inc. Office REITs 0.5
Lufkin Industries Inc. Oil & Gas Equipment  
  & Services 0.5
Top Ten   5.7%

 

Investment Focus

 

 

 

 

1 S&P SmallCap 600 Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 Annualized.
5 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year.
For the fiscal period ended February 28, 2011, the annualized expense ratio was 0.15%.
6 The holdings listed exclude any temporary cash investments and equity index products.

7

 

S&P Small-Cap 600 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-Period Total Returns (%): September 7, 2010, Through February 28, 2011


Total Returns: Period Ended December 31, 2010

This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.

Securities and Exchange Commission rules require that we provide this information.

    Since
  Inception Date Inception
ETF Shares 9/7/2010  
Market Price   23.89%
Net Asset Value   23.82

 

See Financial Highlights for dividend and capital gains information.

8

 

S&P Small-Cap 600 Index Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

      Market
      Value•
    Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (14.2%)    
  Brunswick Corp. 1,130 26
  Wolverine World Wide Inc. 623 23
* Carter’s Inc. 734 21
* Iconix Brand Group Inc. 926 20
* Jo-Ann Stores Inc. 336 20
* Live Nation    
  Entertainment Inc. 1,904 20
* CROCS Inc. 1,109 20
  Men’s Wearhouse Inc. 674 18
  Hillenbrand Inc. 795 17
* Coinstar Inc. 404 17
* JOS A Bank Clothiers Inc. 352 16
* HSN Inc. 494 16
  Pool Corp. 640 16
* Childrens Place Retail    
  Stores Inc. 331 15
* OfficeMax Inc. 1,088 15
* Jack in the Box Inc. 675 15
  Cracker Barrel Old    
  Country Store Inc. 293 15
* Cabela’s Inc. 518 14
  Arbitron Inc. 346 14
  PF Chang’s China Bistro Inc. 296 14
  Buckle Inc. 335 13
  Group 1 Automotive Inc. 307 13
* Steven Madden Ltd. 297 13
* Texas Roadhouse Inc. Class A 747 13
  Monro Muffler Brake Inc. 387 13
* Buffalo Wild Wings Inc. 236 13
* Genesco Inc. 312 12
* Capella Education Co. 208 12
  Finish Line Inc. Class A 670 12
* DineEquity Inc. 200 11
* Hibbett Sports Inc. 353 11
* Helen of Troy Ltd. 396 11
* Vitamin Shoppe Inc. 315 11
* Ruby Tuesday Inc. 805 11
* Blue Nile Inc. 186 11
* BJ’s Restaurants Inc. 291 10
* Pinnacle Entertainment Inc. 793 10
* Meritage Homes Corp. 403 10
* CEC Entertainment Inc. 262 10
* American Public    
  Education Inc. 231 10
  Cato Corp. Class A 382 9
* Skechers U.S.A. Inc. Class A 439 9
* Interval Leisure Group Inc. 527 9
  Brown Shoe Co. Inc. 572 9
* Maidenform Brands Inc. 305 8
* Pre-Paid Legal Services Inc. 124 8
  PEP Boys-Manny Moe & Jack 649 8
  Stage Stores Inc. 464 8
  Ethan Allen Interiors Inc. 356 8
* Biglari Holdings Inc. 18 8
* True Religion Apparel Inc. 319 8
* Papa John’s International Inc. 253 7
* Quiksilver Inc. 1,603 7
* Sonic Corp. 768 7
  Fred’s Inc. Class A 492 7
* Lumber Liquidators    
  Holdings Inc. 290 7
* Peet’s Coffee & Tea Inc. 157 7
* Zumiez Inc. 257 7
* Jakks Pacific Inc. 351 7
* La-Z-Boy Inc. 646 6
* Shuffle Master Inc. 672 6
  Sonic Automotive Inc. Class A 438 6
  Callaway Golf Co. 807 6
* Liz Claiborne Inc. 1,186 6
* RC2 Corp. 269 6
  Superior Industries    
  International Inc. 291 6
* Corinthian Colleges Inc. 1,079 6
  Drew Industries Inc. 237 5
* Winnebago Industries Inc. 364 5
* California Pizza Kitchen Inc. 309 5
* Universal Electronics Inc. 190 5

 

9

 

S&P Small-Cap 600 Index Fund

      Market
      Value•
    Shares ($000)
* Standard Pacific Corp. 1,244 5
  Universal Technical    
  Institute Inc. 257 5
* Red Robin Gourmet    
  Burgers Inc. 195 5
  Nutrisystem Inc. 337 4
  Sturm Ruger & Co. Inc. 239 4
  PetMed Express Inc. 289 4
  Oxford Industries Inc. 174 4
  Lithia Motors Inc. Class A 267 4
  Big 5 Sporting Goods Corp. 273 4
  Volcom Inc. 211 4
* EW Scripps Co. Class A 379 4
* Perry Ellis International Inc. 123 4
  Marcus Corp. 263 3
* K-Swiss Inc. Class A 339 3
  Haverty Furniture Cos. Inc. 236 3
* M/I Homes Inc. 233 3
* Movado Group Inc. 215 3
  HOT Topic Inc. 558 3
* Kirkland’s Inc. 195 3
  Standard Motor Products Inc. 237 3
  Christopher & Banks Corp. 448 3
  Stein Mart Inc. 333 3
  Spartan Motors Inc. 413 3
* Kid Brands Inc. 271 3
* MarineMax Inc. 277 3
  Blyth Inc. 67 2
* Coldwater Creek Inc. 768 2
* Tuesday Morning Corp. 455 2
* Arctic Cat Inc. 153 2
* Audiovox Corp. Class A 234 2
* Ruth’s Hospitality Group Inc. 385 2
* Multimedia Games Inc. 345 2
  Skyline Corp. 86 2
* O’Charleys Inc. 236 2
* Monarch Casino & Resort Inc. 141 1
* Midas Inc. 180 1
* Zale Corp. 299 1
      909
Consumer Staples (3.5%)    
* United Natural Foods Inc. 617 26
* TreeHouse Foods Inc. 451 24
* Darling International Inc. 1,476 21
  Casey’s General Stores Inc. 482 20
* Hain Celestial Group Inc. 549 16
  Diamond Foods Inc. 280 14
  Andersons Inc. 238 11
  Snyders-Lance Inc. 591 11
* Boston Beer Co. Inc. Class A 115 11
  Sanderson Farms Inc. 250 10
  B&G Foods Inc. Class A 602 9
  WD-40 Co. 219 9
  J&J Snack Foods Corp. 177 8
* Central Garden and Pet Co.    
  Class A 696 6
  Nash Finch Co. 153 6
  Cal-Maine Foods Inc. 166 5
  Spartan Stores Inc. 283 4
* Alliance One International Inc. 1,119 4
* Medifast Inc. 168 4
  Calavo Growers Inc. 150 4
* Seneca Foods Corp. Class A 111 3
      226
Energy (6.1%)    
* Oil States International Inc. 645 47
  World Fuel Services Corp. 885 37
  Holly Corp. 565 32
  Lufkin Industries Inc. 382 30
  CARBO Ceramics Inc. 239 30
  SEACOR Holdings Inc. 268 25
* ION Geophysical Corp. 1,950 25
* Swift Energy Co. 524 22
* Bristow Group Inc. 463 22
* Stone Energy Corp. 623 19
* Petroleum Development Corp. 300 14
* Tetra Technologies Inc. 984 14
* Gulfport Energy Corp. 400 12
  Contango Oil & Gas Co. 163 10
  Penn Virginia Corp. 568 9
* Hornbeck Offshore    
  Services Inc. 291 8
* Pioneer Drilling Co. 680 8
* Georesources Inc. 224 7
* Petroquest Energy Inc. 691 6
  Gulf Island Fabrication Inc. 179 6
* Basic Energy Services Inc. 289 5
* Matrix Service Co. 331 5
      393
Financials (19.1%)    
* Stifel Financial Corp. 450 32
  BioMed Realty Trust Inc. 1,648 30
  Mid-America Apartment    
  Communities Inc. 438 28
  Home Properties Inc. 475 28
  Entertainment    
  Properties Trust 587 28
  Tanger Factory    
  Outlet Centers 1,024 27
  National Retail Properties Inc. 1,053 27
* Signature Bank 515 27
  LaSalle Hotel Properties 935 26
  Kilroy Realty Corp. 664 26
* ProAssurance Corp. 392 25
* DiamondRock Hospitality Co. 2,101 25
  Post Properties Inc. 624 24
  Extra Space Storage Inc. 1,116 22
  Delphi Financial Group Inc. 693 21
  Colonial Properties Trust 1,066 21
  Healthcare Realty Trust Inc. 812 19

 

10

 

S&P Small-Cap 600 Index Fund

      Market
      Value•
    Shares ($000)
* Portfolio Recovery    
  Associates Inc. 220 18
* Ezcorp Inc. Class A 631 18
  Whitney Holding Corp. 1,215 17
  Umpqua Holdings Corp. 1,466 17
  Medical Properties Trust Inc. 1,426 17
  Cash America    
  International Inc. 377 16
  Susquehanna Bancshares Inc. 1,662 16
  EastGroup Properties Inc. 347 16
  UMB Financial Corp. 384 15
  PS Business Parks Inc. 242 15
  Lexington Realty Trust 1,591 15
  Wintrust Financial Corp. 432 14
  Glacier Bancorp Inc. 923 14
  Tower Group Inc. 530 14
  United Bankshares Inc. 493 14
  Sovran Self Storage Inc. 355 14
  Old National Bancorp 1,220 14
  First Financial    
  Bankshares Inc. 269 13
  Franklin Street    
  Properties Corp. 895 13
  Hancock Holding Co. 380 13
* First Cash Financial    
  Services Inc. 391 13
  Prospect Capital Corp. 1,054 13
  Selective Insurance    
  Group Inc. 694 13
  First Financial Bancorp 744 13
  National Penn    
  Bancshares Inc. 1,547 12
  RLI Corp. 213 12
* World Acceptance Corp. 203 12
* Texas Capital Bancshares Inc. 463 12
  Sterling Bancshares Inc. 1,278 12
  First Midwest Bancorp Inc. 921 11
  PrivateBancorp Inc. Class A 761 11
  Community Bank System Inc. 414 10
  Acadia Realty Trust 522 10
  Employers Holdings Inc. 505 10
* Investment Technology    
  Group Inc. 526 10
  LTC Properties Inc. 341 10
  NBT Bancorp Inc. 447 10
  Pennsylvania Real Estate    
  Investment Trust 686 10
  Columbia Banking    
  System Inc. 491 10
  Provident Financial    
  Services Inc. 655 10
  Infinity Property &    
  Casualty Corp. 157 10
  Safety Insurance Group Inc. 196 9
  Getty Realty Corp. 317 9
  Inland Real Estate Corp. 979 9
* Forestar Group Inc. 457 9
  optionsXpress Holdings Inc. 531 9
* Piper Jaffray Cos. 209 9
  Interactive Brokers Group Inc. 539 8
  Horace Mann Educators Corp. 490 8
* Navigators Group Inc. 154 8
* National Financial    
  Partners Corp. 564 8
  First Commonwealth    
  Financial Corp. 1,206 8
  Brookline Bancorp Inc. 742 8
  Independent Bank Corp. 265 7
  Bank of the Ozarks Inc. 163 7
  S&T Bancorp Inc. 308 7
  Boston Private Financial    
  Holdings Inc. 944 7
* Pinnacle Financial Partners Inc. 418 7
  Saul Centers Inc. 144 7
  City Holding Co. 191 7
  Home Bancshares Inc. 289 7
  Simmons First National Corp.    
  Class A 214 6
  Universal Health Realty    
  Income Trust 153 6
  Urstadt Biddle Properties Inc.    
  Class A 303 6
  Trustco Bank Corp. NY 965 6
  United Fire & Casualty Co. 264 5
  Dime Community    
  Bancshares Inc. 344 5
  Wilmington Trust Corp. 1,169 5
* Nara Bancorp Inc. 472 5
* AMERISAFE Inc. 231 5
  Kite Realty Group Trust 794 4
  Parkway Properties Inc. 272 4
  Tompkins Financial Corp. 102 4
* eHealth Inc. 295 4
  Cedar Shopping Centers Inc. 579 4
* TradeStation Group Inc. 503 3
  Sterling Bancorp 337 3
  Bank Mutual Corp. 570 3
  Presidential Life Corp. 259 3
  Stewart Information    
  Services Corp. 229 3
* Hanmi Financial Corp. 1,898 2
* LaBranche & Co. Inc. 458 2
  SWS Group Inc. 356 2
  Wilshire Bancorp Inc. 243 2
* United Community Banks Inc. 1,171 2
* First BanCorp 265 1
      1,226
Health Care (12.7%)    
* AMERIGROUP Corp. 632 36
  Cooper Cos. Inc. 583 36
* Regeneron Pharmaceuticals Inc. 920 33
* Healthspring Inc. 730 28

