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: | 811-07043 | |
Name of Registrant: |
Vanguard Admiral Funds | |
Address of Registrant: |
P.O. Box 2600 | |
Valley Forge, PA 19482 | ||
Name and address of agent for service: |
Anne E. Robinson, 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, 2015 – August 31, 2016 | ||
Item 1: Reports to Shareholders |
Annual Report | August 31, 2016
Vanguard Money Market Funds
Vanguard Prime Money Market Fund
Vanguard Federal Money Market Fund
Vanguard Treasury Money Market Fund
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 3 |
Advisor’s Report. | 6 |
Prime Money Market Fund. | 9 |
Federal Money Market Fund. | 28 |
Treasury Money Market Fund. | 42 |
About Your Fund’s Expenses. | 54 |
Trustees Approve Advisory Arrangements. | 56 |
Glossary. | 58 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary
focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown
translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• For the 12 months ended August 31, 2016, Vanguard Prime Money Market Fund returned 0.32% for Investor Shares and 0.38% for Admiral Shares, which have a lower expense ratio. Vanguard Federal Money Market Fund returned 0.23%, and Vanguard Treasury Money Market Fund returned 0.17%. These returns exceeded the average returns of the funds’ peer groups.
• Last December, the Federal Reserve increased its target for short-term interest rates to 0.25%–0.5%, the first time since 2008 the target has been above the near-zero level.
• Under Securities and Exchange Commission money market fund regulations that take effect in October, the Treasury Money Market Fund and the Federal Money Market Fund will continue to maintain a share price of $1 as U.S. government money market funds. The Prime Money Market Fund will be designated a retail fund, meaning that individual investors will continue to have access to it at a $1 share price.
Total Returns: Fiscal Year Ended August 31, 2016 | ||
7-Day SEC | Total | |
Yield | Returns | |
Vanguard Prime Money Market Fund | ||
Investor Shares | 0.50% | 0.32% |
Money Market Funds Average | 0.04 | |
Admiral™ Shares | 0.56 | 0.38 |
Institutional Money Market Funds Average | 0.16 | |
Money Market Funds Average and Institutional Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Vanguard Federal Money Market Fund | 0.29% | 0.23% |
Government Money Market Funds Average | 0.00 | |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Vanguard Treasury Money Market Fund | 0.25% | 0.17% |
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. | ||
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. |
1
Total Returns: Ten Years Ended August 31, 2016 | |
Average | |
Annual Return | |
Prime Money Market Fund Investor Shares | 1.05% |
Money Market Funds Average | 0.81 |
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Federal Money Market Fund | 0.99% |
Government Money Market Funds Average | 0.76 |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Treasury Money Market Fund | 0.89% |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average | 0.65 |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
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 funds. (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.)
Expense Ratios | ||
Your Fund Compared With Its Peer Group | ||
Peer Group | ||
Fund | Average | |
Prime Money Market Fund | ||
Investor Shares | 0.16% | 0.17% |
Admiral Shares | 0.10 | 0.18 |
Federal Money Market Fund | 0.11 | 0.08 |
Treasury Money Market Fund | 0.09 | 0.06 |
The fund expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year.
For the fiscal year ended August 31, 2016, the funds’ expense ratios were: for the Prime Money Market Fund, 0.16% for Investor Shares and
0.10% for Admiral Shares; for the Federal Money Market Fund, 0.11%; for the Treasury Money Market Fund, 0.09%.
Peer groups: For the Prime Money Market Fund Investor Shares, Money Market Funds, and for Admiral Shares, Institutional Money Market
Funds; for the Federal Money Market Fund, Government Money Market Funds; and for the Treasury Money Market Fund, iMoneyNet
Money Fund Report’s 100% Treasury Fund.
2
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
Even as the global economy continued to expand at a slow but sustained pace over the 12 months ended August 31, 2016, a series of disquieting developments highlighted the importance for investors of remaining disciplined.
Chief among them was “Brexit”—the British public’s vote to exit the European Union—but plenty of others moved the markets as well. We saw sharp ups and downs in the prices of oil and other commodities, choppy U.S. job numbers, shifting expectations about when the Federal Reserve might raise interest rates again, and decreases in already negative yields for European and Japanese government bonds.
Beyond being the end of the fiscal period, August marked a milestone: 40 years since Vanguard introduced the first index mutual fund. In ways that are perhaps still not fully appreciated, indexing has vastly improved investing for individuals, advisors, and institutions all over the world. Later in this letter, I’ll discuss the revolution wrought by what was initially a little-heralded new fund from a fledgling outfit in Valley Forge, Pennsylvania.
Brexit added another layer of uncertainty for investors
I think it’s fair to say that the momentous June 23 Brexit vote caught even the British off guard. Although we saw some market jitters in the run-up to the referendum, the unexpected outcome triggered a spike in
3
volatility worldwide. Stocks around the world lost 5%–10% in U.S. dollar terms in the first two trading sessions following the vote, with U.K. and European markets among the hardest hit; global bonds, though, headed in the other direction. It was a textbook illustration of the value of having a diversified portfolio.
That kind of volatility can push investors to “do something.” But some of the worst days in the stock markets are sometimes followed by some of the best—as happened at the end of June. Investors who scrambled to protect their portfolios by shedding stocks amid headlines warning of a global market meltdown may well have ended up locking in post-Brexit losses, then missing out on the strong rebound that took place just days later. Those headlines were noise that investors would have been better off tuning out. I’m pleased to say that Vanguard investors on the whole did just that—we continued to see cash flows into our funds in the days after the vote.
For the 12 months, stocks generally finished higher, with U.S. stocks up more than 11% and international stocks about 3% for U.S.-based investors.
In a surprise, bonds turned in a solid performance that few would have predicted a year ago. It seemed as if rates had fallen so far that they couldn’t go any lower, but many did. Central banks in a number of European countries and Japan set key monetary policy rates below zero.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2016 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 11.69% | 12.02% | 14.60% |
Russell 2000 Index (Small-caps) | 8.59 | 8.53 | 12.85 |
Russell 3000 Index (Broad U.S. market) | 11.44 | 11.74 | 14.46 |
FTSE All-World ex US Index (International) | 3.37 | 2.59 | 3.72 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 4.37% | 3.24% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 6.88 | 6.47 | 4.80 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.18 | 0.05 | 0.06 |
CPI | |||
Consumer Price Index | 1.06% | 0.98% | 1.23% |
4
These policies held down short-term rates, while more muted expectations for global growth and inflation weighed on longer-term rates.
Yields in the United States weren’t quite as low as in many developed countries. The Fed raised the federal funds target rate only once, in December, to a slim 0.25%–0.5%. Further out on the maturity spectrum, the bellwether 10-year U.S. Treasury yield dropped in early July to a record low 1.36%, before moving back up a little to end the period at 1.58%. Over the 12 months, U.S. bonds returned about 6%, and international bonds returned even more—about 11%—for U.S.-based investors, again underscoring the markets’ unpredictability and the merits of diversification.
Over the years, many investors have embraced the pluses of indexing
Market upsets like Brexit aren’t rare occurrences. Fortunately, indexing has proved to be a durable behavioral tool to help keep investors from making bad financial decisions when upsets happen. In fact, this is one of indexing’s less appreciated benefits: Holding index funds as part of a broadly diversified portfolio can counterbalance that tendency to react to news headlines. When times are volatile, you’ll know you might have some exposure to a part of the market that has dropped, but also to other parts that may be holding up better.
Vanguard’s launch of the First Index Investment Trust, now Vanguard 500 Index Fund, initially met with a frosty reception. Its mandate to track the performance of a broadly diversified benchmark at a low cost seemed underwhelming to an investing public accustomed to funds that offered the chance to outperform. Investors have since come around, as experience has demonstrated the benefits of low costs and broad diversification.
Indexing accounted for about 30% of U.S. mutual fund and exchange-traded fund (ETF) assets at the end of 2015, according to the Investment Company Institute. Some now even proclaim the “triumph of indexing,” implying that it’s the only way to invest.
In our view, the rise of indexing has served to underscore an investment principle that long predates 1976: A long-term, low-cost, diversified approach gives investors the best chance for success. That’s true whether the investments you choose are indexed or actively managed—or both.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 9, 2016
5
Advisor’s Report
Investors spent much of the 12 months ended August 31, 2016, focused on monetary policy and, in particular, whether the U.S. Federal Reserve would raise short-term interest rates.
In December, the Fed hiked rates for the first time in nearly a decade, nudging them from the near-zero level at which they had hovered since late in 2008. The increase marked a start toward a normalization of monetary policy, although rates remained uncommonly low by historical standards. In closely watched meetings after the increase, Fed policymakers held rates steady at 0.25%–0.5%.
Returns of money market funds ticked higher as yields climbed. These funds continued to provide shareholders with a high-quality, very liquid investment appropriate for short-term savings goals or cash management.
For the fiscal year, Vanguard Prime Money Market Fund returned 0.32% for Investor Shares and 0.38% for Admiral Shares. Vanguard Federal Money Market Fund returned 0.23%, and Vanguard Treasury Money Market returned 0.17%. The funds surpassed the average returns for their peer groups.
The investment environment
The U.S. economy generally fared better than many of its international counterparts over the fiscal year, reflected most noticeably in favorable employment and payroll data. Central banks in Europe and Asia bolstered their stimulus efforts against weak growth and low inflation.
The European Central Bank continued its negative-rate policy, and Japan adopted one in January. China made a series of interest rate cuts and reduced bank reserve requirements to stimulate its decelerating economy.
The new year began with expectations that the Fed might continue to raise short-term rates, but deteriorating global economic conditions, and the uncertainty engendered by the United Kingdom’s vote in June to leave the European Union, gave officials pause. Despite this, the U.S. economy continued to make progress. Wage inflation, for example, showed slow but steady improvement.
Management of the funds
Money market rates moved meaningfully higher late in 2015 as investors responded to strong job growth and anticipated that the Fed would finally begin to raise rates. As sometimes happens, the market got ahead of itself, and rates soon began to reflect the risk that more aggressive increases were ahead. This created an opportunity to lock in prevailing higher rates by extending the portfolios’ average maturity. In the Prime Money Market Fund, we were able to do this largely by increasing our U.S. government securities holdings.
6
Fund companies had until October 14, 2016, after the end of the funds’ fiscal year, to fully implement the new money market regulations introduced by the Securities and Exchange Commission in 2014. As U.S. government money market funds, the Treasury Money Market Fund and the Federal Money Market Fund will continue to seek to maintain a stable share price of $1. They will not be subject to new liquidity fees and redemption gates (the temporary suspension of redemptions).
The Prime Money Market Fund is designated a retail fund, meaning that individual investors will continue to have access to it at a share price of $1. The fund is subject to liquidity fees and redemption gates, which a fund’s board of directors can impose on funds whose portfolios fail to meet certain liquidity thresholds.
The regulations have had an impact on the marketplace as large institutional money fund investors have been forced to transition to government money funds to maintain a $1 share price. As of this writing, approximately half of the industry assets invested in funds similar to the Prime Money Market Fund have transitioned to U.S. government money funds.
We took a number of steps to prepare for any unforeseen volatility caused by the regulatory changes. Anticipating additional shareholder activity, we kept our liquidity positions well in excess of SEC targets. We also managed the funds’ maturity structure more conservatively by shortening their weighted average maturity in the weeks leading up to the regulations’ implementation. These and other balanced measures allowed us to provide maximum safety and liquidity.
Increased demand for U.S. government money market funds caused spreads between Treasury and agency securities to narrow dramatically over the fiscal year. As a result, we diversified the Federal Money Market Fund’s assets by adding to its Treasury exposure. We also added exposure to floating-rate agency notes when spreads were favorable compared with those of fixed-rate instruments.
Bank and corporate issuers have found it more expensive to issue debt in the money market space as the new regulations have prompted large institutional investors to favor government money funds. This has given investors in the Prime Money Market Fund an opportunity to earn higher yields than what might normally be available. To take advantage of this, we reduced the fund’s exposure to government securities in favor of short-term bank debt maturing within one week. In anticipation of further Fed monetary policy tightening, we purchased floating-rate debt that resets periodically at prevailing market rates.
Shortly after the December interest rate increase, we reopened the Treasury Money Market Fund, which invests exclusively in U.S. Treasury securities. We managed the portfolio’s average maturity to take advantage of the steepening
7
Treasury yield curve. We also added Treasury floating-rate notes in late 2015. As always, Vanguard’s low expense ratios provide a built-in advantage because we don’t have to assume unnecessary risk in our search for yield.
The outlook
U.S. monetary policy is likely to remain cautious and accommodative. Despite strong job growth, inflationary pressures have not accelerated meaningfully, and we expect the Fed’s schedule for future rate hikes to be slow and measured, especially compared with prior periods of economic recovery. This could change if job growth leads to a faster pickup in wage inflation.
We continue to believe the short-term rate target isn’t likely to go above 1% over the next several years. Other central banks appear set to maintain an accommodative monetary stance in the face of weak or slowing growth, which should keep U.S. yields attractive to international investors. Given that, and our outlook for modest growth and inflation at home, we expect yields to remain low relative to historical levels.
Whatever the markets may bring, our experienced team of portfolio managers and traders will continue to seek opportunities to produce competitive returns.
David R. Glocke, Principal
Vanguard Fixed Income Group
September 19, 2016
8
Prime Money Market Fund
Fund Profile
As of August 31, 2016
Financial Attributes | ||
Investor | Admiral | |
Shares | Shares | |
Ticker Symbol | VMMXX | VMRXX |
Expense Ratio1 | 0.16% | 0.10% |
7-Day SEC Yield | 0.50% | 0.56% |
Average Weighted | ||
Maturity | 39 days | 39 days |
Sector Diversification (% of portfolio) | |
Certificates of Deposit | 12.1% |
U.S. Commercial Paper | 2.7 |
Other | 1.5 |
Repurchase Agreements | 0.1 |
U.S. Government Obligations | 8.2 |
U.S. Treasury Bills | 18.0 |
Yankee/Foreign | 57.4 |
The agency and mortgage-backed securities sectors may includeissues from government-sponsored enterprises; such issues are
generally not backed by the full faith and credit of the U.S. government.
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2016, the expense ratios were 0.16% for Investor Shares and 0.10% for Admiral Shares.
9
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. The fund is only available to retail investors (natural persons). You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1 per share, it cannot guarantee it will do so. The fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Cumulative Performance: August 31, 2006, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2016 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Prime Money Market Fund Investor | ||||
Shares | 0.32% | 0.08% | 1.05% | $11,106 |
•••••••• Money Market Funds Average | 0.04 | 0.01 | 0.81 | 10,844 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.18 | 0.06 | 0.87 | 10,931 |
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
See Financial Highlights for dividend information.
10
Prime Money Market Fund
Average Annual Total Returns | ||||
Periods Ended August 31, 2016 | ||||
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Prime Money Market Fund Admiral Shares | 0.38% | 0.14% | 1.15% | $5,607,990 |
Institutional Money Market Funds Average | 0.16 | 0.04 | 0.97 | 5,505,108 |
Citigroup Three-Month U.S. Treasury Bill | ||||
Index | 0.18 | 0.06 | 0.87 | 5,465,288 |
Fiscal-Year Total Returns (%): August 31, 2006, Through August 31, 2016 | ||
Money | ||
Market | ||
Funds | ||
Investor Shares | Average | |
Fiscal Year | Total Returns | Total Returns |
2007 | 5.23% | 4.55% |
2008 | 3.60 | 3.02 |
2009 | 1.31 | 0.62 |
2010 | 0.08 | 0.02 |
2011 | 0.06 | 0.00 |
2012 | 0.04 | 0.00 |
2013 | 0.02 | 0.00 |
2014 | 0.02 | 0.00 |
2015 | 0.02 | 0.00 |
2016 | 0.32 | 0.04 |
7-day SEC yield (8/31/2016): 0.50% | ||
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 6/4/1975 | 0.25% | 0.07% | 1.13% |
Admiral Shares | 10/3/1989 | 0.31 | 0.12 | 1.24 |
11
Prime Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
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 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 (26.5%) | |||||
2 | Federal Home Loan Bank Discount Notes | 0.335% | 9/7/16 | 1,500,000 | 1,499,916 |
2 | Federal Home Loan Bank Discount Notes | 0.302% | 10/12/16 | 2,000,000 | 1,999,312 |
2 | Federal Home Loan Bank Discount Notes | 0.300% | 10/19/16 | 1,500,000 | 1,499,400 |
United States Treasury Bill | 0.270% | 9/8/16 | 591,046 | 591,015 | |
United States Treasury Bill | 0.381% | 11/10/16 | 4,305,000 | 4,301,819 | |
United States Treasury Bill | 0.300%–0.371% | 11/17/16 | 6,000,000 | 5,995,851 | |
United States Treasury Bill | 0.310% | 11/25/16 | 1,500,000 | 1,498,902 | |
United States Treasury Bill | 0.487%–0.494% | 12/1/16 | 2,750,000 | 2,746,594 | |
United States Treasury Bill | 0.401% | 12/15/16 | 4,100,000 | 4,095,217 | |
United States Treasury Bill | 0.441% | 2/9/17 | 2,000,000 | 1,996,064 | |
3 | United States Treasury Floating Rate Note | 0.388% | 10/31/16 | 2,912,200 | 2,911,951 |
3 | United States Treasury Floating Rate Note | 0.419% | 1/31/17 | 1,779,183 | 1,779,176 |
Total U.S. Government and Agency Obligations (Cost $30,915,217) | 30,915,217 | ||||
Commercial Paper (27.1%) | |||||
Bank Holding Company (0.7%) | |||||
4 | ABN Amro Funding USA LLC | 0.621% | 9/12/16 | 49,500 | 49,491 |
4 | ABN Amro Funding USA LLC | 1.003% | 12/7/16 | 303,000 | 302,184 |
4 | ABN Amro Funding USA LLC | 1.003% | 12/9/16 | 40,000 | 39,890 |
4 | ABN Amro Funding USA LLC | 1.003% | 12/16/16 | 46,500 | 46,363 |
4 | ABN Amro Funding USA LLC | 0.973%–1.003% | 12/19/16 | 291,250 | 290,384 |
4 | ABN Amro Funding USA LLC | 0.983% | 1/3/17 | 41,500 | 41,360 |
769,672 | |||||
Finance—Auto (0.8%) | |||||
4 | BMW US Capital LLC | 0.521% | 9/12/16 | 80,000 | 79,987 |
4 | BMW US Capital LLC | 0.521% | 9/13/16 | 35,000 | 34,994 |
Toyota Motor Credit Corp. | 0.601% | 9/22/16 | 198,250 | 198,181 | |
Toyota Motor Credit Corp. | 0.611% | 10/5/16 | 40,000 | 39,977 | |
Toyota Motor Credit Corp. | 0.621% | 10/21/16 | 72,000 | 71,938 | |
Toyota Motor Credit Corp. | 0.883% | 12/8/16 | 91,250 | 91,031 | |
Toyota Motor Credit Corp. | 0.873% | 12/13/16 | 71,750 | 71,571 | |
Toyota Motor Credit Corp. | 0.873% | 12/14/16 | 71,750 | 71,570 | |
Toyota Motor Credit Corp. | 0.883% | 12/19/16 | 107,000 | 106,715 | |
Toyota Motor Credit Corp. | 0.883% | 12/20/16 | 62,250 | 62,083 | |
Toyota Motor Credit Corp. | 0.883% | 1/6/17 | 148,500 | 148,039 | |
976,086 |
12
Prime Money Market Fund | ||||||
Face | Market | |||||
Maturity | Amount | Value• | ||||
Yield1 | Date | ($000) | ($000) | |||
Foreign Banks (20.3%) | ||||||
4 | Australia & New Zealand Banking Group Ltd. | 0.651% | 10/3/16 | 329,000 | 328,810 | |
4 | Australia & New Zealand Banking Group Ltd. | 0.823% | 11/3/16 | 180,000 | 179,742 | |
3,4 | Australia & New Zealand Banking Group Ltd. | 1.074% | 1/30/17 | 372,000 | 372,000 | |
3,4 | Australia & New Zealand Banking Group Ltd. | 0.986% | 2/1/17 | 346,750 | 346,750 | |
4 | Bank of Nova Scotia | 0.651% | 10/6/16 | 500,000 | 499,684 | |
3,4 | Bank of Nova Scotia | 1.070% | 1/26/17 | 700,000 | 700,000 | |
BNP Paribas SA (New York Branch) | 0.300% | 9/1/16 | 220,000 | 220,000 | ||
4 | Commonwealth Bank of Australia | 0.854% | 9/14/16 | 288,000 | 287,912 | |
4 | Commonwealth Bank of Australia | 0.844% | 9/23/16 | 185,750 | 185,655 | |
3,4 | Commonwealth Bank of Australia | 0.870% | 9/26/16 | 268,000 | 268,000 | |
3,4 | Commonwealth Bank of Australia | 0.846% | 10/4/16 | 345,000 | 345,000 | |
3,4 | Commonwealth Bank of Australia | 0.872% | 10/24/16 | 300,000 | 300,000 | |
3,4 | Commonwealth Bank of Australia | 0.884% | 10/31/16 | 185,000 | 184,998 | |
3,4 | Commonwealth Bank of Australia | 0.894% | 10/31/16 | 260,250 | 260,250 | |
3,4 | Commonwealth Bank of Australia | 0.894% | 11/1/16 | 260,250 | 260,250 | |
3,4 | Commonwealth Bank of Australia | 1.014% | 2/3/17 | 349,000 | 349,000 | |
3,4 | Commonwealth Bank of Australia | 1.112% | 3/7/17 | 200,000 | 200,000 | |
3,4 | Commonwealth Bank of Australia | 1.112% | 3/10/17 | 350,000 | 350,000 | |
3,4 | Commonwealth Bank of Australia | 1.074% | 5/19/17 | 103,750 | 103,750 | |
3,4 | Commonwealth Bank of Australia | 1.074% | 5/26/17 | 296,250 | 296,250 | |
Credit Agricole Corporate & Investment Bank | ||||||
(New York Branch) | 0.310% | 9/1/16 | 69,500 | 69,500 | ||
4 | Danske Corp. | 0.591% | 9/6/16 | 225,000 | 224,982 | |
4 | Danske Corp. | 0.591% | 9/7/16 | 170,000 | 169,983 | |
4 | Danske Corp. | 0.933% | 12/8/16 | 291,250 | 290,513 | |
4 | Danske Corp. | 0.933% | 12/9/16 | 145,750 | 145,377 | |
4 | Danske Corp. | 0.953% | 12/23/16 | 100,000 | 99,702 | |
4 | DNB Bank ASA | 0.883% | 12/28/16 | 500,000 | 498,558 | |
ING US Funding LLC | 0.701% | 9/1/16 | 28,000 | 28,000 | ||
ING US Funding LLC | 0.712% | 9/6/16 | 255,500 | 255,475 | ||
ING US Funding LLC | 0.702% | 9/7/16 | 400,000 | 399,953 | ||
ING US Funding LLC | 0.702% | 9/8/16 | 200,000 | 199,973 | ||
ING US Funding LLC | 0.712% | 9/15/16 | 100,000 | 99,972 | ||
ING US Funding LLC | 0.712% | 9/16/16 | 500,000 | 499,852 | ||
ING US Funding LLC | 0.943% | 12/6/16 | 500,000 | 498,747 | ||
ING US Funding LLC | 0.942% | 12/8/16 | 290,750 | 290,006 | ||
ING US Funding LLC | 0.948% | 12/16/16 | 68,150 | 67,960 | ||
ING US Funding LLC | 0.943%–0.948% | 12/19/16 | 422,850 | 421,645 | ||
ING US Funding LLC | 0.943% | 12/20/16 | 100,000 | 99,713 | ||
Lloyds Bank plc | 0.621% | 9/14/16 | 500,000 | 499,888 | ||
Lloyds Bank plc | 0.682% | 9/20/16 | 350,000 | 349,874 | ||
Lloyds Bank plc | 0.682% | 10/5/16 | 300,000 | 299,807 | ||
4 | National Australia Bank Ltd. | 0.854% | 9/12/16 | 376,000 | 375,902 | |
4 | National Australia Bank Ltd. | 0.823% | 10/3/16 | 600,000 | 599,563 | |
4 | National Australia Bank Ltd. | 0.844% | 10/24/16 | 239,000 | 238,704 | |
3,4 | National Australia Bank Ltd. | 0.924% | 3/3/17 | 500,000 | 500,000 | |
Natixis (New York Branch) | 0.300% | 9/1/16 | 1,194,000 | 1,194,000 | ||
4 | Nordea Bank AB | 0.849% | 9/14/16 | 201,250 | 201,189 | |
4 | Nordea Bank AB | 0.849% | 9/15/16 | 700,000 | 699,770 | |
4 | Nordea Bank AB | 0.828% | 9/20/16 | 223,000 | 222,903 | |
4 | Nordea Bank AB | 0.828% | 9/21/16 | 277,000 | 276,873 | |
4 | Nordea Bank AB | 0.828% | 9/26/16 | 700,000 | 699,599 | |
4 | Nordea Bank AB | 0.828% | 9/27/16 | 300,000 | 299,821 | |
4 | Nordea Bank AB | 0.910% | 11/14/16 | 300,000 | 299,442 | |
4 | Skandinaviska Enskilda Banken AB | 0.601% | 9/2/16 | 28,125 | 28,125 |
13
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
4 | Skandinaviska Enskilda Banken AB | 0.883% | 12/28/16 | 401,000 | 399,843 |
4 | Societe Generale SA | 0.300% | 9/1/16 | 245,000 | 245,000 |
4 | Societe Generale SA | 0.400% | 9/6/16 | 2,124,000 | 2,123,882 |
4 | Sumitomo Mitsui Banking Corp. | 0.681% | 9/26/16 | 320,000 | 319,849 |
4 | Svenska Handelsbanken AB | 0.833% | 11/1/16 | 1,100,000 | 1,098,453 |
Swedbank AB | 0.586% | 9/14/16 | 200,000 | 199,958 | |
Swedbank AB | 0.586% | 9/15/16 | 200,000 | 199,954 | |
Swedbank AB | 0.586% | 9/16/16 | 155,000 | 154,962 | |
3,4 | Westpac Banking Corp. | 0.858% | 10/14/16 | 250,000 | 249,999 |
3,4 | Westpac Banking Corp. | 0.858% | 10/14/16 | 400,000 | 399,998 |
3,4 | Westpac Banking Corp. | 0.958% | 2/14/17 | 350,000 | 350,000 |
3,4 | Westpac Banking Corp. | 0.958% | 2/15/17 | 350,000 | 350,000 |
3,4 | Westpac Banking Corp. | 1.060% | 5/26/17 | 413,000 | 413,000 |
23,688,320 | |||||
Foreign Governments (1.5%) | |||||
4 | CDP Financial Inc. | 0.601% | 9/8/16 | 12,750 | 12,748 |
4 | CDP Financial Inc. | 0.601% | 9/12/16 | 30,750 | 30,744 |
4 | CDP Financial Inc. | 0.611% | 9/14/16 | 74,250 | 74,234 |
4 | CDP Financial Inc. | 0.611% | 9/15/16 | 42,000 | 41,990 |
4 | CDP Financial Inc. | 0.834% | 9/16/16 | 57,500 | 57,480 |
4 | CDP Financial Inc. | 0.651% | 9/30/16 | 45,000 | 44,976 |
4 | CDP Financial Inc. | 0.651% | 10/4/16 | 66,000 | 65,961 |
Export Development Canada | 0.641% | 10/17/16 | 123,000 | 122,899 | |
Export Development Canada | 0.646% | 10/19/16 | 100,000 | 99,914 | |
4 | Ontario Teachers’ Finance Trust | 0.581% | 9/12/16 | 99,000 | 98,982 |
4 | Ontario Teachers’ Finance Trust | 0.884% | 10/26/16 | 71,000 | 70,905 |
4 | Ontario Teachers’ Finance Trust | 0.945% | 11/15/16 | 72,000 | 71,859 |
4 | Ontario Teachers’ Finance Trust | 0.864% | 11/21/16 | 60,000 | 59,884 |
4 | Ontario Teachers’ Finance Trust | 0.995% | 12/5/16 | 95,000 | 94,752 |
4 | Ontario Teachers’ Finance Trust | 0.925% | 1/3/17 | 50,000 | 49,842 |
3,4 | Ontario Teachers’ Finance Trust | 0.986% | 2/1/17 | 100,000 | 100,000 |
3,4 | Ontario Teachers’ Finance Trust | 0.988% | 2/6/17 | 50,000 | 50,000 |
3,4 | Ontario Teachers’ Finance Trust | 1.140% | 3/2/17 | 99,000 | 99,000 |
5 | PSP Capital Inc. | 0.601% | 9/2/16 | 22,000 | 22,000 |
5 | PSP Capital Inc. | 0.561%–0.601% | 9/6/16 | 49,750 | 49,746 |
5 | PSP Capital Inc. | 0.601% | 9/7/16 | 97,500 | 97,490 |
5 | PSP Capital Inc. | 0.571% | 9/8/16 | 24,750 | 24,747 |
5 | PSP Capital Inc. | 0.561% | 9/12/16 | 35,000 | 34,994 |
5 | PSP Capital Inc. | 0.561% | 9/13/16 | 25,000 | 24,995 |
5 | PSP Capital Inc. | 0.651% | 10/3/16 | 66,364 | 66,326 |
5 | PSP Capital Inc. | 0.651% | 10/4/16 | 98,000 | 97,942 |
5 | PSP Capital Inc. | 0.651% | 10/5/16 | 100,000 | 99,939 |
5 | PSP Capital Inc. | 0.651% | 10/7/16 | 27,000 | 26,982 |
1,791,331 | |||||
Foreign Industrial (2.8%) | |||||
4 | Nestle Capital Corp. | 0.561% | 9/1/16 | 44,500 | 44,500 |
4 | Nestle Capital Corp. | 0.561% | 9/6/16 | 59,500 | 59,495 |
Nestle Finance International Ltd. | 0.561% | 9/6/16 | 99,000 | 98,992 | |
4 | Reckitt Benckiser Treasury Services plc | 0.651% | 10/3/16 | 49,500 | 49,472 |
4 | Sanofi | 0.541% | 9/7/16 | 40,630 | 40,626 |
4 | Sanofi | 0.551% | 9/13/16 | 198,000 | 197,964 |
4 | Sanofi | 0.561% | 9/20/16 | 256,750 | 256,674 |
4 | Sanofi | 0.561%–0.566% | 9/27/16 | 308,150 | 308,025 |
4 | Sanofi | 0.591% | 9/30/16 | 301,500 | 301,357 |
4 | Siemens Capital Co. LLC | 0.601% | 9/26/16 | 198,250 | 198,167 |
4 | Total Capital Canada Ltd. | 0.561% | 9/15/16 | 643,000 | 642,860 |
14
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
4 Total Capital Canada Ltd. | 0.591% | 9/19/16 | 49,500 | 49,485 |
4 Total Capital Canada Ltd. | 0.601% | 10/5/16 | 36,750 | 36,729 |
4 Total Capital Canada Ltd. | 0.611% | 10/7/16 | 586,750 | 586,392 |
4 Total Capital Canada Ltd. | 0.621% | 10/11/16 | 107,500 | 107,426 |
Toyota Credit Canada Inc. | 0.651% | 10/3/16 | 49,500 | 49,471 |
4 Unilever Capital Corp. | 0.621% | 9/6/16 | 39,750 | 39,747 |
4 Unilever Capital Corp. | 0.551%–0.631% | 9/12/16 | 104,500 | 104,482 |
4 Unilever Capital Corp. | 0.551%–0.561% | 9/13/16 | 40,000 | 39,993 |
4 Unilever Capital Corp. | 0.561% | 9/19/16 | 90,000 | 89,975 |
3,301,832 | ||||
Industrial (1.0%) | ||||
Exxon Mobil Corp. | 0.330% | 9/1/16 | 171,000 | 171,000 |
General Electric Co. | 0.330% | 9/1/16 | 555,000 | 555,000 |
4 Henkel of America Inc. | 0.641% | 9/20/16 | 75,000 | 74,974 |
4 Henkel of America Inc. | 0.651% | 10/5/16 | 52,600 | 52,568 |
4 Henkel of America Inc. | 0.661% | 10/11/16 | 43,500 | 43,468 |
4 The Coca-Cola Co. | 0.611% | 9/6/16 | 50,000 | 49,996 |
4 The Coca-Cola Co. | 0.611% | 9/7/16 | 149,750 | 149,735 |
1,096,741 | ||||
Total Commercial Paper (Cost $31,623,982) | 31,623,982 | |||
Certificates of Deposit (43.5%) | ||||
Domestic Banks (10.7%) | ||||
Citibank NA | 0.670% | 9/1/16 | 495,500 | 495,500 |
Citibank NA | 0.670% | 9/2/16 | 495,500 | 495,500 |
Citibank NA | 0.600% | 9/13/16 | 198,000 | 198,000 |
Citibank NA | 0.600% | 9/19/16 | 348,000 | 348,000 |
Citibank NA | 0.630% | 9/27/16 | 400,000 | 400,000 |
Citibank NA | 0.630% | 9/28/16 | 235,000 | 235,000 |
Citibank NA | 0.630% | 9/29/16 | 100,000 | 100,000 |
Citibank NA | 0.650% | 10/7/16 | 300,000 | 300,000 |
3 HSBC Bank USA NA | 0.866% | 9/2/16 | 500,000 | 500,000 |
3 HSBC Bank USA NA | 0.904% | 10/3/16 | 497,000 | 497,000 |
3 HSBC Bank USA NA | 0.904% | 10/4/16 | 300,000 | 300,000 |
HSBC Bank USA NA | 0.950% | 10/19/16 | 185,750 | 185,750 |
3 HSBC Bank USA NA | 0.894% | 11/3/16 | 400,000 | 400,000 |
3 HSBC Bank USA NA | 0.894% | 11/4/16 | 149,000 | 149,000 |
3 HSBC Bank USA NA | 0.898% | 11/7/16 | 223,750 | 223,750 |
3 HSBC Bank USA NA | 1.094% | 2/1/17 | 739,000 | 739,000 |
3 HSBC Bank USA NA | 1.039% | 3/1/17 | 300,000 | 300,000 |
3 HSBC Bank USA NA | 1.053% | 3/3/17 | 300,000 | 300,000 |
3 JPMorgan Chase Bank NA | 1.062% | 4/21/17 | 55,000 | 55,000 |
3 JPMorgan Chase Bank NA | 1.046% | 5/2/17 | 72,000 | 72,000 |
3 State Street Bank & Trust Co. | 0.848% | 10/6/16 | 550,000 | 550,000 |
3 State Street Bank & Trust Co. | 0.857% | 10/18/16 | 550,000 | 550,000 |
3 State Street Bank & Trust Co. | 0.871% | 11/23/16 | 148,500 | 148,500 |
3 State Street Bank & Trust Co. | 0.938% | 1/13/17 | 500,000 | 500,000 |
3 State Street Bank & Trust Co. | 1.021% | 1/23/17 | 1,000,000 | 1,000,000 |
3 State Street Bank & Trust Co. | 1.074% | 1/25/17 | 460,000 | 460,000 |
Wells Fargo Bank NA | 0.890% | 10/17/16 | 115,000 | 115,000 |
3 Wells Fargo Bank NA | 0.861% | 10/21/16 | 450,000 | 450,000 |
3 Wells Fargo Bank NA | 0.861% | 10/24/16 | 450,000 | 450,000 |
3 Wells Fargo Bank NA | 0.894% | 10/28/16 | 150,000 | 150,000 |
3 Wells Fargo Bank NA | 0.836% | 11/2/16 | 495,000 | 495,000 |
Wells Fargo Bank NA | 0.910% | 11/10/16 | 310,000 | 310,000 |
3 Wells Fargo Bank NA | 0.862% | 11/16/16 | 495,000 | 495,000 |
15
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
3 Wells Fargo Bank NA | 0.972% | 1/11/17 | 240,000 | 240,000 |
3 Wells Fargo Bank NA | 0.958% | 2/13/17 | 300,000 | 300,000 |
12,507,000 | ||||
Eurodollar Certificates of Deposit (1.5%) | ||||
National Australia Bank Ltd. | 0.610% | 9/19/16 | 900,000 | 900,000 |
National Australia Bank Ltd. | 0.680% | 10/7/16 | 500,000 | 500,000 |
National Australia Bank Ltd. | 0.680% | 10/12/16 | 345,000 | 345,000 |
1,745,000 | ||||
Yankee Certificates of Deposit (31.3%) | ||||
3 Bank of Montreal (Chicago Branch) | 0.848% | 9/7/16 | 750,000 | 750,000 |
3 Bank of Montreal (Chicago Branch) | 0.868% | 9/12/16 | 350,000 | 350,000 |
Bank of Montreal (Chicago Branch) | 0.590% | 9/19/16 | 870,000 | 870,000 |
Bank of Montreal (Chicago Branch) | 0.590% | 9/21/16 | 250,000 | 250,000 |
Bank of Montreal (Chicago Branch) | 0.630% | 9/26/16 | 475,000 | 475,000 |
Bank of Montreal (Chicago Branch) | 0.850% | 11/4/16 | 600,000 | 600,000 |
3 Bank of Nova Scotia (Houston Branch) | 0.862% | 10/21/16 | 450,000 | 450,000 |
3 Bank of Nova Scotia (Houston Branch) | 0.870% | 10/26/16 | 450,000 | 450,000 |
3 Bank of Nova Scotia (Houston Branch) | 1.103% | 2/10/17 | 500,000 | 500,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.720% | 9/6/16 | 565,000 | 565,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.720% | 9/16/16 | 70,000 | 70,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.700% | 9/26/16 | 50,000 | 50,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.680% | 10/12/16 | 900,000 | 900,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.930% | 12/12/16 | 650,000 | 650,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.950% | 12/16/16 | 185,000 | 185,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.990% | 12/29/16 | 300,000 | 300,000 |
BNP Paribas SA (New York Branch) | 0.410% | 9/6/16 | 250,000 | 250,000 |
Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.650% | 10/3/16 | 450,000 | 450,000 |
Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.650% | 10/11/16 | 550,000 | 550,000 |
3 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.862% | 11/10/16 | 885,000 | 885,000 |
Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.840% | 11/16/16 | 250,000 | 250,000 |
3 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.846% | 12/2/16 | 500,000 | 500,000 |
3 Commonwealth Bank of Australia | ||||
(New York Branch) | 1.006% | 2/1/17 | 99,000 | 99,000 |
Credit Agricole Corporate & Investment Bank | ||||
(New York Branch) | 0.420% | 9/6/16 | 2,300,000 | 2,300,000 |
Credit Industriel et Commercial | ||||
(New York Branch) | 0.410% | 9/6/16 | 2,200,000 | 2,200,000 |
Credit Suisse AG (New York Branch) | 0.680% | 9/6/16 | 600,000 | 600,000 |
Credit Suisse AG (New York Branch) | 0.630% | 9/20/16 | 250,000 | 250,000 |
Credit Suisse AG (New York Branch) | 0.660% | 10/3/16 | 500,000 | 500,000 |
Credit Suisse AG (New York Branch) | 0.900% | 11/7/16 | 750,000 | 750,000 |
DNB Bank ASA (New York Branch) | 0.650% | 10/11/16 | 1,000,000 | 1,000,000 |
Lloyds Bank plc (New York Branch) | 0.740% | 9/26/16 | 500,000 | 500,000 |
Natixis (New York Branch) | 0.430% | 9/6/16 | 1,175,000 | 1,175,000 |
16
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
Nordea Bank Finland plc (New York Branch) | 0.630% | 9/28/16 | 594,500 | 594,498 |
Nordea Bank Finland plc (New York Branch) | 0.615% | 9/29/16 | 450,000 | 450,000 |
3 Royal Bank of Canada (New York Branch) | 0.854% | 10/3/16 | 238,000 | 238,000 |
Royal Bank of Canada (New York Branch) | 0.960% | 12/16/16 | 198,250 | 198,250 |
Royal Bank of Canada (New York Branch) | 0.980% | 12/21/16 | 297,000 | 297,000 |
3 Royal Bank of Canada (New York Branch) | 1.071% | 1/23/17 | 1,300,000 | 1,300,000 |