 

11

 

S&P Small-Cap 600 Index Fund

      Market
      Value•
    Shares ($000)
* Dionex Corp. 223 26
* HMS Holdings Corp. 347 26
* Salix Pharmaceuticals Ltd. 729 24
* Catalyst Health Solutions Inc. 497 22
* American Medical Systems    
  Holdings Inc. 970 21
* Magellan Health Services Inc. 425 20
  Quality Systems Inc. 244 20
* Haemonetics Corp. 316 20
* Centene Corp. 631 19
  Chemed Corp. 291 19
* PSS World Medical Inc. 701 18
* Align Technology Inc. 870 18
* Viropharma Inc. 997 18
* Parexel International Corp. 750 18
  West Pharmaceutical    
  Services Inc. 426 18
* Cubist Pharmaceuticals Inc. 756 17
* Par Pharmaceutical Cos. Inc. 450 14
* Amedisys Inc. 375 13
* Integra LifeSciences    
  Holdings Corp. 259 13
* Zoll Medical Corp. 268 12
  Invacare Corp. 417 12
* RehabCare Group Inc. 311 12
* Hanger Orthopedic Group Inc. 422 11
  Meridian Bioscience Inc. 525 11
* MWI Veterinary Supply Inc. 162 11
* Neogen Corp. 294 11
* Gentiva Health Services Inc. 373 11
* Cyberonics Inc. 314 10
* Questcor Pharmaceuticals Inc. 786 10
* CONMED Corp. 355 9
* Amsurg Corp. Class A 389 9
* Savient Pharmaceuticals Inc. 913 9
  Analogic Corp. 161 9
* IPC The Hospitalist Co. Inc. 213 9
* Air Methods Corp. 146 9
* Molina Healthcare Inc. 223 8
  Landauer Inc. 118 7
* Abaxis Inc. 275 7
  Computer Programs &    
  Systems Inc. 135 7
* Greatbatch Inc. 291 7
* Bio-Reference Labs Inc. 304 6
* ICU Medical Inc. 146 6
* Merit Medical Systems Inc. 353 6
* Healthways Inc. 428 6
* LHC Group Inc. 194 6
* Emergent Biosolutions Inc. 270 6
* Natus Medical Inc. 357 6
* Omnicell Inc. 409 6
  Ensign Group Inc. 162 5
* PharMerica Corp. 385 5
* Affymetrix Inc. 889 4
* Symmetry Medical Inc. 451 4
* Corvel Corp. 81 4
* Almost Family Inc. 101 4
* Palomar Medical    
  Technologies Inc. 234 4
* AMN Healthcare Services Inc. 488 4
* Medcath Corp. 255 4
* Arqule Inc. 548 4
  Cantel Medical Corp. 157 3
* eResearchTechnology Inc. 532 3
* Cross Country Healthcare Inc. 389 3
* Hi-Tech Pharmacal Co. Inc. 126 3
* SurModics Inc. 219 3
* Kensey Nash Corp. 101 3
* Kendle International Inc. 188 2
* Cambrex Corp. 369 2
* CryoLife Inc. 359 2
* Enzo Biochem Inc. 418 2
* LCA-Vision Inc. 234 2
      816
Industrials (16.0%)    
* Esterline Technologies Corp. 380 27
* EMCOR Group Inc. 842 27
  CLARCOR Inc. 640 26
* Moog Inc. Class A 578 26
  Toro Co. 397 25
  Actuant Corp. Class A 862 24
  Robbins & Myers Inc. 570 24
* Teledyne Technologies Inc. 462 24
  Brady Corp. Class A 670 24
  Belden Inc. 597 22
  Curtiss-Wright Corp. 588 22
* Geo Group Inc. 822 21
* United Stationers Inc. 291 20
* Tetra Tech Inc. 789 19
  Triumph Group Inc. 211 18
  AO Smith Corp. 427 17
  Kaydon Corp. 428 17
* II-VI Inc. 326 17
* Old Dominion Freight Line Inc. 537 17
  Mueller Industries Inc. 485 16
* HUB Group Inc. Class A 469 16
  ABM Industries Inc. 605 16
  Applied Industrial    
  Technologies Inc. 483 15
  Healthcare Services Group Inc. 846 15
  Knight Transportation Inc. 793 15
  Watts Water Technologies Inc.    
  Class A 376 15
  Simpson Manufacturing Co. Inc. 508 15
* AAR Corp. 507 14
  Interface Inc. Class A 815 14
* Orbital Sciences Corp. 748 13
  ESCO Technologies Inc. 344 13

 

12

 

S&P Small-Cap 600 Index Fund

      Market
      Value•
    Shares ($000)
* Insituform Technologies Inc.    
  Class A 503 13
  Briggs & Stratton Corp. 627 13
  Barnes Group Inc. 587 12
* Ceradyne Inc. 312 12
  Skywest Inc. 698 12
  Lindsay Corp. 162 11
  American Science &    
  Engineering Inc. 117 11
  Heartland Express Inc. 657 11
  Forward Air Corp. 362 11
  Unifirst Corp. 190 11
* EnPro Industries Inc. 268 11
* Mobile Mini Inc. 457 10
  Cubic Corp. 206 10
  Kaman Corp. 323 10
* SYKES Enterprises Inc. 510 9
* SFN Group Inc. 683 9
* TrueBlue Inc. 549 9
  Quanex Building    
  Products Corp. 465 9
  Universal Forest Products Inc. 251 9
* Astec Industries Inc. 249 9
  CIRCOR International Inc. 213 8
  Albany International Corp. 346 8
  Administaff Inc. 277 8
  National Presto Industries Inc. 65 8
  Allegiant Travel Co. Class A 191 8
* Dycom Industries Inc. 441 8
  G&K Services Inc. Class A 233 8
  Arkansas Best Corp. 317 8
  Badger Meter Inc. 188 7
* Griffon Corp. 610 7
* Kelly Services Inc. Class A 348 7
* Consolidated Graphics Inc. 134 7
* Exponent Inc. 173 7
  John Bean Technologies Corp. 352 7
  AZZ Inc. 155 7
  Comfort Systems USA Inc. 476 6
  Heidrick & Struggles    
  International Inc. 219 6
* Navigant Consulting Inc. 631 6
  Viad Corp. 257 6
  Cascade Corp. 115 6
  Encore Wire Corp. 239 6
  Tredegar Corp. 285 6
* Aerovironment Inc. 188 5
  Standex International Corp. 158 5
  Federal Signal Corp. 778 5
  Apogee Enterprises Inc. 351 5
* On Assignment Inc. 456 5
* Dolan Co. 381 5
  AAON Inc. 147 4
* Orion Marine Group Inc. 337 4
* Gibraltar Industries Inc. 379 4
* Powell Industries Inc. 109 4
* GenCorp Inc. 728 4
  Vicor Corp. 245 4
* School Specialty Inc. 201 3
* NCI Building Systems Inc. 211 3
  CDI Corp. 160 2
* Lydall Inc. 213 2
  Lawson Products Inc. 50 1
  Standard Register Co. 159 1
      1,027
Information Technology (19.5%)    
* Varian Semiconductor    
  Equipment Associates Inc. 939 45
* TriQuint Semiconductor Inc. 2,028 29
  Anixter International Inc. 358 26
* Wright Express Corp. 491 25
* Progress Software Corp. 828 24
* Veeco Instruments Inc. 506 24
* Microsemi Corp. 1,053 23
* CACI International Inc. Class A 388 23
* Viasat Inc. 516 21
* Arris Group Inc. 1,557 21
* CommVault Systems Inc. 554 20
  MKS Instruments Inc. 647 19
* Hittite Microwave Corp. 312 19
* Cymer Inc. 378 19
* Take-Two Interactive    
  Software Inc. 1,091 18
* j2 Global Communications Inc. 584 17
* Taleo Corp. Class A 512 17
* JDA Software Group Inc. 560 17
* FEI Co. 492 17
  MAXIMUS Inc. 221 16
* Plexus Corp. 517 16
* Blue Coat Systems Inc. 547 15
  Littelfuse Inc. 286 15
  Blackbaud Inc. 562 15
* Netgear Inc. 455 15
* Benchmark Electronics Inc. 773 15
  Power Integrations Inc. 361 14
* Rofin-Sinar Technologies Inc. 368 14
  Cognex Corp. 510 14
* Cabot Microelectronics Corp. 288 14
* Diodes Inc. 465 13
* MicroStrategy Inc. Class A 107 13
* Synaptics Inc. 427 13
* Scansource Inc. 344 13
* Ebix Inc. 477 13
* Harmonic Inc. 1,217 12
* Stratasys Inc. 257 12
* Netscout Systems Inc. 451 11
* Tessera Technologies Inc. 647 11
* Websense Inc. 523 11
* Checkpoint Systems Inc. 510 11
* Brightpoint Inc. 861 11

 

13

 

S&P Small-Cap 600 Index Fund

      Market
      Value•
  Shares ($000)
* SYNNEX Corp. 307 11
* DealerTrack Holdings Inc. 528 11
* Insight Enterprises Inc. 579 11
* Synchronoss Technologies Inc. 303 10
* Brooks Automation Inc. 816 10
* DTS Inc. 224 10
* DG FastChannel Inc. 302 10
* Sourcefire Inc. 363 10
  Heartland Payment    
  Systems Inc. 497 10
* TTM Technologies Inc. 542 10
  Comtech    
  Telecommunications Corp. 348 9
* Rogers Corp. 198 9
* Bottomline Technologies Inc. 418 9
  MTS Systems Corp. 199 9
* OSI Systems Inc. 244 9
* comScore Inc. 330 9
  Black Box Corp. 232 9
* Manhattan Associates Inc. 272 9
* Volterra Semiconductor Corp. 336 8
* Kulicke & Soffa Industries Inc. 879 8
  Micrel Inc. 622 8
* CSG Systems International Inc. 427 8
* TeleTech Holdings Inc. 363 8
  Park Electrochemical Corp. 258 8
* Avid Technology Inc. 362 8
* RightNow Technologies Inc. 293 8
* Advanced Energy    
  Industries Inc. 479 8
* Newport Corp. 461 8
* Ultratech Inc. 301 7
* Standard Microsystems Corp. 279 7
* Tyler Technologies Inc. 331 7
* FARO Technologies Inc. 204 7
* Radiant Systems Inc. 424 7
* LogMeIn Inc. 202 7
* ATMI Inc. 394 7
* Mercury Computer    
  Systems Inc. 370 7
* Intermec Inc. 620 7
* Monolithic Power Systems Inc. 450 7
* Oplink Communications Inc. 254 7
  iGate Corp. 363 7
* Ceva Inc. 288 7
  United Online Inc. 1,092 7
* Tekelec 854 7
  Forrester Research Inc. 180 7
* Interactive Intelligence Inc. 177 6
* Epicor Software Corp. 573 6
  EPIQ Systems Inc. 422 6
* Cardtronics Inc. 303 6
  Methode Electronics Inc. 464 5
  Daktronics Inc. 461 5
  CTS Corp. 427 5
* THQ Inc. 849 5
* Sigma Designs Inc. 339 5
* Perficient Inc. 372 5
* Super Micro Computer Inc. 306 5
* Electro Scientific Industries Inc. 295 4
  Cohu Inc. 295 4
* Rudolph Technologies Inc. 390 4
* Ciber Inc. 870 4
* Knot Inc. 377 4
* EMS Technologies Inc. 191 4
* Supertex Inc. 162 4
* Kopin Corp. 835 4
* Infospace Inc. 451 4
* Smith Micro Software Inc. 383 4
* Exar Corp. 551 4
* Intevac Inc. 279 4
* Digi International Inc. 313 3
* Liquidity Services Inc. 213 3
* Pericom Semiconductor Corp. 320 3
  Bel Fuse Inc. Class B 146 3
  Pulse Electronics Corp. 518 3
* Symmetricom Inc. 550 3
* Integral Systems Inc. 220 3
* Gerber Scientific Inc. 315 3
* Radisys Corp. 301 3
* Novatel Wireless Inc. 393 2
* DSP Group Inc. 292 2
* NCI Inc. Class A 98 2
  Stamps.com Inc. 148 2
* PC-Tel Inc. 239 2
* Network Equipment    
  Technologies Inc. 377 1
* LoJack Corp. 229 1
* Tollgrade Communications Inc. 129 1
* Agilysys Inc. 251 1
* Hutchinson Technology Inc. 293 1
* StarTek Inc. 149 1
      1,248
Materials (4.5%)    
  Eagle Materials Inc. 567 18
* PolyOne Corp. 1,197 17
  Texas Industries Inc. 356 15
* OM Group Inc. 396 14
  HB Fuller Co. 633 14
  Buckeye Technologies Inc. 509 13
  Balchem Corp. 365 13
  Schweitzer-Mauduit    
  International Inc. 228 12
* Century Aluminum Co. 730 12
* Clearwater Paper Corp. 148 12
  Arch Chemicals Inc. 324 12
* RTI International Metals Inc. 389 11
* Brush Engineered Materials Inc. 253 11
* Calgon Carbon Corp. 728 10
  AMCOL International Corp. 313 10

 

14

 

S&P Small-Cap 600 Index Fund

      Market
      Value•
    Shares ($000)
* STR Holdings Inc. 519 9
  Kaiser Aluminum Corp. 183 9
  A Schulman Inc. 395 9
  Deltic Timber Corp. 141 9
* KapStone Paper and    
  Packaging Corp. 477 8
  Stepan Co. 101 7
* LSB Industries Inc. 201 6
  Quaker Chemical Corp. 150 6
  Wausau Paper Corp. 617 5
  Myers Industries Inc. 439 4
  Zep Inc. 273 4
* Headwaters Inc. 758 4
* AM Castle & Co. 209 4
  Neenah Paper Inc. 185 4
  Olympic Steel Inc. 114 3
  American Vanguard Corp. 261 2
      287
Telecommunication Services (0.7%)  
* Neutral Tandem Inc. 415 7
  NTELOS Holdings Corp. 364 7
* Cincinnati Bell Inc. 2,561 7
* General Communication Inc.    
  Class A 510 6
* Cbeyond Inc. 383 5
  Atlantic Tele-Network Inc. 112 5
  USA Mobility Inc. 277 4
      41
Utilities (3.7%)    
  Piedmont Natural Gas Co. Inc. 909 27
  Southwest Gas Corp. 578 22
  New Jersey Resources Corp. 525 22
  South Jersey Industries Inc. 381 21
  UIL Holdings Corp. 635 19
  Unisource Energy Corp. 466 17
  Northwest Natural Gas Co. 339 16
  Avista Corp. 710 16
* El Paso Electric Co. 541 15
  Allete Inc. 399 15
  NorthWestern Corp. 466 14
  Laclede Group Inc. 288 11
CH Energy Group Inc. 196 10
American States Water Co. 233 8
Central Vermont Public    
Service Corp. 156 3
    236
Total Common Stocks    
(Cost $5,191)   6,409
Total Investments (100.0%)    
(Cost $5,191)   6,409
Other Assets and Liabilities (0.0%)    
Other Assets   53
Liabilities   (51)
    2
Net Assets (100%)    
Applicable to 100,000 outstanding    
$.001 par value shares of beneficial    
interest (unlimited authorization)   6,411
Net Asset Value Per Share—    
ETF Shares   $64.11
 
 
At February 28, 2011, net assets consisted of:
    Amount
    ($000)
Paid-in Capital   5,110
Undistributed Net Investment Income 6
Accumulated Net Realized Gains   77
Unrealized Appreciation (Depreciation) 1,218
Net Assets   6,411

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.

15

 

S&P Small-Cap 600 Index Fund

Statement of Operations

  September 7, 20101 to
  February 28, 2011
  ($000)
Investment Income  
Income  
Dividends 46
Total Income 46
Expenses  
The Vanguard Group—Note B  
Management and Administrative 2
Custodian Fees 2
Total Expenses 4
Net Investment Income 42
Realized Net Gain (Loss) on Investment Securities Sold 372
Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,218
Net Increase (Decrease) in Net Assets Resulting from Operations 1,632
1 Inception.

 

See accompanying Notes, which are an integral part of the Financial Statements.

16

 

S&P Small-Cap 600 Index Fund

Statement of Changes in Net Assets

  September 7,
  20101 to
  February 28,
  2011
  ($000)
Increase (Decrease) in Net Assets  
Operations  
Net Investment Income 42
Realized Net Gain (Loss) 372
Change in Unrealized Appreciation (Depreciation) 1,218
Net Increase (Decrease) in Net Assets Resulting from Operations 1,632
Distributions  
Net Investment Income  
Institutional Shares —
ETF Shares (36)
Realized Capital Gain  
Institutional Shares —
ETF Shares —
Total Distributions (36)
Capital Share Transactions  
Institutional Shares (2)
ETF Shares 4,817
Net Increase (Decrease) from Capital Share Transactions 4,815
Total Increase (Decrease) 6,411
Net Assets  
Beginning of Period —
End of Period2 6,411
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $6,000.

 

See accompanying Notes, which are an integral part of the Financial Statements.

17

 

S&P Small-Cap 600 Index Fund

Financial Highlights

ETF Shares  
  September 7, 20101 to
For a Share Outstanding Throughout the Period February 28, 2011
Net Asset Value, Beginning of Period $49.81
Investment Operations  
Net Investment Income .422
Net Realized and Unrealized Gain (Loss) on Investments 14.238
Total from Investment Operations 14.660
Distributions  
Dividends from Net Investment Income (.360)
Distributions from Realized Capital Gains —
Total Distributions (.360)
Net Asset Value, End of Period $64.11
 
Total Return 29.45%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $6
Ratio of Total Expenses to Average Net Assets 0.15%
Ratio of Net Investment Income to Average Net Assets 1.40%
Portfolio Turnover Rate2 18%
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
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.

18

 

S&P Small-Cap 600 Index Fund

Notes to Financial Statements

Vanguard S&P Small-Cap 600 Index 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: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010. On December 17, 2010, the sole shareholder redeemed all shares. As of February 28, 2011, there were no investors in the Institutional share class. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

4. Other: Dividend income is recorded on the ex-dividend date. 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $1,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At February 28, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.

19

 

S&P Small-Cap 600 Index Fund

D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.

During the period ended February 28, 2011, the fund realized $295,000 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.

At February 28, 2011, the cost of investment securities for tax purposes was $5,191,000. Net unrealized appreciation of investment securities for tax purposes was $1,218,000, consisting of unrealized gains of $1,268,000 on securities that had risen in value since their purchase and $50,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the period ended February 28, 2011, the fund purchased $8,243,000 of investment securities and sold $3,423,000 of investment securities, other than temporary cash investments.

F. Capital share transactions for each class of shares were:

    Inception1 to
  February 28, 2011
  Amount Shares
  ($000) (000)
Institutional Shares    
Issued 110 1
Issued in Lieu of Cash Distributions — —
Redeemed (112) (1)
Net Increase (Decrease)—Institutional Shares (2) —
ETF Shares    
Issued 7,569 150
Issued in Lieu of Cash Distributions — —
Redeemed (2,752) (50)
Net Increase (Decrease)—ETF Shares 4,817 100
1 Inception was September 7, 2010, for ETF Shares and December 15, 2010, for Institutional Shares. On December 17, 2010, the sole
shareholder in the Institutional share class redeemed all shares. As of February 28, 2011, there were no investors in the Institutional
share class.

 

G. In preparing the financial statements as of February 28, 2011, management considered the impact
of subsequent events for potential recognition or disclosure in these financial statements.

20

 

S&P Small-Cap 600 Value Index Fund

Fund Profile
As of February 28, 2011

Portfolio Characteristics    
    Target Broad
  Fund Index1 Index2
Number of Stocks 433 433 3,845
Median Market Cap $1.1B $1.1B $31.4B
Price/Earnings Ratio 25.6x 25.5x 17.9x
Price/Book Ratio 1.6x 1.6x 2.3x
Yield3 1.0% 1.3% 1.6%
Return on Equity 8.9% 8.9% 19.2%
Earnings Growth Rate –2.2% –2.2% 5.4%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate4 28% — —
Expense Ratio5 0.20% — —
Short-Term Reserves 0.0% — —

 

Sector Diversification (% of equity exposure)
    Target Broad
  Fund Index1 Index2
Consumer Discretionary  11.7% 11.7% 11.8%
Consumer Staples 3.2 3.2 9.1
Energy 6.6 6.6 11.6
Financials 23.6 23.7 16.6
Health Care 6.7 6.7 10.5
Industrials 22.1 22.1 11.4
Information Technology  14.1 14.0 18.9
Materials 5.3 5.3 4.5
Telecommunication      
Services 0.5 0.5 2.5
Utilities 6.2 6.2 3.1

 

Ten Largest Holdings6 (% of total net assets)
 
World Fuel Services Corp. Oil & Gas Refining  
  & Marketing 1.1%
Holly Corp. Oil & Gas Refining  
  & Marketing 1.0
Esterline Aerospace &  
Technologies Corp. Defense 0.8
EMCOR Group Inc. Construction &  
  Engineering 0.8
Moog Inc. Class A Aerospace &  
  Defense 0.8
Anixter International Inc. Technology  
  Distributors 0.8
ProAssurance Corp. Property &  
  Casualty Insurance 0.8
Actuant Corp. Class A Industrial Machinery 0.8
Teledyne Aerospace &  
Technologies Inc. Defense 0.7
Brady Corp. Class A Electrical  
  Components  
  & Equipment 0.7
Top Ten   8.3%

 

Investment Focus


1 S&P SmallCap 600 Value Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 Annualized.
5 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year.
For the fiscal period ended February 28, 2011, the annualized expense ratio was 0.20%.
6 The holdings listed exclude any temporary cash investments and equity index products.

21

 

S&P Small-Cap 600 Value 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-Period Total Returns (%): September 7, 2010, Through February 28, 2011


Total Returns: Period Ended December 31, 2010

This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.

Securities and Exchange Commission rules require that we provide this information.

    Since
  Inception Date Inception
ETF Shares 9/7/2010  
Market Price   23.12%
Net Asset Value   23.05

 

See Financial Highlights for dividend and capital gains information.