3 Royal Bank of Canada (New York Branch) | 1.107% | 2/17/17 | 173,000 | 173,000 |
Skandinaviska Enskilda Banken | ||||
(New York Branch) | 0.590% | 9/12/16 | 1,000,000 | 1,000,000 |
Sumitomo Mitsui Banking Corp. | ||||
(New York Branch) | 0.900% | 12/1/16 | 300,000 | 300,000 |
Sumitomo Mitsui Banking Corp. | ||||
(New York Branch) | 0.680% | 9/22/16 | 993,000 | 993,000 |
Sumitomo Mitsui Banking Corp. | ||||
(New York Branch) | 0.700% | 10/3/16 | 60,000 | 60,000 |
Sumitomo Mitsui Banking Corp. | ||||
(New York Branch) | 0.730% | 10/11/16 | 470,000 | 470,000 |
Svenska HandelsBanken (New York Branch) | 0.850% | 9/9/16 | 700,000 | 700,000 |
Svenska HandelsBanken (New York Branch) | 0.860% | 9/14/16 | 300,000 | 300,000 |
Svenska HandelsBanken (New York Branch) | 0.655% | 10/11/16 | 250,000 | 250,001 |
3 Svenska HandelsBanken (New York Branch) | 0.868% | 11/7/16 | 490,000 | 490,000 |
3 Svenska HandelsBanken (New York Branch) | 0.878% | 1/6/17 | 350,000 | 350,000 |
3 Svenska HandelsBanken (New York Branch) | 0.884% | 1/9/17 | 585,000 | 585,000 |
Swedbank AB (New York Branch) | 0.600% | 10/3/16 | 300,000 | 300,000 |
Swedbank AB (New York Branch) | 0.890% | 12/27/16 | 1,000,000 | 1,000,000 |
3 Swedbank AB (New York Branch) | 1.094% | 3/1/17 | 397,000 | 397,000 |
3 Toronto Dominion Bank (New York Branch) | 0.871% | 9/23/16 | 488,000 | 488,000 |
3 Toronto Dominion Bank (New York Branch) | 0.870% | 9/26/16 | 210,000 | 210,000 |
Toronto Dominion Bank (New York Branch) | 0.830% | 11/2/16 | 381,000 | 381,000 |
Toronto Dominion Bank (New York Branch) | 0.830% | 11/4/16 | 995,000 | 995,000 |
Toronto Dominion Bank (New York Branch) | 1.000% | 11/8/16 | 118,700 | 118,728 |
3 Toronto Dominion Bank (New York Branch) | 0.907% | 12/19/16 | 605,000 | 605,000 |
3 Toronto Dominion Bank (New York Branch) | 0.921% | 12/23/16 | 350,000 | 350,000 |
UBS AG (Stamford Branch) | 0.590% | 9/21/16 | 350,000 | 350,000 |
UBS AG (Stamford Branch) | 0.610% | 9/26/16 | 900,000 | 900,000 |
3 Westpac Banking Corp. (New York Branch) | 0.841% | 9/1/16 | 227,000 | 227,000 |
3 Westpac Banking Corp. (New York Branch) | 0.871% | 9/23/16 | 159,000 | 159,000 |
Westpac Banking Corp. (New York Branch) | 0.860% | 9/28/16 | 200,000 | 200,000 |
Westpac Banking Corp. (New York Branch) | 0.940% | 10/18/16 | 470,000 | 470,000 |
3 Westpac Banking Corp. (New York Branch) | 1.022% | 1/11/17 | 230,000 | 230,000 |
3 Westpac Banking Corp. (New York Branch) | 0.948% | 3/7/17 | 500,000 | 500,000 |
3 Westpac Banking Corp. (New York Branch) | 1.038% | 6/6/17 | 200,000 | 200,000 |
36,503,477 | ||||
Total Certificates of Deposit (Cost $50,755,477) | 50,755,477 | |||
Other Notes (1.6%) | ||||
Bank of America NA | 0.660% | 9/6/16 | 200,000 | 200,000 |
Bank of America NA | 0.660% | 9/8/16 | 214,500 | 214,500 |
Bank of America NA | 0.640% | 9/14/16 | 285,000 | 285,000 |
Bank of America NA | 0.680% | 10/4/16 | 248,000 | 248,000 |
Bank of America NA | 0.640% | 10/7/16 | 497,000 | 497,000 |
Bank of America NA | 0.750% | 11/1/16 | 184,000 | 184,000 |
Bank of America NA | 0.890% | 12/9/16 | 185,250 | 185,250 |
Total Other Notes (Cost $1,813,750) | 1,813,750 |
17
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
Repurchase Agreements (0.1%) | ||||
Federal Reserve Bank of New York | ||||
(Dated 8/31/16, Repurchase Value $70,000,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
3.125%, 5/15/21, with a value of $70,001,000) | 0.250% | 9/1/16 | 70,000 | 70,000 |
Total Repurchase Agreements (Cost $70,000) | 70,000 | |||
Tax-Exempt Municipal Bonds (0.6%) | ||||
6 Arizona Health Facilities Authority Revenue | ||||
(Catholic Healthcare West) VRDO | 0.650% | 9/7/16 | 29,625 | 29,625 |
6 Big Bear Lake CA Industrial Revenue | ||||
(Southwest Gas Corp. Project) VRDO | 0.620% | 9/7/16 | 33,500 | 33,500 |
Board of Regents of the University of Texas | ||||
System Revenue Financing System Revenue | ||||
VRDO | 0.550% | 9/7/16 | 99,495 | 99,495 |
Board of Regents of the University of Texas | ||||
System Revenue Financing System Revenue | ||||
VRDO | 0.550% | 9/7/16 | 70,750 | 70,750 |
6 Clark County NV Airport Improvement Revenue | 0.610% | 9/7/16 | 24,975 | 24,975 |
6 Connecticut Health & Educational Facilities | ||||
Authority Revenue (Yale University) VRDO | 0.640% | 9/7/16 | 26,280 | 26,280 |
Illinois Finance Authority Revenue | ||||
(Northwestern University) VRDO | 0.600% | 9/7/16 | 25,200 | 25,200 |
6 Indiana Finance Authority Health System | ||||
Revenue (Sisters of St. Francis Health | ||||
Services Inc. Obligated Group) VRDO | 0.570% | 9/7/16 | 31,905 | 31,905 |
6 Indiana Finance Authority Health System | ||||
Revenue (Sisters of St. Francis Health | ||||
Services Inc. Obligated Group) VRDO | 0.650% | 9/7/16 | 17,100 | 17,100 |
Loudoun County VA Industrial Development | ||||
Authority Revenue (Howard Hughes | ||||
Medical Institute) VRDO | 0.570% | 9/7/16 | 19,465 | 19,465 |
Maryland Economic Development Corp. Revenue | ||||
(Howard Hughes Medical Institute) VRDO | 0.620% | 9/7/16 | 35,790 | 35,790 |
6 New York City NY Health & Hospital Corp. | ||||
Revenue (Health System) VRDO | 0.640% | 9/7/16 | 32,140 | 32,140 |
6 New York State Dormitory Authority Revenue | ||||
(Mental Health Services Facilities Improvement) | ||||
VRDO | 0.600% | 9/7/16 | 20,185 | 20,185 |
6 New York State Housing Finance Agency | ||||
Housing Revenue (10 Liberty Street) VRDO | 0.640% | 9/7/16 | 39,100 | 39,100 |
6 New York State Housing Finance Agency | ||||
Housing Revenue (625 W 57th St) VRDO | 0.570% | 9/7/16 | 18,405 | 18,405 |
6 New York State Housing Finance Agency | ||||
Housing Revenue (8 East 102nd Street) VRDO | 0.600% | 9/7/16 | 43,345 | 43,345 |
6 New York State Housing Finance Agency | ||||
Revenue (Riverside Center) VRDO | 0.650% | 9/7/16 | 29,500 | 29,500 |
6 North Broward FL Hospital District Revenue | ||||
NPFG VRDO | 0.570% | 9/7/16 | 41,900 | 41,900 |
6 Onondaga County NY Trust For Cultural Resources | ||||
Revenue (Syracuse University Project) VRDO | 0.570% | 9/7/16 | 20,325 | 20,325 |
6 Sacramento CA Municipal Utility District | ||||
Revenue VRDO | 0.560% | 9/7/16 | 29,490 | 29,490 |
University of Texas Permanent University | ||||
Fund Revenue VRDO | 0.560% | 9/7/16 | 17,750 | 17,750 |
Total Tax-Exempt Municipal Bonds (Cost $706,225) | 706,225 |
18
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
Corporate Bonds (1.0%) | |||||
Industrial (1.0%) | |||||
3 | Toyota Motor Credit Corp. | 1.045% | 4/24/17 | 605,000 | 605,000 |
3 | Toyota Motor Credit Corp. | 0.857% | 10/7/16 | 544,000 | 544,000 |
Total Corporate Bonds (Cost $1,149,000) | 1,149,000 | ||||
Taxable Municipal Bonds (0.8%) | |||||
5,6 | BlackRock Municipal Bond Trust TOB VRDO | 0.590% | 9/1/16 | 25,930 | 25,930 |
5,6 | BlackRock Municipal Income Investment | ||||
Quality Trust TOB VRDO | 0.590% | 9/1/16 | 30,715 | 30,715 | |
5,6 | BlackRock Municipal Income Trust II TOB VRDO | 0.590% | 9/1/16 | 81,250 | 81,250 |
5,6 | BlackRock Municipal Income Trust TOB VRDO | 0.590% | 9/1/16 | 207,000 | 207,000 |
5,6 | BlackRock MuniHoldings Fund II, Inc. TOB VRDO | 0.590% | 9/1/16 | 40,385 | 40,385 |
5,6 | BlackRock MuniHoldings Fund, Inc. TOB VRDO | 0.590% | 9/1/16 | 19,165 | 19,165 |
5,6 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.590% | 9/1/16 | 38,905 | 38,905 | |
5,6 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.590% | 9/1/16 | 100,000 | 100,000 | |
5,6 | BlackRock MuniVest Fund II, Inc. TOB VRDO | 0.590% | 9/1/16 | 89,750 | 89,750 |
5,6 | BlackRock MuniVest Fund, Inc. TOB VRDO | 0.590% | 9/1/16 | 130,340 | 130,340 |
5,6 | BlackRock MuniYield Investment Quality Fund | ||||
TOB VRDO | 0.590% | 9/1/16 | 41,065 | 41,065 | |
5,6 | BlackRock MuniYield Investment Quality Fund | ||||
TOB VRDO | 0.590% | 9/1/16 | 89,100 | 89,100 | |
5,6 | BlackRock Strategic Municipal Trust TOB VRDO | 0.590% | 9/1/16 | 16,555 | 16,555 |
5 | Los Angeles CA Department of Water & Power | ||||
Revenue TOB VRDO | 0.780% | 9/7/16 | 13,000 | 13,000 | |
5 | Massachusetts Transportation Fund Revenue | ||||
TOB VRDO | 0.780% | 9/7/16 | 13,100 | 13,100 | |
6 | New York State Housing Finance Agency | ||||
Housing Revenue VRDO | 0.510% | 9/7/16 | 33,000 | 33,000 | |
5 | Seattle WA Municipal Light & Power Revenue | ||||
TOB VRDO | 0.780% | 9/7/16 | 6,400 | 6,400 | |
Total Taxable Municipal Bonds (Cost $975,660) | 975,660 | ||||
Total Investments (101.2%) (Cost $118,009,311) | 118,009,311 | ||||
Amount | |||||
($000) | |||||
Other Assets and Liabilities (-1.2%) | |||||
Other Assets | |||||
Investment in Vanguard | 9,748 | ||||
Receivables for Accrued Income | 58,030 | ||||
Receivables for Capital Shares Issued | 26,612 | ||||
Other Assets | 90,608 | ||||
Total Other Assets | 184,998 | ||||
Liabilities | |||||
Payables for Investment Securities Purchased | (62,990) | ||||
Payables for Capital Shares Redeemed | (1,480,384) | ||||
Payables for Distributions | (814) | ||||
Payables to Vanguard | (9,916) | ||||
Other Liabilities | (715) | ||||
Total Liabilities | (1,554,819) | ||||
Net Assets (100%) | 116,639,490 |
19
Prime Money Market Fund
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 116,633,520 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 5,970 |
Net Assets | 116,639,490 |
Investor Shares—Net Assets | |
Applicable to 100,196,576,573 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 100,210,137 |
Net Asset Value Per Share—Investor Shares | $1.00 |
Admiral Shares—Net Assets | |
Applicable to 16,426,384,473 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 16,429,353 |
Net Asset Value Per Share—Admiral 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 generally neither guaranteed by the U.S. Treasury nor 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 August 31, 2016, the aggregate value of these securities was
$23,071,201,000, representing 19.8% of net assets.
5 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 August 31, 2016, the aggregate value of these securities was $1,487,821,000,
representing 1.3% of net assets.
6 Scheduled principal and interest payments are guaranteed by bank letter of credit.
NPFG—Scheduled principal and interest payments are guaranteed by NPFG (National Public Finance Guarantee Corporation).
TOB—Tender Option Bond.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Prime Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest | 644,749 |
Total Income | 644,749 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 3,577 |
Management and Administrative—Investor Shares | 138,523 |
Management and Administrative—Admiral Shares | 25,172 |
Marketing and Distribution—Investor Shares | 29,437 |
Marketing and Distribution—Admiral Shares | 928 |
Custodian Fees | 1,463 |
Auditing Fees | 35 |
Shareholders’ Reports—Investor Shares | 525 |
Shareholders’ Reports—Admiral Shares | 147 |
Trustees’ Fees and Expenses | 88 |
Total Expenses | 199,895 |
Expense Reduction—Note B | (3) |
Net Expenses | 199,892 |
Net Investment Income | 444,857 |
Realized Net Gain (Loss) on Investment Securities Sold | 2,974 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 447,831 |
See accompanying Notes, which are an integral part of the Financial Statements.
21
Prime Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 444,857 | 36,345 |
Realized Net Gain (Loss) | 2,974 | 1,570 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 447,831 | 37,915 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (344,430) | (16,453) |
Admiral Shares1 | (100,426) | (19,893) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares1 | — | — |
Total Distributions | (444,856) | (36,346) |
Capital Share Transactions (at $1.00 per share) | ||
Investor Shares | (5,612,729) | 3,908,734 |
Admiral Shares1 | (12,558,967) | 288,391 |
Net Increase (Decrease) from Capital Share Transactions | (18,171,696) | 4,197,125 |
Total Increase (Decrease) | (18,168,721) | 4,198,694 |
Net Assets | ||
Beginning of Period | 134,808,211 | 130,609,517 |
End of Period2 | 116,639,490 | 134,808,211 |
1 Institutional Shares were renamed Admiral Shares in December 2015. Prior period’s Distributions and Capital Share Transactions are for the Institutional Class. | ||
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $0 and ($1,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
22
Prime Money Market Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .0032 | .0002 | .0001 | .0002 | .0004 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0032 | .0002 | .0001 | .0002 | .0004 |
Distributions | |||||
Dividends from Net Investment Income | (.0032) | (.0002) | (.0001) | (.0002) | (.0004) |
Distributions from Realized Capital Gains | — | — | (.0000)1 | — | — |
Total Distributions | (.0032) | (.0002) | (.0001) | (.0002) | (.0004) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.32% | 0.02% | 0.02% | 0.02% | 0.04% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $100,210 | $105,820 | $101,910 | $102,160 | $90,212 |
Ratio of Expenses to | |||||
Average Net Assets | 0.16%3 | 0.15%3 | 0.14%3 | 0.16%3 | 0.16% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.32% | 0.02% | 0.01% | 0.02% | 0.04% |
1 Distribution was less than $.0001 per share.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
3 The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2016, 0.16% for 2015, 0.16% for 2014, and
0.17% for 2013. See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Prime Money Market Fund
Financial Highlights
Admiral Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .004 | .001 | .001 | .001 | .001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .004 | .001 | .001 | .001 | .001 |
Distributions | |||||
Dividends from Net Investment Income | (. 004) | (. 001) | (. 001) | (. 001) | (. 001) |
Distributions from Realized Capital Gains | — | — | (.000)1 | — | — |
Total Distributions | (. 004) | (. 001) | (. 001) | (. 001) | (. 001) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.38% | 0.07% | 0.06% | 0.07% | 0.11% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $16,429 | $28,988 | $28,699 | $27,015 | $24,543 |
Ratio of Expenses to | |||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.09% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.38% | 0.07% | 0.05% | 0.07% | 0.11% |
Institutional Shares were renamed Admiral Shares in December 2015. Prior periods’ Financial Highlights are for the Institutional Class.
1 Distribution was less than $.0001 per share.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
24
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 Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria. Effective December 2015, Institutional Shares were renamed Admiral Shares.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counter-parties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counter-parties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
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, 2013–2016), 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of
25
Prime Money Market Fund
Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
6. 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.
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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $9,748,000, representing 0.01% of the fund’s net assets and 3.90% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order 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. For the year ended August 31, 2016, Vanguard’s expenses were reduced by $3,000 (an effective annual rate of 0.0% of the average net assets of the Investor share class); the fund is not obligated to repay this amount to 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).
Prime Money Market Fund
At August 31, 2016, 100% of the market value of the fund’s investments was determined 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:
Year Ended August 31, | ||||
2016 | 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 101,526,451 | 101,527,243 | 136,070,155 | 136,070,154 |
Issued in Lieu of Cash Distributions | 335,584 | 335,584 | 16,094 | 16,094 |
Redeemed | (107,474,764) | (107,474,762) | (132,177,515) | (132,177,515) |
Net Increase (Decrease)—Investor Shares | (5,612,729) | (5,611,935) | 3,908,734 | 3,908,733 |
Admiral Shares1 | ||||
Issued | 17,763,247 | 17,762,458 | 19,863,406 | 19,863,406 |
Issued in Lieu of Cash Distributions | 96,589 | 96,589 | 19,409 | 19,409 |
Redeemed | (30,418,803) | (30,418,803) | (19,594,424) | (19,594,424) |
Net Increase (Decrease) —Admiral Shares | (12,558,967) | (12,559,756) | 288,391 | 288,391 |
1 Institutional Shares were renamed Admiral Shares in December 2015. Prior period’s capital share transactions are for the Institutional Class. |
E. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
27
Federal Money Market Fund
Fund Profile
As of August 31, 2016
Financial Attributes | |
Ticker Symbol | VMFXX |
Expense Ratio1 | 0.11% |
7-Day SEC Yield | 0.29% |
Average Weighted | |
Maturity | 51 days |
Sector Diversification (% of portfolio) | |
U.S. Treasury Bills | 31.2% |
U.S. Government Obligations | 36.5 |
Repurchase Agreements | 32.3 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are
generally not backed by the full faith and credit of the U.S. government.
1 The expense ratio shown is from the prospectus dated December 14, 2015, and represents estimated costs for the current fiscal year. For the fiscal
year ended August 31, 2016, the expense ratio was 0.11%.
28
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. You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Cumulative Performance: August 31, 2006, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2016 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Federal Money Market Fund | 0.23% | 0.06% | 0.99% | $11,033 |
Government Money Market Funds | ||||
•••••••• Average | 0.00 | 0.00 | 0.76 | 10,788 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.18 | 0.06 | 0.87 | 10,931 |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
See Financial Highlights for dividend information.
29
Federal Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2006, Through August 31, 2016
Gov't Money | ||
Market Funds Average | ||
Fiscal Year | Total Returns | Total Returns |
2007 | 5.17% | 4.58% |
2008 | 3.46 | 2.71 |
2009 | 1.06 | 0.43 |
2010 | 0.04 | 0.00 |
2011 | 0.02 | 0.00 |
2012 | 0.01 | 0.00 |
2013 | 0.01 | 0.00 |
2014 | 0.02 | 0.00 |
2015 | 0.01 | 0.00 |
2016 | 0.23 | 0.00 |
7-day SEC yield (8/31/2016): 0.29% | ||
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Federal Money Market Fund | 7/13/1981 | 0.18% | 0.05% | 1.07% |
30
Federal Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
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 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 (76.3%) | |||||
2 | Fannie Mae Discount Notes | 0.461% | 9/16/16 | 10,000 | 9,998 |
2 | Fannie Mae Discount Notes | 0.370% | 10/5/16 | 576 | 576 |
2 | Fannie Mae Discount Notes | 0.421% | 10/6/16 | 300,000 | 299,877 |
2 | Fannie Mae Discount Notes | 0.411%–0.491% | 10/17/16 | 23,700 | 23,686 |
2 | Fannie Mae Discount Notes | 0.371% | 10/18/16 | 135,000 | 134,935 |
2 | Fannie Mae Discount Notes | 0.340%–0.400% | 10/26/16 | 129,545 | 129,476 |
2 | Fannie Mae Discount Notes | 0.471% | 11/1/16 | 550,000 | 549,562 |
2 | Fannie Mae Discount Notes | 0.391% | 12/16/16 | 471 | 470 |
2 | Fannie Mae Discount Notes | 0.552% | 1/3/17 | 2,317 | 2,313 |
2 | Fannie Mae Discount Notes | 0.501% | 2/15/17 | 51 | 51 |
3 | Federal Home Loan Bank Discount Notes | 0.410%–0.425% | 9/2/16 | 1,465 | 1,465 |
3 | Federal Home Loan Bank Discount Notes | 0.491% | 9/6/16 | 145,000 | 144,990 |
3 | Federal Home Loan Bank Discount Notes | 0.344%–0.420% | 9/7/16 | 94,916 | 94,911 |
3 | Federal Home Loan Bank Discount Notes | 0.344% | 9/9/16 | 130,500 | 130,490 |
3 | Federal Home Loan Bank Discount Notes | 0.350% | 9/14/16 | 508 | 508 |
3 | Federal Home Loan Bank Discount Notes | 0.310%–0.496% | 9/16/16 | 11,190 | 11,188 |
3 | Federal Home Loan Bank Discount Notes | 0.330%–0.410% | 9/21/16 | 411,900 | 411,820 |
3 | Federal Home Loan Bank Discount Notes | 0.486% | 9/23/16 | 60,000 | 59,982 |
3 | Federal Home Loan Bank Discount Notes | 0.431%–0.501% | 9/26/16 | 90,000 | 89,971 |
3 | Federal Home Loan Bank Discount Notes | 0.293%–0.486% | 9/28/16 | 371,750 | 371,664 |
3 | Federal Home Loan Bank Discount Notes | 0.401% | 10/4/16 | 506 | 506 |
3 | Federal Home Loan Bank Discount Notes | 0.305%–0.380% | 10/5/16 | 66,185 | 66,166 |
3 | Federal Home Loan Bank Discount Notes | 0.290%–0.521% | 10/7/16 | 526,383 | 526,193 |
3 | Federal Home Loan Bank Discount Notes | 0.421% | 10/12/16 | 359 | 359 |
3 | Federal Home Loan Bank Discount Notes | 0.451%–0.511% | 10/14/16 | 79,500 | 79,455 |
3 | Federal Home Loan Bank Discount Notes | 0.310%–0.330% | 10/17/16 | 1,348 | 1,347 |
3 | Federal Home Loan Bank Discount Notes | 0.310%–0.380% | 10/19/16 | 34,697 | 34,683 |
3 | Federal Home Loan Bank Discount Notes | 0.310%–0.380% | 10/21/16 | 618,553 | 618,250 |
3 | Federal Home Loan Bank Discount Notes | 0.310%–0.466% | 10/26/16 | 600,583 | 600,221 |
3 | Federal Home Loan Bank Discount Notes | 0.350%–0.465% | 10/28/16 | 339,005 | 338,782 |
3 | Federal Home Loan Bank Discount Notes | 0.451% | 11/1/16 | 21,000 | 20,984 |
3 | Federal Home Loan Bank Discount Notes | 0.349%–0.551% | 11/2/16 | 1,020,996 | 1,020,321 |
3 | Federal Home Loan Bank Discount Notes | 0.365%–0.451% | 11/4/16 | 223,788 | 223,638 |
3 | Federal Home Loan Bank Discount Notes | 0.339%–0.360% | 11/14/16 | 710,416 | 709,921 |
3 | Federal Home Loan Bank Discount Notes | 0.344%–0.456% | 11/16/16 | 875,000 | 874,335 |
3 | Federal Home Loan Bank Discount Notes | 0.550%–0.582% | 11/18/16 | 136,476 | 136,311 |
31
Federal Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
3 | Federal Home Loan Bank Discount Notes | 0.340% | 11/22/16 | 941 | 940 |
3 | Federal Home Loan Bank Discount Notes | 0.592% | 11/23/16 | 100,774 | 100,637 |
3 | Federal Home Loan Bank Discount Notes | 0.340%–0.587% | 11/25/16 | 60,907 | 60,823 |
3 | Federal Home Loan Bank Discount Notes | 0.600% | 11/30/16 | 150,000 | 149,776 |
3 | Federal Home Loan Bank Discount Notes | 0.431% | 12/9/16 | 989 | 988 |
3 | Federal Home Loan Bank Discount Notes | 0.501% | 12/16/16 | 639 | 638 |
3 | Federal Home Loan Bank Discount Notes | 0.430% | 1/4/17 | 250,000 | 249,628 |
3 | Federal Home Loan Bank Discount Notes | 0.466% | 2/8/17 | 50,000 | 49,897 |
3,4 | Federal Home Loan Banks | 0.531% | 9/2/16 | 245,000 | 245,000 |
3,4 | Federal Home Loan Banks | 0.478% | 1/6/17 | 250,000 | 249,991 |
3,4 | Federal Home Loan Banks | 0.610% | 1/26/17 | 100,000 | 100,000 |
3,4 | Federal Home Loan Banks | 0.489% | 2/3/17 | 115,500 | 115,500 |
3,4 | Federal Home Loan Banks | 0.478% | 2/7/17 | 100,000 | 99,996 |
3,4 | Federal Home Loan Banks | 0.498% | 2/13/17 | 110,000 | 109,990 |
3,4 | Federal Home Loan Banks | 0.488% | 2/13/17 | 250,000 | 249,988 |
3,4 | Federal Home Loan Banks | 0.669% | 2/17/17 | 40,000 | 39,991 |
3,4 | Federal Home Loan Banks | 0.629% | 2/17/17 | 325,000 | 324,939 |
3,4 | Federal Home Loan Banks | 0.504% | 3/1/17 | 25,000 | 25,000 |
3,4 | Federal Home Loan Banks | 0.516% | 3/2/17 | 125,000 | 125,000 |
3,4 | Federal Home Loan Banks | 0.611% | 3/3/17 | 75,000 | 75,000 |
3,4 | Federal Home Loan Banks | 0.524% | 3/9/17 | 235,000 | 235,007 |
3,4 | Federal Home Loan Banks | 0.532% | 3/10/17 | 175,000 | 175,000 |
3,4 | Federal Home Loan Banks | 0.518% | 3/14/17 | 88,500 | 88,491 |
3,4 | Federal Home Loan Banks | 0.528% | 3/14/17 | 100,000 | 99,995 |
3,4 | Federal Home Loan Banks | 0.528% | 3/15/17 | 100,000 | 100,000 |
3,4 | Federal Home Loan Banks | 0.515% | 3/16/17 | 50,000 | 50,000 |
3,4 | Federal Home Loan Banks | 0.569% | 3/21/17 | 100,000 | 100,000 |
3,4 | Federal Home Loan Banks | 0.574% | 4/19/17 | 100,000 | 100,000 |
3,4 | Federal Home Loan Banks | 0.623% | 10/19/17 | 250,000 | 250,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.461% | 9/2/16 | 200,000 | 200,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.497% | 9/16/16 | 100,000 | 99,998 |
2,4 | Federal Home Loan Mortgage Corp. | 0.513% | 1/13/17 | 105,505 | 105,513 |
2,4 | Federal Home Loan Mortgage Corp. | 0.517% | 4/20/17 | 34,130 | 34,122 |
2,4 | Federal Home Loan Mortgage Corp. | 0.564% | 4/27/17 | 85,000 | 85,002 |
2,4 | Federal Home Loan Mortgage Corp. | 0.642% | 7/21/17 | 100,000 | 99,991 |
2,4 | Federal Home Loan Mortgage Corp. | 0.548% | 11/13/17 | 600,000 | 600,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.562% | 1/5/18 | 285,000 | 285,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.631% | 1/8/18 | 125,000 | 125,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.637% | 1/12/18 | 25,000 | 25,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.577% | 1/16/18 | 275,000 | 275,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.574% | 1/29/18 | 500,000 | 500,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.505% | 2/26/18 | 500,000 | 500,000 |
2,4 | Federal National Mortgage Assn. | 0.587% | 10/21/16 | 100,000 | 100,009 |
2,4 | Federal National Mortgage Assn. | 0.535% | 1/26/17 | 100,000 | 100,014 |
2,4 | Federal National Mortgage Assn. | 0.517% | 8/16/17 | 300,000 | 299,942 |
2,4 | Federal National Mortgage Assn. | 0.508% | 9/8/17 | 360,000 | 359,917 |
2,4 | Federal National Mortgage Assn. | 0.507% | 10/5/17 | 260,000 | 259,908 |
2,4 | Federal National Mortgage Assn. | 0.594% | 3/21/18 | 400,000 | 400,447 |
2 | Freddie Mac Discount Notes | 0.390%–0.420% | 9/1/16 | 29,000 | 29,000 |
2 | Freddie Mac Discount Notes | 0.400%–0.496% | 9/2/16 | 124,398 | 124,396 |
2 | Freddie Mac Discount Notes | 0.381% | 9/6/16 | 150,000 | 149,992 |
2 | Freddie Mac Discount Notes | 0.421% | 9/8/16 | 50,000 | 49,996 |
2 | Freddie Mac Discount Notes | 0.350%–0.516% | 9/9/16 | 90,854 | 90,847 |
2 | Freddie Mac Discount Notes | 0.481% | 9/15/16 | 21,500 | 21,496 |
2 | Freddie Mac Discount Notes | 0.390% | 9/19/16 | 4,000 | 3,999 |
2 | Freddie Mac Discount Notes | 0.334%–0.355% | 9/21/16 | 321,900 | 321,840 |
32
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
2 Freddie Mac Discount Notes | 0.350%–0.451% | 10/3/16 | 153,460 | 153,401 |
2 Freddie Mac Discount Notes | 0.320%–0.401% | 10/5/16 | 400,000 | 399,856 |
2 Freddie Mac Discount Notes | 0.300%–0.350% | 10/6/16 | 14,616 | 14,611 |
2 Freddie Mac Discount Notes | 0.401%–0.451% | 10/17/16 | 53,500 | 53,472 |
2 Freddie Mac Discount Notes | 0.431% | 10/19/16 | 988 | 987 |
2 Freddie Mac Discount Notes | 0.441% | 11/2/16 | 300,000 | 299,773 |
2 Freddie Mac Discount Notes | 0.421% | 11/3/16 | 5,500 | 5,496 |
2 Freddie Mac Discount Notes | 0.391% | 11/7/16 | 300,000 | 299,782 |
2 Freddie Mac Discount Notes | 0.391% | 11/8/16 | 150,000 | 149,889 |
2 Freddie Mac Discount Notes | 0.371% | 11/10/16 | 258 | 258 |
2 Freddie Mac Discount Notes | 0.431% | 11/17/16 | 169 | 169 |
2 Freddie Mac Discount Notes | 0.562% | 11/23/16 | 74,948 | 74,851 |
2 Freddie Mac Discount Notes | 0.531% | 12/1/16 | 25,000 | 24,967 |
2 Freddie Mac Discount Notes | 0.476%–0.481% | 12/2/16 | 110,301 | 110,166 |
2 Freddie Mac Discount Notes | 0.470% | 12/9/16 | 100,000 | 99,871 |
2 Freddie Mac Discount Notes | 0.441% | 12/16/16 | 31,564 | 31,523 |
2 Freddie Mac Discount Notes | 0.466% | 12/19/16 | 150,000 | 149,789 |
2 Freddie Mac Discount Notes | 0.421% | 12/28/16 | 50,342 | 50,273 |
2 Freddie Mac Discount Notes | 0.471% | 12/30/16 | 786 | 785 |
2 Freddie Mac Discount Notes | 0.471% | 1/3/17 | 2,500 | 2,496 |
2 Freddie Mac Discount Notes | 0.401% | 1/4/17 | 25,000 | 24,965 |
2 Freddie Mac Discount Notes | 0.451% | 1/18/17 | 49,300 | 49,214 |
2 Freddie Mac Discount Notes | 0.552% | 2/1/17 | 61 | 61 |
United States Treasury Bill | 0.270% | 9/8/16 | 767,000 | 766,960 |
United States Treasury Bill | 0.305%–0.381% | 11/10/16 | 1,750,000 | 1,748,926 |
United States Treasury Bill | 0.300%–0.371% | 11/17/16 | 800,000 | 799,442 |
United States Treasury Bill | 0.310% | 11/25/16 | 1,500,000 | 1,498,902 |
United States Treasury Bill | 0.391% | 1/12/17 | 500,000 | 499,280 |
United States Treasury Bill | 0.422% | 1/19/17 | 400,000 | 399,345 |
United States Treasury Bill | 0.446% | 2/16/17 | 1,500,000 | 1,496,885 |
United States Treasury Bill | 0.481% | 3/2/17 | 2,300,000 | 2,294,419 |
4 United States Treasury Floating Rate Note | 0.388% | 10/31/16 | 50,000 | 49,996 |
4 United States Treasury Floating Rate Note | 0.419% | 1/31/17 | 18,234 | 18,234 |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 75,000 | 75,010 |
United States Treasury Note/Bond | 1.000% | 9/30/16 | 325,000 | 325,164 |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 130,000 | 130,028 |
United States Treasury Note/Bond | 3.125% | 10/31/16 | 710,000 | 713,216 |
United States Treasury Note/Bond | 2.750% | 11/30/16 | 250,000 | 251,441 |
Total U.S. Government and Agency Obligations (Cost $29,601,952) | 29,601,952 | |||
Repurchase Agreements (25.3%) | ||||
Bank of Montreal | ||||
(Dated 8/31/16, Repurchase Value | ||||
$500,004,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.750%, | ||||
2/15/45, U.S. Treasury Bill 0.000%, | ||||
2/2/17, U.S. Treasury Note/Bond 1.125%– | ||||
3.000%, 12/31/18–5/15/46; with a value | ||||
of $510,000,000) | 0.300% | 9/1/16 | 500,000 | 500,000 |
Bank of Montreal | ||||
(Dated 8/4/16, Repurchase Value | ||||
$129,068,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%, | ||||
7/15/24, U.S. Treasury Note/Bond 1.000%– | ||||
7.875%, 12/31/17–8/15/46; with a value | ||||
of $131,580,000) | 0.310% | 9/7/16 | 129,000 | 129,000 |
33
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
Bank of Montreal | ||||
(Dated 8/3/16, Repurchase Value | ||||
$250,125,000, collateralized by U.S. Treasury | ||||
Note/Bond 1.125%–2.500%, 9/30/18–2/15/45; | ||||
with a value of $255,000,000) | 0.310% | 9/7/16 | 250,000 | 250,000 |
Bank of Nova Scotia | ||||
(Dated 8/31/16, Repurchase Value | ||||
$1,200,011,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%–3.875%, | ||||
4/15/19–2/15/44, U.S. Treasury Bill 0.000%, | ||||
2/9/17, U.S. Treasury Note/Bond 0.750%– | ||||
8.875%, 9/30/16-11/15/45; with a value | ||||
of $1,224,000,000) | 0.340% | 9/1/16 | 1,200,000 | 1,200,000 |
Credit Suisse Securities (USA), LLC | ||||
(Dated 8/31/16, Repurchase Value | ||||
$600,005,000, collateralized by U.S. Treasury | ||||
Note/Bond 1.875%, 8/31/22–10/31/22; | ||||
with a value of $612,001,000) | 0.320% | 9/1/16 | 600,000 | 600,000 |
Federal Reserve Bank of New York | ||||
(Dated 8/31/16, Repurchase Value | ||||
$2,585,018,000, collateralized by U.S. Treasury | ||||
Note/Bond 1.750%–3.625%, 11/15/19– | ||||
8/15/43; with a value of $2,585,018,000) | 0.250% | 9/1/16 | 2,585,000 | 2,585,000 |
JPMorgan Securities LLC | ||||
(Dated 8/31/16, Repurchase Value | ||||
$750,007,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%–3.625%, | ||||
1/15/17–2/15/46, U.S. Treasury Note/Bond | ||||
1.375%–2.500%, 9/30/20–8/15/23; with a | ||||
value of $765,005,000) | 0.330% | 9/1/16 | 750,000 | 750,000 |
RBC Capital Markets LLC | ||||
(Dated 8/31/16, Repurchase Value | ||||
$200,002,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.625%, 7/15/21, | ||||
U.S. Treasury Note/Bond 0.875%–2.000%, | ||||
9/15/16–8/15/25; with a value of $204,000,000) | 0.300% | 9/1/16 | 200,000 | 200,000 |
RBC Capital Markets LLC | ||||
(Dated 7/5/16, Repurchase Value $400,216,000, | ||||
collateralized by Federal Home Loan Mortgage | ||||
Corp. 2.500%–4.500%, 9/1/28–9/1/46, Federal | ||||
National Mortgage Assn. 2.500%–5.500%, | ||||
8/1/26–9/1/46; with a value of $412,000,000) | 0.330% | 9/2/16 | 400,000 | 400,000 |
RBC Capital Markets LLC | ||||
(Dated 7/11/16, Repurchase Value | ||||
$300,157,000, collateralized by Federal Home | ||||
Loan Mortgage Corp. 2.500%–4.500%, 10/1/25– | ||||
7/1/46, Federal National Mortgage Assn. | ||||
2.500%–7.000%, 8/1/18–9/1/46; with a value | ||||
of $309,000,000) | 0.330% | 9/6/16 | 300,000 | 300,000 |
RBC Capital Markets LLC | ||||
(Dated 7/18/16, Repurchase Value | ||||
$129,063,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%, 4/15/20– | ||||
1/15/22, U.S. Treasury Note/Bond 1.000%– | ||||
4.625%, 10/31/18–11/15/44; with a value | ||||
of $131,580,000) | 0.310% | 9/7/16 | 129,000 | 129,000 |
34
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
RBC Capital Markets LLC | ||||
(Dated 7/15/16, Repurchase Value | ||||
$230,117,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%–2.375%, | ||||
1/15/17–4/15/18, U.S. Treasury Note/Bond | ||||
1.250%–8.000%, 11/15/18–2/15/44; with a | ||||
value of $234,600,000) | 0.310% | 9/7/16 | 230,000 | 230,000 |
RBC Capital Markets LLC | ||||
(Dated 7/14/16, Repurchase Value | ||||
$575,282,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%–3.875%, | ||||
4/15/18–4/15/29, U.S. Treasury Bill 0.000%, | ||||
9/8/16–1/9/17, U.S. Treasury Note/Bond | ||||
0.500%–8.000%, 9/30/16–8/15/46; with a | ||||
value of $586,500,000) | 0.310% | 9/7/16 | 575,000 | 575,000 |
RBC Capital Markets LLC | ||||
(Dated 7/26/16, Repurchase Value | ||||
$431,215,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%–3.875%, | ||||
4/15/18–2/15/42, U.S. Treasury Bill 0.000%, | ||||
10/27/16–2/2/17, U.S. Treasury Note/Bond | ||||
0.500%–5.250%, 11/15/16–11/15/40; with a | ||||
value of $439,620,000) | 0.320% | 9/7/16 | 431,000 | 431,000 |
RBC Capital Markets LLC | ||||
(Dated 7/13/16, Repurchase Value of | ||||
$235,123,000, collateralized by Federal Home | ||||
Loan Mortgage Corp. 3.000%–4.500%, | ||||
5/1/44–9/1/46, Federal National Mortgage | ||||
Assn. 3.000%–4.500%, 12/1/26–7/1/46; | ||||
with a value of $242,050,000) | 0.330% | 9/7/16 | 235,000 | 235,000 |
RBC Capital Markets LLC | ||||
(Dated 7/12/16, Repurchase Value | ||||
$328,171,000, collateralized by Federal | ||||
National Mortgage Assn. 3.000%–4.000%, | ||||
3/1/29–9/1/46; with a value of $337,840,000) | 0.330% | 9/7/16 | 328,000 | 328,000 |
TD Securities (USA) LLC | ||||
(Dated 8/25/16, Repurchase Value | ||||
$200,012,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.750%–2.125%, | ||||
1/15/28–2/15/45, U.S. Treasury Note/Bond | ||||
0.500%–4.000%, 9/30/16–11/15/44; with a | ||||
value of $204,000,000) | 0.320% | 9/1/16 | 200,000 | 200,000 |
TD Securities (USA) LLC | ||||
(Dated 8/30/16, Repurchase Value | ||||
$400,024,000, collateralized by Federal | ||||
National Mortgage Assn. 7.000%, 6/1/35, U.S. | ||||
Treasury Bill 0.000%, 6/22/17, U.S. Treasury | ||||
Note/Bond 0.500%–6.250%, 1/31/17–5/15/46; | ||||
with a value of $408,003,000) | 0.310% | 9/6/16 | 400,000 | 400,000 |
TD Securities (USA) LLC | ||||
(Dated 8/31/16, Repurchase Value | ||||
$100,006,000, collateralized by U.S. Treasury | ||||
Note/Bond 1.125%–4.250%, 1/31/17–8/15/42; | ||||
with a value of $102,000,000) | 0.320% | 9/7/16 | 100,000 | 100,000 |
35
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
TD Securities (USA) LLC | ||||
(Dated 8/31/16, Repurchase Value $275,018,000, | ||||
collateralized by Treasury Inflation Indexed | ||||
Note/Bond 0.125%, 4/15/17, U.S. Treasury | ||||
Bill 0.000%, 9/22/16–6/22/17, U.S. Treasury | ||||
Note/Bond 0.375%–8.750%, 10/31/16–5/15/46; | ||||
with a value of $280,500,000) | 0.340% | 9/7/16 | 275,000 | 275,000 |
Total Repurchase Agreements (Cost $9,817,000) | 9,817,000 | |||
Total Investments (101.6%) (Cost $39,418,952) | 39,418,952 | |||
Amount | ||||
($000) | ||||
Other Assets and Liabilities (-1.6%) | ||||
Other Assets | ||||
Investment in Vanguard | 2,133 | |||
Receivables for Accrued Income | 15,352 | |||
Receivables for Capital Shares Issued | 1,738,655 | |||
Other Assets | 4,503 | |||
Total Other Assets | 1,760,643 | |||
Liabilities | ||||
Payables for Investment Securities Purchased | (2,294,419) | |||
Payables for Capital Shares Redeemed | (78,937) | |||
Payables for Distributions | (176) | |||
Payables to Vanguard | (2,069) | |||
Total Liabilities | (2,375,601) | |||
Net Assets (100%) | ||||
Applicable to 38,803,432,972 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 38,803,994 | |||
Net Asset Value Per Share | $1.00 | |||
At August 31, 2016, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 38,803,943 | |||
Overdistributed Net Investment Income | (5) | |||
Accumulated Net Realized Gains | 56 | |||
Net Assets | 38,803,994 |
• 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 was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for
senior preferred stock.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
4 Adjustable-rate security.
See accompanying Notes, which are an integral part of the Financial Statements.
36
Federal Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest | 41,054 |
Total Income | 41,054 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 290 |
Management and Administrative | 8,715 |
Marketing and Distribution | 2,629 |
Custodian Fees | 64 |
Auditing Fees | 34 |
Shareholders’ Reports | 48 |
Trustees’ Fees and Expenses | 6 |
Total Expenses | 11,786 |
Expense Reduction—Note B | — |
Net Expenses | 11,786 |
Net Investment Income | 29,268 |
Realized Net Gain (Loss) on Investment Securities Sold | 17 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 29,285 |
See accompanying Notes, which are an integral part of the Financial Statements.
37
Federal Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 29,268 | 317 |
Realized Net Gain (Loss) | 17 | 14 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 29,285 | 331 |
Distributions | ||
Net Investment Income | (29,273) | (317) |
Realized Capital Gain | — | — |
Total Distributions | (29,273) | (317) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 44,011,167 | 972,690 |
Issued in Lieu of Cash Distributions | 28,230 | 311 |
Redeemed | (8,560,165) | (756,637) |
Net Increase (Decrease) from Capital Share Transactions | 35,479,232 | 216,364 |
Total Increase (Decrease) | 35,479,244 | 216,378 |
Net Assets | ||
Beginning of Period | 3,324,750 | 3,108,372 |
End of Period1 | 38,803,994 | 3,324,750 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($5,000) and $0. |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Federal Money Market Fund
Financial Highlights
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .0022 | .0001 | .0001 | .0001 | .0001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0022 | .0001 | .0001 | .0001 | .0001 |
Distributions | |||||
Dividends from Net Investment Income | (.0022) | (.0001) | (.0001) | (.0001) | (.0001) |
Distributions from Realized Capital Gains | — | — | (.0000)1 | — | — |
Total Distributions | (.0022) | (.0001) | (.0001) | (.0001) | (.0001) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.23% | 0.01% | 0.02% | 0.01% | 0.01% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $38,804 | $3,325 | $3,108 | $3,522 | $4,103 |
Ratio of Expenses to | |||||
Average Net Assets3 | 0.11% | 0.10% | 0.09% | 0.13% | 0.12% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.27% | 0.01% | 0.01% | 0.01% | 0.01% |
1 Distribution was less than $.0001 per share.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2016, 0.11% for 2015, 0.11% for 2014, 0.14% for 2013, and 0.16% for 2012. See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
39
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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counter-parties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
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, 2013–2016), 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
40
Federal Money Market Fund
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $2,133,000, representing 0.01% of the fund’s net assets and 0.85% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses excess of the fund’s daily yield in order 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. For the year ended August 31, 2016, Vanguard’s expenses were reduced by $385 (an effective annual rate of 0.00% of the fund’s average net assets); the fund is not obligated to repay this amount to 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 August 31, 2016, 100% of the market value of the fund’s investments was determined 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. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
41
Treasury Money Market Fund
Fund Profile
As of August 31, 2016
Financial Attributes | |
Ticker Symbol | VUSXX |
Expense Ratio1 | 0.09% |
7-Day SEC Yield | 0.25% |
Average Weighted | |
Maturity | 51 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
generally not backed by the full faith and credit of the U.S. government.
1 The expense ratio shown is from the prospectus dated December 14, 2015, and represents estimated costs for the current fiscal year. For the fiscal
year ended August 31, 2016, the expense ratio was 0.09%.
42
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. You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Cumulative Performance: August 31, 2006, Through August 31, 2016
Initial Investment of $50,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2016 | ||||
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Treasury Money Market Fund | 0.17% | 0.04% | 0.89% | $54,643 |
iMoneyNet Money Fund Report’s | ||||
•••••••• 100% Treasury Funds Average | 0.00 | 0.00 | 0.65 | 53,347 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.18 | 0.06 | 0.87 | 54,653 |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
See Financial Highlights for dividend information.
43
Treasury Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2006, Through August 31, 2016
iMoneyNet | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
2007 | 5.01% | 4.34% |
2008 | 3.08 | 2.08 |
2009 | 0.70 | 0.17 |
2010 | 0.03 | 0.00 |
2011 | 0.02 | 0.00 |
2012 | 0.01 | 0.00 |
2013 | 0.02 | 0.00 |
2014 | 0.01 | 0.00 |
2015 | 0.01 | 0.00 |
2016 | 0.17 | 0.00 |
7-day SEC yield (8/31/2016): 0.25% | ||
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Treasury Money Market Fund | 12/14/1992 | 0.13% | 0.04% | 0.97% |
44
Treasury Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
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 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 (107.0%) | |||||
United States Treasury Bill | 0.150%–0.350% | 9/1/16 | 1,090,983 | 1,090,983 | |
United States Treasury Bill | 0.270%–0.285% | 9/8/16 | 833,600 | 833,554 | |
United States Treasury Bill | 0.267%–0.281% | 9/15/16 | 780,141 | 780,059 | |
United States Treasury Bill | 0.270%–0.276% | 9/22/16 | 478,099 | 478,024 | |
United States Treasury Bill | 0.255%–0.471% | 9/29/16 | 938,000 | 937,751 | |
United States Treasury Bill | 0.297%–0.310% | 10/13/16 | 590,760 | 590,553 | |
United States Treasury Bill | 0.315%–0.320% | 10/20/16 | 374,420 | 374,258 | |
United States Treasury Bill | 0.271%–0.321% | 10/27/16 | 1,474,769 | 1,474,040 | |
United States Treasury Bill | 0.275%–0.285% | 11/3/16 | 1,382,136 | 1,381,447 | |
United States Treasury Bill | 0.290%–0.381% | 11/10/16 | 727,540 | 727,005 | |
United States Treasury Bill | 0.300% | 11/17/16 | 790,000 | 789,493 | |
United States Treasury Bill | 0.310% | 11/25/16 | 1,298,000 | 1,297,050 | |
United States Treasury Bill | 0.447% | 2/9/17 | 300,000 | 299,402 | |
United States Treasury Bill | 0.446% | 2/16/17 | 150,000 | 149,688 | |
United States Treasury Bill | 0.481% | 3/2/17 | 400,000 | 399,029 | |
2 | United States Treasury Floating Rate Note | 0.388% | 10/31/16 | 640,000 | 639,975 |
2 | United States Treasury Floating Rate Note | 0.419% | 1/31/17 | 300,287 | 300,284 |
2 | United States Treasury Floating Rate Note | 0.412% | 7/31/17 | 100,000 | 99,960 |
2 | United States Treasury Floating Rate Note | 0.503% | 10/31/17 | 100,000 | 99,860 |
2 | United States Treasury Floating Rate Note | 0.607% | 1/31/18 | 135,000 | 135,060 |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 60,000 | 60,064 | |
United States Treasury Note/Bond | 3.125% | 10/31/16 | 590,000 | 592,673 | |
United States Treasury Note/Bond | 0.500% | 11/30/16 | 171,000 | 171,062 | |
Total U.S. Government and Agency Obligations (Cost $13,701,274) | 13,701,274 | ||||
Total Investments (107.0%) (Cost $13,701,274) | 13,701,274 |
45
Treasury Money Market Fund
Amount | |
($000) | |
Other Assets and Liabilities (-7.0%) | |
Other Assets | |
Investment in Vanguard | 902 |
Receivables for Accrued Income | 7,083 |
Receivables for Capital Shares Issued | 63,377 |
Other Assets | 4,047 |
Total Other Assets | 75,409 |
Liabilities | |
Payables for Investment Securities Purchased | (961,918) |
Payables for Capital Shares Redeemed | (11,010) |
Payables for Distributions | (60) |
Payables to Vanguard | (608) |
Total Liabilities | (973,596) |
Net Assets (100%) | |
Applicable to 12,800,072,277 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 12,803,087 |
Net Asset Value Per Share | $1.00 |
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 12,803,112 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Losses | (25) |
Net Assets | 12,803,087 |
• 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 Adjustable-rate security.
See accompanying Notes, which are an integral part of the Financial Statements.
46
Treasury Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest | 26,386 |
Total Income | 26,386 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 263 |
Management and Administrative | 6,783 |
Marketing and Distribution | 1,696 |
Custodian Fees | 97 |
Auditing Fees | 30 |
Shareholders’ Reports | 39 |
Trustees’ Fees and Expenses | 6 |
Total Expenses | 8,914 |
Expense Reduction—Note B | (199) |
Net Expenses | 8,715 |
Net Investment Income | 17,671 |
Realized Net Gain (Loss) on Investment Securities Sold | (25) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 17,646 |
See accompanying Notes, which are an integral part of the Financial Statements.
47
Treasury Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 17,671 | 985 |
Realized Net Gain (Loss) | (25) | 37 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 17,646 | 1,022 |
Distributions | ||
Net Investment Income | (17,671) | (985) |
Realized Capital Gain | — | — |
Total Distributions | (17,671) | (985) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 5,596,836 | 568,831 |
Issued in Lieu of Cash Distributions | 17,175 | 960 |
Redeemed | (2,198,831) | (1,546,511) |
Net Increase (Decrease) from Capital Share Transactions | 3,415,180 | (976,720) |
Total Increase (Decrease) | 3,415,155 | (976,683) |
Net Assets | ||
Beginning of Period | 9,387,932 | 10,364,615 |
End of Period1 | 12,803,087 | 9,387,932 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $0 and $0. |
See accompanying Notes, which are an integral part of the Financial Statements.
48
Treasury Money Market Fund
Financial Highlights
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .0017 | .0001 | .0001 | .0002 | .0001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0017 | .0001 | .0001 | .0002 | .0001 |
Distributions | |||||
Dividends from Net Investment Income | (.0017) | (.0001) | (.0001) | (.0002) | (.0001) |
Distributions from Realized Capital Gains | — | — | (.0000)1 | — | — |
Total Distributions | (.0017) | (.0001) | (.0001) | (.0002) | (.0001) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.17% | 0.01% | 0.01% | 0.02% | 0.01% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $12,803 | $9,388 | $10,365 | $11,660 | $13,354 |
Ratio of Expenses to | |||||
Average Net Assets3 | 0.09% | 0.04% | 0.05% | 0.08% | 0.05% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.18% | 0.01% | 0.01% | 0.02% | 0.01% |
1 Distributions from realized capital gains were less than $.0001 per share.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
3 The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2016, 0.09% for 2015, 0.09% for 2014, 0.09%
for 2013, and 0.10% for 2012. See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
49
Treasury Money Market Fund
Notes to Financial Statements
Vanguard 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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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, 2013–2016), 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
50
Treasury Money Market Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $902,000, representing 0.01% of the fund’s net assets and 0.36% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order 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. For the year ended August 31, 2016, Vanguard’s expenses were reduced by $199,000 (an effective annual rate of 0.00% of the fund’s average net assets); the fund is not obligated to repay this amount to 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 August 31, 2016, 100% of the market value of the fund’s investments was determined 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. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
51
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Money Market Reserves and Vanguard Admiral Funds and the Shareholders of Vanguard Prime Money Market Fund, Vanguard Federal Money Market Fund and Vanguard Treasury Money Market Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Prime Money Market Fund and Vanguard Federal Money Market Fund (constituting separate portfolios of Vanguard Money Market Reserves) and Vanguard Treasury Money Market Fund (constituting a separate portfolio of Vanguard Admiral Funds) (hereafter referred to as the “Funds”) at August 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 12, 2016
52
Special 2016 tax information (unaudited) for Vanguard Prime Money Market Fund
This information for the fiscal year ended August 31, 2016, is included pursuant to provisions of the
Internal Revenue Code.
For nonresident alien shareholders, 73.6% of income dividends are interest-related dividends.
Special 2016 tax information (unaudited) for Vanguard Federal Money Market Fund
This information for the fiscal year ended August 31, 2016, is included pursuant to provisions of the
Internal Revenue Code.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
Special 2016 tax information (unaudited) for Vanguard Treasury Money Market Fund
This information for the fiscal year ended August 31, 2016, is included pursuant to provisions of
the Internal Revenue Code.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
53
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
54
Six Months Ended August 31, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2016 | 8/31/2016 | Period | |
Based on Actual Fund Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,002.25 | $0.81 |
Admiral Shares | 1,000.00 | 1,002.55 | 0.50 |
Federal Money Market Fund | $1,000.00 | $1,001.51 | $0.55 |
Treasury Money Market Fund | $1,000.00 | $1,001.28 | $0.45 |
Based on Hypothetical 5% Yearly Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,024.33 | $0.81 |
Admiral Shares | 1,000.00 | 1,024.63 | 0.51 |
Federal Money Market Fund | $1,000.00 | $1,024.58 | $0.56 |
Treasury Money Market Fund | $1,000.00 | $1,024.68 | $0.46 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for the
period are: for the Prime Money Market Fund, 0.16% for Investor Shares and 0.10% for Admiral Shares; for the Federal Money Market Fund,
0.11%; and for the Treasury Money Market Fund, 0.09%. 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 (184/366).
55
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Prime Money Market Fund, Federal Money Market Fund, and Treasury Money Market Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Fixed Income Group—serves as the investment advisor for each fund. The board determined that continuing each fund’s internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year directing the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they had received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to a benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about each fund’s most recent performance can be found on the Performance Summary pages of this report.
56
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
57
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.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
58
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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 198 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal | |
F. William McNabb III | Occupation(s) During the Past Five Years and Other |
Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
Board of The Vanguard Group, Inc., and of each of | International plc (diversified manufacturing and |
the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive plc |
Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
President of The Vanguard Group, and of each of | New Mountain Capital. |
the investment companies served by The Vanguard | |
Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
Group (1995–2008). | Occupation(s) During the Past Five Years and |
Other Experience: President of the University of | |
IndependentTrustees | Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and | |
Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
(retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
and 2009–2010 Distinguished Minett Professor at | |
the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
of Johnson & Johnson (pharmaceuticals/medical | |
devices/consumer products); Director of Skytop | |
Lodge Corporation (hotels) and the Robert Wood | |
Johnson Foundation; Member of the Advisory | |
Board of the Institute for Women’s Leadership | |
at Rutgers University. |
F. Joseph Loughrey | Executive Officers | |
Born 1949. Trustee Since October 2009. Principal | ||
Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
(retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
to the Kellogg Institute for International Studies, both | ||
at the University of Notre Dame. | Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | ||
Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
Committee (2004–2013); Director of the Dow Chemical | ||
Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | ||
Scott C. Malpass | Occupation(s) During the Past Five Years and | |
Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
Professor of Finance at the Mendoza College of | Group (2008–2014). | |
Business at Notre Dame; Member of the Notre Dame | ||
403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | ||
André F. Perold | investment companies served by The Vanguard Group; | |
Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
Experience: George Gund Professor of Finance and | ||
Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
(retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings | |
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years and | Chairman Emeritus and Senior Advisor | |
Other Experience: President and Chief Operating | ||
Officer (retired 2010) of Corning Incorporated | John J. Brennan | |
(communications equipment); Chairman of the | Chairman, 1996–2009 | |
Board of Trustees of Colby-Sawyer College; | Chief Executive Officer and President, 1996–2008 | |
Member of the Advisory Board of the Norris | ||
Cotton Cancer Center. | Founder | |
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q300 102016 |
Annual Report | August 31, 2016
Vanguard S&P Mid-Cap 400 Index Funds
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
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 4 |
S&P Mid-Cap 400 Index Fund. | 8 |
S&P Mid-Cap 400 Value Index Fund. | 26 |
S&P Mid-Cap 400 Growth Index Fund. | 44 |
Your Fund’s After-Tax Returns. | 62 |
About Your Fund’s Expenses. | 63 |
Trustees Approve Advisory Arrangements. | 65 |
Glossary. | 67 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• Mid-capitalization value stocks generally outperformed their growth counterparts during the 12 months ended August 31, 2016. This broad market trend was mirrored in the performance of the Vanguard S&P Mid-Cap 400 Index Funds.
• Results ranged from about 11% for the Growth Index Fund to about 13% for the Value Index Fund. The S&P Mid-Cap 400 Index Fund, which includes both value and growth stocks, returned about 12%.
• All three funds closely tracked their target indexes and exceeded the average returns of their mid-cap fund peers.
• Financials, information technology, industrials, and materials were among the top contributing sectors for all three funds. Consumer discretionary and energy stocks produced negative returns in the funds; energy detracted from the performance of all three, and consumer discretionary detracted from the Index and Growth Index Funds. Health care also lost ground in the Value Index Fund.
Total Returns: Fiscal Year Ended August 31, 2016 | |
Total | |
Returns | |
Vanguard S&P Mid-Cap 400 Index Fund | |
ETF Shares | |
Market Price | 12.17% |
Net Asset Value | 12.19 |
Institutional Shares | 12.26 |
S&P MidCap 400 Index | 12.33 |
Mid-Cap Core Funds Average | 6.84 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard S&P Mid-Cap 400 Value Index Fund | |
ETF Shares | |
Market Price | 13.15% |
Net Asset Value | 13.13 |
Institutional Shares | 13.25 |
S&P MidCap 400 Value Index | 13.31 |
Mid-Cap Value Funds Average | 8.43 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
1
Total | |
Returns | |
Vanguard S&P Mid-Cap 400 Growth Index Fund | |
ETF Shares | |
Market Price | 11.11% |
Net Asset Value | 11.04 |
Institutional Shares | 11.18 |
S&P MidCap 400 Growth Index | 11.25 |
Mid-Cap Growth Funds Average | 3.00 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The
Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns
based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573;
8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock
Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about
how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price
and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was
above or below the NAV.
Total Returns: Inception Through August 31, 2016 | |
Average | |
Annual Return | |
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 14.51% |
S&P MidCap 400 Index | 14.66 |
Mid-Cap Core Funds Average | 12.58 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P Mid-Cap 400 Value Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 14.06% |
S&P MidCap 400 Value Index | 14.29 |
Mid-Cap Value Funds Average | 12.90 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 14.78% |
S&P MidCap 400 Growth Index | 14.98 |
Mid-Cap Growth Funds Average | 12.13 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be
lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our
website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so
an investor’s shares, when sold, could be worth more or less than their original cost.
2
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
ETF | Institutional | Peer Group | |
Shares | Shares | Average | |
S&P Mid-Cap 400 Index Fund | 0.15% | 0.08% | 1.18% |
S&P Mid-Cap 400 Value Index Fund | 0.20 | 0.08 | 1.25 |
S&P Mid-Cap 400 Growth Index Fund | 0.20 | 0.08 | 1.31 |
The fund expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year.
For the fiscal year ended August 31, 2016, the funds’ expense ratios were: for the S&P Mid-Cap 400 Index Fund, 0.15% for ETF Shares and
0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.20% for ETF Shares and 0.08% for Institutional Shares; and for
the S&P Mid-Cap 400 Growth Index Fund, 0.20% for ETF Shares and 0.08% for Institutional Shares. Peer-group expense ratios are derived
from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the S&P Mid-Cap 400 Index Fund, Mid-Cap Core Funds; for the S&P Mid-Cap 400 Value Index Fund, Mid-Cap Value Funds;
and for the S&P Mid-Cap 400 Growth Index Fund, Mid-Cap Growth Funds.
3
6
7
S&P Mid-Cap 400 Index Fund
Fund Profile
As of August 31, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOO | VSPMX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 1.46% | 1.53% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
MidCap | FA | ||
Fund 400 Index | Index | ||
Number of Stocks | 401 | 400 | 3,817 |
Median Market Cap | $4.7B | $4.7B | $51.2B |
Price/Earnings Ratio | 25.7x | 26.1x | 23.5x |
Price/Book Ratio | 2.4x | 2.5x | 2.8x |
Return on Equity | 13.2% | 13.2% | 16.6% |
Earnings Growth | |||
Rate | 10.6% | 10.6% | 7.5% |
Dividend Yield | 1.6% | 1.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 11% | — | — |
Short-Term | |||
Reserves | 0.0% | — | — |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
MidCap | Market | |
400 Index | FA Index | |
R-Squared | 1.00 | 0.86 |
Beta | 1.00 | 1.00 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Mettler-Toledo | Life Sciences Tools & | |
International Inc. | Services | 0.7% |
IDEXX Laboratories Inc. | Health Care | |
Equipment | 0.7 | |
Ingredion Inc. | Agricultural Products | 0.6 |
WhiteWave Foods Co. | Packaged Foods & | |
Meats | 0.6 | |
Duke Realty Corp. | Industrial REITs | 0.6 |
ResMed Inc. | Health Care | |
Equipment | 0.6 | |
Cooper Cos. Inc. | Health Care Supplies | 0.6 |
CDK Global Inc. | Application Software | 0.6 |
Synopsys Inc. | Application Software | 0.6 |
Alexandria Real Estate | ||
Equities Inc. | Office REITs | 0.6 |
Top Ten | 6.2% | |
The holdings listed exclude any temporary cash investments and | ||
equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2016, the expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
8
S&P Mid-Cap 400 Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
MidCap | FA | ||
Fund 400 Index | Index | ||
Consumer Discretionary 11.8% | 11.8% | 12.9% | |
Consumer Staples | 4.4 | 4.5 | 8.9 |
Energy | 3.6 | 3.6 | 6.4 |
Financials | 26.9 | 26.7 | 18.0 |
Health Care | 9.0 | 9.1 | 14.1 |
Industrials | 14.0 | 14.0 | 10.4 |
Information Technology 17.6 | 17.6 | 20.3 | |
Materials | 7.1 | 7.1 | 3.3 |
Telecommunication | |||
Services | 0.2 | 0.2 | 2.4 |
Utilities | 5.4 | 5.4 | 3.3 |
9
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.
Cumulative Performance: September 7, 2010, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended August 31, 2016 | |||||
Since | Final Value | ||||
One | Five | Inception | of a $10,000 | ||
Year | Years | (9/7/2010) | Investment | ||
S&P Mid-Cap 400 Index Fund*ETF | |||||
Shares Net Asset Value | 12.19% | 13.92% | 14.51% | $22,490 | |
S&P Mid-Cap 400 Index Fund*ETF | |||||
Shares Market Price | 12.17 | 13.92 | 14.51 | 22,492 | |
•••••••• | S&P MidCap 400 Index | 12.33 | 14.07 | 14.66 | 22,672 |
– – – – | Mid-Cap Core Funds Average | 6.84 | 12.02 | 12.58 | 20,318 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 11.34 | 14.40 | 14.48 | 22,460 | |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | |||
One | Five | Inception | of a $5,000,000 | |
Year | Years | (3/28/2011) | Investment | |
S&P Mid-Cap 400 Index Fund Institutional | ||||
Shares | 12.26% | 14.00% | 10.89% | $8,764,267 |
S&P MidCap 400 Index | 12.33 | 14.07 | 10.96 | 8,794,106 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 11.34 | 14.40 | 11.74 | 9,132,319 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were
next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
See Financial Highlights for dividend and capital gains information.