22

 

S&P Small-Cap 600 Value Index Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

      Market
      Value•
    Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (11.7%)    
* Live Nation Entertainment Inc. 3,697 39
  Pool Corp. 1,224 31
* OfficeMax Inc. 2,102 29
* Jack in the Box Inc. 1,301 29
  Brunswick Corp. 1,084 25
  Group 1 Automotive Inc. 584 25
* Ruby Tuesday Inc. 1,590 21
* Helen of Troy Ltd. 749 21
* Meritage Homes Corp. 783 20
  Wolverine World Wide Inc. 511 19
  Hillenbrand Inc. 835 18
* Skechers U.S.A. Inc. Class A 824 17
  Brown Shoe Co. Inc. 1,064 16
  PEP Boys-Manny Moe & Jack 1,285 16
* Childrens Place Retail    
  Stores Inc. 351 16
  Stage Stores Inc. 916 16
  Men’s Wearhouse Inc. 593 16
  Ethan Allen Interiors Inc. 697 15
* Quiksilver Inc. 3,244 14
* Vitamin Shoppe Inc. 395 14
  Fred’s Inc. Class A 983 14
* La-Z-Boy Inc. 1,300 13
  Sonic Automotive Inc. Class A 886 13
  Callaway Golf Co. 1,614 12
* Pinnacle Entertainment Inc. 861 11
  Drew Industries Inc. 479 11
* Corinthian Colleges Inc. 2,114 11
* Winnebago Industries Inc. 730 11
* Genesco Inc. 259 10
* Standard Pacific Corp. 2,489 10
* Red Robin Gourmet    
  Burgers Inc. 388 9
* Sonic Corp. 958 9
  Lithia Motors Inc. Class A 545 8
* Liz Claiborne Inc. 1,585 8
* Jakks Pacific Inc. 428 8
  Finish Line Inc. Class A 427 7
  Superior Industries    
  International Inc. 372 7
* RC2 Corp. 326 7
  Marcus Corp. 542 7
* K-Swiss Inc. Class A 681 7
  Cato Corp. Class A 280 7
* Papa John’s International Inc. 227 7
  Haverty Furniture Cos. Inc. 466 6
* M/I Homes Inc. 460 6
* Movado Group Inc. 434 6
  HOT Topic Inc. 1,103 6
* Shuffle Master Inc. 605 6
  Standard Motor Products Inc. 485 6
  Stein Mart Inc. 675 6
  Christopher & Banks Corp. 888 5
  Spartan Motors Inc. 817 5
* MarineMax Inc. 548 5
  Blyth Inc. 137 5
  Nutrisystem Inc. 342 5
* EW Scripps Co. Class A 469 4
* Coldwater Creek Inc. 1,505 4
* Tuesday Morning Corp. 902 4
  Oxford Industries Inc. 164 4
* Arctic Cat Inc. 304 4
* Ruth’s Hospitality Group Inc. 764 4
* Audiovox Corp. Class A 460 4
* Multimedia Games Inc. 692 4
  Big 5 Sporting Goods Corp. 257 4
* Perry Ellis International Inc. 110 3
* O’Charleys Inc. 468 3
* Midas Inc. 356 3
* Zale Corp. 590 2
  Skyline Corp. 117 2
* Monarch Casino & Resort Inc. 181 2
      742
Consumer Staples (3.2%)    
  Casey’s General Stores Inc. 937 39
* United Natural Foods Inc. 469 20

 

23

 

S&P Small-Cap 600 Value Index Fund

      Market
      Value•
    Shares ($000)
  Sanderson Farms Inc. 472 20
* Hain Celestial Group Inc. 636 19
* Central Garden and Pet Co.    
  Class A 1,375 13
  Nash Finch Co. 303 12
  Diamond Foods Inc. 220 11
  Andersons Inc. 217 10
  Snyders-Lance Inc. 568 10
  Spartan Stores Inc. 567 9
* Alliance One International Inc. 2,181 8
  WD-40 Co. 192 8
  B&G Foods Inc. Class A 495 7
* Seneca Foods Corp. Class A 230 6
  J&J Snack Foods Corp. 146 6
  Cal-Maine Foods Inc. 124 4
      202
Energy (6.6%)    
  World Fuel Services Corp. 1,704 71
  Holly Corp. 1,094 62
* Bristow Group Inc. 897 43
* Swift Energy Co. 655 28
  Lufkin Industries Inc. 330 26
* Tetra Technologies Inc. 1,866 26
* ION Geophysical Corp. 1,898 24
  Penn Virginia Corp. 1,117 18
* Petroleum Development Corp. 376 18
  SEACOR Holdings Inc. 175 16
* Hornbeck Offshore    
  Services Inc. 565 16
* Stone Energy Corp. 522 16
* Pioneer Drilling Co. 1,344 15
  Gulf Island Fabrication Inc. 359 11
* Matrix Service Co. 654 9
* Petroquest Energy Inc. 794 7
* Basic Energy Services Inc. 353 7
* Georesources Inc. 96 3
      416
Financials (23.8%)    
* ProAssurance Corp. 760 48
  Delphi Financial Group Inc. 1,344 42
  Whitney Holding Corp. 2,385 34
  Umpqua Holdings Corp. 2,827 32
  LaSalle Hotel Properties 1,134 32
  BioMed Realty Trust Inc. 1,710 31
  Susquehanna    
  Bancshares Inc. 3,190 31
  Kilroy Realty Corp. 734 28
  Wintrust Financial Corp. 846 28
  Entertainment    
  Properties Trust 584 28
  Glacier Bancorp Inc. 1,765 28
  United Bankshares Inc. 945 27
* DiamondRock Hospitality Co. 2,264 27
  Old National Bancorp 2,339 26
  Post Properties Inc. 657 26
  Franklin Street    
  Properties Corp. 1,704 26
  Hancock Holding Co. 725 25
  Prospect Capital Corp. 2,059 25
  Colonial Properties Trust 1,235 24
  Selective Insurance Group Inc. 1,314 24
  Healthcare Realty Trust Inc. 1,009 24
  RLI Corp. 405 23
  Home Properties Inc. 386 23
* Texas Capital Bancshares Inc. 899 23
  Sterling Bancshares Inc. 2,499 23
  Mid-America Apartment    
  Communities Inc. 343 22
  First Midwest Bancorp Inc. 1,817 22
  PrivateBancorp Inc. Class A 1,436 21
  National Retail Properties Inc. 795 20
  Extra Space Storage Inc. 1,025 20
* Investment Technology    
  Group Inc. 1,021 20
  Employers Holdings Inc. 971 20
  Columbia Banking System Inc. 963 19
  NBT Bancorp Inc. 843 19
  Infinity Property &    
  Casualty Corp. 304 18
  UMB Financial Corp. 460 18
  Safety Insurance Group Inc. 367 18
  Lexington Realty Trust 1,845 18
  National Penn Bancshares Inc. 2,090 17
  Horace Mann Educators Corp. 965 16
* Piper Jaffray Cos. 389 16
  Interactive Brokers Group Inc. 1,031 16
  Sovran Self Storage Inc. 410 16
* Navigators Group Inc. 303 16
  Brookline Bancorp Inc. 1,480 15
  First Commonwealth    
  Financial Corp. 2,286 15
  PS Business Parks Inc. 230 15
  Independent Bank Corp. 532 14
  First Financial Bankshares Inc. 282 14
  S&T Bancorp Inc. 621 14
  Boston Private Financial    
  Holdings Inc. 1,916 14
* Pinnacle Financial Partners Inc. 844 13
  Community Bank System Inc. 531 13
  City Holding Co. 389 13
  First Financial Bancorp 785 13
  EastGroup Properties Inc. 290 13
  Provident Financial    
  Services Inc. 871 13
  Medical Properties Trust Inc. 1,060 12
  Simmons First National Corp.    
  Class A 432 12
  Home Bancshares Inc. 549 12
  Inland Real Estate Corp. 1,271 12
  Tower Group Inc. 437 12

 

24

 

S&P Small-Cap 600 Value Index Fund

      Market
      Value•
    Shares ($000)
  Trustco Bank Corp. NY 1,933 12
  United Fire & Casualty Co. 533 11
  Pennsylvania Real Estate    
  Investment Trust 721 10
  Wilmington Trust Corp. 2,292 10
* Nara Bancorp Inc. 952 10
  LTC Properties Inc. 328 10
* AMERISAFE Inc. 460 9
  Parkway Properties Inc. 549 9
  Kite Realty Group Trust 1,569 9
* National Financial    
  Partners Corp. 590 8
  Acadia Realty Trust 414 8
  Cedar Shopping Centers Inc. 1,178 7
  Universal Health Realty    
  Income Trust 172 7
* TradeStation Group Inc. 1,002 7
  Sterling Bancorp 666 7
* Forestar Group Inc. 347 7
  Getty Realty Corp. 217 6
  Dime Community    
  Bancshares Inc. 388 6
  Urstadt Biddle Properties Inc.    
  Class A 283 6
  Bank of the Ozarks Inc. 127 5
  Presidential Life Corp. 526 5
  Bank Mutual Corp. 1,128 5
  Saul Centers Inc. 113 5
  Stewart Information    
  Services Corp. 456 5
  Tompkins Financial Corp. 123 5
* Hanmi Financial Corp. 3,753 5
  SWS Group Inc. 722 4
* LaBranche & Co. Inc. 912 4
  Wilshire Bancorp Inc. 484 3
* United Community Banks Inc. 2,328 3
* First BanCorp 525 2
      1,509
Health Care (6.6%)    
* Centene Corp. 1,215 37
* AMERIGROUP Corp. 473 27
* Amedisys Inc. 712 26
  Invacare Corp. 793 24
* RehabCare Group Inc. 611 23
* Hanger Orthopedic Group Inc. 791 21
* Gentiva Health Services Inc. 728 21
  West Pharmaceutical    
  Services Inc. 463 19
* CONMED Corp. 685 18
* Amsurg Corp. Class A 753 18
* PSS World Medical Inc. 636 17
* Molina Healthcare Inc. 410 14
* Magellan Health Services Inc. 294 14
* Healthways Inc. 860 12
  Meridian Bioscience Inc. 427 9
* Affymetrix Inc. 1,770 9
* PharMerica Corp. 734 9
* Symmetry Medical Inc. 892 8
* AMN Healthcare Services Inc. 980 7
* Medcath Corp. 513 7
  Analogic Corp. 134 7
* Cross Country Healthcare Inc. 770 6
* ICU Medical Inc. 152 6
* Savient Pharmaceuticals Inc. 652 6
* Greatbatch Inc. 251 6
* Omnicell Inc. 413 6
* Palomar Medical    
  Technologies Inc. 330 5
* Merit Medical Systems Inc. 286 5
* Natus Medical Inc. 305 5
* Emergent Biosolutions Inc. 221 5
* Kendle International Inc. 370 4
* LHC Group Inc. 134 4
* Cambrex Corp. 728 4
* eResearchTechnology Inc. 574 4
* SurModics Inc. 197 3
* CryoLife Inc. 420 2
  Cantel Medical Corp. 100 2
* LCA-Vision Inc. 299 2
      422
Industrials (22.1%)    
* Esterline Technologies Corp. 746 53
* EMCOR Group Inc. 1,648 52
* Moog Inc. Class A 1,125 51
  Actuant Corp. Class A 1,689 48
* Teledyne Technologies Inc. 898 47
  Brady Corp. Class A 1,301 46
  Curtiss-Wright Corp. 1,140 42
* Geo Group Inc. 1,594 41
* United Stationers Inc. 571 38
  Mueller Industries Inc. 933 32
  ABM Industries Inc. 1,159 31
  Applied Industrial    
  Technologies Inc. 930 30
  Robbins & Myers Inc. 669 28
  Simpson Manufacturing    
  Co. Inc. 974 28
  Watts Water Technologies Inc.    
  Class A 719 28
  CLARCOR Inc. 644 26
* AAR Corp. 964 26
  Briggs & Stratton Corp. 1,235 25
* Insituform Technologies Inc.    
  Class A 961 25
  Barnes Group Inc. 1,111 24
* Ceradyne Inc. 608 23
  Belden Inc. 621 23
  Skywest Inc. 1,345 22
  Kaydon Corp. 532 21
  Toro Co. 328 20

 

25

 