10
S&P Mid-Cap 400 Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2016 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Mid-Cap 400 Index Fund ETF Shares Market | |||
Price | 12.17% | 91.90% | 124.92% |
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset | |||
Value | 12.19 | 91.88 | 124.90 |
S&P MidCap 400 Index | 12.33 | 93.11 | 126.72 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2016
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | 1.17% | 10.41% | 14.05% | |
Net Asset Value | 1.20 | 10.40 | 14.04 | |
Institutional Shares | 3/28/20111 | 1.27 | 10.48 | 10.28 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares
were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
11
S&P Mid-Cap 400 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
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 (11.8%) | |||
Domino’s Pizza Inc. | 43,510 | 6,508 | |
* | NVR Inc. | 3,177 | 5,359 |
Dick’s Sporting Goods Inc. | 77,368 | 4,534 | |
^ | Polaris Industries Inc. | 52,147 | 4,518 |
Gentex Corp. | 250,616 | 4,458 | |
Service Corp. International | 168,097 | 4,444 | |
* | Panera Bread Co. Class A | 19,783 | 4,296 |
Carter’s Inc. | 44,053 | 4,198 | |
* | Tempur Sealy International | ||
Inc. | 52,864 | 4,146 | |
* | Toll Brothers Inc. | 132,390 | 4,116 |
Dunkin’ Brands Group Inc. | 79,516 | 3,892 | |
Williams-Sonoma Inc. | 71,328 | 3,755 | |
Pool Corp. | 36,504 | 3,682 | |
Brunswick Corp. | 78,647 | 3,617 | |
Cinemark Holdings Inc. | 91,740 | 3,546 | |
* | Live Nation Entertainment | ||
Inc. | 126,790 | 3,388 | |
Thor Industries Inc. | 39,621 | 3,215 | |
Cracker Barrel Old Country | |||
Store Inc. | 20,776 | 3,160 | |
CST Brands Inc. | 65,684 | 3,140 | |
* | AMC Networks Inc. Class A | 53,102 | 2,886 |
Tupperware Brands Corp. | 43,830 | 2,872 | |
Jack in the Box Inc. | 28,242 | 2,809 | |
* | Skechers U.S.A. Inc. | ||
Class A | 115,336 | 2,804 | |
American Eagle Outfitters | |||
Inc. | 144,433 | 2,678 | |
* | Buffalo Wild Wings Inc. | 16,337 | 2,650 |
Brinker International Inc. | 48,353 | 2,597 | |
^ | GameStop Corp. Class A | 90,211 | 2,561 |
* | JC Penney Co. Inc. | 266,813 | 2,516 |
John Wiley & Sons Inc. | |||
Class A | 41,876 | 2,434 | |
Texas Roadhouse Inc. | |||
Class A | 54,930 | 2,432 | |
CalAtlantic Group Inc. | 64,721 | 2,362 |
* | Murphy USA Inc. | 32,145 | 2,350 |
* | Helen of Troy Ltd. | 24,091 | 2,176 |
* | Vista Outdoor Inc. | 52,714 | 2,099 |
* | Kate Spade & Co. | 111,081 | 2,073 |
* | Cabela’s Inc. | 42,071 | 2,061 |
Cable One Inc. | 3,784 | 2,048 | |
Cheesecake Factory Inc. | 38,734 | 1,991 | |
Big Lots Inc. | 38,514 | 1,899 | |
Wendy’s Co. | 185,090 | 1,886 | |
Dana Inc. | 128,372 | 1,851 | |
Graham Holdings Co. | |||
Class B | 3,715 | 1,822 | |
* | Deckers Outdoor Corp. | 27,797 | 1,817 |
Meredith Corp. | 32,660 | 1,732 | |
* | TRI Pointe Group Inc. | 126,599 | 1,717 |
Sotheby’s | 42,595 | 1,689 | |
Office Depot Inc. | 429,824 | 1,582 | |
Churchill Downs Inc. | 10,441 | 1,560 | |
Chico’s FAS Inc. | 115,142 | 1,460 | |
New York Times Co. | |||
Class A | 107,044 | 1,385 | |
Aaron’s Inc. | 56,216 | 1,369 | |
Time Inc. | 88,372 | 1,246 | |
* | Ascena Retail Group Inc. | 148,325 | 1,207 |
HSN Inc. | 27,698 | 1,157 | |
KB Home | 72,558 | 1,139 | |
DeVry Education Group Inc. | 49,044 | 1,130 | |
* | Restoration Hardware | ||
Holdings Inc. | 32,796 | 1,106 | |
Abercrombie & Fitch Co. | 58,690 | 1,041 | |
* | Fossil Group Inc. | 35,036 | 1,001 |
Guess? Inc. | 53,802 | 895 | |
International Speedway | |||
Corp. Class A | 22,254 | 741 | |
156,803 | |||
Consumer Staples (4.4%) | |||
Ingredion Inc. | 62,456 | 8,554 | |
* | WhiteWave Foods Co. | ||
Class A | 153,489 | 8,508 | |
* | Post Holdings Inc. | 55,797 | 4,731 |
* | TreeHouse Foods Inc. | 48,966 | 4,639 |
12
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Casey’s General Stores Inc. | 33,883 | 4,449 | |
* | Edgewell Personal Care Co. | 51,508 | 4,121 |
* | Hain Celestial Group Inc. | 89,772 | 3,299 |
* | Sprouts Farmers Market | ||
Inc. | 122,968 | 2,770 | |
Energizer Holdings Inc. | 53,660 | 2,652 | |
Snyder’s-Lance Inc. | 69,037 | 2,440 | |
Flowers Foods Inc. | 157,975 | 2,355 | |
Lancaster Colony Corp. | 16,888 | 2,272 | |
Avon Products Inc. | 378,579 | 2,158 | |
* | United Natural Foods Inc. | 43,684 | 1,992 |
* | Boston Beer Co. Inc. | ||
Class A | 8,106 | 1,481 | |
Dean Foods Co. | 79,680 | 1,371 | |
^ | Tootsie Roll Industries Inc. | 15,076 | 574 |
* | SUPERVALU Inc. | 1,824 | 10 |
58,376 | |||
Energy (3.6%) | |||
Energen Corp. | 84,227 | 4,843 | |
HollyFrontier Corp. | 152,546 | 3,948 | |
QEP Resources Inc. | 205,430 | 3,924 | |
CONSOL Energy Inc. | 199,033 | 3,630 | |
* | Gulfport Energy Corp. | 108,771 | 3,111 |
* | WPX Energy Inc. | 253,999 | 3,048 |
SM Energy Co. | 72,965 | 2,764 | |
World Fuel Services Corp. | 61,470 | 2,740 | |
Patterson-UTI Energy Inc. | 127,896 | 2,493 | |
Nabors Industries Ltd. | 244,665 | 2,432 | |
Oceaneering International | |||
Inc. | 85,105 | 2,257 | |
Superior Energy Services | |||
Inc. | 131,413 | 2,212 | |
Ensco plc Class A | 261,523 | 1,985 | |
* | Dril-Quip Inc. | 32,947 | 1,831 |
Western Refining Inc. | 69,662 | 1,753 | |
* | Oil States International Inc. | 44,592 | 1,383 |
Rowan Cos. plc Class A | 108,931 | 1,357 | |
Noble Corp. plc | 211,188 | 1,216 | |
* | Denbury Resources Inc. | 345,940 | 1,065 |
47,992 | |||
Financials (26.9%) | |||
Duke Realty Corp. | 300,129 | 8,440 | |
Alexandria Real Estate | |||
Equities Inc. | 67,650 | 7,448 | |
* | Alleghany Corp. | 13,399 | 7,185 |
Regency Centers Corp. | 89,026 | 7,170 | |
Everest Re Group Ltd. | 36,736 | 7,104 | |
MSCI Inc. Class A | 75,352 | 6,791 | |
Camden Property Trust | 75,479 | 6,625 | |
New York Community | |||
Bancorp Inc. | 422,541 | 6,385 | |
Raymond James Financial | |||
Inc. | 109,286 | 6,357 | |
FactSet Research | |||
Systems Inc. | 35,467 | 6,314 |
National Retail Properties | |||
Inc. | 124,956 | 6,260 | |
Mid-America Apartment | |||
Communities Inc. | 65,516 | 6,158 | |
Reinsurance Group of | |||
America Inc. Class A | 55,587 | 5,966 | |
Kilroy Realty Corp. | 79,976 | 5,809 | |
* | Signature Bank | 46,577 | 5,683 |
American Campus | |||
Communities Inc. | 113,174 | 5,671 | |
MarketAxess Holdings Inc. | 32,594 | 5,493 | |
SEI Investments Co. | 118,066 | 5,443 | |
Liberty Property Trust | 127,221 | 5,245 | |
Omega Healthcare | |||
Investors Inc. | 143,672 | 5,201 | |
WR Berkley Corp. | 85,099 | 5,052 | |
* | SVB Financial Group | 44,950 | 4,992 |
CBOE Holdings Inc. | 70,627 | 4,851 | |
East West Bancorp Inc. | 125,032 | 4,644 | |
American Financial Group | |||
Inc. | 61,692 | 4,636 | |
Senior Housing Properties | |||
Trust | 206,051 | 4,603 | |
Douglas Emmett Inc. | 121,834 | 4,576 | |
Jones Lang LaSalle Inc. | 39,144 | 4,570 | |
Highwoods Properties Inc. | 84,519 | 4,483 | |
RenaissanceRe Holdings | |||
Ltd. | 37,394 | 4,476 | |
Lamar Advertising Co. | |||
Class A | 71,530 | 4,458 | |
EPR Properties | 55,184 | 4,322 | |
PacWest Bancorp | 99,323 | 4,302 | |
Hospitality Properties Trust | 141,040 | 4,300 | |
Weingarten Realty | |||
Investors | 100,169 | 4,132 | |
First American Financial | |||
Corp. | 95,079 | 4,097 | |
Old Republic International | |||
Corp. | 211,571 | 4,069 | |
Taubman Centers Inc. | 52,364 | 4,067 | |
Eaton Vance Corp. | 98,423 | 3,940 | |
Brown & Brown Inc. | 100,850 | 3,779 | |
DCT Industrial Trust Inc. | 76,834 | 3,743 | |
Communications Sales & | |||
Leasing Inc. | 118,413 | 3,694 | |
Commerce Bancshares Inc. | 72,054 | 3,652 | |
* | Life Storage Inc. | 40,219 | 3,620 |
Synovus Financial Corp. | 108,904 | 3,603 | |
Endurance Specialty | |||
Holdings Ltd. | 53,779 | 3,541 | |
Cullen/Frost Bankers Inc. | 47,341 | 3,451 | |
Healthcare Realty Trust Inc. | 97,897 | 3,432 | |
Tanger Factory Outlet | |||
Centers Inc. | 82,473 | 3,352 | |
PrivateBancorp Inc. | 68,892 | 3,166 |
13
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Medical Properties Trust | |||
Inc. | 206,418 | 3,152 | |
Prosperity Bancshares Inc. | 56,749 | 3,148 | |
Umpqua Holdings Corp. | 191,322 | 3,141 | |
First Horizon National Corp. | 201,804 | 3,104 | |
Bank of the Ozarks Inc. | 78,826 | 3,088 | |
Post Properties Inc. | 46,418 | 3,077 | |
Webster Financial Corp. | 79,542 | 3,073 | |
Rayonier Inc. | 106,334 | 2,927 | |
First Industrial Realty Trust | |||
Inc. | 101,406 | 2,917 | |
Hanover Insurance Group | |||
Inc. | 37,278 | 2,915 | |
Education Realty Trust Inc. | 63,391 | 2,872 | |
Chemical Financial Corp. | 60,066 | 2,777 | |
LaSalle Hotel Properties | 98,116 | 2,753 | |
Bank of Hawaii Corp. | 37,354 | 2,691 | |
Federated Investors Inc. | |||
Class B | 82,116 | 2,652 | |
Associated Banc-Corp | 130,301 | 2,585 | |
CNO Financial Group Inc. | 155,442 | 2,526 | |
* | SLM Corp. | 337,055 | 2,499 |
Equity One Inc. | 78,924 | 2,450 | |
Aspen Insurance Holdings | |||
Ltd. | 52,698 | 2,422 | |
Corporate Office Properties | |||
Trust | 82,152 | 2,343 | |
^ | Primerica Inc. | 40,835 | 2,325 |
MB Financial Inc. | 58,944 | 2,309 | |
Urban Edge Properties | 80,219 | 2,299 | |
* | Stifel Financial Corp. | 57,694 | 2,270 |
FNB Corp. | 181,061 | 2,261 | |
* | Washington Prime Group | ||
Inc. | 160,840 | 2,210 | |
Hancock Holding Co. | 67,279 | 2,195 | |
Care Capital Properties Inc. | 72,859 | 2,185 | |
Fulton Financial Corp. | 150,564 | 2,177 | |
TCF Financial Corp. | 148,469 | 2,175 | |
Mack-Cali Realty Corp. | 77,803 | 2,160 | |
Washington Federal Inc. | 79,044 | 2,095 | |
* | Genworth Financial Inc. | ||
Class A | 432,711 | 2,047 | |
Cathay General Bancorp | 63,648 | 2,000 | |
Janus Capital Group Inc. | 126,608 | 1,883 | |
Valley National Bancorp | 194,318 | 1,875 | |
BancorpSouth Inc. | 73,780 | 1,837 | |
Mercury General Corp. | 31,662 | 1,719 | |
Trustmark Corp. | 58,699 | 1,665 | |
Corrections Corp. of | |||
America | 101,977 | 1,624 | |
Alexander & Baldwin Inc. | 39,969 | 1,604 | |
Kemper Corp. | 41,733 | 1,563 | |
International Bancshares | |||
Corp. | 48,095 | 1,426 | |
Potlatch Corp. | 35,329 | 1,338 |
Waddell & Reed Financial | |||
Inc. Class A | 70,758 | 1,316 | |
^ | WisdomTree Investments | ||
Inc. | 95,785 | 1,006 | |
359,027 | |||
Health Care (9.0%) | |||
* | Mettler-Toledo International | ||
Inc. | 23,216 | 9,358 | |
* | IDEXX Laboratories Inc. | 77,676 | 8,753 |
ResMed Inc. | 121,815 | 8,124 | |
Cooper Cos. Inc. | 42,031 | 7,814 | |
Teleflex Inc. | 37,825 | 6,925 | |
* | Align Technology Inc. | 63,306 | 5,881 |
* | MEDNAX Inc. | 80,715 | 5,309 |
STERIS plc | 74,620 | 5,274 | |
West Pharmaceutical | |||
Services Inc. | 63,403 | 5,188 | |
* | VCA Inc. | 70,128 | 4,966 |
* | United Therapeutics Corp. | 38,720 | 4,735 |
* | WellCare Health Plans Inc. | 38,397 | 4,327 |
* | ABIOMED Inc. | 34,119 | 4,024 |
* | Charles River Laboratories | ||
International Inc. | 40,940 | 3,407 | |
Bio-Techne Corp. | 32,294 | 3,402 | |
* | PAREXEL International Corp. | 45,897 | 3,122 |
* | Amsurg Corp. | 46,920 | 3,046 |
Hill-Rom Holdings Inc. | 49,367 | 2,928 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 18,115 | 2,696 | |
* | Catalent Inc. | 93,047 | 2,348 |
* | LivaNova plc | 37,050 | 2,224 |
* | Prestige Brands Holdings | ||
Inc. | 45,795 | 2,204 | |
* | LifePoint Health Inc. | 37,687 | 2,133 |
* | Allscripts Healthcare | ||
Solutions Inc. | 162,372 | 2,096 | |
* | Akorn Inc. | 76,567 | 2,061 |
* | Tenet Healthcare Corp. | 86,196 | 2,060 |
* | Molina Healthcare Inc. | 35,854 | 1,929 |
Owens & Minor Inc. | 54,510 | 1,873 | |
* | Halyard Health Inc. | 40,518 | 1,477 |
* | Community Health | ||
Systems Inc. | 95,392 | 1,019 | |
120,703 | |||
Industrials (14.0%) | |||
Huntington Ingalls | |||
Industries Inc. | 40,798 | 6,739 | |
AO Smith Corp. | 64,578 | 6,230 | |
IDEX Corp. | 65,851 | 6,153 | |
Wabtec Corp. | 78,180 | 5,989 | |
Carlisle Cos. Inc. | 55,693 | 5,840 | |
Lennox International Inc. | 33,675 | 5,424 | |
Hubbell Inc. Class B | 45,122 | 4,887 | |
Toro Co. | 47,751 | 4,639 | |
Nordson Corp. | 46,531 | 4,594 |
14
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
B/E Aerospace Inc. | 88,681 | 4,483 | |
* | JetBlue Airways Corp. | 279,528 | 4,458 |
ManpowerGroup Inc. | 62,036 | 4,433 | |
* | Copart Inc. | 86,368 | 4,407 |
* | Old Dominion Freight | ||
Line Inc. | 59,366 | 4,223 | |
* | AECOM | 133,073 | 4,103 |
Donaldson Co. Inc. | 107,278 | 4,028 | |
Orbital ATK Inc. | 50,815 | 3,833 | |
Graco Inc. | 48,260 | 3,555 | |
Curtiss-Wright Corp. | 38,630 | 3,473 | |
Lincoln Electric Holdings Inc. | 54,338 | 3,454 | |
Oshkosh Corp. | 63,665 | 3,433 | |
* | Genesee & Wyoming Inc. | ||
Class A | 49,597 | 3,372 | |
Watsco Inc. | 22,380 | 3,309 | |
* | Teledyne Technologies Inc. | 29,935 | 3,207 |
Trinity Industries Inc. | 130,867 | 3,196 | |
RR Donnelley & Sons Co. | 181,719 | 3,107 | |
EMCOR Group Inc. | 52,676 | 3,016 | |
Woodward Inc. | 47,722 | 2,993 | |
AGCO Corp. | 61,553 | 2,988 | |
Deluxe Corp. | 42,450 | 2,894 | |
ITT Inc. | 78,194 | 2,829 | |
^ | MSC Industrial Direct Co. | ||
Inc. Class A | 38,342 | 2,801 | |
Crane Co. | 43,008 | 2,766 | |
CLARCOR Inc. | 42,090 | 2,756 | |
EnerSys | 37,375 | 2,630 | |
Valmont Industries Inc. | 19,689 | 2,569 | |
Landstar System Inc. | 36,736 | 2,543 | |
* | Kirby Corp. | 46,744 | 2,435 |
Regal Beloit Corp. | 38,822 | 2,381 | |
Rollins Inc. | 81,617 | 2,326 | |
Joy Global Inc. | 85,179 | 2,324 | |
Terex Corp. | 94,781 | 2,301 | |
* | Dycom Industries Inc. | 27,206 | 2,207 |
* | Clean Harbors Inc. | 45,458 | 2,173 |
HNI Corp. | 38,515 | 2,151 | |
Timken Co. | 59,823 | 2,026 | |
* | Esterline Technologies | ||
Corp. | 25,476 | 1,960 | |
Kennametal Inc. | 69,173 | 1,934 | |
* | NOW Inc. | 93,243 | 1,925 |
Herman Miller Inc. | 51,953 | 1,874 | |
KBR Inc. | 123,631 | 1,815 | |
* | KLX Inc. | 45,759 | 1,709 |
CEB Inc. | 27,956 | 1,683 | |
Granite Construction Inc. | 34,352 | 1,649 | |
MSA Safety Inc. | 27,637 | 1,610 | |
* | FTI Consulting Inc. | 35,981 | 1,594 |
GATX Corp. | 35,505 | 1,557 | |
Triumph Group Inc. | 42,997 | 1,370 | |
Werner Enterprises Inc. | 37,785 | 872 | |
187,230 |
Information Technology (17.6%) | |||
CDK Global Inc. | 134,768 | 7,814 | |
* | Synopsys Inc. | 131,723 | 7,810 |
* | ANSYS Inc. | 76,381 | 7,263 |
Broadridge Financial | |||
Solutions Inc. | 102,563 | 7,108 | |
* | Cadence Design Systems | ||
Inc. | 261,031 | 6,641 | |
* | Gartner Inc. | 71,580 | 6,514 |
Jack Henry & Associates | |||
Inc. | 68,439 | 5,973 | |
* | Trimble Navigation Ltd. | 217,835 | 5,969 |
Computer Sciences Corp. | 120,321 | 5,660 | |
* | Ultimate Software Group | ||
Inc. | 25,061 | 5,236 | |
* | Arrow Electronics Inc. | 79,505 | 5,234 |
Leidos Holdings Inc. | 123,337 | 4,996 | |
Avnet Inc. | 111,512 | 4,648 | |
* | Tyler Technologies Inc. | 28,207 | 4,624 |
* | Fortinet Inc. | 126,615 | 4,576 |
Ingram Micro Inc. | 128,733 | 4,500 | |
* | Keysight Technologies Inc. | 147,702 | 4,495 |
* | ARRIS International plc | 151,615 | 4,256 |
* | PTC Inc. | 99,460 | 4,244 |
* | Advanced Micro Devices | ||
Inc. | 557,714 | 4,127 | |
* | Microsemi Corp. | 98,143 | 3,922 |
* | Manhattan Associates Inc. | 62,597 | 3,788 |
FEI Co. | 35,455 | 3,775 | |
Teradyne Inc. | 176,307 | 3,713 | |
Cognex Corp. | 73,803 | 3,672 | |
* | NCR Corp. | 107,515 | 3,639 |
Brocade Communications | |||
Systems Inc. | 404,983 | 3,637 | |
Jabil Circuit Inc. | 165,903 | 3,515 | |
Fair Isaac Corp. | 27,060 | 3,462 | |
* | WEX Inc. | 33,364 | 3,313 |
MAXIMUS Inc. | 56,313 | 3,312 | |
DST Systems Inc. | 27,073 | 3,290 | |
Cypress Semiconductor | |||
Corp. | 270,544 | 3,228 | |
* | Zebra Technologies Corp. | 45,336 | 3,172 |
* | CoreLogic Inc. | 77,112 | 3,163 |
* | ViaSat Inc. | 39,075 | 2,932 |
* | Rackspace Hosting Inc. | 92,759 | 2,917 |
* | IPG Photonics Corp. | 31,785 | 2,765 |
j2 Global Inc. | 40,143 | 2,737 | |
Belden Inc. | 36,511 | 2,723 | |
SYNNEX Corp. | 25,155 | 2,671 | |
Convergys Corp. | 83,739 | 2,498 | |
National Instruments Corp. | 87,521 | 2,445 | |
* | NetScout Systems Inc. | 81,373 | 2,407 |
* | Ciena Corp. | 112,215 | 2,407 |
* | Integrated Device | ||
Technology Inc. | 115,980 | 2,330 | |
Intersil Corp. Class A | 117,158 | 2,313 |
15
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Science Applications | |||
International Corp. | 35,712 | 2,279 | |
* | Tech Data Corp. | 30,544 | 2,268 |
InterDigital Inc. | 30,007 | 2,143 | |
Mentor Graphics Corp. | 87,289 | 2,096 | |
* | Cree Inc. | 87,167 | 2,093 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 98,587 | 1,962 | |
Lexmark International Inc. | |||
Class A | 54,378 | 1,947 | |
* | ACI Worldwide Inc. | 101,228 | 1,933 |
* | Silicon Laboratories Inc. | 33,707 | 1,931 |
* | VeriFone Systems Inc. | 95,657 | 1,900 |
* | CommVault Systems Inc. | 35,703 | 1,840 |
Diebold Inc. | 65,170 | 1,829 | |
* | Synaptics Inc. | 31,981 | 1,822 |
* | Acxiom Corp. | 67,298 | 1,749 |
* | WebMD Health Corp. | 33,584 | 1,732 |
Vishay Intertechnology Inc. | 117,689 | 1,666 | |
Plantronics Inc. | 28,928 | 1,465 | |
* | Polycom Inc. | 117,748 | 1,465 |
*,^ | 3D Systems Corp. | 92,416 | 1,340 |
* | comScore Inc. | 40,850 | 1,260 |
* | NeuStar Inc. Class A | 45,983 | 1,168 |
* | Knowles Corp. | 74,917 | 1,041 |
234,363 | |||
Materials (7.1%) | |||
Valspar Corp. | 63,269 | 6,669 | |
Packaging Corp. of America | 81,655 | 6,421 | |
Ashland Inc. | 53,848 | 6,305 | |
RPM International Inc. | 115,258 | 6,285 | |
Steel Dynamics Inc. | 211,330 | 5,203 | |
Reliance Steel & | |||
Aluminum Co. | 62,760 | 4,524 | |
Sonoco Products Co. | 87,424 | 4,506 | |
Bemis Co. Inc. | 82,164 | 4,322 | |
AptarGroup Inc. | 54,798 | 4,273 | |
Royal Gold Inc. | 56,655 | 4,154 | |
NewMarket Corp. | 8,636 | 3,748 | |
Eagle Materials Inc. | 41,898 | 3,367 | |
Scotts Miracle-Gro Co. | |||
Class A | 39,318 | 3,256 | |
Olin Corp. | 143,320 | 3,101 | |
Sensient Technologies Corp. | 38,903 | 2,849 | |
United States Steel Corp. | 143,472 | 2,789 | |
Cabot Corp. | 54,152 | 2,700 | |
PolyOne Corp. | 72,938 | 2,514 | |
* | Louisiana-Pacific Corp. | 124,761 | 2,430 |
Compass Minerals | |||
International Inc. | 29,320 | 2,185 | |
Minerals Technologies Inc. | 30,230 | 2,133 | |
Domtar Corp. | 54,320 | 2,027 | |
Silgan Holdings Inc. | 35,175 | 1,693 | |
Worthington Industries Inc. | 39,032 | 1,674 | |
^ | Allegheny Technologies Inc. | 94,521 | 1,613 |
Commercial Metals Co. | 99,444 | 1,543 |
Carpenter Technology Corp. | 40,448 | 1,467 | |
Greif Inc. Class A | 22,390 | 955 | |
94,706 | |||
Telecommunication Services (0.2%) | |||
Telephone & Data Systems | |||
Inc. | 82,191 | 2,291 | |
Utilities (5.4%) | |||
UGI Corp. | 149,821 | 6,814 | |
Westar Energy Inc. | |||
Class A | 122,926 | 6,754 | |
Atmos Energy Corp. | 88,701 | 6,537 | |
OGE Energy Corp. | 173,270 | 5,394 | |
Aqua America Inc. | 153,810 | 4,677 | |
National Fuel Gas Co. | 73,699 | 4,205 | |
MDU Resources Group Inc. | 169,466 | 3,994 | |
Questar Corp. | 152,196 | 3,807 | |
Great Plains Energy Inc. | 134,030 | 3,640 | |
Vectren Corp. | 71,854 | 3,514 | |
IDACORP Inc. | 43,752 | 3,328 | |
Southwest Gas Corp. | 41,201 | 2,877 | |
Hawaiian Electric | |||
Industries Inc. | 93,629 | 2,810 | |
ONE Gas Inc. | 45,271 | 2,772 | |
WGL Holdings Inc. | 43,683 | 2,745 | |
Black Hills Corp. | 44,773 | 2,620 | |
New Jersey Resources | |||
Corp. | 74,684 | 2,512 | |
PNM Resources Inc. | 69,136 | 2,198 | |
* | Talen Energy Corp. | 53,975 | 746 |
71,944 | |||
Total Common Stocks | |||
(Cost $1,261,976) | 1,333,435 | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.2%) | |||
1,2 | Vanguard Market Liquidity | ||
Fund, 0.612% | 29,662 | 2,966 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.1%) | |||
3,4 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.370%, 10/7/16 | 1,000 | 1,000 | |
3,4 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.379%, 10/21/16 | 100 | 100 | |
1,100 | |||
Total Temporary Cash Investments | |||
(Cost $4,066) | 4,066 | ||
Total Investments (100.3%) | |||
(Cost $1,266,042) | 1,337,501 |
16
S&P Mid-Cap 400 Index Fund
Amount | |
($000) | |
Other Assets and Liabilities (-0.3%) | |
Other Assets | |
Investment in Vanguard | 98 |
Receivables for Investment Securities Sold 1,254 | |
Receivables for Accrued Income | 1,416 |
Receivables for Capital Shares Issued | 67 |
Total Other Assets | 2,835 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (2,814) |
Collateral for Securities on Loan | (2,962) |
Payables for Capital Shares Redeemed | (247) |
Payables to Vanguard | (300) |
Other Liabilities | (889) |
Total Liabilities | (7,212) |
Net Assets (100%) | 1,333,124 |
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,274,159 |
Undistributed Net Investment Income | 4,807 |
Accumulated Net Realized Losses | (17,301) |
Unrealized Appreciation (Depreciation) | 71,459 |
Net Assets | 1,333,124 |
ETF Shares—Net Assets | |
Applicable to 4,600,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 485,327 |
Net Asset Value Per Share— | |
ETF Shares | $105.51 |
Institutional Shares—Net Assets | |
Applicable to 4,029,428 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 847,797 |
Net Asset Value Per Share— | |
Institutional Shares | $210.40 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,790,000.
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.
2 Includes $2,962,000 of collateral received for securities on loan.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
4 Securities with a value of $200,000 have been segregated as initial margin for recently closed futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P Mid-Cap 400 Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 19,092 |
Interest1 | 24 |
Securities Lending—Net | 120 |
Total Income | 19,236 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 197 |
Management and Administrative—ETF Shares | 417 |
Management and Administrative—Institutional Shares | 362 |
Marketing and Distribution—ETF Shares | 31 |
Marketing and Distribution—Institutional Shares | 20 |
Custodian Fees | 85 |
Auditing Fees | 32 |
Shareholders’ Reports—ETF Shares | 19 |
Shareholders’ Reports—Institutional Shares | 7 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,171 |
Net Investment Income | 18,065 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 90,669 |
Futures Contracts | 754 |
Realized Net Gain (Loss) | 91,423 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 34,801 |
Futures Contracts | 72 |
Change in Unrealized Appreciation (Depreciation) | 34,873 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 144,361 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $22,000 and ($3,000), respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P Mid-Cap 400 Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 18,065 | 14,231 |
Realized Net Gain (Loss) | 91,423 | 82,614 |
Change in Unrealized Appreciation (Depreciation) | 34,873 | (103,530) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 144,361 | (6,685) |
Distributions | ||
Net Investment Income | ||
ETF Shares | (7,195) | (4,471) |
Institutional Shares | (15,380) | (7,100) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (22,575) | (11,571) |
Capital Share Transactions | ||
ETF Shares | 64,169 | 38,682 |
Institutional Shares | 103,734 | 155,270 |
Net Increase (Decrease) from Capital Share Transactions | 167,903 | 193,952 |
Total Increase (Decrease) | 289,689 | 175,696 |
Net Assets | ||
Beginning of Period | 1,043,435 | 867,739 |
End of Period1 | 1,333,124 | 1,043,435 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $4,807,000 and $9,301,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Mid-Cap 400 Index Fund | |||||
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $95.87 | $97.19 | $79.72 | $65.20 | $58.37 |
Investment Operations | |||||
Net Investment Income | 1.393 | 1.330 | 1.016 | 1.1331 | .648 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 10.091 | (1.425) | 17.285 | 14.112 | 6.657 |
Total from Investment Operations | 11.484 | (.095) | 18.301 | 15.245 | 7.305 |
Distributions | |||||
Dividends from Net Investment Income | (1.844) | (1.225) | (.831) | (.725) | (.475) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.844) | (1.225) | (.831) | (.725) | (.475) |
Net Asset Value, End of Period | $105.51 | $95.87 | $97.19 | $79.72 | $65.20 |
Total Return | 12.19% | -0.12% | 23.06% | 23.57% | 12.60% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $485 | $379 | $345 | $191 | $72 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.56% | 1.45% | 1.28% | 1.50% | 1.35% |
Portfolio Turnover Rate 2 | 11% | 12% | 14% | 10% | 13% |
1 Calculated based on average shares outstanding. | |||||
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | |||||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Mid-Cap 400 Index Fund | |||||
Financial Highlights | |||||
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $191.51 | $194.13 | $159.20 | $130.17 | $116.52 |
Investment Operations | |||||
Net Investment Income | 3.171 | 2.794 | 2.135 | 2.3551 | 1.372 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 19.869 | (2.844) | 34.537 | 28.174 | 13.297 |
Total from Investment Operations | 23.040 | (.050) | 36.672 | 30.529 | 14.669 |
Distributions | |||||
Dividends from Net Investment Income | (4.150) | (2.570) | (1.742) | (1.499) | (1.019) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (4.150) | (2.570) | (1.742) | (1.499) | (1.019) |
Net Asset Value, End of Period | $210.40 | $191.51 | $194.13 | $159.20 | $130.17 |
Total Return | 12.26% | -0.04% | 23.16% | 23.65% | 12.69% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $848 | $665 | $523 | $216 | $91 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.63% | 1.52% | 1.35% | 1.57% | 1.42% |
Portfolio Turnover Rate2 | 11% | 12% | 14% | 10% | 13% |
1 Calculated based on average shares outstanding. | |||||
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.
21
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period. The fund had no open futures contracts at August 31, 2016.
22
S&P Mid-Cap 400 Index Fund
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, 2013–2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
23
S&P Mid-Cap 400 Index Fund
expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $98,000, representing 0.01% of the fund’s net assets and 0.04% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2016,
based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,333,435 | — | — |
Temporary Cash Investments | 2,966 | 1,100 | — |
Futures Contracts—Liabilities1 | (5) | — | — |
Total | 1,336,396 | 1,100 | — |
1 Represents variation margin on the last day of the reporting period for recently closed futures contracts. |
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.
During the year ended August 31, 2016, the fund realized $96,326,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
24
S&P Mid-Cap 400 Index Fund
For tax purposes, at August 31, 2016, the fund had $5,033,000 of ordinary income available for distribution. The fund had available capital losses totaling $17,301,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2016, the cost of investment securities for tax purposes was $1,266,042,000. Net unrealized appreciation of investment securities for tax purposes was $71,459,000, consisting of unrealized gains of $155,178,000 on securities that had risen in value since their purchase and $83,719,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2016, the fund purchased $634,911,000 of investment securities and sold $464,860,000 of investment securities, other than temporary cash investments. Purchases and sales include $233,034,000 and $340,313,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2016 | 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 427,039 | 4,300 | 367,265 | 3,675 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (362,870) | (3,650) | (328,583) | (3,275) |
Net Increase (Decrease)—ETF Shares | 64,169 | 650 | 38,682 | 400 |
Institutional Shares | ||||
Issued | 306,256 | 1,555 | 233,449 | 1,167 |
Issued in Lieu of Cash Distributions | 12,604 | 66 | 5,218 | 27 |
Redeemed | (215,126) | (1,063) | (83,397) | (415) |
Net Increase (Decrease) —Institutional Shares | 103,734 | 558 | 155,270 | 779 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
25
S&P Mid-Cap 400 Value Index Fund
Fund Profile
As of August 31, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOV | VMFVX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.74% | 1.84% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P | Total | ||
MidCap | Market | ||
400 Value | FA | ||
Fund | Index | Index | |
Number of Stocks | 308 | 307 | 3,817 |
Median Market Cap | $4.1B | $4.1B | $51.2B |
Price/Earnings Ratio | 24.2x | 25.0x | 23.5x |
Price/Book Ratio | 1.8x | 1.9x | 2.8x |
Return on Equity | 10.5% | 10.5% | 16.6% |
Earnings Growth | |||
Rate | 4.9% | 4.9% | 7.5% |
Dividend Yield | 1.9% | 1.9% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 26% | — | — |
Short-Term | |||
Reserves | 0.1% | — | — |
Volatility Measures | ||
DJ | ||
S&P MidCap | U.S. Total | |
400 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.82 |
Beta | 1.00 | 1.04 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Alleghany Corp. | Reinsurance | 1.0% |
Everest Re Group Ltd. | Reinsurance | 1.0 |
UGI Corp. | Gas Utilities | 1.0 |
Westar Energy Inc. | Electric Utilities | 1.0 |
New York Community | Thrifts & Mortgage | |
Bancorp Inc. | Finance | 0.9 |
Reinsurance Group of | ||
America Inc. | Reinsurance | 0.9 |
Carlisle Cos. Inc. | Industrial | |
Conglomerates | 0.8 | |
Computer Sciences | IT Consulting & | |
Corp. | Other Services | 0.8 |
OGE Energy Corp. | Electric Utilities | 0.8 |
Liberty Property Trust | Diversified REITs | 0.8 |
Top Ten | 9.0% | |
The holdings listed exclude any temporary cash investments and | ||
equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2016, the expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
26
S&P Mid-Cap 400 Value Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
S&P | Total | ||
MidCap | Market | ||
400 Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary 10.7% | 10.7% | 12.9% | |
Consumer Staples | 3.2 | 3.3 | 8.9 |
Energy | 6.9 | 6.9 | 6.4 |
Financials | 26.2 | 26.1 | 18.0 |
Health Care | 3.7 | 3.7 | 14.1 |
Industrials | 17.7 | 17.7 | 10.4 |
Information Technology 13.9 | 13.9 | 20.3 | |
Materials | 8.6 | 8.6 | 3.3 |
Telecommunication | |||
Services | 0.3 | 0.3 | 2.4 |
Utilities | 8.8 | 8.8 | 3.3 |
27
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.
Cumulative Performance: September 7, 2010, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended August 31, 2016 | |||||
Since | Final Value | ||||
One | Five | Inception | of a $10,000 | ||
Year | Years | (9/7/2010) | Investment | ||
S&P Mid-Cap 400 Value Index | |||||
Fund*ETF Shares Net Asset Value | 13.13% | 14.39% | 14.06% | $21,970 | |
S&P Mid-Cap 400 Value Index | |||||
Fund*ETF Shares Market Price | 13.15 | 14.48 | 14.06 | 21,971 | |
•••••••• | S&P MidCap 400 Value Index | 13.31 | 14.61 | 14.29 | 22,228 |
– – – – | Mid-Cap Value Funds Average | 8.43 | 13.04 | 12.90 | 20,664 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 11.34 | 14.40 | 14.48 | 22,460 | |
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | |||
One | Five | Inception | of a $5,000,000 | |
Year | Years | (11/2/2010) | Investment | |
S&P Mid-Cap 400 Value Index Fund | ||||
Institutional Shares | 13.25% | 14.53% | 12.75% | $10,063,615 |
S&P MidCap 400 Value Index | 13.31 | 14.61 | 12.84 | 10,107,628 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 11.34 | 14.40 | 13.00 | 10,191,491 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
See Financial Highlights for dividend and capital gains information.