S&P Small-Cap 600 Value Index Fund

      Market
      Value•
    Shares ($000)
  Kaman Corp. 634 20
* HUB Group Inc. Class A 537 19
* SFN Group Inc. 1,288 18
  Quanex Building    
  Products Corp. 917 17
* Astec Industries Inc. 484 17
  Albany International Corp. 677 16
  Universal Forest Products Inc. 471 16
* Dycom Industries Inc. 880 15
* Tetra Tech Inc. 644 15
* Old Dominion Freight Line Inc. 489 15
* Kelly Services Inc. Class A 708 15
  Knight Transportation Inc. 791 15
  G&K Services Inc. Class A 453 15
  Arkansas Best Corp. 615 15
  AO Smith Corp. 360 15
* Griffon Corp. 1,167 14
  ESCO Technologies Inc. 359 14
  Comfort Systems USA Inc. 949 13
* Orbital Sciences Corp. 682 12
  Heartland Express Inc. 726 12
  Heidrick & Struggles    
  International Inc. 440 12
  Interface Inc. Class A 708 12
  Viad Corp. 507 12
* Navigant Consulting Inc. 1,236 12
  Tredegar Corp. 575 11
  Encore Wire Corp. 477 11
  Standex International Corp. 315 11
* TrueBlue Inc. 640 10
  Federal Signal Corp. 1,559 10
* Mobile Mini Inc. 439 10
  Unifirst Corp. 177 10
  Apogee Enterprises Inc. 705 10
* On Assignment Inc. 916 10
* SYKES Enterprises Inc. 491 9
  Forward Air Corp. 306 9
  CIRCOR International Inc. 227 9
  Administaff Inc. 280 8
* Powell Industries Inc. 223 8
* Gibraltar Industries Inc. 752 8
* GenCorp Inc. 1,478 8
  Cascade Corp. 149 7
  Cubic Corp. 142 7
  Badger Meter Inc. 170 7
* School Specialty Inc. 398 6
  John Bean Technologies Corp. 312 6
* Aerovironment Inc. 200 6
  CDI Corp. 325 5
  AZZ Inc. 107 5
* NCI Building Systems Inc. 316 4
* Lydall Inc. 424 4
  AAON Inc. 120 4
  Lawson Products Inc. 100 2
  Standard Register Co. 316 1
      1,402
Information Technology (14.1%)    
  Anixter International Inc. 697 50
* CACI International Inc. Class A 750 45
* Varian Semiconductor    
  Equipment Associates Inc. 913 44
* Arris Group Inc. 3,049 40
* Benchmark Electronics Inc. 1,498 28
* Scansource Inc. 654 24
  MKS Instruments Inc. 775 23
* Microsemi Corp. 1,045 23
* Cymer Inc. 426 22
* Checkpoint Systems Inc. 969 21
* Brightpoint Inc. 1,648 21
* Insight Enterprises Inc. 1,125 21
* SYNNEX Corp. 577 20
* Brooks Automation Inc. 1,591 20
* Take-Two Interactive    
  Software Inc. 1,138 18
  Heartland Payment    
  Systems Inc. 931 18
  Comtech    
  Telecommunications Corp. 673 18
* FEI Co. 540 18
* Rofin-Sinar Technologies Inc. 433 17
  Black Box Corp. 430 16
* Avid Technology Inc. 726 16
* Intermec Inc. 1,204 14
* Plexus Corp. 426 13
  United Online Inc. 2,154 13
* Harmonic Inc. 1,341 13
* Tekelec 1,675 13
* Rogers Corp. 257 12
  Cognex Corp. 427 12
  EPIQ Systems Inc. 819 11
  Methode Electronics Inc. 922 11
  Park Electrochemical Corp. 336 11
  CTS Corp. 857 10
* Advanced Energy    
  Industries Inc. 619 10
* THQ Inc. 1,703 10
* Cabot Microelectronics Corp. 189 9
* ATMI Inc. 504 9
* Tessera Technologies Inc. 519 9
  MTS Systems Corp. 195 9
* Standard Microsystems Corp. 328 9
* Ciber Inc. 1,749 8
* DealerTrack Holdings Inc. 397 8
* Ultratech Inc. 320 8
* EMS Technologies Inc. 380 7
* Infospace Inc. 906 7
* FARO Technologies Inc. 203 7
* Newport Corp. 423 7
* Digi International Inc. 629 7
* LogMeIn Inc. 187 7
  Bel Fuse Inc. Class B 294 6
  Cohu Inc. 412 6

 

26

 

S&P Small-Cap 600 Value Index Fund

      Market
      Value•
  Shares ($000)
* Electro Scientific Industries Inc. 388 6
  Daktronics Inc. 504 6
* TeleTech Holdings Inc. 247 6
* Rudolph Technologies Inc. 465 5
* Gerber Scientific Inc. 624 5
* Supertex Inc. 206 5
* Epicor Software Corp. 452 5
* DSP Group Inc. 586 5
* Intevac Inc. 338 4
* Knot Inc. 430 4
* Super Micro Computer Inc. 283 4
  Pulse Electronics Corp. 696 4
* PC-Tel Inc. 474 4
* Sigma Designs Inc. 236 3
* Symmetricom Inc. 532 3
* Exar Corp. 465 3
* Radisys Corp. 353 3
* Integral Systems Inc. 238 3
* Pericom Semiconductor Corp. 262 3
* Agilysys Inc. 494 2
* Hutchinson Technology Inc. 579 2
* LoJack Corp. 293 2
* NCI Inc. Class A 76 2
* StarTek Inc. 299 2
* Tollgrade Communications Inc. 147 1
* Network Equipment    
  Technologies Inc. 402 1
      892
Materials (5.3%)    
  Texas Industries Inc. 686 28
  HB Fuller Co. 1,202 26
  Eagle Materials Inc. 746 24
* Clearwater Paper Corp. 281 22
  Arch Chemicals Inc. 617 22
  Kaiser Aluminum Corp. 360 18
  A Schulman Inc. 765 17
* Century Aluminum Co. 892 15
* RTI International Metals Inc. 483 14
  Stepan Co. 194 14
* PolyOne Corp. 960 13
* OM Group Inc. 332 12
* STR Holdings Inc. 570 10
* Calgon Carbon Corp. 734 10
  AMCOL International Corp. 329 10
  Wausau Paper Corp. 1,229 10
  Deltic Timber Corp. 153 9
  Myers Industries Inc. 885 9
  Zep Inc. 545 9
* Brush Engineered    
  Materials Inc. 177 8
* Headwaters Inc. 1,500 8
* AM Castle & Co. 416 7
  Neenah Paper Inc. 366 7
  Olympic Steel Inc. 230 6
* LSB Industries Inc. 187 6
  American Vanguard Corp. 537 5
      339
Telecommunication Services (0.5%)  
* Cincinnati Bell Inc. 5,017 13
  NTELOS Holdings Corp. 334 7
  USA Mobility Inc. 337 5
* General Communication Inc.    
  Class A 409 5
      30
Utilities (6.1%)    
  Southwest Gas Corp. 1,127 44
  New Jersey Resources Corp. 1,022 43
  UIL Holdings Corp. 1,247 38
  Piedmont Natural Gas Co. Inc. 1,138 33
  Unisource Energy Corp. 899 33
  Avista Corp. 1,395 31
  Allete Inc. 767 29
  NorthWestern Corp. 890 27
  South Jersey Industries Inc. 416 23
  Laclede Group Inc. 546 21
  Northwest Natural Gas Co. 417 20
  CH Energy Group Inc. 386 19
* El Paso Electric Co. 570 16
  American States Water Co. 219 7
  Central Vermont Public    
  Service Corp. 329 7
      391
Total Common Stocks    
(Cost $5,297)   6,345
Total Investments (100.0%)    
(Cost $5,297)   6,345
Other Assets and Liabilities (0.0%)  
Other Assets   19
Liabilities   (22)
      (3)
Net Assets (100%)    
Applicable to 100,000 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization)   6,342
Net Asset Value Per Share—    
ETF Shares   $63.42

 

27

 

S&P Small-Cap 600 Value Index Fund

At February 28, 2011, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 5,110
Undistributed Net Investment Income 8
Accumulated Net Realized Gains 176
Unrealized Appreciation (Depreciation) 1,048
Net Assets 6,342

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.

28

 

S&P Small-Cap 600 Value Index Fund

Statement of Operations

  September 7, 20101 to
  February 28, 2011
  ($000)
Investment Income  
Income  
Dividends 51
Total Income 51
Expenses  
The Vanguard Group—Note B  
Management and Administrative 3
Custodian Fees 2
Shareholders’ Reports 1
Total Expenses 6
Net Investment Income 45
Realized Net Gain (Loss) on Investment Securities Sold 447
Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,048
Net Increase (Decrease) in Net Assets Resulting from Operations 1,540
1 Inception.

 

See accompanying Notes, which are an integral part of the Financial Statements.

29

 

S&P Small-Cap 600 Value Index Fund

Statement of Changes in Net Assets

  September 7,
  20101 to
  February 28,
  2011
  ($000)
Increase (Decrease) in Net Assets  
Operations  
Net Investment Income 45
Realized Net Gain (Loss) 447
Change in Unrealized Appreciation (Depreciation) 1,048
Net Increase (Decrease) in Net Assets Resulting from Operations 1,540
Distributions  
Net Investment Income  
Institutional Shares —
ETF Shares (37)
Realized Capital Gain  
Institutional Shares —
ETF Shares —
Total Distributions (37)
Capital Share Transactions  
Institutional Shares (1)
ETF Shares 4,840
Net Increase (Decrease) from Capital Share Transactions 4,839
Total Increase (Decrease) 6,342
Net Assets  
Beginning of Period —
End of Period2 6,342
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $8,000.

 

See accompanying Notes, which are an integral part of the Financial Statements.

30

 

S&P Small-Cap 600 Value Index Fund

Financial Highlights

ETF Shares  
  September 7, 20101 to
For a Share Outstanding Throughout the Period February 28, 2011
Net Asset Value, Beginning of Period $49.79
Investment Operations  
Net Investment Income .446
Net Realized and Unrealized Gain (Loss) on Investments 13.554
Total from Investment Operations 14.000
Distributions  
Dividends from Net Investment Income (.370)
Distributions from Realized Capital Gains —
Total Distributions (.370)
Net Asset Value, End of Period $63.42
 
Total Return 28.14%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $6
Ratio of Total Expenses to Average Net Assets 0.20%
Ratio of Net Investment Income to Average Net Assets 1.49%
Portfolio Turnover Rate2 28%
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
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.

31

 

S&P Small-Cap 600 Value Index Fund

Notes to Financial Statements

Vanguard S&P Small-Cap 600 Value Index 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: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010. On December 17, 2010, the sole shareholder redeemed all shares. As of February 28, 2011, there were no investors in the Institutional share class. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

4. Other: Dividend income is recorded on the ex-dividend date. 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 under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $1,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At February 28, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.

32

 

S&P Small-Cap 600 Value Index Fund

D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.

During the period ended February 28, 2011, the fund realized $271,000 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.

At February 28, 2011, the cost of investment securities for tax purposes was $5,297,000. Net unrealized appreciation of investment securities for tax purposes was $1,048,000, consisting of unrealized gains of $1,098,000 on securities that had risen in value since their purchase and $50,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the period ended February 28, 2011, the fund purchased $9,032,000 of investment securities and sold $4,181,000 of investment securities, other than temporary cash investments.

F. Capital share transactions for each class of shares were:

    Inception1 to
   February 28, 2011 
  Amount Shares
  ($000) (000)
Institutional Shares    
Issued 70 1
Issued in Lieu of Cash Distributions — —
Redeemed (71) (1)
Net Increase (Decrease)—Institutional Shares (1) —
ETF Shares    
Issued 7,589 150
Issued in Lieu of Cash Distributions — —
Redeemed (2,749) (50)
Net Increase (Decrease)—ETF Shares 4,840 100
1 Inception was September 7, 2010, for ETF Shares and December 15, 2010, for Institutional Shares. On December 17, 2010, the sole
shareholder in the Institutional share class redeemed all shares. As of February 28, 2011, there were no investors in the Institutional
share class.

 

G. In preparing the financial statements as of February 28, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

33

 

S&P Small-Cap 600 Growth Index Fund

Fund Profile
As of February 28, 2011

Portfolio Characteristics    
    Target Broad
  Fund Index1 Index2
Number of Stocks 359 358 3,845
Median Market Cap $1.3B $1.3B $31.4B
Price/Earnings Ratio 23.2x 23.2x 17.9x
Price/Book Ratio 2.7x 2.7x 2.3x
Yield3 0.5% 0.7% 1.6%
Return on Equity 13.2% 13.2% 19.2%
Earnings Growth Rate 11.7% 11.7% 5.4%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate4 40% — —
Expense Ratio5 0.20% — —
Short-Term Reserves 0.0% — —

 

Sector Diversification (% of equity exposure)
    Target Broad
  Fund Index1 Index2
Consumer Discretionary  16.8% 16.8% 11.8%
Consumer Staples 3.9 3.9 9.1
Energy 5.7 5.7 11.6
Financials 14.3 14.3 16.6
Health Care 19.0 19.0 10.5
Industrials 9.7 9.7 11.4
Information Technology  25.1 25.1 18.9
Materials 3.6 3.6 4.5
Telecommunication      
Services 0.8 0.8 2.5
Utilities 1.1 1.1 3.1

 

Ten Largest Holdings6 (% of total net assets)
 
Oil States Oil & Gas Equipment  
International Inc. & Services 1.5%
Cooper Cos. Inc. Health Care  
  Supplies 1.1
Regeneron    
Pharmaceuticals Inc. Biotechnology 1.1
Stifel Financial Corp. Investment Banking  
  & Brokerage 1.0
CARBO Ceramics Inc. Oil & Gas Equipment  
  & Services 0.9
TriQuint    
Semiconductor Inc. Semiconductors 0.9
Tanger Factory    
Outlet Centers Retail REITs 0.9
Healthspring Inc. Managed  
  Health Care 0.9
Signature Bank Regional Banks 0.8
HMS Holdings Corp. Health Care  
  Services 0.8
Top Ten   9.9%

 

Investment Focus

 

 

 

 

 

1 S&P SmallCap 600 Growth Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 Annualized.
5 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year.
For the fiscal period ended February 28, 2011, the annualized expense ratio was 0.20%.
6 The holdings listed exclude any temporary cash investments and equity index products.

34

 

S&P Small-Cap 600 Growth 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-Period Total Returns (%): September 7, 2010, Through February 28, 2011


Total Returns: Period Ended December 31, 2010

This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.

Securities and Exchange Commission rules require that we provide this information.

    Since
  Inception Date Inception
ETF Shares 9/7/2010  
Market Price   24.68%
Net Asset Value   24.58

 

See Financial Highlights for dividend and capital gains information.

35

 

S&P Small-Cap 600 Growth Index Fund

Financial Statements (unaudited)

Statement of Net Assets
As of February 28, 2011

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

      Market
      Value•
  Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (16.8%)    
* Carter’s Inc. 3,007 86
* Iconix Brand Group Inc. 3,792 84
* Jo-Ann Stores Inc. 1,377 84
* CROCS Inc. 4,562 81
* Coinstar Inc. 1,656 71
* JOS A Bank Clothiers Inc. 1,445 67
* HSN Inc. 2,024 66
  Cracker Barrel Old    
  Country Store Inc. 1,221 61
* Cabela’s Inc. 2,095 57
  Arbitron Inc. 1,409 56
  PF Chang’s China Bistro Inc. 1,201 56
  Wolverine World Wide Inc. 1,456 54
  Brunswick Corp. 2,318 53
  Buckle Inc. 1,365 53
* Steven Madden Ltd. 1,204 52
  Monro Muffler Brake Inc. 1,580 52
* Texas Roadhouse Inc. Class A 3,040 52
* Buffalo Wild Wings Inc. 952 50
* Capella Education Co. 865 50
* DineEquity Inc. 811 46
* Hibbett Sports Inc. 1,462 46
* Blue Nile Inc. 753 43
* BJ’s Restaurants Inc. 1,182 42
* CEC Entertainment Inc. 1,074 42
  Men’s Wearhouse Inc. 1,515 40
* American Public Education Inc. 940 40
* Interval Leisure Group Inc. 2,119 36
* Pre-Paid Legal Services Inc. 511 34
* Maidenform Brands Inc. 1,222 33
  Finish Line Inc. Class A 1,896 33
* Biglari Holdings Inc. 76 32
  Hillenbrand Inc. 1,466 32
* True Religion Apparel Inc. 1,332 32
* Peet’s Coffee & Tea Inc. 670 29
* Childrens Place Retail    
  Stores Inc. 625 29
* Lumber Liquidators    
  Holdings Inc. 1,219 28
* Zumiez Inc. 1,088 28
* Genesco Inc. 717 28
  Cato Corp. Class A 952 23
* California Pizza Kitchen Inc. 1,292 22
* Universal Electronics Inc. 790 22
  Universal Technical    
  Institute Inc. 1,088 20
* Pinnacle Entertainment Inc. 1,407 18
  PetMed Express Inc. 1,202 18
  Sturm Ruger & Co. Inc. 980 18
* Papa John’s International Inc. 575 17
* Vitamin Shoppe Inc. 477 17
  Volcom Inc. 912 16
* Shuffle Master Inc. 1,535 14
* Kirkland’s Inc. 818 12
* Sonic Corp. 1,220 11
* Kid Brands Inc. 1,122 10
* Jakks Pacific Inc. 547 10
* RC2 Corp. 450 10
  Oxford Industries Inc. 389 9
  Nutrisystem Inc. 682 9
  Superior Industries    
  International Inc. 437 9
* Perry Ellis International Inc. 293 8
  Big 5 Sporting Goods Corp. 602 8
* Liz Claiborne Inc. 1,624 8
* EW Scripps Co. Class A 624 6
  Skyline Corp. 116 2
* Monarch Casino & Resort Inc. 213 2
      2,177
Consumer Staples (3.9%)    
* TreeHouse Foods Inc. 1,851 97
* Darling International Inc. 6,099 85
* United Natural Foods Inc. 1,512 64
* Boston Beer Co. Inc. Class A 476 44
  Diamond Foods Inc. 690 35
* Hain Celestial Group Inc. 874 26
  Andersons Inc. 518 25

 

36

 

S&P Small-Cap 600 Growth Index Fund

      Market
      Value•
    Shares ($000)
  Snyders-Lance Inc. 1,233 22
  B&G Foods Inc. Class A 1,458 22
  J&J Snack Foods Corp. 438 19
  WD-40 Co. 471 19
* Medifast Inc. 698 16
  Calavo Growers Inc. 630 15
  Cal-Maine Foods Inc. 438 13
      502
Energy (5.7%)    
* Oil States International Inc. 2,650 193
  CARBO Ceramics Inc. 991 123
  SEACOR Holdings Inc. 745 71
  Lufkin Industries Inc. 865 67
* ION Geophysical Corp. 3,906 50
* Gulfport Energy Corp. 1,656 49
* Stone Energy Corp. 1,447 44
  Contango Oil & Gas Co. 672 41
* Swift Energy Co. 784 34
* Georesources Inc. 728 23
* Petroleum Development Corp. 415 19
* Petroquest Energy Inc. 1,245 11
* Basic Energy Services Inc. 470 9
      734
Financials (14.3%)    
* Stifel Financial Corp. 1,840 132
  Tanger Factory Outlet Centers 4,234 113
* Signature Bank 2,123 110
* Ezcorp Inc. Class A 2,604 75
* Portfolio Recovery    
  Associates Inc. 893 74
  Mid-America Apartment    
  Communities Inc. 1,055 69
  National Retail Properties Inc. 2,663 68
  Home Properties Inc. 1,142 67
  Cash America    
  International Inc. 1,547 66
  BioMed Realty Trust Inc. 3,216 58
  Entertainment Properties    
  Trust 1,193 57
* First Cash Financial    
  Services Inc. 1,585 52
* World Acceptance Corp. 819 49
  Extra Space Storage Inc. 2,381 47
* DiamondRock Hospitality Co. 3,896 46
  Kilroy Realty Corp. 1,177 46
  Post Properties Inc. 1,148 45
  Medical Properties Trust Inc. 3,607 42
  LaSalle Hotel Properties 1,414 40
  EastGroup Properties Inc. 810 37
  optionsXpress Holdings Inc. 2,223 36
  Colonial Properties Trust 1,757 35
  Tower Group Inc. 1,260 34
  PS Business Parks Inc. 499 31
  Healthcare Realty Trust Inc. 1,213 28
  Getty Realty Corp. 858 25
  Acadia Realty Trust 1,262 25
  First Financial Bankshares Inc. 488 25
  Lexington Realty Trust 2,537 24
  First Financial Bancorp 1,397 24
  UMB Financial Corp. 588 23
  Sovran Self Storage Inc. 575 22
* Forestar Group Inc. 1,151 22
  Pennsylvania Real Estate    
  Investment Trust 1,390 20
  LTC Properties Inc. 683 20
  Bank of the Ozarks Inc. 416 18
  Saul Centers Inc. 368 17
  National Penn Bancshares Inc. 2,023 16
  Community Bank System Inc. 623 16
* National Financial    
  Partners Corp. 1,046 15
* eHealth Inc. 1,156 15
  Provident Financial    
  Services Inc. 892 13
  Inland Real Estate Corp. 1,302 12
  Urstadt Biddle Properties Inc.    
  Class A 615 12
  Universal Health Realty    
  Income Trust 293 12
  Dime Community    
  Bancshares Inc. 635 10
  Tompkins Financial Corp. 176 7
      1,850
Health Care (19.0%)    
  Cooper Cos. Inc. 2,388 148
* Regeneron    
  Pharmaceuticals Inc. 3,800 138
* Healthspring Inc. 2,993 113
* HMS Holdings Corp. 1,441 109
* Dionex Corp. 911 107
* Salix Pharmaceuticals Ltd. 3,030 101
* Catalyst Health Solutions Inc. 2,043 92
* AMERIGROUP Corp. 1,581 91
* American Medical Systems    
  Holdings Inc. 3,998 87
  Quality Systems Inc. 1,000 80
* Haemonetics Corp. 1,294 80
  Chemed Corp. 1,192 78
* Align Technology Inc. 3,551 74
* Viropharma Inc. 4,078 73
* Parexel International Corp. 3,041 71
* Cubist Pharmaceuticals Inc. 3,101 68
* Par Pharmaceutical Cos. Inc. 1,861 57
* Magellan Health Services Inc. 1,140 55
* Integra LifeSciences    
  Holdings Corp. 1,064 53
* Zoll Medical Corp. 1,125 52
* MWI Veterinary Supply Inc. 652 45
* Neogen Corp. 1,187 44

 

37

 