28
S&P Mid-Cap 400 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2016 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Mid-Cap 400 Value Index Fund ETF Shares | |||
Market Price | 13.15% | 96.66% | 119.71% |
S&P Mid-Cap 400 Value Index Fund ETF Shares Net | |||
Asset Value | 13.13 | 95.85 | 119.70 |
S&P MidCap 400 Value Index | 13.31 | 97.76 | 122.28 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2016
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | 1.11% | 10.74% | 13.65% | |
Net Asset Value | 1.10 | 10.75 | 13.65 | |
Institutional Shares | 11/2/2010 | 1.21 | 10.88 | 12.28 |
29
S&P Mid-Cap 400 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (100.0%)1 | |||
Consumer Discretionary (10.7%) | |||
Dick’s Sporting Goods Inc. | 67,193 | 3,937 | |
CST Brands Inc. | 57,037 | 2,727 | |
Tupperware Brands Corp. | 38,054 | 2,494 | |
American Eagle Outfitters | |||
Inc. | 125,408 | 2,325 | |
^ | GameStop Corp. Class A | 78,332 | 2,224 |
* | JC Penney Co. Inc. | 231,678 | 2,185 |
John Wiley & Sons Inc. | |||
Class A | 36,355 | 2,113 | |
* | Murphy USA Inc. | 27,907 | 2,041 |
* | Cabela’s Inc. | 36,526 | 1,789 |
^ | Polaris Industries Inc. | 20,378 | 1,766 |
* | Live Nation Entertainment | ||
Inc. | 64,959 | 1,736 | |
Cinemark Holdings Inc. | 43,817 | 1,694 | |
Brunswick Corp. | 36,198 | 1,665 | |
Big Lots Inc. | 33,437 | 1,649 | |
Williams-Sonoma Inc. | 30,973 | 1,630 | |
Dana Inc. | 111,440 | 1,607 | |
^ | Cracker Barrel Old Country | ||
Store Inc. | 10,464 | 1,592 | |
Graham Holdings Co. | |||
Class B | 3,229 | 1,583 | |
* | Deckers Outdoor Corp. | 24,130 | 1,577 |
Meredith Corp. | 28,350 | 1,504 | |
Gentex Corp. | 82,707 | 1,471 | |
Sotheby’s | 36,976 | 1,466 | |
Thor Industries Inc. | 17,550 | 1,424 | |
Office Depot Inc. | 373,083 | 1,373 | |
Chico’s FAS Inc. | 99,929 | 1,267 | |
Brinker International Inc. | 23,507 | 1,263 | |
New York Times Co. | |||
Class A | 92,900 | 1,202 | |
Aaron’s Inc. | 48,788 | 1,188 | |
* | Kate Spade & Co. | 62,686 | 1,170 |
Time Inc. | 76,825 | 1,083 | |
* | Ascena Retail Group Inc. | 128,724 | 1,048 |
HSN Inc. | 24,079 | 1,006 |
KB Home | 62,963 | 989 | |
DeVry Education Group Inc. | 42,633 | 982 | |
Jack in the Box Inc. | 9,807 | 975 | |
CalAtlantic Group Inc. | 26,412 | 964 | |
Cheesecake Factory Inc. | 17,822 | 916 | |
Abercrombie & Fitch Co. | 50,931 | 904 | |
* | Fossil Group Inc. | 31,179 | 890 |
Guess? Inc. | 48,283 | 803 | |
Cable One Inc. | 1,317 | 713 | |
* | TRI Pointe Group Inc. | 50,553 | 685 |
International Speedway | |||
Corp. Class A | 20,051 | 667 | |
Texas Roadhouse Inc. | |||
Class A | 12,437 | 551 | |
64,838 | |||
Consumer Staples (3.2%) | |||
Ingredion Inc. | 30,377 | 4,160 | |
* | Edgewell Personal Care Co. | 28,628 | 2,291 |
* | TreeHouse Foods Inc. | 22,115 | 2,095 |
Casey’s General Stores Inc. | 13,537 | 1,778 | |
* | United Natural Foods Inc. | 37,928 | 1,730 |
Avon Products Inc. | 236,643 | 1,349 | |
Energizer Holdings Inc. | 26,556 | 1,312 | |
* | Hain Celestial Group Inc. | 34,301 | 1,261 |
Dean Foods Co. | 69,151 | 1,190 | |
Snyder’s-Lance Inc. | 25,170 | 889 | |
Lancaster Colony Corp. | 5,278 | 710 | |
* | Boston Beer Co. Inc. | ||
Class A | 2,109 | 385 | |
^ | Tootsie Roll Industries Inc. | 5,945 | 226 |
* | SUPERVALU Inc. | 394 | 2 |
19,378 | |||
Energy (6.9%) | |||
Energen Corp. | 73,145 | 4,206 | |
HollyFrontier Corp. | 132,479 | 3,429 | |
QEP Resources Inc. | 178,404 | 3,407 | |
CONSOL Energy Inc. | 172,842 | 3,153 | |
* | Gulfport Energy Corp. | 94,454 | 2,701 |
* | WPX Energy Inc. | 220,558 | 2,647 |
SM Energy Co. | 63,356 | 2,400 |
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
World Fuel Services Corp. | 53,375 | 2,379 | |
Patterson-UTI Energy Inc. | 111,051 | 2,164 | |
Nabors Industries Ltd. | 212,436 | 2,112 | |
Oceaneering International | |||
Inc. | 73,896 | 1,960 | |
Superior Energy Services | |||
Inc. | 114,098 | 1,920 | |
Ensco plc Class A | 227,054 | 1,723 | |
* | Dril-Quip Inc. | 28,603 | 1,589 |
Western Refining Inc. | 60,463 | 1,521 | |
* | Oil States International Inc. | 38,702 | 1,201 |
Rowan Cos. plc Class A | 94,544 | 1,178 | |
Noble Corp. plc | 183,607 | 1,058 | |
* | Denbury Resources Inc. | 300,152 | 924 |
41,672 | |||
Financials (26.2%) | |||
* | Alleghany Corp. | 11,636 | 6,239 |
Everest Re Group Ltd. | 31,908 | 6,170 | |
New York Community | |||
Bancorp Inc. | 367,003 | 5,545 | |
Reinsurance Group of | |||
America Inc. Class A | 48,277 | 5,181 | |
Liberty Property Trust | 110,493 | 4,556 | |
WR Berkley Corp. | 73,914 | 4,388 | |
Senior Housing Properties | |||
Trust | 178,954 | 3,998 | |
Duke Realty Corp. | 138,169 | 3,885 | |
PacWest Bancorp | 86,253 | 3,736 | |
Hospitality Properties Trust | 122,489 | 3,735 | |
First American Financial | |||
Corp. | 82,572 | 3,558 | |
Raymond James Financial | |||
Inc. | 54,107 | 3,147 | |
Endurance Specialty | |||
Holdings Ltd. | 46,706 | 3,076 | |
Cullen/Frost Bankers Inc. | 41,107 | 2,997 | |
National Retail Properties | |||
Inc. | 56,435 | 2,827 | |
Prosperity Bancshares Inc. | 49,277 | 2,733 | |
Umpqua Holdings Corp. | 166,133 | 2,728 | |
Camden Property Trust | 29,504 | 2,590 | |
Rayonier Inc. | 92,337 | 2,542 | |
Hanover Insurance Group | |||
Inc. | 32,370 | 2,531 | |
Alexandria Real Estate | |||
Equities Inc. | 22,915 | 2,523 | |
LaSalle Hotel Properties | 85,197 | 2,391 | |
* | SLM Corp. | 320,402 | 2,376 |
American Campus | |||
Communities Inc. | 45,212 | 2,266 | |
Omega Healthcare | |||
Investors Inc. | 62,389 | 2,259 | |
Associated Banc-Corp | 113,137 | 2,245 | |
CNO Financial Group Inc. | 134,959 | 2,193 |
Aspen Insurance Holdings | |||
Ltd. | 45,758 | 2,103 | |
RenaissanceRe Holdings | |||
Ltd. | 17,533 | 2,099 | |
EPR Properties | 26,357 | 2,064 | |
Corporate Office | |||
Properties Trust | 71,326 | 2,034 | |
American Financial Group | |||
Inc. | 26,787 | 2,013 | |
* | Stifel Financial Corp. | 50,091 | 1,971 |
FNB Corp. | 157,203 | 1,964 | |
* | Washington Prime Group | ||
Inc. | 139,642 | 1,919 | |
Kilroy Realty Corp. | 26,398 | 1,917 | |
Hancock Holding Co. | 58,413 | 1,906 | |
TCF Financial Corp. | 128,896 | 1,888 | |
Mack-Cali Realty Corp. | 67,547 | 1,875 | |
Taubman Centers Inc. | 24,100 | 1,872 | |
Highwoods Properties Inc. | 35,235 | 1,869 | |
* | Genworth Financial Inc. | ||
Class A | 375,626 | 1,777 | |
Eaton Vance Corp. | 43,593 | 1,745 | |
Valley National Bancorp | 168,691 | 1,628 | |
Mid-America Apartment | |||
Communities Inc. | 17,073 | 1,605 | |
Douglas Emmett Inc. | 40,204 | 1,510 | |
Mercury General Corp. | 27,479 | 1,492 | |
Commerce Bancshares Inc. | 29,406 | 1,490 | |
Medical Properties Trust Inc. | 96,797 | 1,478 | |
Synovus Financial Corp. | 44,446 | 1,470 | |
Trustmark Corp. | 50,949 | 1,445 | |
East West Bancorp Inc. | 38,003 | 1,411 | |
Corrections Corp. of | |||
America | 88,526 | 1,410 | |
Kemper Corp. | 36,220 | 1,356 | |
International Bancshares | |||
Corp. | 41,741 | 1,238 | |
Post Properties Inc. | 18,137 | 1,202 | |
Brown & Brown Inc. | 31,527 | 1,181 | |
Federated Investors Inc. | |||
Class B | 36,361 | 1,174 | |
Webster Financial Corp. | 29,697 | 1,147 | |
Tanger Factory Outlet | |||
Centers Inc. | 27,264 | 1,108 | |
Care Capital Properties Inc. | 35,420 | 1,062 | |
Chemical Financial Corp. | 22,532 | 1,042 | |
DCT Industrial Trust Inc. | 21,348 | 1,040 | |
Fulton Financial Corp. | 70,587 | 1,021 | |
Bank of Hawaii Corp. | 12,648 | 911 | |
First Industrial Realty | |||
Trust Inc. | 30,816 | 887 | |
Urban Edge Properties | 29,944 | 858 | |
Primerica Inc. | 14,886 | 847 | |
Janus Capital Group Inc. | 53,857 | 801 | |
BancorpSouth Inc. | 32,020 | 797 |
31
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Washington Federal Inc. | 28,135 | 746 | |
MB Financial Inc. | 18,610 | 729 | |
Cathay General Bancorp | 19,396 | 609 | |
Waddell & Reed Financial | |||
Inc. Class A | 32,640 | 607 | |
Potlatch Corp. | 15,355 | 582 | |
159,315 | |||
Health Care (3.7%) | |||
Cooper Cos. Inc. | 18,987 | 3,530 | |
Teleflex Inc. | 12,814 | 2,346 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 15,729 | 2,341 | |
* | WellCare Health Plans Inc. | 17,673 | 1,992 |
* | LifePoint Health Inc. | 32,716 | 1,852 |
* | Tenet Healthcare Corp. | 74,831 | 1,788 |
Owens & Minor Inc. | 47,317 | 1,626 | |
West Pharmaceutical | |||
Services Inc. | 18,720 | 1,532 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 78,942 | 1,019 | |
* | Community Health | ||
Systems Inc. | 84,986 | 908 | |
Hill-Rom Holdings Inc. | 15,002 | 890 | |
* | Catalent Inc. | 32,311 | 815 |
* | Molina Healthcare Inc. | 14,942 | 804 |
* | Halyard Health Inc. | 21,097 | 769 |
22,212 | |||
Industrials (17.7%) | |||
Carlisle Cos. Inc. | 48,374 | 5,073 | |
ManpowerGroup Inc. | 53,876 | 3,850 | |
* | AECOM | 115,571 | 3,563 |
Orbital ATK Inc. | 44,127 | 3,329 | |
Lincoln Electric Holdings | |||
Inc. | 47,186 | 2,999 | |
Oshkosh Corp. | 55,289 | 2,982 | |
* | Genesee & Wyoming Inc. | ||
Class A | 43,068 | 2,928 | |
Huntington Ingalls | |||
Industries Inc. | 17,364 | 2,868 | |
* | Teledyne Technologies Inc. | 25,996 | 2,785 |
Trinity Industries Inc. | 113,641 | 2,775 | |
RR Donnelley & Sons Co. | 157,796 | 2,698 | |
EMCOR Group Inc. | 45,744 | 2,619 | |
AGCO Corp. | 53,449 | 2,594 | |
Hubbell Inc. Class B | 22,729 | 2,462 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 33,289 | 2,432 | |
IDEX Corp. | 25,739 | 2,405 | |
CLARCOR Inc. | 36,547 | 2,393 | |
EnerSys | 32,540 | 2,290 | |
Valmont Industries Inc. | 17,097 | 2,231 | |
B/E Aerospace Inc. | 43,900 | 2,219 | |
Landstar System Inc. | 31,897 | 2,208 | |
* | Kirby Corp. | 40,589 | 2,115 |
Regal Beloit Corp. | 33,704 | 2,067 | |
Donaldson Co. Inc. | 54,966 | 2,064 | |
Wabtec Corp. | 26,481 | 2,029 | |
Joy Global Inc. | 73,953 | 2,018 | |
Terex Corp. | 82,290 | 1,998 | |
* | Clean Harbors Inc. | 39,464 | 1,886 |
HNI Corp. | 33,438 | 1,867 | |
* | Old Dominion Freight | ||
Line Inc. | 25,779 | 1,834 | |
Timken Co. | 51,940 | 1,759 | |
Nordson Corp. | 17,779 | 1,755 | |
* | Esterline Technologies Corp. | 22,121 | 1,702 |
Curtiss-Wright Corp. | 18,788 | 1,689 | |
Kennametal Inc. | 60,053 | 1,679 | |
* | NOW Inc. | 80,950 | 1,671 |
* | KLX Inc. | 39,715 | 1,483 |
Woodward Inc. | 23,205 | 1,456 | |
Granite Construction Inc. | 29,818 | 1,431 | |
ITT Inc. | 39,379 | 1,425 | |
MSA Safety Inc. | 23,984 | 1,397 | |
* | FTI Consulting Inc. | 31,233 | 1,383 |
GATX Corp. | 30,819 | 1,351 | |
Crane Co. | 20,539 | 1,321 | |
* | Copart Inc. | 24,753 | 1,263 |
Deluxe Corp. | 18,063 | 1,231 | |
Triumph Group Inc. | 37,314 | 1,189 | |
Graco Inc. | 15,112 | 1,113 | |
KBR Inc. | 65,464 | 961 | |
Watsco Inc. | 6,414 | 948 | |
Herman Miller Inc. | 22,997 | 830 | |
Werner Enterprises Inc. | 33,657 | 777 | |
107,395 | |||
Information Technology (13.9%) | |||
Computer Sciences Corp. | 104,506 | 4,916 | |
* | Arrow Electronics Inc. | 69,052 | 4,546 |
Avnet Inc. | 96,847 | 4,037 | |
Ingram Micro Inc. | 111,799 | 3,909 | |
* | Keysight Technologies Inc. | 128,276 | 3,903 |
Teradyne Inc. | 153,107 | 3,224 | |
* | NCR Corp. | 93,366 | 3,160 |
* | Trimble Navigation Ltd. | 111,631 | 3,059 |
Jabil Circuit Inc. | 144,075 | 3,053 | |
Cypress Semiconductor | |||
Corp. | 234,930 | 2,803 | |
Leidos Holdings Inc. | 66,448 | 2,692 | |
Brocade Communications | |||
Systems Inc. | 260,267 | 2,337 | |
SYNNEX Corp. | 21,840 | 2,319 | |
* | Synopsys Inc. | 38,899 | 2,306 |
* | NetScout Systems Inc. | 70,652 | 2,090 |
Intersil Corp. Class A | 101,714 | 2,008 | |
Science Applications | |||
International Corp. | 31,003 | 1,978 | |
* | Tech Data Corp. | 26,522 | 1,969 |
32
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Advanced Micro Devices | ||
Inc. | 261,551 | 1,935 | |
Mentor Graphics Corp. | 75,778 | 1,819 | |
* | Cree Inc. | 75,678 | 1,817 |
FEI Co. | 16,935 | 1,803 | |
Lexmark International Inc. | |||
Class A | 47,205 | 1,690 | |
* | VeriFone Systems Inc. | 83,042 | 1,649 |
* | PTC Inc. | 38,003 | 1,622 |
Diebold Inc. | 56,573 | 1,587 | |
Vishay Intertechnology Inc. | 102,155 | 1,447 | |
* | Rackspace Hosting Inc. | 41,876 | 1,317 |
* | WEX Inc. | 11,880 | 1,180 |
^,* | 3D Systems Corp. | 80,209 | 1,163 |
* | CoreLogic Inc. | 26,110 | 1,071 |
National Instruments Corp. | 38,062 | 1,063 | |
Belden Inc. | 13,973 | 1,042 | |
InterDigital Inc. | 14,588 | 1,042 | |
* | ViaSat Inc. | 12,893 | 967 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 47,069 | 937 | |
* | Knowles Corp. | 66,754 | 928 |
* | Acxiom Corp. | 31,544 | 820 |
* | CommVault Systems Inc. | 13,942 | 719 |
* | Polycom Inc. | 49,202 | 612 |
* | Silicon Laboratories Inc. | 8,806 | 505 |
* | NeuStar Inc. Class A | 18,906 | 480 |
Plantronics Inc. | 9,318 | 472 | |
* | comScore Inc. | 12,085 | 373 |
84,369 | |||
Materials (8.6%) | |||
Steel Dynamics Inc. | 183,548 | 4,519 | |
Reliance Steel & | |||
Aluminum Co. | 54,505 | 3,929 | |
Sonoco Products Co. | 75,926 | 3,913 | |
Bemis Co. Inc. | 71,354 | 3,753 | |
Royal Gold Inc. | 49,204 | 3,608 | |
Olin Corp. | 124,449 | 2,693 | |
Ashland Inc. | 22,915 | 2,683 | |
RPM International Inc. | 48,050 | 2,620 | |
United States Steel Corp. | 124,582 | 2,422 | |
Valspar Corp. | 22,528 | 2,375 | |
Cabot Corp. | 47,021 | 2,344 | |
Domtar Corp. | 47,163 | 1,760 | |
AptarGroup Inc. | 19,990 | 1,559 | |
Worthington Industries Inc. | 33,883 | 1,453 | |
^ | Allegheny Technologies Inc. | 82,048 | 1,400 |
NewMarket Corp. | 3,153 | 1,368 | |
Commercial Metals Co. | 86,317 | 1,340 | |
Carpenter Technology Corp. | 35,106 | 1,274 | |
PolyOne Corp. | 33,628 | 1,159 | |
Sensient Technologies Corp. | 15,565 | 1,140 | |
Scotts Miracle-Gro Co. | |||
Class A | 13,679 | 1,132 |
Compass Minerals | ||
International Inc. | 11,200 | 835 |
Greif Inc. Class A | 19,421 | 828 |
* Louisiana-Pacific Corp. | 38,991 | 759 |
Silgan Holdings Inc. | 14,651 | 705 |
Minerals Technologies Inc. | 9,732 | 687 |
52,258 | ||
Telecommunication Services (0.3%) | ||
Telephone & Data Systems | ||
Inc. | 71,358 | 1,989 |
Utilities (8.8%) | ||
UGI Corp. | 130,127 | 5,918 |
Westar Energy Inc. Class A | 106,770 | 5,866 |
OGE Energy Corp. | 150,488 | 4,685 |
MDU Resources Group Inc. | 147,177 | 3,469 |
Questar Corp. | 132,175 | 3,306 |
Atmos Energy Corp. | 43,143 | 3,180 |
Great Plains Energy Inc. | 116,400 | 3,161 |
Vectren Corp. | 62,397 | 3,052 |
Southwest Gas Corp. | 35,774 | 2,498 |
Hawaiian Electric Industries | ||
Inc. | 81,304 | 2,440 |
ONE Gas Inc. | 39,308 | 2,407 |
Black Hills Corp. | 38,874 | 2,274 |
National Fuel Gas Co. | 39,681 | 2,264 |
New Jersey Resources | ||
Corp. | 64,847 | 2,181 |
PNM Resources Inc. | 60,022 | 1,908 |
Aqua America Inc. | 54,767 | 1,665 |
IDACORP Inc. | 20,515 | 1,561 |
WGL Holdings Inc. | 16,308 | 1,025 |
* Talen Energy Corp. | 48,568 | 671 |
53,531 | ||
Total Common Stocks | ||
(Cost $574,010) | 606,957 | |
Temporary Cash Investments (0.3%)1 | ||
Money Market Fund (0.2%) | ||
2,3 Vanguard Market Liquidity | ||
Fund, 0.612% | 16,333 | 1,633 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.1%) | ||
4,5 Federal Home Loan Bank | ||
Discount Notes, | ||
0.380%, 10/5/16 | 500 | 500 |
Total Temporary Cash Investments | ||
(Cost $2,133) | 2,133 | |
Total Investments (100.3%) | ||
(Cost $576,143) | 609,090 |
33
S&P Mid-Cap 400 Value Index Fund
Amount | |
($000) | |
Other Assets and Liabilities (-0.3%) | |
Other Assets | |
Investment in Vanguard | 44 |
Receivables for Investment Securities Sold | 515 |
Receivables for Accrued Income | 809 |
Receivables for Capital Shares Issued | 5 |
Other Assets | 2 |
Total Other Assets | 1,375 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (1,042) |
Collateral for Securities on Loan | (1,633) |
Payables for Capital Shares Redeemed | (5) |
Payables to Vanguard | (111) |
Other Liabilities | (559) |
Total Liabilities | (3,350) |
Net Assets (100%) | 607,115 |
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 590,101 |
Undistributed Net Investment Income | 5,052 |
Accumulated Net Realized Losses | (20,985) |
Unrealized Appreciation (Depreciation) | 32,947 |
Net Assets | 607,115 |
ETF Shares—Net Assets | |
Applicable to 4,525,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 460,212 |
Net Asset Value Per Share— | |
ETF Shares | $101.70 |
Institutional Shares—Net Assets | |
Applicable to 721,351 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 146,903 |
Net Asset Value Per Share— | |
Institutional Shares | $203.65 |
• See Note A in Notes to Financial Statements.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,540,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 99.7% and 0.3%, respectively, of net
assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $1,633,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P Mid-Cap 400 Value Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,327 |
Interest1 | 1 |
Securities Lending—Net | 44 |
Total Income | 7,372 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 60 |
Management and Administrative—ETF Shares | 308 |
Management and Administrative—Institutional Shares | 44 |
Marketing and Distribution—ETF Shares | 17 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 44 |
Auditing Fees | 32 |
Shareholders’ Reports—ETF Shares | 6 |
Shareholders’ Reports—Institutional Shares | 2 |
Total Expenses | 517 |
Net Investment Income | 6,855 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 1,142 |
Futures Contracts | (14) |
Realized Net Gain (Loss) | 1,128 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 43,073 |
Futures Contracts | 43 |
Change in Unrealized Appreciation (Depreciation) | 43,116 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 51,099 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $1,000 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
35
S&P Mid-Cap 400 Value Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 6,855 | 4,530 |
Realized Net Gain (Loss) | 1,128 | 16,281 |
Change in Unrealized Appreciation (Depreciation) | 43,116 | (29,136) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 51,099 | (8,325) |
Distributions | ||
Net Investment Income | ||
ETF Shares | (2,390) | (1,346) |
Institutional Shares | (2,275) | (2,346) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (4,665) | (3,692) |
Capital Share Transactions | ||
ETF Shares | 325,114 | 19,749 |
Institutional Shares | (10,617) | 14,582 |
Net Increase (Decrease) from Capital Share Transactions | 314,497 | 34,331 |
Total Increase (Decrease) | 360,931 | 22,314 |
Net Assets | ||
Beginning of Period | 246,184 | 223,870 |
End of Period1 | 607,115 | 246,184 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $5,052,000 and $2,862,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
36
S&P Mid-Cap 400 Value Index Fund | |||||
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $91.40 | $96.78 | $77.93 | $62.71 | $55.69 |
Investment Operations | |||||
Net Investment Income | 1.8911 | 1.600 | 1.5001 | 1.153 | 1.001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 9.880 | (5.563) | 18.094 | 15.146 | 6.814 |
Total from Investment Operations | 11.771 | (3.963) | 19.594 | 16.299 | 7.815 |
Distributions | |||||
Dividends from Net Investment Income | (1.471) | (1.417) | (.744) | (1.079) | (.795) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.471) | (1.417) | (.744) | (1.079) | (.795) |
Net Asset Value, End of Period | $101.70 | $91.40 | $96.78 | $77.93 | $62.71 |
Total Return | 13.13% | -4.17% | 25.26% | 26.31% | 14.18% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $460 | $103 | $87 | $27 | $9 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.97% | 1.75% | 1.66% | 1.87% | 1.80% |
Portfolio Turnover Rate 2 | 26% | 47% | 35% | 74% | 31% |
1 Calculated based on average shares outstanding. | |||||
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.
37
S&P Mid-Cap 400 Value Index Fund | |||||
Financial Highlights | |||||
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $182.92 | $193.66 | $155.83 | $125.30 | $111.20 |
Investment Operations | |||||
Net Investment Income | 3.7741 | 3.420 | 3.1911 | 2.392 | 2.124 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 20.020 | (11.127) | 36.207 | 30.364 | 13.624 |
Total from Investment Operations | 23.794 | (7.707) | 39.398 | 32.756 | 15.748 |
Distributions | |||||
Dividends from Net Investment Income | (3.064) | (3.033) | (1.568) | (2.226) | (1.648) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.064) | (3.033) | (1.568) | (2.226) | (1.648) |
Net Asset Value, End of Period | $203.65 | $182.92 | $193.66 | $155.83 | $125.30 |
Total Return | 13.25% | -4.05% | 25.42% | 26.47% | 14.32% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $147 | $143 | $137 | $49 | $40 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.09% | 1.87% | 1.78% | 1.99% | 1.92% |
Portfolio Turnover Rate2 | 26% | 47% | 35% | 74% | 31% |
1 Calculated based on average shares outstanding. | |||||
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 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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
39
S&P Mid-Cap 400 Value Index Fund
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, 2013–2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
40
S&P Mid-Cap 400 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $44,000, representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 606,957 | — | — |
Temporary Cash Investments | 1,633 | 500 | — |
Futures Contracts—Liabilities1 | (4) | — | — |
Total | 608,586 | 500 | — |
1 Represents variation margin on the last day of the reporting period. |
41
S&P Mid-Cap 400 Value Index Fund
D. At August 31, 2016, the aggregate settlement value of open futures contracts and the related
unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P Mid-Cap 400 Index | September 2016 | 1 | 156 | 0 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2016, the fund realized $14,141,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2016, the fund had $5,111,000 of ordinary income available for distribution. The fund had available capital losses totaling $20,986,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2016, the cost of investment securities for tax purposes was $576,143,000. Net unrealized appreciation of investment securities for tax purposes was $32,947,000, consisting of unrealized gains of $53,514,000 on securities that had risen in value since their purchase and $20,567,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2016, the fund purchased $484,336,000 of investment securities and sold $166,663,000 of investment securities, other than temporary cash investments. Purchases and sales include $383,992,000 and $78,311,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
42
S&P Mid-Cap 400 Value Index Fund
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2016 | 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 416,496 | 4,400 | 152,983 | 1,600 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (91,382) | (1,000) | (133,234) | (1,375) |
Net Increase (Decrease)—ETF Shares | 325,114 | 3,400 | 19,749 | 225 |
Institutional Shares | ||||
Issued | 12,200 | 69 | 30,861 | 160 |
Issued in Lieu of Cash Distributions | 1,307 | 7 | 1,205 | 6 |
Redeemed | (24,124) | (138) | (17,484) | (89) |
Net Increase (Decrease) —Institutional Shares | (10,617) | (62) | 14,582 | 77 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
43
S&P Mid-Cap 400 Growth Index Fund
Fund Profile
As of August 31, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOG | VMFGX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.05% | 1.17% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P | Total | ||
MidCap | Market | ||
400 Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 228 | 226 | 3,817 |
Median Market Cap | $5.3B | $5.3B | $51.2B |
Price/Earnings Ratio | 27.4x | 27.4x | 23.5x |
Price/Book Ratio | 3.7x | 3.7x | 2.8x |
Return on Equity | 16.4% | 16.5% | 16.6% |
Earnings Growth | |||
Rate | 16.5% | 16.6% | 7.5% |
Dividend Yield | 1.2% | 1.2% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 38% | — | — |
Short-Term | |||
Reserves | 0.0% | — | — |
Volatility Measures | ||
S&P | DJ | |
MidCap | U.S. Total | |
400 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.81 |
Beta | 1.00 | 0.96 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Mettler-Toledo | Life Sciences Tools & | |
International Inc. | Services | 1.5% |
IDEXX Laboratories Inc. | Health Care | |
Equipment | 1.4 | |
WhiteWave Foods Co. | Packaged Foods & | |
Meats | 1.3 | |
ResMed Inc. | Health Care | |
Equipment | 1.3 | |
CDK Global Inc. | Application Software | 1.2 |
ANSYS Inc. | Application Software | 1.1 |
Regency Centers Corp. | Retail REITs | 1.1 |
Broadridge Financial | Data Processing & | |
Solutions Inc. | Outsourced Services | 1.1 |
MSCI Inc. | Specialized Finance | 1.1 |
Cadence Design | ||
Systems Inc. | Application Software | 1.0 |
Top Ten | 12.1% | |
The holdings listed exclude any temporary cash investments and | ||
equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2016, the expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
44
S&P Mid-Cap 400 Growth Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. | ||
MidCap | Total | ||
400 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary 13.0% | 13.0% | 12.9% | |
Consumer Staples | 5.7 | 5.8 | 8.9 |
Energy | 0.0 | 0.0 | 6.4 |
Financials | 27.7 | 27.5 | 18.0 |
Health Care | 15.0 | 15.0 | 14.1 |
Industrials | 10.0 | 10.0 | 10.4 |
Information Technology | 21.6 | 21.7 | 20.3 |
Materials | 5.4 | 5.4 | 3.3 |
Telecommunication | |||
Services | 0.0 | 0.0 | 2.4 |
Utilities | 1.6 | 1.6 | 3.3 |
45
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.
Cumulative Performance: September 7, 2010, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended August 31, 2016 | |||||
Since | Final Value | ||||
One | Five | Inception | of a $10,000 | ||
Year | Years | (9/7/2010) | Investment | ||
S&P Mid-Cap 400 Growth Index | |||||
Fund*ETF Shares Net Asset Value | 11.04% | 13.27% | 14.78% | $22,810 | |
S&P Mid-Cap 400 Growth Index | |||||
Fund*ETF Shares Market Price | 11.11 | 13.26 | 14.79 | 22,820 | |
•••••••• | S&P MidCap 400 Growth Index | 11.25 | 13.47 | 14.98 | 23,052 |
– – – – | Mid-Cap Growth Funds Average | 3.00 | 10.99 | 12.13 | 19,839 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 11.34 | 14.40 | 14.48 | 22,460 | |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | |||
One | Five | Inception | of a $5,000,000 | |
Year | Years | (3/28/2011) | Investment | |
S&P Mid-Cap 400 Growth Index Fund | ||||
Institutional Shares | 11.18% | 13.40% | 10.89% | $8,761,751 |
S&P MidCap 400 Growth Index | 11.25 | 13.47 | 10.95 | 8,788,703 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 11.34 | 14.40 | 11.74 | 9,132,319 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were
next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
See Financial Highlights for dividend and capital gains information.
46
S&P Mid-Cap 400 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2016
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | |||
Market Price | 11.11% | 86.41% | 128.20% |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | |||
Net Asset Value | 11.04 | 86.42 | 128.10 |
S&P MidCap 400 Growth Index | 11.25 | 88.08 | 130.52 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2016
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | 0.97% | 9.88% | 14.26% | |
Net Asset Value | 1.00 | 9.87 | 14.26 | |
Institutional Shares | 3/28/20111 | 1.11 | 10.00 | 10.20 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares
were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
47
S&P Mid-Cap 400 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
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 (13.0%) | |||
Domino’s Pizza Inc. | 46,809 | 7,001 | |
* | NVR Inc. | 3,420 | 5,769 |
Service Corp. International | 180,820 | 4,781 | |
* | Panera Bread Co. Class A | 21,282 | 4,621 |
Carter’s Inc. | 47,389 | 4,516 | |
* | Tempur Sealy International | ||
Inc. | 56,862 | 4,459 | |
* | Toll Brothers Inc. | 142,409 | 4,428 |
Dunkin’ Brands Group Inc. | 85,532 | 4,187 | |
Pool Corp. | 39,266 | 3,961 | |
* | AMC Networks Inc. Class A | 57,109 | 3,103 |
* | Skechers U.S.A. Inc. | ||
Class A | 124,039 | 3,015 | |
Gentex Corp. | 167,129 | 2,973 | |
* | Buffalo Wild Wings Inc. | 17,571 | 2,850 |
^ | Polaris Industries Inc. | 30,849 | 2,673 |
* | Helen of Troy Ltd. | 25,927 | 2,342 |
* | Vista Outdoor Inc. | 56,740 | 2,259 |
Wendy’s Co. | 199,197 | 2,030 | |
Williams-Sonoma Inc. | 38,395 | 2,021 | |
Texas Roadhouse Inc. | |||
Class A | 43,753 | 1,937 | |
Brunswick Corp. | 39,794 | 1,830 | |
Jack in the Box Inc. | 18,238 | 1,814 | |
Cinemark Holdings Inc. | 44,442 | 1,718 | |
Thor Industries Inc. | 20,901 | 1,696 | |
Churchill Downs Inc. | 11,230 | 1,678 | |
* | Live Nation Entertainment | ||
Inc. | 55,958 | 1,495 | |
^ | Cracker Barrel Old Country | ||
Store Inc. | 9,394 | 1,429 | |
CalAtlantic Group Inc. | 36,914 | 1,347 | |
Cable One Inc. | 2,446 | 1,324 | |
Brinker International Inc. | 22,870 | 1,228 | |
* | Restoration Hardware | ||
Holdings Inc. | 35,272 | 1,190 | |
Cheesecake Factory Inc. | 19,588 | 1,007 |
* | TRI Pointe Group Inc. | 73,470 | 996 |
* | Kate Spade & Co. | 41,777 | 780 |
88,458 | |||
Consumer Staples (5.7%) | |||
* | WhiteWave Foods Co. | ||
Class A | 165,140 | 9,154 | |
* | Post Holdings Inc. | 60,024 | 5,089 |
Ingredion Inc. | 29,563 | 4,049 | |
* | Sprouts Farmers Market | ||
Inc. | 132,246 | 2,979 | |
Casey’s General Stores Inc. | 19,679 | 2,584 | |
Flowers Foods Inc. | 169,865 | 2,533 | |
* | TreeHouse Foods Inc. | 25,309 | 2,398 |
* | Hain Celestial Group Inc. | 54,117 | 1,989 |
* | Edgewell Personal Care Co. | 19,960 | 1,597 |
Lancaster Colony Corp. | 11,636 | 1,565 | |
Snyder’s-Lance Inc. | 43,094 | 1,523 | |
Energizer Holdings Inc. | 24,806 | 1,226 | |
* | Boston Beer Co. Inc. | ||
Class A | 6,106 | 1,115 | |
Avon Products Inc. | 113,886 | 649 | |
^ | Tootsie Roll Industries Inc. | 9,429 | 359 |
* | SUPERVALU Inc. | 2,112 | 12 |
38,821 | |||
Financials (27.7%) | |||
Regency Centers Corp. | 95,781 | 7,714 | |
MSCI Inc. Class A | 81,069 | 7,306 | |
FactSet Research Systems | |||
Inc. | 38,156 | 6,793 | |
* | Signature Bank | 50,105 | 6,113 |
MarketAxess Holdings Inc. | 35,062 | 5,909 | |
SEI Investments Co. | 127,011 | 5,855 | |
* | SVB Financial Group | 48,352 | 5,370 |
CBOE Holdings Inc. | 75,971 | 5,218 | |
Jones Lang LaSalle Inc. | 42,109 | 4,916 | |
Alexandria Real Estate | |||
Equities Inc. | 44,396 | 4,888 | |
Lamar Advertising Co. | |||
Class A | 76,939 | 4,796 |
48
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Mid-America Apartment | |||
Communities Inc. | 49,333 | 4,637 | |
Weingarten Realty | |||
Investors | 107,748 | 4,445 | |
Old Republic International | |||
Corp. | 227,574 | 4,376 | |
Duke Realty Corp. | 151,756 | 4,267 | |
Communications Sales & | |||
Leasing Inc. | 127,363 | 3,974 | |
Camden Property Trust | 44,661 | 3,920 | |
* | Life Storage Inc. | 43,255 | 3,893 |
Kilroy Realty Corp. | 53,338 | 3,874 | |
Healthcare Realty Trust Inc. | 105,290 | 3,692 | |
PrivateBancorp Inc. | 74,096 | 3,405 | |
First Horizon National Corp. | 217,039 | 3,338 | |
Bank of the Ozarks Inc. | 84,775 | 3,322 | |
American Campus | |||
Communities Inc. | 65,738 | 3,294 | |
East West Bancorp Inc. | 87,419 | 3,247 | |
National Retail Properties | |||
Inc. | 64,519 | 3,232 | |
Education Realty Trust Inc. | 68,175 | 3,089 | |
Douglas Emmett Inc. | 81,250 | 3,052 | |
Raymond James Financial | |||
Inc. | 50,549 | 2,940 | |
Omega Healthcare | |||
Investors Inc. | 77,271 | 2,797 | |
DCT Industrial Trust Inc. | 56,193 | 2,737 | |
Equity One Inc. | 84,867 | 2,634 | |
Brown & Brown Inc. | 69,415 | 2,601 | |
Highwoods Properties Inc. | 47,271 | 2,507 | |
American Financial Group | |||
Inc. | 33,179 | 2,493 | |
Tanger Factory Outlet | |||
Centers Inc. | 55,049 | 2,237 | |
RenaissanceRe Holdings | |||
Ltd. | 18,518 | 2,217 | |
EPR Properties | 26,735 | 2,094 | |
Commerce Bancshares Inc. | 41,111 | 2,084 | |
Eaton Vance Corp. | 51,925 | 2,079 | |
Taubman Centers Inc. | 26,493 | 2,058 | |
Synovus Financial Corp. | 62,142 | 2,056 | |
First Industrial Realty Trust | |||
Inc. | 70,954 | 2,041 | |
Webster Financial Corp. | 48,808 | 1,885 | |
Post Properties Inc. | 27,479 | 1,821 | |
Bank of Hawaii Corp. | 24,528 | 1,767 | |
Alexander & Baldwin Inc. | 43,011 | 1,726 | |
Chemical Financial Corp. | 36,569 | 1,691 | |
MB Financial Inc. | 41,016 | 1,607 | |
Medical Properties Trust | |||
Inc. | 102,215 | 1,561 | |
^ | Primerica Inc. | 25,486 | 1,451 |
Urban Edge Properties | 49,210 | 1,410 |
Federated Investors Inc. | |||
Class B | 43,308 | 1,399 | |
Cathay General Bancorp | 44,520 | 1,399 | |
Washington Federal Inc. | 50,133 | 1,329 | |
^ | WisdomTree Investments | ||
Inc. | 105,659 | 1,109 | |
Fulton Financial Corp. | 74,520 | 1,078 | |
Care Capital Properties Inc. | 34,457 | 1,033 | |
Janus Capital Group Inc. | 69,395 | 1,032 | |
BancorpSouth Inc. | 39,640 | 987 | |
Potlatch Corp. | 18,971 | 718 | |
Waddell & Reed Financial | |||
Inc. Class A | 35,717 | 664 | |
189,177 | |||
Health Care (15.0%) | |||
* | Mettler-Toledo | ||
International Inc. | 24,977 | 10,067 | |
* | IDEXX Laboratories Inc. | 83,571 | 9,417 |
ResMed Inc. | 131,062 | 8,740 | |
* | Align Technology Inc. | 68,108 | 6,327 |
* | MEDNAX Inc. | 86,828 | 5,711 |
STERIS plc | 80,272 | 5,674 | |
* | VCA Inc. | 75,437 | 5,342 |
* | United Therapeutics Corp. | 41,647 | 5,093 |
Teleflex Inc. | 24,822 | 4,545 | |
* | ABIOMED Inc. | 36,697 | 4,328 |
Cooper Cos. Inc. | 21,703 | 4,035 | |
West Pharmaceutical | |||
Services Inc. | 45,015 | 3,683 | |
* | Charles River Laboratories | ||
International Inc. | 44,032 | 3,664 | |
Bio-Techne Corp. | 34,734 | 3,659 | |
* | PAREXEL International | ||
Corp. | 49,359 | 3,358 | |
* | Amsurg Corp. | 50,460 | 3,276 |
* | LivaNova plc | 39,882 | 2,394 |
* | Prestige Brands Holdings | ||
Inc. | 49,290 | 2,372 | |
* | Akorn Inc. | 82,419 | 2,219 |
* | WellCare Health Plans Inc. | 19,430 | 2,190 |
Hill-Rom Holdings Inc. | 34,543 | 2,049 | |
* | Catalent Inc. | 60,084 | 1,516 |
* | Molina Healthcare Inc. | 20,039 | 1,078 |
* | Allscripts Healthcare | ||
Solutions Inc. | 76,785 | 991 | |
* | Halyard Health Inc. | 17,407 | 634 |
* | Community Health Systems | ||
Inc. CVR | 29,782 | — | |
102,362 | |||
Industrials (10.0%) | |||
AO Smith Corp. | 69,472 | 6,703 | |
Lennox International Inc. | 36,225 | 5,835 | |
Toro Co. | 51,368 | 4,990 | |
* | JetBlue Airways Corp. | 300,689 | 4,796 |
49
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Wabtec Corp. | 51,299 | 3,930 | |
Huntington Ingalls | |||
Industries Inc. | 22,382 | 3,697 | |
IDEX Corp. | 38,964 | 3,641 | |
* | Copart Inc. | 62,240 | 3,176 |
Nordson Corp. | 28,029 | 2,767 | |
Rollins Inc. | 87,762 | 2,501 | |
Graco Inc. | 33,218 | 2,447 | |
Watsco Inc. | 16,145 | 2,387 | |
* | Dycom Industries Inc. | 29,254 | 2,373 |
* | Old Dominion Freight Line | ||
Inc. | 31,958 | 2,273 | |
Hubbell Inc. Class B | 20,406 | 2,210 | |
B/E Aerospace Inc. | 41,056 | 2,075 | |
CEB Inc. | 30,087 | 1,811 | |
Donaldson Co. Inc. | 47,352 | 1,778 | |
Curtiss-Wright Corp. | 18,302 | 1,645 | |
Deluxe Corp. | 23,306 | 1,589 | |
Woodward Inc. | 22,603 | 1,418 | |
Crane Co. | 20,832 | 1,340 | |
ITT Inc. | 35,306 | 1,277 | |
Herman Miller Inc. | 27,356 | 987 | |
KBR Inc. | 51,803 | 761 | |
68,407 | |||
Information Technology (21.6%) | |||
CDK Global Inc. | 144,994 | 8,407 | |
* | ANSYS Inc. | 82,176 | 7,814 |
Broadridge Financial | |||
Solutions Inc. | 110,345 | 7,647 | |
* | Cadence Design Systems | ||
Inc. | 280,827 | 7,144 | |
* | Gartner Inc. | 77,007 | 7,008 |
Jack Henry & Associates | |||
Inc. | 73,631 | 6,426 | |
* | Ultimate Software Group | ||
Inc. | 26,954 | 5,632 | |
* | Synopsys Inc. | 93,529 | 5,545 |
* | Tyler Technologies Inc. | 30,341 | 4,974 |
* | Fortinet Inc. | 136,199 | 4,922 |
* | ARRIS International plc | 163,087 | 4,578 |
* | Microsemi Corp. | 105,566 | 4,218 |
* | Manhattan Associates Inc. | 67,329 | 4,075 |
Cognex Corp. | 79,381 | 3,950 | |
Fair Isaac Corp. | 29,100 | 3,723 | |
MAXIMUS Inc. | 60,571 | 3,563 | |
DST Systems Inc. | 29,113 | 3,538 | |
* | Zebra Technologies Corp. | 48,756 | 3,411 |
* | IPG Photonics Corp. | 34,178 | 2,973 |
j2 Global Inc. | 43,173 | 2,943 | |
Convergys Corp. | 90,043 | 2,686 | |
* | Trimble Navigation Ltd. | 96,068 | 2,632 |
* | Ciena Corp. | 120,665 | 2,588 |
* | PTC Inc. | 59,905 | 2,556 |
* | Integrated Device | ||
Technology Inc. | 124,715 | 2,506 |
* | WEX Inc. | 21,191 | 2,104 |
* | ACI Worldwide Inc. | 108,950 | 2,081 |
* | CoreLogic Inc. | 50,634 | 2,077 |
Leidos Holdings Inc. | 50,465 | 2,044 | |
* | Advanced Micro Devices | ||
Inc. | 276,224 | 2,044 | |
* | Synaptics Inc. | 34,417 | 1,961 |
* | ViaSat Inc. | 26,082 | 1,957 |
* | WebMD Health Corp. | 36,143 | 1,864 |
FEI Co. | 17,176 | 1,829 | |
Belden Inc. | 22,005 | 1,641 | |
* | Rackspace Hosting Inc. | 47,924 | 1,507 |
* | Silicon Laboratories Inc. | 25,388 | 1,455 |
National Instruments Corp. | 47,043 | 1,314 | |
* | CommVault Systems Inc. | 21,103 | 1,088 |
Brocade Communications | |||
Systems Inc. | 113,331 | 1,018 | |
InterDigital Inc. | 14,190 | 1,013 | |
Plantronics Inc. | 19,583 | 992 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 47,678 | 949 | |
* | comScore Inc. | 28,958 | 893 |
* | Acxiom Corp. | 33,265 | 865 |
* | Polycom Inc. | 65,779 | 818 |
* | NeuStar Inc. Class A | 27,383 | 696 |
147,669 | |||
Materials (5.4%) | |||
Packaging Corp. of America | 87,843 | 6,907 | |
Valspar Corp. | 40,156 | 4,233 | |
Eagle Materials Inc. | 45,062 | 3,621 | |
RPM International Inc. | 64,472 | 3,516 | |
Ashland Inc. | 29,541 | 3,459 | |
AptarGroup Inc. | 34,183 | 2,665 | |
NewMarket Corp. | 5,395 | 2,341 | |
Scotts Miracle-Gro Co. | |||
Class A | 25,395 | 2,103 | |
* | Louisiana-Pacific Corp. | 85,939 | 1,674 |
Sensient Technologies Corp. | 22,613 | 1,656 | |
Minerals Technologies Inc. | 20,493 | 1,446 | |
Compass Minerals | |||
International Inc. | 17,669 | 1,317 | |
PolyOne Corp. | 36,892 | 1,272 | |
Silgan Holdings Inc. | 19,652 | 946 | |
37,156 | |||
Utilities (1.6%) | |||
Atmos Energy Corp. | 41,983 | 3,094 | |
Aqua America Inc. | 97,614 | 2,969 | |
National Fuel Gas Co. | 30,149 | 1,720 | |
WGL Holdings Inc. | 26,805 | 1,684 | |
IDACORP Inc. | 21,663 | 1,648 | |
11,115 | |||
Total Common Stocks | |||
(Cost $601,063) | 683,165 |
50
S&P Mid-Cap 400 Growth Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
Temporary Cash Investments (0.2%) | ||
Money Market Fund (0.2%) | ||
1,2 Vanguard Market Liquidity | ||
Fund, 0.612% | 15,111 | 1,511 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
United States Treasury Bill, | ||
0.320%, 11/25/16 | 100 | 100 |
Total Temporary Cash Investments | ||
(Cost $1,611) | 1,611 | |
Total Investments (100.2%) | ||
(Cost $602,674) | 684,776 | |
Amount | ||
($000) | ||
Other Assets and Liabilities (-0.2%) | ||
Other Assets | ||
Investment in Vanguard | 52 | |
Receivables for Investment Securities Sold | 1,460 | |
Receivables for Accrued Income | 518 | |
Receivables for Capital Shares Issued | 339 | |
Total Other Assets | 2,369 | |
Liabilities | ||
Payables for Investment Securities | ||
Purchased | (1,707) | |
Collateral for Securities on Loan | (1,511) | |
Payables for Capital Shares Redeemed | (56) | |
Payables to Vanguard | (190) | |
Other Liabilities | (518) | |
Total Liabilities | (3,982) | |
Net Assets (100%) | 683,163 |
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 638,858 |
Undistributed Net Investment Income | 3,875 |
Accumulated Net Realized Losses | (41,672) |
Unrealized Appreciation (Depreciation) | 82,102 |
Net Assets | 683,163 |
ETF Shares—Net Assets | |
Applicable to 4,675,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 513,143 |
Net Asset Value Per Share— | |
ETF Shares | $109.76 |
Institutional Shares—Net Assets | |
Applicable to 777,750 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 170,020 |
Net Asset Value Per Share— | |
Institutional Shares | $218.61 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,452,000.