S&P Small-Cap 600 Growth Index Fund

      Market
      Value•
    Shares ($000)
* Questcor Pharmaceuticals Inc.  3,251 42
* Cyberonics Inc. 1,260 42
* PSS World Medical Inc. 1,561 41
* IPC The Hospitalist Co. Inc. 851 35
* Air Methods Corp. 584 34
  Computer Programs &    
  Systems Inc. 580 31
* Abaxis Inc. 1,169 31
  Landauer Inc. 492 31
  West Pharmaceutical    
  Services Inc. 749 31
* Bio-Reference Labs Inc. 1,281 27
  Meridian Bioscience Inc. 1,234 27
* Savient Pharmaceuticals Inc. 2,315 22
  Ensign Group Inc. 698 21
  Analogic Corp. 387 21
* Greatbatch Inc. 690 17
* Corvel Corp. 341 17
* Almost Family Inc. 431 17
* LHC Group Inc. 538 16
* Merit Medical Systems Inc. 870 15
* Arqule Inc. 2,312 15
* Emergent Biosolutions Inc. 662 14
* Natus Medical Inc. 872 14
* ICU Medical Inc. 301 13
* Hi-Tech Pharmacal Co. Inc. 535 12
* Kensey Nash Corp. 442 12
* Omnicell Inc. 858 11
  Cantel Medical Corp. 458 10
* Enzo Biochem Inc. 1,785 8
* eResearchTechnology Inc. 1,056 7
* SurModics Inc. 498 6
* Palomar Medical    
  Technologies Inc. 281 4
* CryoLife Inc. 596 3
* LCA-Vision Inc. 351 2
* Genoptix Inc. 23 1
      2,466
Industrials (9.7%)    
  Triumph Group Inc. 861 75
* II-VI Inc. 1,328 68
  Healthcare Services    
  Group Inc. 3,446 61
  Toro Co. 934 58
  CLARCOR Inc. 1,265 52
  Lindsay Corp. 655 46
  American Science &    
  Engineering Inc. 470 44
* Tetra Tech Inc. 1,841 43
* EnPro Industries Inc. 1,077 43
  Belden Inc. 1,129 41
  AO Smith Corp. 997 40
  Robbins & Myers Inc. 939 40
* Old Dominion Freight Line Inc.  1,141 35
  National Presto Industries Inc. 273 35
  Allegiant Travel Co. Class A 786 32
  Interface Inc. Class A 1,882 31
  Knight Transportation Inc. 1,586 30
* Consolidated Graphics Inc. 533 29
* Exponent Inc. 735 29
* Orbital Sciences Corp. 1,608 29
* HUB Group Inc. Class A 800 28
  Cubic Corp. 528 27
  Forward Air Corp. 880 26
  Kaydon Corp. 622 24
  ESCO Technologies Inc. 621 24
  Unifirst Corp. 406 23
* Mobile Mini Inc. 987 22
* SYKES Enterprises Inc. 1,109 21
* Dolan Co. 1,605 20
  Heartland Express Inc. 1,137 19
  AZZ Inc. 429 18
  Administaff Inc. 582 17
* Orion Marine Group Inc. 1,399 17
  Badger Meter Inc. 430 17
  CIRCOR International Inc. 419 17
  John Bean Technologies Corp. 823 16
* TrueBlue Inc. 964 16
  Vicor Corp. 1,022 16
  AAON Inc. 372 11
* Aerovironment Inc. 368 11
  Cascade Corp. 169 8
* NCI Building Systems Inc. 220 3
      1,262
Information Technology (25.1%)    
* TriQuint Semiconductor Inc. 8,317 119
* Wright Express Corp. 2,002 102
* Progress Software Corp. 3,395 100
* Veeco Instruments Inc. 2,087 99
* Varian Semiconductor    
  Equipment Associates Inc. 1,935 92
* Viasat Inc. 2,147 89
* CommVault Systems Inc. 2,252 82
* Hittite Microwave Corp. 1,289 79
* j2 Global Communications Inc. 2,385 69
* Taleo Corp. Class A 2,116 68
* JDA Software Group Inc. 2,289 68
  MAXIMUS Inc. 900 67
* Blue Coat Systems Inc. 2,258 64
* Netgear Inc. 1,874 61
  Littelfuse Inc. 1,162 61
  Blackbaud Inc. 2,295 61
  Power Integrations Inc. 1,462 58
* Diodes Inc. 1,880 54
* Synaptics Inc. 1,784 53
* Ebix Inc. 1,995 53
* MicroStrategy Inc. Class A 440 52
* Stratasys Inc. 1,081 49
* Microsemi Corp. 2,141 47
* Websense Inc. 2,184 47

 

38

 

S&P Small-Cap 600 Growth Index Fund

      Market
      Value•
    Shares ($000)
* Netscout Systems Inc. 1,828 46
* Synchronoss Technologies Inc.  1,254 43
* DG FastChannel Inc. 1,270 42
* DTS Inc. 897 41
* Sourcefire Inc. 1,465 40
* TTM Technologies Inc. 2,261 40
* Cabot Microelectronics Corp. 804 39
* Plexus Corp. 1,228 39
* Bottomline Technologies Inc. 1,689 37
* Manhattan Associates Inc. 1,146 37
* OSI Systems Inc. 976 37
* comScore Inc. 1,331 37
* Volterra Semiconductor Corp. 1,405 35
* Kulicke & Soffa Industries Inc. 3,683 35
  Micrel Inc. 2,598 35
* CSG Systems    
  International Inc. 1,783 35
* RightNow Technologies Inc. 1,235 33
  Cognex Corp. 1,173 33
* Take-Two Interactive    
  Software Inc. 2,000 32
* Cymer Inc. 635 32
* Radiant Systems Inc. 1,734 30
  MKS Instruments Inc. 974 29
* Mercury Computer    
  Systems Inc. 1,536 29
* Tyler Technologies Inc. 1,316 29
* Monolithic Power    
  Systems Inc. 1,874 29
* FEI Co. 840 28
* Oplink Communications Inc. 1,023 28
  Forrester Research Inc. 763 28
  iGate Corp. 1,519 27
* Tessera Technologies Inc. 1,557 27
* Ceva Inc. 1,151 26
* DealerTrack Holdings Inc. 1,295 26
* Interactive Intelligence Inc. 699 24
* Cardtronics Inc. 1,260 24
* TeleTech Holdings Inc. 996 23
* Rofin-Sinar Technologies Inc. 580 22
* Harmonic Inc. 2,292 22
* Perficient Inc. 1,547 19
  MTS Systems Corp. 391 18
* Newport Corp. 1,034 17
* LogMeIn Inc. 460 16
* Epicor Software Corp. 1,469 15
* Ultratech Inc. 611 15
* FARO Technologies Inc. 421 15
* Kopin Corp. 3,378 15
* Smith Micro Software Inc. 1,570 15
* Liquidity Services Inc. 895 14
* Rogers Corp. 289 14
* Standard Microsystems Corp. 495 13
* Sigma Designs Inc. 948 13
  Park Electrochemical Corp. 376 12
* Advanced Energy    
  Industries Inc. 733 12
* Super Micro Computer Inc. 718 11
* ATMI Inc. 587 11
* Novatel Wireless Inc. 1,685 10
  Daktronics Inc. 788 9
* Exar Corp. 1,338 9
  Stamps.com Inc. 624 8
* Pericom Semiconductor Corp. 751 8
* Rudolph Technologies Inc. 670 7
* Knot Inc. 700 7
* Electro Scientific    
  Industries Inc. 435 7
* Symmetricom Inc. 1,153 7
* Intevac Inc. 467 6
* NCI Inc. Class A 250 6
* Supertex Inc. 250 6
  Cohu Inc. 386 6
* Integral Systems Inc. 426 5
* Radisys Corp. 528 4
  Pulse Electronics Corp. 713 4
* Network Equipment    
  Technologies Inc. 768 3
* Tollgrade Communications Inc. 241 2
* LoJack Corp. 343 2
      3,254
Materials (3.6%)    
  Buckeye Technologies Inc. 2,065 54
  Balchem Corp. 1,492 54
  Schweitzer-Mauduit    
  International Inc. 943 52
* PolyOne Corp. 2,886 40
* KapStone Paper and    
  Packaging Corp. 1,997 34
* OM Group Inc. 920 32
* Brush Engineered    
  Materials Inc. 696 30
  Eagle Materials Inc. 713 23
  Quaker Chemical Corp. 593 23
* Calgon Carbon Corp. 1,407 20
  AMCOL International Corp. 630 20
* Century Aluminum Co. 1,090 18
* STR Holdings Inc. 968 18
* RTI International Metals Inc. 565 16
  Deltic Timber Corp. 241 15
* LSB Industries Inc. 458 14
      463
Telecommunication Services (0.8%)  
* Neutral Tandem Inc. 1,732 30
* Cbeyond Inc. 1,640 23
  Atlantic Tele-Network Inc. 477 19
  NTELOS Holdings Corp. 848 16
* General Communication Inc.    
  Class A 1,177 14
  USA Mobility Inc. 449 7
      109

 

39

 

S&P Small-Cap 600 Growth Index Fund

    Market
    Value•
  Shares ($000)
Utilities (1.1%)    
Piedmont Natural Gas Co. Inc. 1,358 40
South Jersey Industries Inc. 672 37
* El Paso Electric Co. 1,003 28
Northwest Natural Gas Co. 510 24
American States Water Co. 515 17
    146
Total Common Stocks    
(Cost $11,141)   12,963
Temporary Cash Investment (0.1%)  
Money Market Fund (0.1%)    
1 Vanguard Market Liquidity    
Fund, 0.213% (Cost $6) 5,855 6
Total Investments (100.1%)    
(Cost $11,147)   12,969
Other Assets and Liabilities (–0.1%)  
Other Assets   223
Liabilities   (231)
    (8)
Net Assets (100%)    
Applicable to 200,000 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 12,961
Net Asset Value Per Share—    
ETF Shares   $64.81

 

At February 28, 2011, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 10,721
Undistributed Net Investment Income 7
Accumulated Net Realized Gains 411
Unrealized Appreciation (Depreciation) 1,822
Net Assets 12,961

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is
the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.

40

 

S&P Small-Cap 600 Growth Index Fund

Statement of Operations

  September 7, 20101 to
  February 28, 2011
  ($000)
Investment Income  
Income  
Dividends 63
Total Income 63
Expenses  
The Vanguard Group—Note B  
Management and Administrative 4
Custodian Fees 3
Shareholders’ Reports 2
Total Expenses 9
Net Investment Income 54
Realized Net Gain (Loss) on Investment Securities Sold 462
Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,822
Net Increase (Decrease) in Net Assets Resulting from Operations 2,338
1 Inception.

 

See accompanying Notes, which are an integral part of the Financial Statements.

41

 

S&P Small-Cap 600 Growth Index Fund

Statement of Changes in Net Assets

  September 7,
  20101 to
  February 28,
  2011
  ($000)
Increase (Decrease) in Net Assets  
Operations  
Net Investment Income 54
Realized Net Gain (Loss) 462
Change in Unrealized Appreciation (Depreciation) 1,822
Net Increase (Decrease) in Net Assets Resulting from Operations 2,338
Distributions  
Net Investment Income  
Institutional Shares —
ETF Shares (47)
Realized Capital Gain  
Institutional Shares —
ETF Shares —
Total Distributions (47)
Capital Share Transactions  
Institutional Shares (6)
ETF Shares 10,676
Net Increase (Decrease) from Capital Share Transactions 10,670
Total Increase (Decrease) 12,961
Net Assets  
Beginning of Period —
End of Period2 12,961
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $7,000.

 

See accompanying Notes, which are an integral part of the Financial Statements.

42

 

S&P Small-Cap 600 Growth Index Fund

Financial Highlights

ETF Shares  
  September 7, 20101 to
For a Share Outstanding Throughout the Period February 28, 2011
Net Asset Value, Beginning of Period $49.82
Investment Operations  
Net Investment Income .343
Net Realized and Unrealized Gain (Loss) on Investments 14.957
Total from Investment Operations 15.300
Distributions  
Dividends from Net Investment Income (.310)
Distributions from Realized Capital Gains —
Total Distributions (.310)
Net Asset Value, End of Period $64.81
 
Total Return 30.73%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $13
Ratio of Total Expenses to Average Net Assets 0.20%
Ratio of Net Investment Income to Average Net Assets 1.15%
Portfolio Turnover Rate2 40%
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
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.

43

 

S&P Small-Cap 600 Growth Index Fund

Notes to Financial Statements

Vanguard S&P Small-Cap 600 Growth Index 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: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010. On December 17, 2010, the sole shareholder redeemed all shares. As of February 28, 2011, there were no investors in the Institutional share class. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.

2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended February 28, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

4. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2011, the fund had contributed capital of $2,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At February 28, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.

44

 

S&P Small-Cap 600 Growth Index Fund

D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.

During the period ended February 28, 2011, the fund realized $51,000 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.

At February 28, 2011, the cost of investment securities for tax purposes was $11,147,000. Net unrealized appreciation of investment securities for tax purposes was $1,822,000, consisting of unrealized gains of $1,945,000 on securities that had risen in value since their purchase and $123,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the period ended February 28, 2011, the fund purchased $13,663,000 of investment securities and sold $2,983,000 of investment securities, other than temporary cash investments.

F. Capital share transactions for each class of shares were:

    Inception1 to
  February 28, 2011 
  Amount Shares
  ($000) (000)
Institutional Shares    
Issued 228 2
Issued in Lieu of Cash Distributions — —
Redeemed (234) (2)
Net Increase (Decrease)—Institutional Shares (6) —
ETF Shares    
Issued 10,676 200
Issued in Lieu of Cash Distributions — —
Redeemed — —
Net Increase (Decrease)—ETF Shares 10,676 200
1 Inception was September 7, 2010, for ETF Shares and December 15, 2010, for Institutional Shares. On December 17, 2010, the sole
shareholder in the Institutional share class redeemed all shares. As of February 28, 2011, there were no investors in the Institutional
share class.

 

G. In preparing the financial statements as of February 28, 2011, management considered the impact
of subsequent events for potential recognition or disclosure in these financial statements.