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.
2 Includes $1,511,000 of collateral received for securities on loan.
CVR—Contingent Value Rights.
See accompanying Notes, which are an integral part of the Financial Statements.
51
S&P Mid-Cap 400 Growth Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,060 |
Interest1 | 5 |
Securities Lending—Net | 9 |
Total Income | 7,074 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 96 |
Management and Administrative—ETF Shares | 677 |
Management and Administrative—Institutional Shares | 57 |
Marketing and Distribution—ETF Shares | 31 |
Marketing and Distribution—Institutional Shares | 3 |
Custodian Fees | 35 |
Auditing Fees | 32 |
Shareholders’ Reports—ETF Shares | 20 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 951 |
Net Investment Income | 6,123 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 5,394 |
Futures Contracts | (41) |
Realized Net Gain (Loss) | 5,353 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 51,460 |
Futures Contracts | (5) |
Change in Unrealized Appreciation (Depreciation) | 51,455 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 62,931 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $5,000 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
52
S&P Mid-Cap 400 Growth Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 6,123 | 4,863 |
Realized Net Gain (Loss) | 5,353 | 40,051 |
Change in Unrealized Appreciation (Depreciation) | 51,455 | (31,211) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 62,931 | 13,703 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (4,524) | (2,534) |
Institutional Shares | (1,029) | (810) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (5,553) | (3,344) |
Capital Share Transactions | ||
ETF Shares | 93,098 | 77,454 |
Institutional Shares | 59,674 | 3,968 |
Net Increase (Decrease) from Capital Share Transactions | 152,772 | 81,422 |
Total Increase (Decrease) | 210,150 | 91,781 |
Net Assets | ||
Beginning of Period | 473,013 | 381,232 |
End of Period1 | 683,163 | 473,013 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,875,000 and $3,297,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
53
S&P Mid-Cap 400 Growth Index Fund | |||||
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $99.88 | $97.18 | $80.96 | $67.47 | $61.13 |
Investment Operations | |||||
Net Investment Income | . 954 | 1.036 | . 571 | .721 | .405 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 9.960 | 2.456 | 16.256 | 13.257 | 6.266 |
Total from Investment Operations | 10.914 | 3.492 | 16.827 | 13.978 | 6.671 |
Distributions | |||||
Dividends from Net Investment Income | (1.034) | (.792) | (.607) | (. 488) | (. 331) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.034) | (.792) | (.607) | (. 488) | (. 331) |
Net Asset Value, End of Period | $109.76 | $99.88 | $97.18 | $80.96 | $67.47 |
Total Return | 11.04% | 3.60% | 20.84% | 20.83% | 10.97% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $513 | $377 | $292 | $182 | $91 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.08% | 1.08% | 0.81% | 1.08% | 0.76% |
Portfolio Turnover Rate1 | 38% | 47% | 38% | 35% | 26% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | |||||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
54
S&P Mid-Cap 400 Growth Index Fund | |||||
Financial Highlights | |||||
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $198.85 | $193.45 | $161.12 | $134.20 | $121.54 |
Investment Operations | |||||
Net Investment Income | 2.094 | 2.271 | 1.316 | 1.584 | .915 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 19.906 | 4.900 | 32.386 | 26.392 | 12.506 |
Total from Investment Operations | 22.000 | 7.171 | 33.702 | 27.976 | 13.421 |
Distributions | |||||
Dividends from Net Investment Income | (2.240) | (1.771) | (1.372) | (1.056) | (.761) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.240) | (1.771) | (1.372) | (1.056) | (.761) |
Net Asset Value, End of Period | $218.61 | $198.85 | $193.45 | $161.12 | $134.20 |
Total Return | 11.18% | 3.72% | 20.99% | 20.97% | 11.12% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $170 | $96 | $90 | $42 | $23 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.20% | 1.20% | 0.93% | 1.20% | 0.88% |
Portfolio Turnover Rate1 | 38% | 47% | 38% | 35% | 26% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | |||||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
55
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period. The fund had no open futures contracts at August 31, 2016.
56
S&P Mid-Cap 400 Growth Index Fund
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, 2013–2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
57
S&P Mid-Cap 400 Growth Index Fund
expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $52,000, representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 683,165 | — | — |
Temporary Cash Investments | 1,511 | 100 | — |
Total | 684,676 | 100 | — |
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.
During the year ended August 31, 2016, the fund realized $25,606,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
58
S&P Mid-Cap 400 Growth Index Fund
For tax purposes, at August 31, 2016, the fund had $4,004,000 of ordinary income available for distribution. The fund had available capital losses totaling $41,672,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2016, the cost of investment securities for tax purposes was $602,674,000. Net unrealized appreciation of investment securities for tax purposes was $82,102,000, consisting of unrealized gains of $99,670,000 on securities that had risen in value since their purchase and $17,568,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2016, the fund purchased $462,932,000 of investment securities and sold $308,814,000 of investment securities, other than temporary cash investments. Purchases and sales include $176,356,000 and $95,652,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2016 | 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 198,705 | 1,950 | 307,135 | 3,025 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (105,607) | (1,050) | (229,681) | (2,250) |
Net Increase (Decrease) —ETF Shares | 93,098 | 900 | 77,454 | 775 |
Institutional Shares | ||||
Issued | 87,252 | 431 | 15,445 | 75 |
Issued in Lieu of Cash Distributions | 407 | 2 | 347 | 2 |
Redeemed | (27,985) | (138) | (11,824) | (58) |
Net Increase (Decrease) —Institutional Shares | 59,674 | 295 | 3,968 | 19 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and the Shareholders of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund and Vanguard S&P Mid-Cap 400 Growth Index Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund and Vanguard S&P Mid-Cap 400 Growth Index Fund (constituting separate portfolios of Vanguard Admiral Funds, hereafter referred to as the “Funds”) at August 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2016 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 18, 2016
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Special 2016 tax information (unaudited) for Vanguard S&P Mid-Cap 400 Index Funds
This information for the fiscal year ended August 31, 2016, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Fund | ($000) |
S&P Mid-Cap 400 Index Fund | 18,965 |
S&P Mid-Cap 400 Value Index Fund | 4,665 |
S&P Mid-Cap 400 Growth Index Fund | 3,637 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund | Percentage |
S&P Mid-Cap 400 Index Fund | XX.X% |
S&P Mid-Cap 400 Value Index Fund | XX.X |
S&P Mid-Cap 400 Growth Index Fund | XX.X |
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Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income, using actual prior-year figures and estimates for 2016. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: S&P Mid-Cap 400 Index Funds | |||
Periods Ended August 31, 2016 | |||
One | Five | Ten | |
Year | Years | Years | |
S&P Mid-Cap 400 Index Fund ETF Shares | |||
Returns Before Taxes | 12.19% | 13.92% | 14.51% |
Returns After Taxes on Distributions | 11.61 | 13.59 | 14.22 |
Returns After Taxes on Distributions and Sale of Fund Shares | 7.19 | 11.12 | 11.76 |
One | Five | Ten | |
Year | Years | Years | |
S&P Mid-Cap 400 Value Index Fund ETF Shares | |||
Returns Before Taxes | 13.13% | 14.39% | 14.06% |
Returns After Taxes on Distributions | 12.69 | 14.03 | 13.74 |
Returns After Taxes on Distributions and Sale of Fund Shares | 7.71 | 11.52 | 11.38 |
One | Five | Ten | |
Year | Years | Years | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | |||
Returns Before Taxes | 11.04% | 13.27% | 14.78% |
Returns After Taxes on Distributions | 10.69 | 13.05 | 14.59 |
Returns After Taxes on Distributions and Sale of Fund Shares | 6.36 | 10.59 | 12.01 |
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended August 31, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2016 | 8/31/2016 | Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,181.94 | $0.88 |
Institutional Shares | 1,000.00 | 1,182.30 | 0.49 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,191.84 | $1.16 |
Institutional Shares | 1,000.00 | 1,192.61 | 0.50 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,171.65 | $1.20 |
Institutional Shares | 1,000.00 | 1,172.49 | 0.44 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.33 | $0.81 |
Institutional Shares | 1,000.00 | 1,024.68 | 0.46 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.08 | $1.07 |
Institutional Shares | 1,000.00 | 1,024.68 | 0.46 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.03 | $1.12 |
Institutional Shares | 1,000.00 | 1,024.73 | 0.41 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Mid-Cap 400 Index Fund, 0.16% for ETF Shares and 0.09% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.21% for ETF Shares and 0.09% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.22% for ETF Shares and 0.08% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/366).
64
Trustees Approve Advisory Arrangements
The board of trustees 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 has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Equity Index Group—serves as investment advisor for each fund. The board determined that continuing each fund’s internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year directing the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they had received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
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Cost
The board concluded that each fund’s expense ratio was well below the average expense ratios charged by funds in its respective peer group and that each fund’s advisory expenses were also well below its peer group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
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.
67
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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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 198 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 |
F. William McNabb III |
Born 1957. Trustee Since July 2009. Chairman of |
the Board. Principal Occupation(s) During the Past |
Five Years and Other Experience: Chairman of the |
Board of The Vanguard Group, Inc., and of each of |
the investment companies served by The Vanguard |
Group, since January 2010; Director of The Vanguard |
Group since 2008; Chief Executive Officer and |
President of The Vanguard Group, and of each of |
the investment companies served by The Vanguard |
Group, since 2008; Director of Vanguard Marketing |
Corporation; Managing Director of The Vanguard |
Group (1995–2008). |
IndependentTrustees |
Emerson U. Fullwood |
Born 1948. Trustee Since January 2008. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 2009–2010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (2006–2008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President of the University of |
Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and |
Sciences, and Professor of Communication, Annenberg |
School for Communication, with secondary faculty |
appointments in the Department of Philosophy, School |
of Arts and Sciences, and at the Graduate School of |
Education, University of Pennsylvania; Trustee of the |
National Constitution Center; Chair of the Presidential |
Commission for the Study of Bioethical Issues. |
JoAnn Heffernan Heisen |
Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: Corporate Vice President and |
Chief Global Diversity Officer (retired 2008) and |
Member of the Executive Committee (1997–2008) |
of Johnson & Johnson (pharmaceuticals/medical |
devices/consumer products); Director of Skytop |
Lodge Corporation (hotels) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Women’s Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2009) of Cummins Inc. (industrial machinery); |
Chairman of the Board of Hillenbrand, Inc. (specialized |
consumer services), and of Oxfam America; Director |
of SKF AB (industrial machinery), Hyster-Yale Materials |
Handling, Inc. (forklift trucks), the Lumina Foundation |
for Education, and the V Foundation for Cancer |
Research; Member of the Advisory Council for the |
College of Arts and Letters and of the Advisory Board |
to the Kellogg Institute for International Studies, both |
at the University of Notre Dame. |
Mark Loughridge |
Born 1953. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chief Investment Officer and Vice |
President at the University of Notre Dame; Assistant |
Professor of Finance at the Mendoza College of |
Business at Notre Dame; Member of the Notre Dame |
403(b) Investment Committee, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: George Gund Professor of Finance and |
Banking, Emeritus at the Harvard Business School |
(retired 2011); Chief Investment Officer and Managing |
Partner of HighVista Strategies LLC (private investment |
firm); Director of Rand Merchant Bank; Overseer of |
the Museum of Fine Arts Boston. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President and Chief Operating |
Officer (retired 2010) of Corning Incorporated |
(communications equipment); Chairman of the |
Board of Trustees of Colby-Sawyer College; |
Member of the Advisory Board of the Norris |
Cotton Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); Assistant Controller of each of | |
the investment companies served by The Vanguard | |
Group (2001–2010). | |
Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | |
Years and Other Experience: Principal of The Vanguard | |
Group, Inc.; Chief Financial Officer of each of the | |
investment companies served by The Vanguard Group; | |
Treasurer of each of the investment companies served | |
by The Vanguard Group (1998–2008). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: Managing Director of The Vanguard | |
Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | |
investment companies served by The Vanguard Group; | |
Director and Senior Vice President of Vanguard | |
Marketing Corporation. | |
Vanguard Senior ManagementTeam | |
Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
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Direct Investor Account Services > 800-662-2739 | (“SPDJI”), and has been licensed for use by Vanguard. |
Standard & Poor’s® and S&P® are registered | |
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and S&P 500® are trademarks of S&P; and these | |
This material may be used in conjunction | trademarks have been licensed for use by SPDJI and |
with the offering of shares of any Vanguard | sublicensed for certain purposes by Vanguard. |
fund only if preceded or accompanied by | Vanguard product(s) are not sponsored, endorsed, sold |
or promoted by SPDJI, Dow Jones, S&P, or their | |
the fund’s current prospectus. | respective affiliates and none of such parties make any |
All comparative mutual fund data are from Lipper, a | representation regarding the advisability of investing in |
Thomson Reuters Company, or Morningstar, Inc., unless | such product(s) nor do they have any liability for any |
otherwise noted. | errors, omissions, or interruptions of the index. |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18420 102016 |
Annual Report | August 31, 2016
Vanguard S&P Small-Cap 600 Index Funds
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
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 4 |
S&P Small-Cap 600 Index Fund. | 8 |
S&P Small-Cap 600 Value Index Fund. | 29 |
S&P Small-Cap 600 Growth Index Fund. | 48 |
Your Fund’s After-Tax Returns. | 65 |
About Your Fund’s Expenses. | 66 |
Trustees Approve Advisory Arrangements. | 68 |
Glossary. | 70 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary
focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown
translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• Small-capitalization value stocks generally outperformed their growth counterparts for the 12 months ended August 31, 2016. This trend was reflected in the performance of the Vanguard S&P Small-Cap 600 Index Funds.
• Results ranged from about 15% for the Value Index Fund to about 11% for the Growth Index Fund. Vanguard S&P Small-Cap 600 Index Fund, which includes both value and growth stocks, returned about 13%.
• All three funds closely tracked their target indexes and exceeded the average returns of their peers.
• The funds posted positive returns in most industry sectors. Financials, information technology, and industrials were the top contributors. Consumer discretionary and energy produced negative returns and detracted most from returns.
Total Returns: Fiscal Year Ended August 31, 2016 | |
Total | |
Returns | |
Vanguard S&P Small-Cap 600 Index Fund | |
ETF Shares | |
Market Price | 13.16% |
Net Asset Value | 13.17 |
Institutional Shares | 13.22 |
S&P SmallCap 600 Index | 13.26 |
Small-Cap Core Funds Average | 7.64 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Vanguard S&P Small-Cap 600 Value Index Fund | |
ETF Shares | |
Market Price | 15.20% |
Net Asset Value | 15.14 |
Institutional Shares | 15.28 |
S&P SmallCap 600 Value Index | 15.36 |
Small-Cap Value Funds Average | 9.80 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
1
Total | |
Returns | |
Vanguard S&P Small-Cap 600 Growth Index Fund | |
ETF Shares | |
Market Price | 11.32% |
Net Asset Value | 11.24 |
S&P SmallCap 600 Growth Index | 11.42 |
Small-Cap Growth Funds Average | 2.63 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Benchmark returns are calculated from the start of the reporting period or from the earliest share class inception date.
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. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573;
8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock
Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about
how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price
and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was
above or below the NAV.
Total Returns: Inception Through August 31, 2016 | |
Average | |
Annual Return | |
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 15.69% |
S&P SmallCap 600 Index | 15.87 |
Small-Cap Core Funds Average | 12.36 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 14.99% |
S&P SmallCap 600 Value Index | 15.21 |
Small-Cap Value Funds Average | 12.23 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 16.33% |
S&P SmallCap 600 Growth Index | 16.55 |
Small-Cap Growth Funds Average | 12.65 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be
lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our
website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so
an investor’s shares, when sold, could be worth more or less than their original cost.
2
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
ETF | Institutional | Peer Group | |
Shares | Shares | Average | |
S&P Small-Cap 600 Index Fund | 0.15% | 0.08% | 1.25% |
S&P Small-Cap 600 Value Index Fund | 0.20 | 0.08 | 1.33 |
S&P Small-Cap 600 Growth Index Fund | 0.20 | — | 1.36 |
The fund expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year.
For fiscal year ended August 31, 2016, the funds’ expense ratios were: for the S&P Small-Cap 600 Index Fund, 0.15% for ETF Shares and
0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.20% for ETF Shares and 0.08% for Institutional Shares; and for
the S&P Small-Cap 600 Growth Index Fund, 0.20% for ETF Shares. Peer-group expense ratios are derived from data provided by Lipper, a
Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the S&P Small-Cap 600 Index Fund, Small-Cap Core Funds; for the S&P Small-Cap 600 Value Index Fund, Small-Cap Value Funds; and for the S&P Small-Cap 600 Growth Index Fund, Small-Cap Growth Funds.
3
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
Even as the global economy continued to expand at a slow but sustained pace over the 12 months ended August 31, 2016, a series of disquieting developments highlighted the importance for investors of remaining disciplined.
Chief among them was “Brexit”—the British public’s vote to exit the European Union—but plenty of others moved the markets as well. We saw sharp ups and downs in the prices of oil and other commodities, choppy U.S. job numbers, shifting expectations about when the Federal Reserve might raise interest rates again, and decreases in already negative yields for European and Japanese government bonds.
Beyond being the end of the fiscal period, August marked a milestone: 40 years since Vanguard introduced the first index mutual fund. In ways that are perhaps still not fully appreciated, indexing has vastly improved investing for individuals, advisors, and institutions all over the world. Later in this letter, I’ll discuss the revolution wrought by what was initially a little-heralded new fund from a fledgling outfit in Valley Forge, Pennsylvania.
Brexit added another layer of uncertainty for investors
I think it’s fair to say that the momentous June 23 Brexit vote caught even the British off guard. Although we saw some market jitters in the run-up to the referendum, the unexpected outcome triggered a spike in
4
volatility worldwide. Stocks around the world lost 5%–10% in U.S. dollar terms in the first two trading sessions following the vote, with U.K. and European markets among the hardest hit; global bonds, though, headed in the other direction. It was a textbook illustration of the value of having a diversified portfolio.
That kind of volatility can push investors to “do something.” But some of the worst days in the stock markets are sometimes followed by some of the best—as happened at the end of June. Investors who scrambled to protect their portfolios by shedding stocks amid headlines warning of a global market meltdown may well have ended up locking in post-Brexit losses, then missing out on the strong rebound that took place just days later. Those headlines were noise that investors would have been better off tuning out. I’m pleased to say that Vanguard investors on the whole did just that—we continued to see cash flows into our funds in the days after the vote.
For the 12 months, stocks generally finished higher, with U.S. stocks up more than 11% and international stocks about 3% for U.S.-based investors.
In a surprise, bonds turned in a solid performance that few would have predicted a year ago. It seemed as if rates had fallen so far that they couldn’t go any lower, but many did. Central banks in a number of European countries and Japan set key monetary policy rates below zero.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2016 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 11.69% | 12.02% | 14.60% |
Russell 2000 Index (Small-caps) | 8.59 | 8.53 | 12.85 |
Russell 3000 Index (Broad U.S. market) | 11.44 | 11.74 | 14.46 |
FTSE All-World ex US Index (International) | 3.37 | 2.59 | 3.72 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 4.37% | 3.24% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 6.88 | 6.47 | 4.80 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.18 | 0.05 | 0.06 |
CPI | |||
Consumer Price Index | 1.06% | 0.98% | 1.23% |
5
When being ‘average’ is a lot better than average |
Not only did Vanguard founder John C. Bogle launch the first index mutual fund in 1976, but |
he also was among the first to clearly explain to the investing public the benefits of what was |
then a novel, unproven strategy. |
Back in 1977, in the first annual report for what was later renamed Vanguard 500 Index Fund, |
Mr. Bogle wrote that an index fund ‘‘represents a tough and demanding ‘par.’ And if there |
are some professionals who can ‘beat par’ more often than not------in investing or in golf------they |
do not seem to be in the majority.’’ |
Mr. Bogle’s analogy has been borne out by historical returns. As you can see in the chart |
below, out of 1,238 actively managed large-capitalization funds, a clear majority-----65%----- |
trailed the Standard & Poor’s 500 Index in average annual return over the decade ended |
December 31, 2015. And 518 funds, or about 42% of the total number, trailed by more than |
1 percentage point. |
The track record looks even more discouraging when you consider that of the 35% of funds |
that outperformed the index, only 119------or about 10% in all------did so by more than 1 percentage |
point. The 315 others also took on risk to try to outperform the index (and likely experienced |
greater volatility) but came out ahead by less than 1 percentage point in average annual return. |
Over a decade, a majority of active large-cap funds lagged the S&P 500 Index |
Based on average annual returns, 2006---2015 |
Notes: Data based on average annual returns of all 1,238 existing actively managed large-cap funds over the decade ended December 31, |
2015. Note that index funds seek to track the performance of a benchmark index but typically won't ‘‘match’’ the benchmark's returns because |
of the costs of passive indexing. |
Sources: Vanguard calculations, using data from Standard & Poor’s. |
Past performance is not a guarantee of future results. The performance of an index is not an exact representation of any particular investment, |
as you cannot invest directly in an index. |
6
These policies held down short-term rates, while more muted expectations for global growth and inflation weighed on longer-term rates.
Yields in the United States weren’t quite as low as in many developed countries. The Fed raised the federal funds target rate only once, in December, to a slim 0.25%–0.5%. Further out on the maturity spectrum, the bellwether 10-year U.S. Treasury yield dropped in early July to a record low 1.36%, before moving back up a little to end the period at 1.58%. Over the 12 months, U.S. bonds returned about 6%, and international bonds returned even more—about 11%—for U.S.-based investors, again underscoring the markets’ unpredictability and the merits of diversification.
Over the years, many investors have embraced the pluses of indexing
Market upsets like Brexit aren’t rare occurrences. Fortunately, indexing has proved to be a durable behavioral tool to help keep investors from making bad financial decisions when upsets happen. In fact, this is one of indexing’s less appreciated benefits: Holding index funds as part of a broadly diversified portfolio can counterbalance that tendency to react to news headlines. When times are volatile, you’ll know you might have some exposure to a part of the market that has dropped, but also to other parts that may be holding up better.
Vanguard’s launch of the First Index Investment Trust, now Vanguard 500 Index Fund, initially met with a frosty reception. Its mandate to track the performance of a broadly diversified benchmark at a low cost seemed underwhelming to an investing public accustomed to funds that offered the chance to outperform. Investors have since come around, as experience has demonstrated the benefits of low costs and broad diversification.
Indexing accounted for about 30% of U.S. mutual fund and exchange-traded fund (ETF) assets at the end of 2015, according to the Investment Company Institute. Some now even proclaim the “triumph of indexing,” implying that it’s the only way to invest.
In our view, the rise of indexing has served to underscore an investment principle that long predates 1976: A long-term, low-cost, diversified approach gives investors the best chance for success. That’s true whether the investments you choose are indexed or actively managed—or both.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 9, 2016
7
S&P Small-Cap 600 Index Fund
Fund Profile
As of August 31, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VIOO | VSMSX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 1.23% | 1.30% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
SmallCap | FA | ||
Fund | 600 Index | Index | |
Number of Stocks | 603 | 601 | 3,817 |
Median Market Cap | $1.5B | $1.5B | $51.2B |
Price/Earnings Ratio | 26.6x | 26.6x | 23.5x |
Price/Book Ratio | 2.2x | 2.2x | 2.8x |
Return on Equity | 10.9% | 10.9% | 16.6% |
Earnings Growth Rate | 8.3% | 8.3% | 7.5% |
Dividend Yield | 1.3% | 1.3% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 15% | — | — |
Short-Term Reserves | -0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
SmallCap | FA | ||
Fund | 600 Index | Index | |
Consumer Discretionary 13.6% | 13.6% | 12.9% | |
Consumer Staples | 3.0 | 2.9 | 8.9 |
Energy | 3.0 | 2.9 | 6.4 |
Financials | 23.5 | 23.7 | 18.0 |
Health Care | 12.4 | 12.4 | 14.1 |
Industrials | 17.7 | 17.7 | 10.4 |
Information Technology | 16.4 | 16.4 | 20.3 |
Materials | 5.6 | 5.6 | 3.3 |
Telecommunication | |||
Services | 1.0 | 1.0 | 2.4 |
Utilities | 3.8 | 3.8 | 3.3 |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
SmallCap | Market | |
600 Index | FA Index | |
R-Squared | 1.00 | 0.76 |
Beta | 1.00 | 1.07 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Piedmont Natural Gas | ||
Co. Inc. | Gas Utilities | 0.7% |
Take-Two Interactive | Home Entertainment | |
Software Inc. | Software | 0.6 |
NuVasive Inc. | Health Care | |
Equipment | 0.5 | |
Blackbaud Inc. | Application Software | 0.5 |
Cirrus Logic Inc. | Semiconductors | 0.5 |
B&G Foods Inc. | Packaged Foods & | |
Meats | 0.5 | |
Medidata Solutions Inc. | Health Care | |
Technology | 0.5 | |
PDC Energy Inc. | Oil & Gas Exploration | |
& Production | 0.5 | |
Spire Inc. | Gas Utilities | 0.5 |
ProAssurance Corp. | Property & Casualty | |
Insurance | 0.4 | |
Top Ten | 5.2% | |
The holdings listed exclude any temporary cash investments and | ||
equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2016, the expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
8
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.
Cumulative Performance: September 7, 2010, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended August 31, 2016 | |||||
Since | Final Value | ||||
One | Five | Inception | of a $10,000 | ||
Year | Years | (9/7/2010) | Investment | ||
S&P Small-Cap 600 Index Fund*ETF | |||||
Shares Net Asset Value | 13.17% | 15.02% | 15.69% | $23,918 | |
S&P Small-Cap 600 Index Fund*ETF | |||||
Shares Market Price | 13.16 | 15.04 | 15.70 | 23,919 | |
•••••••• | S&P SmallCap 600 Index | 13.26 | 15.18 | 15.87 | 24,130 |
– – – – | Small-Cap Core Funds Average | 7.64 | 11.59 | 12.36 | 20,084 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 11.34 | 14.40 | 14.48 | 22,460 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | |||
One | Five | Inception | of a $5,000,000 | |
Year | Years | (4/1/2011) | Investment | |
S&P Small-Cap 600 Index Fund Institutional | ||||
Shares | 13.22% | 15.10% | 11.40% | $8,975,423 |
S&P SmallCap 600 Index | 13.26 | 15.18 | 11.49 | 9,013,332 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 11.34 | 14.40 | 11.35 | 8,953,198 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were
next issued on April 1, 2011. The total returns shown are based on the period beginning April 1, 2011.
See Financial Highlights for dividend and capital gains information.
9
S&P Small-Cap 600 Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2016 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Index Fund ETF Shares Market | |||
Price | 13.16% | 101.47% | 139.19% |
S&P Small-Cap 600 Index Fund ETF Shares Net | |||
Asset Value | 13.17 | 101.31 | 139.18 |
S&P SmallCap 600 Index | 13.26 | 102.69 | 141.30 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2016
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | -0.19% | 11.05% | 14.94% | |
Net Asset Value | -0.12 | 11.04 | 14.93 | |
Institutional Shares | 4/1/2011 | -0.06 | 11.11 | 10.46 |
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were
next issued on April 1, 2011. The total returns shown are based on the period beginning April 1, 2011.
10
S&P Small-Cap 600 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
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%)1 | |||
Consumer Discretionary (13.6%) | |||
Drew Industries Inc. | 25,194 | 2,566 | |
* | Five Below Inc. | 56,264 | 2,507 |
Wolverine World Wide Inc. | 102,353 | 2,447 | |
Papa John’s International | |||
Inc. | 28,334 | 2,120 | |
Lithia Motors Inc. Class A | 24,496 | 2,028 | |
* | Steven Madden Ltd. | 57,218 | 2,008 |
Interval Leisure Group Inc. | 113,979 | 1,983 | |
* | Dorman Products Inc. | 30,959 | 1,953 |
Marriott Vacations | |||
Worldwide Corp. | 25,240 | 1,946 | |
Monro Muffler Brake Inc. | 33,154 | 1,870 | |
Core-Mark Holding Co. Inc. | 47,566 | 1,815 | |
* | Cooper-Standard Holding | ||
Inc. | 17,691 | 1,752 | |
* | Boyd Gaming Corp. | 83,028 | 1,619 |
Children’s Place Inc. | 19,419 | 1,581 | |
* | Genesco Inc. | 21,499 | 1,562 |
Sonic Corp. | 49,917 | 1,432 | |
Gannett Co. Inc. | 119,971 | 1,431 | |
* | Meritage Homes Corp. | 38,253 | 1,373 |
La-Z-Boy Inc. | 51,382 | 1,370 | |
* | TopBuild Corp. | 39,542 | 1,349 |
* | American Axle & | ||
Manufacturing Holdings Inc. | 78,651 | 1,348 | |
DineEquity Inc. | 17,036 | 1,329 | |
* | G-III Apparel Group Ltd. | 41,247 | 1,302 |
Group 1 Automotive Inc. | 21,566 | 1,280 | |
* | Select Comfort Corp. | 48,052 | 1,261 |
* | Gentherm Inc. | 37,454 | 1,235 |
* | Popeyes Louisiana Kitchen | ||
Inc. | 22,514 | 1,228 | |
* | Asbury Automotive Group | ||
Inc. | 22,775 | 1,223 | |
Sturm Ruger & Co. Inc. | 19,496 | 1,195 | |
Caleres Inc. | 44,939 | 1,166 | |
* | iRobot Corp. | 28,181 | 1,123 |
Scholastic Corp. | 27,436 | 1,105 |
Callaway Golf Co. | 96,406 | 1,101 | |
* | Universal Electronics Inc. | 14,865 | 1,100 |
MDC Holdings Inc. | 40,214 | 1,050 | |
Finish Line Inc. Class A | 43,367 | 1,044 | |
* | Belmond Ltd. Class A | 89,605 | 1,001 |
Oxford Industries Inc. | 15,160 | 946 | |
* | EW Scripps Co. Class A | 54,803 | 931 |
^ | Outerwall Inc. | 17,685 | 919 |
Cato Corp. Class A | 26,605 | 912 | |
Standard Motor Products Inc. | 20,302 | 910 | |
* | Cavco Industries Inc. | 8,538 | 893 |
* | Hibbett Sports Inc. | 22,999 | 882 |
Ethan Allen Interiors Inc. | 26,238 | 878 | |
Nutrisystem Inc. | 29,891 | 861 | |
Bob Evans Farms Inc. | 20,389 | 836 | |
* | Express Inc. | 70,230 | 831 |
* | BJ’s Restaurants Inc. | 20,356 | 809 |
^ | World Wrestling | ||
Entertainment Inc. Class A | 38,043 | 790 | |
^ | Buckle Inc. | 28,817 | 743 |
Barnes & Noble Inc. | 62,301 | 714 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 14,071 | 707 | |
* | Fiesta Restaurant Group Inc. | 27,697 | 700 |
* | Vitamin Shoppe Inc. | 24,860 | 689 |
Superior Industries | |||
International Inc. | 22,922 | 667 | |
Rent-A-Center Inc. | 54,409 | 665 | |
Winnebago Industries Inc. | 27,543 | 663 | |
Tailored Brands Inc. | 50,101 | 660 | |
* | Crocs Inc. | 75,544 | 653 |
Capella Education Co. | 10,964 | 646 | |
* | M/I Homes Inc. | 25,285 | 585 |
* | LGI Homes Inc. | 15,167 | 583 |
* | Francesca’s Holdings Corp. | 41,771 | 570 |
* | Installed Building Products | ||
Inc. | 17,058 | 569 | |
* | Strayer Education Inc. | 11,446 | 557 |
* | Motorcar Parts of America | ||
Inc. | 18,803 | 535 |
11
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Ruth’s Hospitality Group Inc. | 34,789 | 520 | |
* | Chuy’s Holdings Inc. | 16,959 | 514 |
Sonic Automotive Inc. | |||
Class A | 29,591 | 504 | |
* | MarineMax Inc. | 25,082 | 497 |
* | Iconix Brand Group Inc. | 57,488 | 483 |
* | Regis Corp. | 38,257 | 481 |
* | Biglari Holdings Inc. | 1,087 | 479 |
* | Career Education Corp. | 70,178 | 459 |
Marcus Corp. | 19,231 | 454 | |
* | Barnes & Noble Education | ||
Inc. | 40,151 | 449 | |
*,^ | Lumber Liquidators | ||
Holdings Inc. | 27,867 | 439 | |
Shoe Carnival Inc. | 14,635 | 434 | |
* | Scientific Games Corp. | ||
Class A | 51,950 | 429 | |
* | FTD Cos. Inc. | 18,223 | 428 |
PetMed Express Inc. | 20,753 | 418 | |
Blue Nile Inc. | 11,911 | 410 | |
Fred’s Inc. Class A | 35,891 | 406 | |
* | Unifi Inc. | 15,424 | 401 |
Haverty Furniture Cos. Inc. | 19,547 | 391 | |
Movado Group Inc. | 16,852 | 383 | |
* | American Public Education | ||
Inc. | 16,492 | 341 | |
* | Zumiez Inc. | 19,511 | 326 |
* | Vera Bradley Inc. | 20,871 | 312 |
* | Tuesday Morning Corp. | 45,823 | 306 |
* | Monarch Casino & Resort | ||
Inc. | 11,132 | 265 | |
Stein Mart Inc. | 30,440 | 245 | |
Big 5 Sporting Goods Corp. | 18,997 | 238 | |
* | Perry Ellis International Inc. | 11,900 | 222 |
* | Ruby Tuesday Inc. | 62,322 | 189 |
Arctic Cat Inc. | 13,330 | 189 | |
* | Kirkland’s Inc. | 14,684 | 184 |
Stage Stores Inc. | 27,791 | 149 | |
Harte-Hanks Inc. | 50,037 | 81 | |
* | Sizmek Inc. | 20,365 | 79 |
* | VOXX International Corp. | ||
Class A | 20,073 | 62 | |
Universal Technical | |||
Institute Inc. | 21,157 | 48 | |
91,322 | |||
Consumer Staples (3.0%) | |||
B&G Foods Inc. | 68,257 | 3,241 | |
* | Darling Ingredients Inc. | 169,194 | 2,382 |
Sanderson Farms Inc. | 20,427 | 1,966 | |
J&J Snack Foods Corp. | 15,123 | 1,845 | |
WD-40 Co. | 13,710 | 1,623 | |
^ | Cal-Maine Foods Inc. | 31,926 | 1,467 |
Universal Corp. | 23,356 | 1,405 | |
SpartanNash Co. | 38,550 | 1,234 | |
* | SUPERVALU Inc. | 190,143 | 1,042 |
Andersons Inc. | 26,964 | 996 | |
Calavo Growers Inc. | 15,213 | 897 | |
* | Central Garden & Pet Co. | ||
Class A | 34,104 | 827 | |
Inter Parfums Inc. | 17,512 | 598 | |
Medifast Inc. | 9,564 | 352 | |
* | Central Garden & Pet Co. | 10,060 | 258 |
* | Seneca Foods Corp. Class A | 6,107 | 180 |
20,313 | |||
Energy (2.9%) | |||
* | PDC Energy Inc. | 47,621 | 3,162 |
US Silica Holdings Inc. | 65,286 | 2,562 | |
* | Carrizo Oil & Gas Inc. | 56,200 | 2,152 |
* | Synergy Resources Corp. | 199,142 | 1,304 |
* | SEACOR Holdings Inc. | 16,370 | 962 |
* | Unit Corp. | 52,965 | 905 |
Green Plains Inc. | 37,181 | 903 | |
Archrock Inc. | 71,758 | 791 | |
* | Helix Energy Solutions | ||
Group Inc. | 102,943 | 772 | |
* | Newpark Resources Inc. | 86,264 | 609 |
* | TETRA Technologies Inc. | 93,083 | 563 |
* | Exterran Corp. | 36,104 | 510 |
* | Matrix Service Co. | 27,318 | 505 |
Atwood Oceanics Inc. | 59,822 | 473 | |
* | REX American Resources | ||
Corp. | 5,726 | 461 | |
Bristow Group Inc. | 36,037 | 411 | |
*,^ | Bill Barrett Corp. | 61,685 | 410 |
Tesco Corp. | 47,798 | 325 | |
*,^ | Cloud Peak Energy Inc. | 62,601 | 259 |
^ | CARBO Ceramics Inc. | 20,091 | 252 |
* | Geospace Technologies | ||
Corp. | 13,741 | 243 | |
* | Contango Oil & Gas Co. | 22,973 | 222 |
* | Pioneer Energy Services | ||
Corp. | 66,359 | 221 | |
* | Hornbeck Offshore Services | ||
Inc. | 32,795 | 179 | |
*,^ | Northern Oil and Gas Inc. | 55,186 | 179 |
^ | Tidewater Inc. | 48,362 | 158 |
* | Era Group Inc. | 20,028 | 146 |
Gulf Island Fabrication Inc. | 14,097 | 124 | |
*,^ | Gulfmark Offshore Inc. | 25,973 | 56 |
*,^ | Bonanza Creek Energy Inc. | 40,972 | 42 |
*,^ | Basic Energy Services Inc. | 41,208 | 15 |
19,876 | |||
Financials (23.4%) | |||
ProAssurance Corp. | 54,691 | 3,009 | |
Wintrust Financial Corp. | 53,010 | 2,946 | |
Home BancShares Inc. | 125,565 | 2,938 | |
Acadia Realty Trust | 77,938 | 2,879 | |
RLI Corp. | 39,064 | 2,773 | |
United Bankshares Inc. | 69,103 | 2,723 | |
CoreSite Realty Corp. | 34,880 | 2,721 |
12
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
UMB Financial Corp. | 43,241 | 2,629 | |
First Financial Bankshares | |||
Inc. | 67,914 | 2,487 | |
* | Texas Capital Bancshares | ||
Inc. | 47,196 | 2,479 | |
Kite Realty Group Trust | 85,709 | 2,475 | |
Retail Opportunity | |||
Investments Corp. | 109,308 | 2,439 | |
EastGroup Properties Inc. | 33,084 | 2,428 | |
Selective Insurance Group | |||
Inc. | 59,264 | 2,365 | |
Lexington Realty Trust | 217,465 | 2,346 | |
Glacier Bancorp Inc. | 78,310 | 2,345 | |
Cousins Properties Inc. | 205,213 | 2,261 | |
Interactive Brokers Group | |||
Inc. | 62,936 | 2,258 | |
Pinnacle Financial Partners | |||
Inc. | 39,786 | 2,255 | |
* | Hope Bancorp Inc. | 130,539 | 2,245 |
PS Business Parks Inc. | 20,044 | 2,221 | |
Sterling Bancorp | 123,513 | 2,205 | |
DiamondRock Hospitality | |||
Co. | 206,490 | 2,187 | |
Community Bank System | |||
Inc. | 45,352 | 2,152 | |
Evercore Partners Inc. | |||
Class A | 40,795 | 2,090 | |
Great Western Bancorp Inc. | 60,337 | 2,066 | |
LTC Properties Inc. | 38,982 | 2,024 | |
Columbia Banking System | |||
Inc. | 59,635 | 1,970 | |
Old National Bancorp | 138,589 | 1,962 | |
CVB Financial Corp. | 103,082 | 1,834 | |
American Assets Trust Inc. | 40,613 | 1,799 | |
Pennsylvania REIT | 71,424 | 1,792 | |
Financial Engines Inc. | 54,368 | 1,738 | |
Sabra Health Care REIT Inc. | 67,165 | 1,711 | |
Government Properties | |||
Income Trust | 73,132 | 1,704 | |
First Midwest Bancorp Inc. | 83,707 | 1,638 | |
Northwest Bancshares Inc. | 104,832 | 1,627 | |
American Equity Investment | |||
Life Holding Co. | 90,471 | 1,594 | |
Chesapeake Lodging Trust | 61,851 | 1,576 | |
GEO Group Inc. | 76,048 | 1,524 | |
* | PRA Group Inc. | 47,632 | 1,523 |
United Community Banks | |||
Inc. | 72,283 | 1,517 | |
Parkway Properties Inc. | 83,850 | 1,509 | |
Horace Mann Educators | |||
Corp. | 41,252 | 1,508 | |
First Cash Financial | |||
Services Inc. | 29,037 | 1,502 | |
Simmons First National | |||
Corp. Class A | 29,389 | 1,475 |
Astoria Financial Corp. | 93,834 | 1,436 | |
Independent Bank Corp. | 27,042 | 1,433 | |
NBT Bancorp Inc. | 44,164 | 1,426 | |
First Financial Bancorp | 63,598 | 1,386 | |
Franklin Street Properties | |||
Corp. | 109,301 | 1,373 | |
LegacyTexas Financial | |||
Group Inc. | 45,067 | 1,367 | |
^ | Westamerica Bancorporation | 26,228 | 1,333 |
Provident Financial Services | |||
Inc. | 60,855 | 1,313 | |
Summit Hotel Properties Inc. | 89,712 | 1,283 | |
*,^ | BofI Holding Inc. | 58,924 | 1,267 |
AMERISAFE Inc. | 19,749 | 1,185 | |
ServisFirst Bancshares Inc. | 22,403 | 1,174 | |
Agree Realty Corp. | 24,326 | 1,167 | |
Four Corners Property Trust | |||
Inc. | 55,471 | 1,149 | |
Banc of California Inc. | 50,595 | 1,129 | |
Stewart Information | |||
Services Corp. | 23,965 | 1,097 | |
Boston Private Financial | |||
Holdings Inc. | 85,106 | 1,096 | |
Cash America International | |||
Inc. | 24,647 | 1,073 | |
Navigators Group Inc. | 11,332 | 1,065 | |
S&T Bancorp Inc. | 35,883 | 1,032 | |
* | Green Dot Corp. Class A | 44,366 | 1,029 |
Employers Holdings Inc. | 33,305 | 1,015 | |
Ameris Bancorp | 28,619 | 997 | |
Capstead Mortgage Corp. | 98,495 | 977 | |
Safety Insurance Group Inc. | 14,493 | 963 | |
Infinity Property & Casualty | |||
Corp. | 11,367 | 958 | |
HFF Inc. Class A | 35,576 | 954 | |
United Fire Group Inc. | 21,874 | 945 | |
Tompkins Financial Corp. | 12,667 | 936 | |
Banner Corp. | 21,120 | 935 | |
First Commonwealth | |||
Financial Corp. | 91,225 | 931 | |
Cardinal Financial Corp. | 33,366 | 896 | |
CareTrust REIT Inc. | 59,542 | 885 | |
Hanmi Financial Corp. | 33,171 | 870 | |
Brookline Bancorp Inc. | 72,403 | 865 | |
Southside Bancshares Inc. | 25,089 | 824 | |
Universal Insurance | |||
Holdings Inc. | 33,177 | 822 | |
Central Pacific Financial | |||
Corp. | 31,849 | 815 | |
Maiden Holdings Ltd. | 58,474 | 808 | |
City Holding Co. | 15,442 | 781 | |
Universal Health Realty | |||
Income Trust | 12,626 | 778 | |
Saul Centers Inc. | 11,721 | 777 |
13
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
RE/MAX Holdings Inc. | |||
Class A | 18,168 | 757 | |
* | Walker & Dunlop Inc. | 28,002 | 742 |
TrustCo Bank Corp. NY | 98,498 | 703 | |
* | Customers Bancorp Inc. | 25,797 | 690 |
*,^ | LendingTree Inc. | 7,099 | 689 |
Urstadt Biddle Properties | |||
Inc. Class A | 30,117 | 684 | |
Opus Bank | 19,332 | 675 | |
Greenhill & Co. Inc. | 28,445 | 653 | |
Northfield Bancorp Inc. | 40,292 | 640 | |
Getty Realty Corp. | 26,944 | 634 | |
Oritani Financial Corp. | 39,278 | 631 | |
* | Piper Jaffray Cos. | 13,720 | 609 |
* | First BanCorp | 120,171 | 589 |
Cedar Realty Trust Inc. | 77,100 | 584 | |
Virtus Investment Partners | |||
Inc. | 6,147 | 561 | |
Dime Community | |||
Bancshares Inc. | 31,664 | 559 | |
* | INTL. FCStone Inc. | 15,495 | 558 |
* | EZCORP Inc. Class A | 52,611 | 545 |
* | Encore Capital Group Inc. | 24,323 | 524 |
Investment Technology | |||
Group Inc. | 34,027 | 523 | |
OFG Bancorp | 45,231 | 493 | |
* | Forestar Group Inc. | 35,010 | 439 |
* | World Acceptance Corp. | 8,634 | 415 |
Bank Mutual Corp. | 43,277 | 338 | |
Talmer Bancorp Inc. Class A | 13,382 | 311 | |
United Insurance Holdings | |||
Corp. | 18,277 | 288 | |
HCI Group Inc. | 8,963 | 285 | |
* | Enova International Inc. | 27,365 | 262 |
* | First NBC Bank Holding Co. | 16,183 | 211 |
* | eHealth Inc. | 17,137 | 193 |
Calamos Asset | |||
Management Inc. Class A | 17,831 | 125 | |
157,904 | |||
Health Care (12.4%) | |||
* | NuVasive Inc. | 51,235 | 3,354 |
* | Medidata Solutions Inc. | 58,909 | 3,187 |
* | Medicines Co. | 71,525 | 2,802 |
Cantel Medical Corp. | 36,873 | 2,788 | |
* | Masimo Corp. | 45,327 | 2,681 |
* | Integra LifeSciences | ||
Holdings Corp. | 29,849 | 2,579 | |
* | Nektar Therapeutics | 140,093 | 2,501 |
Chemed Corp. | 17,023 | 2,297 | |
* | Neogen Corp. | 38,579 | 2,278 |
* | Ligand Pharmaceuticals Inc. | 19,481 | 2,013 |
* | Haemonetics Corp. | 52,495 | 1,951 |
* | HMS Holdings Corp. | 86,521 | 1,887 |
* | ICU Medical Inc. | 14,880 | 1,857 |
* | AMN Healthcare Services | ||
Inc. | 49,384 | 1,789 | |
* | Impax Laboratories Inc. | 71,337 | 1,726 |
* | Magellan Health Inc. | 25,325 | 1,447 |
* | Cambrex Corp. | 32,905 | 1,409 |
* | Omnicell Inc. | 36,928 | 1,388 |
* | Amedisys Inc. | 28,806 | 1,386 |
* | Natus Medical Inc. | 34,047 | 1,325 |
* | Select Medical Holdings | ||
Corp. | 108,006 | 1,283 | |
* | Depomed Inc. | 62,849 | 1,275 |
* | Zeltiq Aesthetics Inc. | 33,311 | 1,270 |
* | Air Methods Corp. | 35,932 | 1,264 |
* | Cynosure Inc. Class A | 24,185 | 1,260 |
* | HealthEquity Inc. | 36,260 | 1,181 |
* | Diplomat Pharmacy Inc. | 37,308 | 1,167 |
* | Surgical Care Affiliates Inc. | 27,974 | 1,154 |
* | Acorda Therapeutics Inc. | 47,411 | 1,142 |
Analogic Corp. | 12,698 | 1,130 | |
* | Merit Medical Systems Inc. | 45,461 | 1,102 |
Abaxis Inc. | 21,697 | 1,088 | |
CONMED Corp. | 26,580 | 1,084 | |
* | Repligen Corp. | 34,531 | 1,070 |
* | Lannett Co. Inc. | 28,714 | 972 |
Kindred Healthcare Inc. | 87,369 | 965 | |
Ensign Group Inc. | 47,940 | 901 | |
* | Inogen Inc. | 14,955 | 868 |
* | Vascular Solutions Inc. | 17,892 | 862 |
* | Emergent BioSolutions Inc. | 32,065 | 854 |
* | AMAG Pharmaceuticals Inc. | 35,513 | 846 |
Meridian Bioscience Inc. | 43,269 | 842 | |
* | Luminex Corp. | 39,657 | 836 |
US Physical Therapy Inc. | 12,870 | 811 | |
* | Healthways Inc. | 32,302 | 808 |
* | PharMerica Corp. | 31,617 | 799 |
* | Momenta Pharmaceuticals | ||
Inc. | 65,087 | 782 | |
* | Supernus Pharmaceuticals | ||
Inc. | 35,605 | 761 | |
* | MiMedx Group Inc. | 102,662 | 743 |
* | Anika Therapeutics Inc. | 14,766 | 697 |
* | HealthStream Inc. | 25,080 | 667 |
* | Integer Holdings Corp. | 26,033 | 630 |
Aceto Corp. | 30,493 | 616 | |
* | Providence Service Corp. | 12,528 | 590 |
*,^ | Adeptus Health Inc. Class A | 13,810 | 588 |
Quality Systems Inc. | 45,626 | 537 | |
* | BioTelemetry Inc. | 28,657 | 529 |
* | SciClone Pharmaceuticals | ||
Inc. | 51,197 | 516 | |
* | AngioDynamics Inc. | 29,323 | 485 |
* | LHC Group Inc. | 13,370 | 475 |
Landauer Inc. | 9,879 | 469 | |
* | ANI Pharmaceuticals Inc. | 7,805 | 466 |
14
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Phibro Animal Health Corp. | |||
Class A | 19,068 | 463 | |
CryoLife Inc. | 26,497 | 423 | |
* | Cross Country Healthcare | ||
Inc. | 33,639 | 409 | |
* | CorVel Corp. | 10,455 | 402 |
* | Spectrum Pharmaceuticals | ||
Inc. | 72,281 | 384 | |
* | Surmodics Inc. | 13,412 | 382 |
Invacare Corp. | 31,087 | 369 | |
*,^ | Albany Molecular Research | ||
Inc. | 22,966 | 340 | |
* | Almost Family Inc. | 8,955 | 330 |
* | Enanta Pharmaceuticals Inc. | 13,690 | 301 |
Computer Programs & | |||
Systems Inc. | 10,912 | 282 | |
* | Quorum Health Corp. | 29,997 | 184 |
83,299 | |||
Industrials (17.7%) | |||
Healthcare Services Group | |||
Inc. | 74,397 | 3,003 | |
* | Hawaiian Holdings Inc. | 49,036 | 2,304 |
* | WageWorks Inc. | 37,250 | 2,302 |
Universal Forest Products | |||
Inc. | 20,872 | 2,278 | |
ABM Industries Inc. | 57,669 | 2,216 | |
Barnes Group Inc. | 51,885 | 2,145 | |
Tetra Tech Inc. | 59,558 | 2,102 | |
Hillenbrand Inc. | 64,786 | 2,083 | |
John Bean Technologies | |||
Corp. | 30,037 | 2,063 | |
Mueller Industries Inc. | 58,733 | 2,030 | |
Matthews International | |||
Corp. Class A | 32,938 | 2,026 | |
UniFirst Corp. | 15,720 | 2,018 | |
* | Moog Inc. Class A | 33,771 | 1,992 |
G&K Services Inc. Class A | 20,314 | 1,977 | |
Applied Industrial | |||
Technologies Inc. | 40,124 | 1,907 | |
* | Trex Co. Inc. | 30,156 | 1,868 |
* | On Assignment Inc. | 49,393 | 1,863 |
Simpson Manufacturing Co. | |||
Inc. | 42,226 | 1,853 | |
Brink’s Co. | 50,726 | 1,852 | |
Watts Water Technologies | |||
Inc. Class A | 28,643 | 1,845 | |
Allegiant Travel Co. Class A | 13,254 | 1,832 | |
AZZ Inc. | 26,656 | 1,771 | |
Knight Transportation Inc. | 62,672 | 1,761 | |
Matson Inc. | 44,503 | 1,717 | |
Brady Corp. Class A | 48,089 | 1,611 | |
Franklin Electric Co. Inc. | 39,394 | 1,507 | |
SkyWest Inc. | 52,831 | 1,491 | |
* | TASER International Inc. | 54,137 | 1,466 |
Actuant Corp. Class A | 60,537 | 1,443 | |
Forward Air Corp. | 31,306 | 1,443 | |
* | Hub Group Inc. Class A | 35,183 | 1,434 |
Apogee Enterprises Inc. | 29,597 | 1,432 | |
Korn/Ferry International | 58,891 | 1,404 | |
Mobile Mini Inc. | 45,701 | 1,366 | |
Exponent Inc. | 26,684 | 1,346 | |
* | Proto Labs Inc. | 24,339 | 1,332 |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 71,042 | 1,277 | |
* | SPX FLOW Inc. | 42,896 | 1,262 |
Albany International Corp. | 29,620 | 1,254 | |
Kaman Corp. | 27,848 | 1,250 | |
* | American Woodmark Corp. | 14,028 | 1,220 |
EnPro Industries Inc. | 22,295 | 1,202 | |
ESCO Technologies Inc. | 26,502 | 1,196 | |
Interface Inc. Class A | 67,413 | 1,192 | |
Tennant Co. | 18,190 | 1,177 | |
* | Gibraltar Industries Inc. | 30,632 | 1,169 |
AAON Inc. | 40,969 | 1,159 | |
Heartland Express Inc. | 60,850 | 1,158 | |
Astec Industries Inc. | 19,452 | 1,144 | |
Standex International Corp. | 13,184 | 1,110 | |
Insperity Inc. | 16,717 | 1,096 | |
Comfort Systems USA Inc. | 38,298 | 1,087 | |
Cubic Corp. | 22,445 | 1,051 | |
US Ecology Inc. | 22,337 | 1,002 | |
CIRCOR International Inc. | 16,859 | 996 | |
* | Team Inc. | 30,341 | 964 |
* | Navigant Consulting Inc. | 48,915 | 961 |
* | TrueBlue Inc. | 43,592 | 952 |
* | Chart Industries Inc. | 31,452 | 947 |
* | Atlas Air Worldwide | ||
Holdings Inc. | 25,447 | 945 | |
* | Patrick Industries Inc. | 14,733 | 943 |
* | Mercury Systems Inc. | 41,067 | 931 |
* | Wabash National Corp. | 66,680 | 930 |
Raven Industries Inc. | 37,230 | 914 | |
Multi-Color Corp. | 13,488 | 901 | |
Greenbrier Cos. Inc. | 26,246 | 889 | |
* | Lydall Inc. | 17,615 | 846 |
Briggs & Stratton Corp. | 44,481 | 846 | |
AAR Corp. | 33,503 | 825 | |
Encore Wire Corp. | 21,286 | 824 | |
Harsco Corp. | 82,391 | 820 | |
General Cable Corp. | 50,739 | 818 | |
Federal Signal Corp. | 62,192 | 815 | |
* | SPX Corp. | 42,683 | 808 |
^ | Lindsay Corp. | 11,087 | 798 |
* | Saia Inc. | 25,662 | 781 |
Viad Corp. | 20,877 | 747 | |
Essendant Inc. | 38,268 | 741 | |
Quanex Building Products | |||
Corp. | 35,302 | 682 | |
* | Aegion Corp. Class A | 35,993 | 667 |
15
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Echo Global Logistics Inc. | 25,702 | 663 |
Griffon Corp. | 37,754 | 646 | |
Alamo Group Inc. | 9,607 | 623 | |
* | PGT Inc. | 50,041 | 596 |
Kelly Services Inc. Class A | 30,468 | 583 | |
Resources Connection Inc. | 37,935 | 572 | |
* | Engility Holdings Inc. | 17,726 | 532 |
* | Aerovironment Inc. | 21,028 | 520 |
Marten Transport Ltd. | 23,777 | 513 | |
* | MYR Group Inc. | 16,450 | 477 |
ArcBest Corp. | 24,852 | 455 | |
National Presto Industries | |||
Inc. | 5,001 | 436 | |
* | Veritiv Corp. | 8,346 | 428 |
Titan International Inc. | 44,783 | 412 | |
* | DXP Enterprises Inc. | 13,107 | 368 |
Powell Industries Inc. | 8,987 | 357 | |
Heidrick & Struggles | |||
International Inc. | 17,843 | 333 | |
American Science & | |||
Engineering Inc. | 7,350 | 270 | |
* | Roadrunner Transportation | ||
Systems Inc. | 31,036 | 259 | |
Celadon Group Inc. | 28,463 | 222 | |
* | Vicor Corp. | 16,941 | 185 |
* | Orion Group Holdings Inc. | 28,363 | 169 |
CDI Corp. | 14,826 | 85 | |
119,084 | |||
Information Technology (16.4%) | |||
* | Take-Two Interactive | ||
Software Inc. | 87,220 | 3,791 | |
Blackbaud Inc. | 48,833 | 3,290 | |
* | Cirrus Logic Inc. | 63,979 | 3,247 |
Monolithic Power | |||
Systems Inc. | 38,111 | 2,924 | |
Littelfuse Inc. | 23,053 | 2,923 | |
MKS Instruments Inc. | 54,871 | 2,674 | |
* | Coherent Inc. | 24,973 | 2,627 |
* | CACI International Inc. | ||
Class A | 25,003 | 2,484 | |
* | Electronics For Imaging Inc. | 48,425 | 2,280 |
LogMeIn Inc. | 25,701 | 2,146 | |
* | Cardtronics plc Class A | 46,492 | 2,088 |
* | Sanmina Corp. | 75,704 | 1,989 |
* | NETGEAR Inc. | 33,482 | 1,908 |
* | Anixter International Inc. | 29,224 | 1,869 |
* | Viavi Solutions Inc. | 239,052 | 1,860 |
* | Itron Inc. | 38,967 | 1,856 |
* | Advanced Energy | ||
Industries Inc. | 40,694 | 1,788 | |
* | Semtech Corp. | 67,117 | 1,785 |
* | ExlService Holdings Inc. | 34,416 | 1,761 |
Power Integrations Inc. | 29,621 | 1,730 | |
* | Rovi Corp. | 84,449 | 1,729 |
* | Synchronoss Technologies | ||
Inc. | 41,377 | 1,727 | |
* | Lumentum Holdings Inc. | 48,757 | 1,712 |
* | MicroStrategy Inc. Class A | 9,656 | 1,611 |
Tessera Technologies Inc. | 47,365 | 1,589 | |
* | Plexus Corp. | 34,319 | 1,584 |
* | Rambus Inc. | 113,309 | 1,566 |
*,^ | Stamps.com Inc. | 16,143 | 1,561 |
* | Progress Software Corp. | 51,732 | 1,501 |
^ | Ebix Inc. | 26,273 | 1,498 |
CSG Systems International | |||
Inc. | 33,352 | 1,458 | |
NIC Inc. | 63,021 | 1,448 | |
Methode Electronics Inc. | 37,947 | 1,391 | |
* | Benchmark Electronics Inc. | 50,736 | 1,224 |
* | Fabrinet | 31,517 | 1,223 |
* | 8x8 Inc. | 91,894 | 1,219 |
* | OSI Systems Inc. | 18,098 | 1,214 |
Cabot Microelectronics | |||
Corp. | 24,344 | 1,210 | |
* | Sykes Enterprises Inc. | 39,897 | 1,166 |
* | II-VI Inc. | 54,635 | 1,158 |
* | Insight Enterprises Inc. | 37,765 | 1,156 |
* | Shutterstock Inc. | 19,387 | 1,124 |
* | Interactive Intelligence | ||
Group Inc. | 18,161 | 1,087 | |
* | Rogers Corp. | 18,531 | 1,036 |
ManTech International | |||
Corp. Class A | 25,171 | 1,008 | |
Badger Meter Inc. | 14,918 | 984 | |
* | Cray Inc. | 41,960 | 961 |
* | Rofin-Sinar Technologies Inc. | 29,131 | 932 |
ADTRAN Inc. | 50,348 | 925 | |
* | ScanSource Inc. | 26,442 | 905 |
* | Bottomline Technologies | ||
de Inc. | 39,008 | 901 | |
Brooks Automation Inc. | 70,549 | 890 | |
* | Kulicke & Soffa Industries | ||
Inc. | 72,357 | 885 | |
Monotype Imaging Holdings | |||
Inc. | 41,826 | 883 | |
* | Qualys Inc. | 25,142 | 865 |
MTS Systems Corp. | 16,882 | 840 | |
* | Super Micro Computer Inc. | 38,331 | 829 |
* | Diodes Inc. | 39,806 | 820 |
* | Veeco Instruments Inc. | 41,034 | 807 |
* | Perficient Inc. | 37,159 | 742 |
* | Ixia | 64,006 | 738 |
* | Virtusa Corp. | 28,067 | 736 |
* | TTM Technologies Inc. | 66,722 | 716 |
* | Ultratech Inc. | 27,542 | 689 |
* | CEVA Inc. | 20,935 | 659 |
CTS Corp. | 33,544 | 647 | |
DTS Inc. | 18,032 | 603 |
16
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | VASCO Data Security | ||
International Inc. | 30,774 | 561 | |
* | Rudolph Technologies Inc. | 31,842 | 559 |
* | FARO Technologies Inc. | 17,063 | 556 |
Epiq Systems Inc. | 33,447 | 549 | |
* | CalAmp Corp. | 37,493 | 547 |
* | ePlus Inc. | 5,750 | 520 |
* | Nanometrics Inc. | 25,044 | 509 |
TeleTech Holdings Inc. | 16,881 | 479 | |
* | XO Group Inc. | 24,520 | 457 |
* | Exar Corp. | 50,077 | 456 |
* | Blucora Inc. | 42,728 | 442 |
Forrester Research Inc. | 10,296 | 422 | |
* | LivePerson Inc. | 50,960 | 397 |
Daktronics Inc. | 39,562 | 377 | |
* | Tangoe Inc. | 38,273 | 356 |
* | Harmonic Inc. | 79,722 | 346 |
Park Electrochemical Corp. | 20,875 | 345 | |
* | Monster Worldwide Inc. | 91,692 | 336 |
* | DHI Group Inc. | 42,825 | 331 |
Comtech | |||
Telecommunications Corp. | 24,100 | 311 | |
* | Digi International Inc. | 26,721 | 306 |
Cohu Inc. | 25,879 | 281 | |
* | DSP Group Inc. | 22,410 | 259 |
* | Liquidity Services Inc. | 25,454 | 255 |
Black Box Corp. | 15,569 | 217 | |
Bel Fuse Inc. Class B | 9,048 | 208 | |
* | Agilysys Inc. | 15,386 | 170 |
* | Electro Scientific Industries | ||
Inc. | 28,713 | 160 | |
* | Kopin Corp. | 64,462 | 139 |
* | QuinStreet Inc. | 36,232 | 111 |
* | Ciber Inc. | 72,699 | 88 |
110,227 | |||
Materials (5.6%) | |||
Chemours Co. | 186,571 | 2,461 | |
HB Fuller Co. | 51,352 | 2,438 | |
Balchem Corp. | 32,462 | 2,273 | |
* | Ingevity Corp. | 43,287 | 1,921 |
Kaiser Aluminum Corp. | 18,513 | 1,578 | |
* | Stillwater Mining Co. | 124,476 | 1,575 |
KapStone Paper and | |||
Packaging Corp. | 88,308 | 1,546 | |
Innospec Inc. | 24,646 | 1,461 | |
Neenah Paper Inc. | 17,207 | 1,384 | |
* | Headwaters Inc. | 76,135 | 1,380 |
Quaker Chemical Corp. | 13,609 | 1,361 | |
Stepan Co. | 18,826 | 1,323 | |
Schweitzer-Mauduit | |||
International Inc. | 31,439 | 1,235 | |
* | Kraton Performance | ||
Polymers Inc. | 31,707 | 1,143 |
* | Clearwater Paper Corp. | 17,624 | 1,094 |
* | AK Steel Holding Corp. | 244,388 | 1,090 |
* | Boise Cascade Co. | 39,740 | 1,043 |
PH Glatfelter Co. | 44,688 | 991 | |
* | Flotek Industries Inc. | 55,399 | 859 |
Innophos Holdings Inc. | 19,904 | 840 | |
Deltic Timber Corp. | 11,005 | 781 | |
A Schulman Inc. | 30,051 | 766 | |
* | US Concrete Inc. | 14,215 | 754 |
Calgon Carbon Corp. | 51,864 | 752 | |
* | Koppers Holdings Inc. | 21,155 | 691 |
Materion Corp. | 20,545 | 603 | |
Rayonier Advanced | |||
Materials Inc. | 44,341 | 545 | |
Tredegar Corp. | 25,513 | 481 | |
Haynes International Inc. | 12,816 | 473 | |
American Vanguard Corp. | 26,487 | 446 | |
SunCoke Energy Inc. | 65,853 | 429 | |
Hawkins Inc. | 9,776 | 427 | |
* | TimkenSteel Corp. | 39,198 | 386 |
Myers Industries Inc. | 22,468 | 322 | |
* | Century Aluminum Co. | 51,150 | 321 |
FutureFuel Corp. | 23,174 | 271 | |
* | LSB Industries Inc. | 20,637 | 248 |
Olympic Steel Inc. | 9,232 | 178 | |
* | Intrepid Potash Inc. | 58,582 | 81 |
37,951 | |||
Other (0.0%)2 | |||
* | Gerber Scientific Inc. CVR | 4,758 | — |
Telecommunication Services (1.0%) | |||
Cogent Communications | |||
Holdings Inc. | 42,316 | 1,504 | |
Consolidated | |||
Communications | |||
Holdings Inc. | 52,079 | 1,253 | |
* | Cincinnati Bell Inc. | 215,489 | 901 |
ATN International Inc. | 11,133 | 727 | |
* | Iridium Communications Inc. | 83,625 | 697 |
Inteliquent Inc. | 34,878 | 580 | |
* | General Communication Inc. | ||
Class A | 30,090 | 418 | |
Spok Holdings Inc. | 21,100 | 349 | |
* | Lumos Networks Corp. | 24,036 | 331 |
6,760 | |||
Utilities (3.8%) | |||
Piedmont Natural Gas Co. | |||
Inc. | 83,356 | 5,010 | |
Spire Inc. | 46,915 | 3,035 | |
NorthWestern Corp. | 49,551 | 2,865 | |
ALLETE Inc. | 47,631 | 2,825 | |
Avista Corp. | 64,987 | 2,640 | |
South Jersey Industries Inc. | 81,711 | 2,425 |
17
S&P Small-Cap 600 Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
El Paso Electric Co. | 41,623 | 1,902 |
Northwest Natural Gas Co. | 28,267 | 1,688 |
California Water Service | ||
Group | 49,360 | 1,505 |
American States Water Co. | 37,616 | 1,466 |
25,361 | ||
Total Common Stocks | ||
(Cost $630,233) | 672,097 | |
Temporary Cash Investments (0.8%)1 | ||
Money Market Fund (0.7%) | ||
3,4 Vanguard Market Liquidity | ||
Fund, 0.612% | 48,793 | 4,880 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.1%) | ||
5,6 Federal Home Loan | ||
Bank Discount Notes, | ||
0.400%, 9/16/16 | 200 | 200 |
Total Temporary Cash Investments | ||
(Cost $5,080) | 5,080 | |
Total Investments (100.6%) | ||
(Cost $635,313) | 677,177 |
Amount | |
($000) | |
Other Assets and Liabilities (-0.6%) | |
Other Assets | |
Investment in Vanguard | 50 |
Receivables for Investment Securities Sold | 1,761 |
Receivables for Accrued Income | 528 |
Receivables for Capital Shares Issued | 184 |
Total Other Assets | 2,523 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (1,117) |
Collateral for Securities on Loan | (4,878) |
Payables for Capital Shares Redeemed | (210) |
Payables to Vanguard | (147) |
Other Liabilities | (58) |
Total Liabilities | (6,410) |
Net Assets (100%) | 673,290 |
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 635,647 |
Undistributed Net Investment Income | 4,494 |
Accumulated Net Realized Losses | (8,742) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 41,864 |
Futures Contracts | 27 |
Net Assets | 673,290 |
18
S&P Small-Cap 600 Index Fund
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 3,050,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 342,299 |
Net Asset Value Per Share— | |
ETF Shares | $112.23 |
Institutional Shares—Net Assets | |
Applicable to 1,467,427 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 330,991 |
Net Asset Value Per Share— | |
Institutional Shares | $225.56 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $4,605,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.6%, respectively,
of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
4 Includes $4,878,000 of collateral received for securities on loan.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
6 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Small-Cap 600 Index Fund
Statement of Operations
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,603 |
Interest1 | 12 |
Securities Lending—Net | 202 |
Total Income | 7,817 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 89 |
Management and Administrative—ETF Shares | 213 |
Management and Administrative—Institutional Shares | 76 |
Marketing and Distribution—ETF Shares | 19 |
Marketing and Distribution—Institutional Shares | 8 |
Custodian Fees | 126 |
Auditing Fees | 32 |
Shareholders’ Reports—ETF Shares | 19 |
Shareholders’ Reports—Institutional Shares | 5 |
Total Expenses | 587 |
Net Investment Income | 7,230 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 21,482 |
Futures Contracts | 322 |
Realized Net Gain (Loss) | 21,804 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 43,803 |
Futures Contracts | 97 |
Change in Unrealized Appreciation (Depreciation) | 43,900 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 72,934 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $10,000 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Small-Cap 600 Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 7,230 | 5,254 |
Realized Net Gain (Loss) | 21,804 | 50,689 |
Change in Unrealized Appreciation (Depreciation) | 43,900 | (52,901) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 72,934 | 3,042 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (2,746) | (1,964) |
Institutional Shares | (3,398) | (2,125) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (6,144) | (4,089) |
Capital Share Transactions | ||
ETF Shares | 104,022 | 41,744 |
Institutional Shares | 58,790 | 59,230 |
Net Increase (Decrease) from Capital Share Transactions | 162,812 | 100,974 |
Total Increase (Decrease) | 229,602 | 99,927 |
Net Assets | ||
Beginning of Period | 443,688 | 343,761 |
End of Period1 | 673,290 | 443,688 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $4,494,000 and $3,408,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
21
S&P Small-Cap 600 Index Fund | |||||
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $100.42 | $99.81 | $84.98 | $68.12 | $58.84 |
Investment Operations | |||||
Net Investment Income | 1.3751 | 1.204 | .976 | 1.024 | .745 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 11.683 | .497 | 14.697 | 16.854 | 9.012 |
Total from Investment Operations | 13.058 | 1.701 | 15.673 | 17.878 | 9.757 |
Distributions | |||||
Dividends from Net Investment Income | (1.248) | (1.091) | (.843) | (1.018) | (.477) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.248) | (1.091) | (.843) | (1.018) | (.477) |
Net Asset Value, End of Period | $112.23 | $100.42 | $99.81 | $84.98 | $68.12 |
Total Return | 13.17% | 1.69% | 18.47% | 26.57% | 16.66% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $342 | $206 | $165 | $85 | $34 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.36% | 1.27% | 1.10% | 1.48% | 1.28% |
Portfolio Turnover Rate 2 | 15% | 11% | 16% | 12% | 12% |
1 Calculated based on average shares outstanding. | |||||
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | |||||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
22
S&P Small-Cap 600 Index Fund | |||||
Financial Highlights | |||||
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $201.83 | $200.56 | $170.71 | $136.79 | $118.12 |
Investment Operations | |||||
Net Investment Income | 2.9251 | 2.545 | 2.049 | 2.131 | 1.558 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 23.454 | 1.019 | 29.565 | 33.883 | 18.126 |
Total from Investment Operations | 26.379 | 3.564 | 31.614 | 36.014 | 19.684 |
Distributions | |||||
Dividends from Net Investment Income | (2.649) | (2.294) | (1.764) | (2.094) | (1.014) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.649) | (2.294) | (1.764) | (2.094) | (1.014) |
Net Asset Value, End of Period | $225.56 | $201.83 | $200.56 | $170.71 | $136.79 |
Total Return | 13.22% | 1.77% | 18.57% | 26.65% | 16.75% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $331 | $238 | $179 | $152 | $101 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.43% | 1.34% | 1.17% | 1.55% | 1.35% |
Portfolio Turnover Rate 2 | 15% | 11% | 16% | 12% | 12% |
1 Calculated based on average shares outstanding. | |||||
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | |||||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
23
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
24
S&P Small-Cap 600 Index Fund
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, 2013–2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
25
S&P Small-Cap 600 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $50,000, representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 672,097 | — | — |
Temporary Cash Investments | 4,880 | 200 | — |
Futures Contracts—Liabilities1 | (7) | — | — |
Total | 676,970 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
26
S&P Small-Cap 600 Index Fund
D. At August 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P Mid-Cap 400 Index | September 2016 | 3 | 469 | 9 |
E-mini Russell 2000 Index | September 2016 | 7 | 867 | 18 |
27 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2016, the fund realized $22,447,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2016, the fund had $4,611,000 of ordinary income available for distribution. The fund had available capital losses totaling $8,727,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2016, the cost of investment securities for tax purposes was $635,313,000. Net unrealized appreciation of investment securities for tax purposes was $41,864,000, consisting of unrealized gains of $90,522,000 on securities that had risen in value since their purchase and $48,658,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2016, the fund purchased $323,774,000 of investment securities and sold $157,972,000 of investment securities, other than temporary cash investments. Purchases and sales include $182,846,000 and $79,795,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
27
S&P Small-Cap 600 Index Fund
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2016 | 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 195,784 | 1,900 | 286,089 | 2,750 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (91,762) | (900) | (244,345) | (2,350) |
Net Increase (Decrease) —ETF Shares | 104,022 | 1,000 | 41,744 | 400 |
Institutional Shares | ||||
Issued | 95,096 | 466 | 95,360 | 461 |
Issued in Lieu of Cash Distributions | 1,960 | 10 | 2,125 | 10 |
Redeemed | (38,266) | (187) | (38,255) | (186) |
Net Increase (Decrease) —Institutional Shares | 58,790 | 289 | 59,230 | 285 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
28
S&P Small-Cap 600 Value Index Fund
Fund Profile
As of August 31, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VIOV | VSMVX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.38% | 1.50% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P | Total | ||
SmallCap | Market | ||
600 Value | FA | ||
Fund | Index | Index | |
Number of Stocks | 458 | 456 | 3,817 |
Median Market Cap | $1.4B | $1.4B | $51.2B |
Price/Earnings Ratio | 26.9x | 27.0x | 23.5x |
Price/Book Ratio | 1.7x | 1.7x | 2.8x |
Return on Equity | 9.1% | 9.1% | 16.6% |
Earnings Growth Rate | 3.8% | 3.8% | 7.5% |
Dividend Yield | 1.6% | 1.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 42% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
S&P | Total | ||
SmallCap | Market | ||
600 Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary 15.9% | 16.0% | 12.9% | |
Consumer Staples | 3.4 | 3.3 | 8.9 |
Energy | 3.9 | 3.9 | 6.4 |
Financials | 22.7 | 22.7 | 18.0 |
Health Care | 5.6 | 5.6 | 14.1 |
Industrials | 18.7 | 18.7 | 10.4 |
Information Technology 15.2 | 15.2 | 20.3 | |
Materials | 7.7 | 7.7 | 3.3 |
Telecommunication | |||
Services | 1.1 | 1.1 | 2.4 |
Utilities | 5.8 | 5.8 | 3.3 |
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.75 |
Beta | 1.00 | 1.10 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Spire Inc. | Gas Utilities | 0.9% |
Wintrust Financial Corp. | Regional Banks | 0.9 |
NorthWestern Corp. | Multi-Utilities | 0.9 |
ALLETE Inc. | Electric Utilities | 0.9 |
Avista Corp. | Multi-Utilities | 0.8 |
UMB Financial Corp. | Regional Banks | 0.8 |
CACI International Inc. | IT Consulting & | |
Other Services | 0.8 | |
Kite Realty Group Trust | Retail REITs | 0.8 |
Chemours Co. | Diversified Chemicals | 0.8 |
Wolverine World Wide | ||
Inc. | Footwear | 0.7 |
Top Ten | 8.3% | |
The holdings listed exclude any temporary cash investments and | ||
equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2016, the expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
29
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.