45

 

Trustees Approve Advisory Arrangement

The board of trustees approved the launch of Vanguard S&P Small-Cap 600 Index Fund, S&P Small-Cap 600 Value Index Fund, and S&P Small-Cap 600 Growth Index Fund utilizing an internalized management structure whereby the Vanguard Group, Inc.—through its Quantitative Equity Group—would provide investment advisory services to the funds at cost. The board determined that the investment advisory arrangement with Vanguard was in the best interest of the funds and their prospective shareholders.

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.

Nature, extent, and quality of services

The board considered the quality of the investment management services to be provided to the funds and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity 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 approval of the advisory arrangement.

Investment performance

The board determined that, in its management of other Vanguard index funds, the Quantitative Equity Group has a track record of consistent performance and disciplined investment processes. Information about each fund’s performance since inception can be found in the Performance Summary pages of this report.

Cost

The board considered the cost of services to be provided and concluded that the funds’ expense ratios will be below the average expense ratios charged by funds in their peer groups. Information about the funds’ expense ratios appears in the Financial Statements pages of this report.

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 it produces “profits” only in the form of reduced expenses for fund shareholders.

The benefit of economies of scale

The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.

The board will consider whether to renew the advisory arrangement after a one-year period.

46

 

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 (in the case of bonds) 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.

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 the 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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.

Foreign Holdings. The percentage of a fund represented by stocks 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.

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.

47

 

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.

48

 

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.

The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee1 and President (2006–2008) of Rohm and Haas Co.
  (chemicals); Director of Tyco International, Ltd.
F. William McNabb III (diversified manufacturing and services) and Hewlett-
Born 1957. Trustee Since July 2009. Chairman of the Packard Co. (electronic computer manufacturing);
Board. Principal Occupation(s) During the Past Five Senior Advisor at New Mountain Capital; Trustee
Years: Chairman of the Board of The Vanguard Group, of The Conference Board; Member of the Board of
Inc., and of each of the investment companies served Managers of Delphi Automotive LLP (automotive
by The Vanguard Group, since January 2010; Director components).
of The Vanguard Group since 2008; Chief Executive  
Officer and President of The Vanguard Group and of Amy Gutmann
each of the investment companies served by The Born 1949. Trustee Since June 2006. Principal
Vanguard Group since 2008; Director of Vanguard Occupation(s) During the Past Five Years: President
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Christopher H.
Vanguard Group (1995–2008). Browne Distinguished Professor of Political Science
  in the School of Arts and Sciences with secondary
  appointments at the Annenberg School for Commu-
Independent Trustees nication and the Graduate School of Education
  of the University of Pennsylvania; Director of
Emerson U. Fullwood Carnegie Corporation of New York, Schuylkill River
Born 1948. Trustee Since January 2008. Principal Development Corporation, and Greater Philadelphia
Occupation(s) During the Past Five Years: Executive Chamber of Commerce; Trustee of the National
Chief Staff and Marketing Officer for North America Constitution Center; Chair of the Presidential
and Corporate Vice President (retired 2008) of Xerox Commission for the Study of Bioethical Issues.
Corporation (document management products and  
services); Executive in Residence and 2010 JoAnn Heffernan Heisen
Distinguished Minett Professor at the Rochester Born 1950. Trustee Since July 1998. Principal
Institute of Technology; Director of SPX Corporation Occupation(s) During the Past Five Years: Corporate
(multi-industry manufacturing), the United Way of Vice President and Chief Global Diversity Officer
Rochester, Amerigroup Corporation (managed health (retired 2008) and Member of the Executive
care), the University of Rochester Medical Center, Committee (1997–2008) of Johnson & Johnson
Monroe Community College Foundation, and North (pharmaceuticals/consumer products); Director of
Carolina A&T University. Skytop Lodge Corporation (hotels), the University
  Medical Center at Princeton, the Robert Wood
Rajiv L. Gupta Johnson Foundation, and the Center for Work Life
Born 1945. Trustee Since December 2001.2 Policy; Member of the Advisory Board of the
Principal Occupation(s) During the Past Five Years: Maxwell School of Citizenship and Public Affairs
Chairman and Chief Executive Officer (retired 2009) at Syracuse University.

 

 

F. Joseph Loughrey Thomas J. Higgins  
Born 1949. Trustee Since October 2009. Principal Born 1957. Chief Financial Officer Since September
Occupation(s) During the Past Five Years: President 2008. Principal Occupation(s) During the Past Five
and Chief Operating Officer (retired 2009) and Vice Years: Principal of The Vanguard Group, Inc.; Chief
Chairman of the Board (2008–2009) of Cummins Inc. Financial Officer of each of the investment companies
(industrial machinery); Director of SKF AB (industrial served by The Vanguard Group since 2008; Treasurer
machinery), Hillenbrand, Inc. (specialized consumer of each of the investment companies served by The
services), the Lumina Foundation for Education, and Vanguard Group (1998–2008).
Oxfam America; Chairman of the Advisory Council    
for the College of Arts and Letters and Member Kathryn J. Hyatt  
of the Advisory Board to the Kellogg Institute for Born 1955. Treasurer Since November 2008. Principal
International Studies at the University of Notre Dame. Occupation(s) During the Past Five Years: Principal
  of The Vanguard Group, Inc.; Treasurer of each of
André F. Perold the investment companies served by The Vanguard
Born 1952. Trustee Since December 2004. Principal Group since 2008; Assistant Treasurer of each of the
Occupation(s) During the Past Five Years: George investment companies served by The Vanguard Group
Gund Professor of Finance and Banking at the Harvard (1988–2008).  
Business School; Chair of the Investment Committee    
of HighVista Strategies LLC (private investment firm). Heidi Stam  
  Born 1956. Secretary Since July 2005. Principal
Alfred M. Rankin, Jr. Occupation(s) During the Past Five Years: Managing
Born 1941. Trustee Since January 1993. Principal Director of The Vanguard Group, Inc., since 2006;
Occupation(s) During the Past Five Years: Chairman, General Counsel of The Vanguard Group since 2005;
President, and Chief Executive Officer of NACCO Secretary of The Vanguard Group and of each of the
Industries, Inc. (forklift trucks/housewares/lignite); investment companies served by The Vanguard Group
Director of Goodrich Corporation (industrial products/ since 2005; Director and Senior Vice President of
aircraft systems and services) and the National Vanguard Marketing Corporation since 2005;
Association of Manufacturers; Chairman of the Principal of The Vanguard Group (1997–2006).
Federal Reserve Bank of Cleveland; Vice Chairman    
of University Hospitals of Cleveland; President of    
the Board of The Cleveland Museum of Art. Vanguard Senior Management Team
 
Peter F. Volanakis R. Gregory Barton Michael S. Miller
Born 1955. Trustee Since July 2009. Principal Mortimer J. Buckley James M. Norris
Occupation(s) During the Past Five Years: President Kathleen C. Gubanich Glenn W. Reed
and Chief Operating Officer (retired 2010) of Corning Paul A. Heller George U. Sauter
Incorporated (communications equipment); Director of    
Corning Incorporated (2000–2010) and Dow Corning    
(2001–2010); Overseer of the Amos Tuck School of Chairman Emeritus and Senior Advisor
Business Administration at Dartmouth College.    
  John J. Brennan  
  Chairman, 1996–2009  
Executive Officers Chief Executive Officer and President, 1996–2008
 
Glenn Booraem    
Born 1967. Controller Since July 2010. Principal  
Occupation(s) During the Past Five Years: Principal Founder  
of The Vanguard Group, Inc.; Controller of each of John C. Bogle  
the investment companies served by The Vanguard Chairman and Chief Executive Officer, 1974–1996
Group since 2010; Assistant Controller of each of    
the investment companies served by The Vanguard    
Group (2001–2010).    

 

1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard
State Tax-Exempt Funds.

 

  P.O. Box 2600
  Valley Forge, PA 19482-2600
 
 
 
Connect with Vanguard® > vanguard.com  
 
 
 
Fund Information > 800-662-7447 You can review and copy information about your fund
  at the SEC’s Public Reference Room in Washington, D.C.
Direct Investor Account Services > 800-662-2739 To find out more about this public service, call the SEC
Institutional Investor Services > 800-523-1036 at 202-551-8090. Information about your fund is also
  available on the SEC’s website, and you can receive
Text Telephone for People copies of this information, for a fee, by sending a
With Hearing Impairment > 800-749-7273 request in either of two ways: via e-mail addressed to
This material may be used in conjunction publicinfo@sec.gov or via regular mail addressed to the
with the offering of shares of any Vanguard Public Reference Section, Securities and Exchange
fund only if preceded or accompanied by Commission, Washington, DC 20549-1520.
the fund’s current prospectus. Standard & Poor’s®, S&P ®, Standard & Poor’s SmallCap
  600®, 600®, S&P SmallCap 600 Index®, S&P SmallCap
All comparative mutual fund data are from Lipper Inc. 600 Value Index®, and S&P SmallCap 600 Growth Index®
or Morningstar, Inc., unless otherwise noted. are registered trademarks of Standard & Poor’s Financial
You can obtain a free copy of Vanguard’s proxy voting Services LLC (”S&P”) and have been licensed for use by
guidelines by visiting vanguard.com/proxyreporting or The Vanguard Group, Inc. The Vanguard mutual funds
by calling Vanguard at 800-662-2739. The guidelines and ETFs are not sponsored, endorsed, sold, or promoted
are also available from the SEC’s website, sec.gov. by S&P or its Affiliates, and S&P and its Affiliates make
In addition, you may obtain a free report on how your no representation, warranty, or condition regarding the
fund voted the proxies for securities it owned during advisability of buying, selling, or holding units/shares in
the 12 months ended June 30. To get the report, visit the funds.
either vanguard.com/proxyreporting or sec.gov.  
 
 
 
 
  © 2011 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
  Q18452 042011

 

 

Item 2: Code of Ethics.

Not Applicable.

Item 3: Audit Committee Financial Expert.

Not Applicable.

Item 4: Principal Accountant Fees and Services.

Not Applicable.

Item 5: Audit Committee of Listed Registrants.

Not Applicable.

Item 6: Investments.

Not Applicable.

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not Applicable.

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

Not Applicable.

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not Applicable.

Item 10: Submission of Matters to a Vote of Security Holders.

Not Applicable.

Item 11: Controls and Procedures.

     (a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

     (b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could

 

significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12: Exhibits.

(a) Code of Ethics.
(b) Certifications.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

  VANGUARD ADMIRAL FUNDS
 
 
BY: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: April 15, 2011

 

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 ADMIRAL FUNDS
 
BY: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
Date: April 15, 2011
  VANGUARD ADMIRAL FUNDS
 
BY: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
Date: April 15, 2011

 

* By: /s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number
33-53683, Incorporated by Reference.

 
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CERTIFICATIONS

 

I, F. William McNabb III, certify that:

 

1. I have reviewed this report on Form N-CSR of Vanguard Admiral 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

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 second fiscal quarter of the period covered by this report 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: April 15, 2011

/s/ F. William McNabb III

 

F. William McNabb III

 

Chief Executive Officer

 

 

 

CERTIFICATIONS

 

I, Thomas J. Higgins, certify that:

 

1. I have reviewed this report on Form N-CSR of Vanguard Admiral 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

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 second fiscal quarter of the period covered by this report 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: April 15, 2011

/s/ Thomas J Higgins

 

Thomas J. Higgins

 

Chief Financial Officer

 

 

 
 EX-32 40 admiral_cert906.htm admiral_cert906.htm - Generated by SEC Publisher for SEC Filing

 

 

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

 

Name of Issuer: Vanguard Admiral Funds

 

            In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:

 

1.                  The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.                  The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer.

 

 

Date: April 15, 2011

/s/ F. William McNabb III

 

F. William McNabb III

 

Chief Executive Officer

 

 

 

 

 

 

 

 

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

 

Name of Issuer:  Vanguard Admiral Funds

 

            In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:

 

1.The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer.

 

 

Date: April 15, 2011

/s/ Thomas J Higgins

 

Thomas J. Higgins

 

Chief Financial Officer