Cumulative Performance: September 7, 2010, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended August 31, 2016 | |||||
Since | Final Value | ||||
One | Five | Inception | of a $10,000 | ||
Year | Years | (9/7/2010) | Investment | ||
S&P Small-Cap 600 Value Index | |||||
Fund*ETF Shares Net Asset Value | 15.14% | 15.02% | 14.99% | $23,054 | |
S&P Small-Cap 600 Value Index | |||||
Fund*ETF Shares Market Price | 15.20 | 15.03 | 14.99 | 23,056 | |
•••••••• | S&P SmallCap 600 Value Index | 15.36 | 15.25 | 15.21 | 23,324 |
– – – – | Small-Cap Value Funds Average | 9.80 | 12.02 | 12.23 | 19,938 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 11.34 | 14.40 | 14.48 | 22,460 | |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (11/19/2014) | Investment | |
S&P Small-Cap 600 Value Index Fund | |||
Institutional Shares | 15.28% | 6.60% | $5,603,248 |
S&P SmallCap 600 Value Index | 15.36 | 6.67 | 5,609,632 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 11.34 | 5.25 | 5,477,068 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were
next issued on November 19, 2014. The total returns shown are based on the period beginning November 19, 2014.
See Financial Highlights for dividend and capital gains information.
30
S&P Small-Cap 600 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2016 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Value Index Fund ETF Shares | |||
Market Price | 15.20% | 101.42% | 130.56% |
S&P Small-Cap 600 Value Index Fund ETF Shares | |||
Net Asset Value | 15.14 | 101.31 | 130.54 |
S&P SmallCap 600 Value Index | 15.36 | 103.33 | 133.24 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2016
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | 0.49% | 11.41% | 14.25% | |
Net Asset Value | 0.53 | 11.15 | 14.24 | |
Institutional Shares | 11/19/2014 | 0.65 | — | 3.31 |
31
S&P Small-Cap 600 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
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%)1 | |||
Consumer Discretionary (15.9%) | |||
Wolverine World Wide Inc. | 50,189 | 1,200 | |
Interval Leisure Group Inc. | 55,890 | 972 | |
Marriott Vacations | |||
Worldwide Corp. | 12,376 | 954 | |
Children’s Place Inc. | 9,515 | 775 | |
* | Genesco Inc. | 10,541 | 766 |
* | Five Below Inc. | 16,277 | 725 |
Gannett Co. Inc. | 58,746 | 701 | |
Group 1 Automotive Inc. | 10,572 | 627 | |
Caleres Inc. | 21,997 | 571 | |
Scholastic Corp. | 13,422 | 540 | |
Finish Line Inc. Class A | 21,269 | 512 | |
* | Cooper-Standard Holding Inc. | 5,123 | 507 |
* | Steven Madden Ltd. | 14,014 | 492 |
Cato Corp. Class A | 13,071 | 448 | |
Standard Motor Products Inc. | 9,963 | 446 | |
* | Hibbett Sports Inc. | 11,291 | 433 |
Ethan Allen Interiors Inc. | 12,877 | 431 | |
Core-Mark Holding Co. Inc. | 10,740 | 410 | |
Bob Evans Farms Inc. | 9,987 | 409 | |
* | Express Inc. | 34,531 | 409 |
DineEquity Inc. | 4,931 | 385 | |
* | Belmond Ltd. Class A | 33,472 | 374 |
^ | Buckle Inc. | 14,120 | 364 |
Barnes & Noble Inc. | 30,508 | 350 | |
La-Z-Boy Inc. | 12,831 | 342 | |
* | Vitamin Shoppe Inc. | 12,234 | 339 |
* | American Axle & | ||
Manufacturing Holdings Inc. | 19,283 | 331 | |
Superior Industries | |||
International Inc. | 11,271 | 328 | |
Rent-A-Center Inc. | 26,765 | 327 | |
* | Asbury Automotive Group | ||
Inc. | 6,030 | 324 | |
Tailored Brands Inc. | 24,522 | 323 | |
* | Crocs Inc. | 36,977 | 319 |
* | Dorman Products Inc. | 5,010 | 316 |
Capella Education Co. | 5,356 | 316 | |
* | iRobot Corp. | 7,755 | 309 |
* | Universal Electronics Inc. | 3,855 | 285 |
* | TopBuild Corp. | 8,139 | 278 |
* | Strayer Education Inc. | 5,620 | 274 |
MDC Holdings Inc. | 10,272 | 268 | |
* | EW Scripps Co. Class A | 15,049 | 256 |
Sonic Automotive Inc. | |||
Class A | 14,466 | 247 | |
* | Iconix Brand Group Inc. | 28,265 | 237 |
* | Regis Corp. | 18,751 | 236 |
* | Select Comfort Corp. | 8,934 | 235 |
* | Biglari Holdings Inc. | 531 | 234 |
* | Career Education Corp. | 34,416 | 225 |
* | G-III Apparel Group Ltd. | 7,069 | 223 |
* | Barnes & Noble Education | ||
Inc. | 19,676 | 220 | |
^,* | Lumber Liquidators Holdings | ||
Inc. | 13,643 | 215 | |
Shoe Carnival Inc. | 7,194 | 213 | |
* | FTD Cos. Inc. | 8,927 | 210 |
Fred’s Inc. Class A | 17,622 | 199 | |
* | Unifi Inc. | 7,540 | 196 |
Oxford Industries Inc. | 3,116 | 194 | |
Haverty Furniture Cos. Inc. | 9,596 | 192 | |
Callaway Golf Co. | 16,540 | 189 | |
Movado Group Inc. | 8,233 | 187 | |
^ | Outerwall Inc. | 3,376 | 175 |
* | Fiesta Restaurant Group Inc. | 6,764 | 171 |
* | Red Robin Gourmet Burgers | ||
Inc. | 3,362 | 169 | |
* | American Public Education | ||
Inc. | 8,076 | 167 | |
* | Zumiez Inc. | 9,541 | 159 |
* | M/I Homes Inc. | 6,737 | 156 |
* | BJ’s Restaurants Inc. | 3,902 | 155 |
* | Vera Bradley Inc. | 10,269 | 154 |
* | Cavco Industries Inc. | 1,460 | 153 |
* | Tuesday Morning Corp. | 22,526 | 150 |
Winnebago Industries Inc. | 5,712 | 138 |
32
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Stein Mart Inc. | 15,010 | 121 | |
Big 5 Sporting Goods Corp. | 9,286 | 116 | |
* | Scientific Games Corp. | ||
Class A | 13,581 | 112 | |
* | Perry Ellis International Inc. | 5,911 | 110 |
* | MarineMax Inc. | 5,417 | 107 |
* | Motorcar Parts of America | ||
Inc. | 3,709 | 105 | |
Marcus Corp. | 4,278 | 101 | |
* | Chuy’s Holdings Inc. | 3,264 | 99 |
Arctic Cat Inc. | 6,606 | 94 | |
* | Ruby Tuesday Inc. | 30,151 | 92 |
* | Kirkland’s Inc. | 7,194 | 90 |
PetMed Express Inc. | 3,885 | 78 | |
Stage Stores Inc. | 13,692 | 74 | |
Harte-Hanks Inc. | 23,954 | 39 | |
* | Sizmek Inc. | 9,916 | 38 |
* | VOXX International Corp. | ||
Class A | 10,128 | 31 | |
Universal Technical Institute | |||
Inc. | 10,722 | 24 | |
25,566 | |||
Consumer Staples (3.4%) | |||
* | Darling Ingredients Inc. | 82,964 | 1,168 |
Sanderson Farms Inc. | 10,016 | 964 | |
Universal Corp. | 11,453 | 689 | |
SpartanNash Co. | 18,888 | 605 | |
Andersons Inc. | 13,255 | 490 | |
* | Central Garden & Pet Co. | ||
Class A | 16,720 | 405 | |
J&J Snack Foods Corp. | 2,595 | 316 | |
Inter Parfums Inc. | 8,609 | 294 | |
* | SUPERVALU Inc. | 44,276 | 243 |
* | Central Garden & Pet Co. | 4,999 | 128 |
Medifast Inc. | 2,605 | 96 | |
* | Seneca Foods Corp. Class A | 3,042 | 90 |
5,488 | |||
Energy (3.9%) | |||
US Silica Holdings Inc. | 12,177 | 478 | |
* | SEACOR Holdings Inc. | 8,035 | 472 |
* | Unit Corp. | 25,946 | 444 |
Green Plains Inc. | 18,247 | 443 | |
* | PDC Energy Inc. | 6,544 | 435 |
* | Carrizo Oil & Gas Inc. | 11,030 | 422 |
Archrock Inc. | 35,126 | 387 | |
* | Helix Energy Solutions | ||
Group Inc. | 50,441 | 378 | |
* | Newpark Resources Inc. | 42,398 | 299 |
* | Exterran Corp. | 17,701 | 250 |
^ | Atwood Oceanics Inc. | 29,369 | 232 |
* | REX American Resources | ||
Corp. | 2,774 | 223 | |
* | Bill Barrett Corp. | 30,298 | 201 |
Bristow Group Inc. | 17,604 | 201 | |
Tesco Corp. | 23,260 | 158 |
^,* | Cloud Peak Energy Inc. | 30,982 | 128 |
* | TETRA Technologies Inc. | 21,039 | 127 |
^ | CARBO Ceramics Inc. | 9,966 | 125 |
* | Matrix Service Co. | 6,461 | 120 |
* | Geospace Technologies Corp. | 6,741 | 119 |
* | Pioneer Energy Services | ||
Corp. | 32,711 | 109 | |
* | Contango Oil & Gas Co. | 11,190 | 108 |
* | Hornbeck Offshore Services | ||
Inc. | 16,132 | 88 | |
^ | Tidewater Inc. | 23,577 | 77 |
* | Era Group Inc. | 9,821 | 72 |
Gulf Island Fabrication Inc. | 6,814 | 60 | |
^,* | Northern Oil and Gas Inc. | 14,388 | 47 |
* | Gulfmark Offshore Inc. | 13,055 | 28 |
^,* | Bonanza Creek Energy Inc. | 20,679 | 21 |
^,* | Basic Energy Services Inc. | 19,991 | 8 |
6,260 | |||
Financials (22.6%) | |||
Wintrust Financial Corp. | 25,993 | 1,445 | |
UMB Financial Corp. | 21,203 | 1,289 | |
Kite Realty Group Trust | 42,027 | 1,214 | |
Lexington Realty Trust | 106,635 | 1,151 | |
Old National Bancorp | 67,957 | 962 | |
Sabra Health Care REIT Inc. | 32,906 | 838 | |
Northwest Bancshares Inc. | 51,348 | 797 | |
American Equity Investment | |||
Life Holding Co. | 44,363 | 782 | |
Chesapeake Lodging Trust | 30,290 | 772 | |
GEO Group Inc. | 37,290 | 747 | |
Parkway Properties Inc. | 41,115 | 740 | |
Horace Mann Educators | |||
Corp. | 20,228 | 739 | |
First Cash Financial Services | |||
Inc. | 14,238 | 736 | |
Astoria Financial Corp. | 46,012 | 704 | |
First Financial Bancorp | 31,185 | 680 | |
Franklin Street Properties | |||
Corp. | 53,596 | 673 | |
ProAssurance Corp. | 11,799 | 649 | |
Provident Financial Services | |||
Inc. | 29,824 | 643 | |
United Bankshares Inc. | 15,244 | 601 | |
Government Properties | |||
Income Trust | 24,014 | 560 | |
EastGroup Properties Inc. | 7,621 | 559 | |
Stewart Information | |||
Services Corp. | 11,766 | 539 | |
Boston Private Financial | |||
Holdings Inc. | 41,784 | 538 | |
Pennsylvania REIT | 21,350 | 536 | |
* | Texas Capital Bancshares | ||
Inc. | 10,176 | 534 | |
Selective Insurance Group | |||
Inc. | 13,358 | 533 |
33
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Cash America International | |||
Inc. | 12,092 | 526 | |
Navigators Group Inc. | 5,564 | 523 | |
* | Green Dot Corp. Class A | 21,784 | 505 |
DiamondRock Hospitality Co. | 46,534 | 493 | |
Capstead Mortgage Corp. | 48,322 | 479 | |
Safety Insurance Group Inc. | 7,114 | 473 | |
Infinity Property & Casualty | |||
Corp. | 5,579 | 470 | |
Cousins Properties Inc. | 42,301 | 466 | |
Community Bank System Inc. | 9,794 | 465 | |
Great Western Bancorp Inc. | 13,325 | 456 | |
PS Business Parks Inc. | 3,737 | 414 | |
Southside Bancshares Inc. | 12,300 | 404 | |
Glacier Bancorp Inc. | 13,062 | 391 | |
LTC Properties Inc. | 7,268 | 377 | |
^ | Westamerica Bancorporation | 7,201 | 366 |
Sterling Bancorp | 19,986 | 357 | |
NBT Bancorp Inc. | 10,830 | 350 | |
TrustCo Bank Corp. NY | 48,143 | 344 | |
Interactive Brokers Group | |||
Inc. | 9,566 | 343 | |
* | Customers Bancorp Inc. | 12,680 | 339 |
* | Piper Jaffray Cos. | 6,748 | 300 |
* | First BanCorp | 59,069 | 289 |
CVB Financial Corp. | 16,168 | 288 | |
Dime Community | |||
Bancshares Inc. | 15,534 | 274 | |
American Assets Trust Inc. | 6,170 | 273 | |
* | INTL. FCStone Inc. | 7,581 | 273 |
* | PRA Group Inc. | 8,403 | 269 |
* | EZCORP Inc. Class A | 25,681 | 266 |
RE/MAX Holdings Inc. | |||
Class A | 6,312 | 263 | |
Columbia Banking System | |||
Inc. | 7,889 | 261 | |
* | Encore Capital Group Inc. | 11,955 | 258 |
Maiden Holdings Ltd. | 17,791 | 246 | |
OFG Bancorp | 22,116 | 241 | |
Agree Realty Corp. | 4,881 | 234 | |
United Community Banks Inc. | 10,263 | 215 | |
United Fire Group Inc. | 4,822 | 208 | |
Greenhill & Co. Inc. | 9,076 | 208 | |
Independent Bank Corp. | 3,839 | 203 | |
* | World Acceptance Corp. | 4,212 | 203 |
S&T Bancorp Inc. | 6,319 | 182 | |
Summit Hotel Properties Inc. | 12,284 | 176 | |
Brookline Bancorp Inc. | 14,157 | 169 | |
City Holding Co. | 3,241 | 164 | |
First Commonwealth | |||
Financial Corp. | 15,705 | 160 | |
Urstadt Biddle Properties Inc. | |||
Class A | 6,901 | 157 | |
Banc of California Inc. | 6,955 | 155 | |
Saul Centers Inc. | 2,287 | 152 |
Central Pacific Financial Corp. | 5,814 | 149 | |
Tompkins Financial Corp. | 1,932 | 143 | |
United Insurance Holdings | |||
Corp. | 9,065 | 143 | |
Virtus Investment Partners | |||
Inc. | 1,482 | 135 | |
Universal Health Realty | |||
Income Trust | 2,171 | 134 | |
* | Enova International Inc. | 13,583 | 130 |
Cardinal Financial Corp. | 4,590 | 123 | |
* | Forestar Group Inc. | 9,430 | 118 |
CareTrust REIT Inc. | 7,908 | 118 | |
Investment Technology | |||
Group Inc. | 7,558 | 116 | |
Cedar Realty Trust Inc. | 14,812 | 112 | |
Getty Realty Corp. | 4,256 | 100 | |
Oritani Financial Corp. | 6,018 | 97 | |
* | eHealth Inc. | 5,609 | 63 |
Calamos Asset Management | |||
Inc. Class A | 8,729 | 61 | |
HCI Group Inc. | 1,853 | 59 | |
* | First NBC Bank Holding Co. | 3,154 | 41 |
36,431 | |||
Health Care (5.6%) | |||
* | HMS Holdings Corp. | 42,425 | 925 |
* | Magellan Health Inc. | 12,411 | 709 |
* | Select Medical Holdings | ||
Corp. | 52,928 | 629 | |
* | Medicines Co. | 14,374 | 563 |
* | Haemonetics Corp. | 14,917 | 554 |
Kindred Healthcare Inc. | 42,969 | 474 | |
* | Healthways Inc. | 15,860 | 397 |
* | PharMerica Corp. | 15,502 | 392 |
* | Amedisys Inc. | 6,084 | 293 |
* | Air Methods Corp. | 7,917 | 279 |
* | ICU Medical Inc. | 2,188 | 273 |
Analogic Corp. | 3,055 | 272 | |
* | HealthEquity Inc. | 7,655 | 249 |
* | AngioDynamics Inc. | 14,414 | 238 |
Abaxis Inc. | 4,152 | 208 | |
CONMED Corp. | 5,065 | 207 | |
* | AMAG Pharmaceuticals Inc. | 7,653 | 182 |
Invacare Corp. | 15,170 | 180 | |
* | Inogen Inc. | 2,776 | 161 |
* | Enanta Pharmaceuticals Inc. | 6,711 | 148 |
Ensign Group Inc. | 7,089 | 133 | |
Meridian Bioscience Inc. | 6,809 | 132 | |
* | Anika Therapeutics Inc. | 2,755 | 130 |
* | Spectrum Pharmaceuticals | ||
Inc. | 23,918 | 127 | |
* | Providence Service Corp. | 2,650 | 125 |
Quality Systems Inc. | 10,356 | 122 | |
* | Integer Holdings Corp. | 4,853 | 118 |
* | Diplomat Pharmacy Inc. | 3,670 | 115 |
* | ANI Pharmaceuticals Inc. | 1,919 | 115 |
34
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
CryoLife Inc. | 6,906 | 110 | |
* | SciClone Pharmaceuticals | ||
Inc. | 10,853 | 109 | |
* | Adeptus Health Inc. Class A | 2,320 | 99 |
Landauer Inc. | 1,650 | 78 | |
Computer Programs & | |||
Systems Inc. | 2,730 | 71 | |
* | Quorum Health Corp. | 9,006 | 55 |
8,972 | |||
Industrials (18.6%) | |||
ABM Industries Inc. | 28,277 | 1,087 | |
Tetra Tech Inc. | 29,204 | 1,031 | |
Mueller Industries Inc. | 28,800 | 995 | |
UniFirst Corp. | 7,707 | 990 | |
* | Moog Inc. Class A | 16,559 | 977 |
Applied Industrial | |||
Technologies Inc. | 19,675 | 935 | |
Brink’s Co. | 24,869 | 908 | |
SkyWest Inc. | 25,906 | 731 | |
Actuant Corp. Class A | 29,683 | 707 | |
* | Hub Group Inc. Class A | 17,251 | 703 |
* | WageWorks Inc. | 10,959 | 677 |
* | SPX FLOW Inc. | 21,015 | 618 |
Kaman Corp. | 13,640 | 612 | |
EnPro Industries Inc. | 10,948 | 590 | |
Astec Industries Inc. | 9,521 | 560 | |
Watts Water Technologies | |||
Inc. Class A | 8,281 | 533 | |
Cubic Corp. | 11,007 | 515 | |
G&K Services Inc. Class A | 5,074 | 494 | |
CIRCOR International Inc. | 8,271 | 489 | |
Barnes Group Inc. | 11,715 | 484 | |
* | Chart Industries Inc. | 15,438 | 465 |
* | Atlas Air Worldwide | ||
Holdings Inc. | 12,519 | 465 | |
Knight Transportation Inc. | 15,686 | 441 | |
Greenbrier Cos. Inc. | 12,899 | 437 | |
Franklin Electric Co. Inc. | 11,407 | 436 | |
Briggs & Stratton Corp. | 21,862 | 416 | |
AAR Corp. | 16,478 | 406 | |
Encore Wire Corp. | 10,440 | 404 | |
Brady Corp. Class A | 12,020 | 403 | |
Harsco Corp. | 40,408 | 402 | |
General Cable Corp. | 24,840 | 401 | |
* | SPX Corp. | 20,988 | 398 |
^ | Lindsay Corp. | 5,434 | 391 |
* | Saia Inc. | 12,615 | 384 |
Viad Corp. | 10,214 | 365 | |
Essendant Inc. | 18,737 | 363 | |
Simpson Manufacturing | |||
Co. Inc. | 7,870 | 345 | |
* | Aegion Corp. Class A | 17,698 | 328 |
Raven Industries Inc. | 13,307 | 327 | |
* | Echo Global Logistics Inc. | 12,610 | 325 |
Hillenbrand Inc. | 9,848 | 317 |
Mobile Mini Inc. | 10,532 | 315 | |
* | Gibraltar Industries Inc. | 8,246 | 315 |
Albany International Corp. | 7,259 | 307 | |
* | Team Inc. | 9,519 | 302 |
Tennant Co. | 4,451 | 288 | |
ESCO Technologies Inc. | 6,356 | 287 | |
Kelly Services Inc. Class A | 14,988 | 287 | |
Heartland Express Inc. | 14,591 | 278 | |
* | Engility Holdings Inc. | 8,702 | 261 |
* | Aerovironment Inc. | 10,343 | 256 |
Marten Transport Ltd. | 11,595 | 250 | |
Insperity Inc. | 3,683 | 241 | |
* | MYR Group Inc. | 8,084 | 234 |
ArcBest Corp. | 12,180 | 223 | |
* | Navigant Consulting Inc. | 11,272 | 221 |
Forward Air Corp. | 4,752 | 219 | |
* | Wabash National Corp. | 15,667 | 219 |
* | Veritiv Corp. | 4,108 | 211 |
Titan International Inc. | 22,009 | 202 | |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 10,078 | 181 | |
* | DXP Enterprises Inc. | 6,387 | 179 |
Standex International Corp. | 2,126 | 179 | |
Powell Industries Inc. | 4,412 | 175 | |
* | Mercury Systems Inc. | 7,041 | 160 |
Multi-Color Corp. | 2,308 | 154 | |
Alamo Group Inc. | 2,183 | 142 | |
* | Roadrunner Transportation | ||
Systems Inc. | 15,309 | 128 | |
Quanex Building Products | |||
Corp. | 6,410 | 124 | |
Federal Signal Corp. | 8,868 | 116 | |
Resources Connection Inc. | 7,436 | 112 | |
Celadon Group Inc. | 13,968 | 109 | |
* | Patrick Industries Inc. | 1,518 | 97 |
National Presto Industries Inc. | 1,010 | 88 | |
American Science & | |||
Engineering Inc. | 2,239 | 82 | |
* | Orion Group Holdings Inc. | 13,808 | 82 |
CDI Corp. | 7,215 | 41 | |
* | Vicor Corp. | 2,505 | 27 |
29,947 | |||
Information Technology (15.2%) | |||
* | CACI International Inc. | ||
Class A | 12,260 | 1,218 | |
* | Sanmina Corp. | 37,121 | 976 |
* | Anixter International Inc. | 14,329 | 916 |
* | Viavi Solutions Inc. | 117,220 | 912 |
* | Itron Inc. | 19,105 | 910 |
* | Rovi Corp. | 41,384 | 847 |
* | Plexus Corp. | 16,810 | 776 |
MKS Instruments Inc. | 13,183 | 643 | |
* | Benchmark Electronics Inc. | 24,854 | 600 |
Cabot Microelectronics Corp. | 11,923 | 593 | |
* | Coherent Inc. | 5,508 | 579 |
35
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Insight Enterprises Inc. | 18,496 | 566 |
* | Semtech Corp. | 20,061 | 534 |
* | Rogers Corp. | 9,069 | 507 |
ManTech International Corp. | |||
Class A | 12,351 | 495 | |
* | Lumentum Holdings Inc. | 13,880 | 487 |
* | Rofin-Sinar Technologies Inc. | 14,297 | 458 |
ADTRAN Inc. | 24,710 | 454 | |
Littelfuse Inc. | 3,508 | 445 | |
* | ScanSource Inc. | 12,926 | 442 |
Brooks Automation Inc. | 34,623 | 437 | |
* | Kulicke & Soffa Industries | ||
Inc. | 35,511 | 434 | |
* | Diodes Inc. | 19,501 | 402 |
* | Veeco Instruments Inc. | 20,100 | 395 |
* | MicroStrategy Inc. Class A | 2,274 | 379 |
* | TTM Technologies Inc. | 32,832 | 352 |
* | Electronics For Imaging Inc. | 7,360 | 347 |
* | NETGEAR Inc. | 6,076 | 346 |
* | Ultratech Inc. | 13,468 | 337 |
* | Advanced Energy Industries | ||
Inc. | 7,382 | 324 | |
CTS Corp. | 16,515 | 318 | |
Power Integrations Inc. | 5,226 | 305 | |
* | Interactive Intelligence Group | ||
Inc. | 4,895 | 293 | |
^,* | Shutterstock Inc. | 5,049 | 293 |
* | Progress Software Corp. | 9,889 | 287 |
* | Cardtronics plc Class A | 6,381 | 287 |
* | FARO Technologies Inc. | 8,392 | 274 |
Epiq Systems Inc. | 16,432 | 270 | |
* | Blucora Inc. | 20,821 | 216 |
MTS Systems Corp. | 4,211 | 210 | |
* | Bottomline Technologies | ||
de Inc. | 8,966 | 207 | |
* | Super Micro Computer Inc. | 9,377 | 203 |
Daktronics Inc. | 19,468 | 186 | |
CSG Systems International | |||
Inc. | 4,079 | 178 | |
Monotype Imaging Holdings | |||
Inc. | 8,383 | 177 | |
* | Tangoe Inc. | 18,838 | 175 |
* | Perficient Inc. | 8,532 | 170 |
* | Harmonic Inc. | 38,873 | 169 |
Park Electrochemical Corp. | 10,172 | 168 | |
* | Sykes Enterprises Inc. | 5,653 | 165 |
Badger Meter Inc. | 2,411 | 159 | |
Comtech | |||
Telecommunications Corp. | 11,787 | 152 | |
* | Nanometrics Inc. | 7,404 | 151 |
* | Ixia | 11,626 | 134 |
* | VASCO Data Security | ||
International Inc. | 7,244 | 132 | |
DTS Inc. | 3,892 | 130 | |
* | DSP Group Inc. | 10,984 | 127 |
* | LivePerson Inc. | 16,236 | 127 |
* | Liquidity Services Inc. | 12,432 | 124 |
* | Qualys Inc. | 3,585 | 123 |
* | ePlus Inc. | 1,359 | 123 |
* | Exar Corp. | 13,032 | 119 |
Black Box Corp. | 7,596 | 106 | |
* | CalAmp Corp. | 7,210 | 105 |
Bel Fuse Inc. Class B | 4,460 | 102 | |
Forrester Research Inc. | 2,325 | 95 | |
* | XO Group Inc. | 4,948 | 92 |
* | Rudolph Technologies Inc. | 5,154 | 90 |
* | Monster Worldwide Inc. | 22,038 | 81 |
* | Electro Scientific Industries | ||
Inc. | 13,875 | 77 | |
TeleTech Holdings Inc. | 2,238 | 63 | |
* | Digi International Inc. | 5,497 | 63 |
* | DHI Group Inc. | 7,140 | 55 |
* | QuinStreet Inc. | 17,889 | 55 |
Cohu Inc. | 4,731 | 51 | |
* | Agilysys Inc. | 4,375 | 48 |
* | Ciber Inc. | 36,753 | 44 |
24,390 | |||
Materials (7.7%) | |||
Chemours Co. | 91,486 | 1,207 | |
HB Fuller Co. | 25,180 | 1,196 | |
* | Stillwater Mining Co. | 61,037 | 772 |
Stepan Co. | 9,227 | 648 | |
Schweitzer-Mauduit | |||
International Inc. | 15,398 | 605 | |
* | Kraton Performance | ||
Polymers Inc. | 15,539 | 560 | |
* | Clearwater Paper Corp. | 8,618 | 535 |
* | Boise Cascade Co. | 19,518 | 512 |
PH Glatfelter Co. | 21,955 | 487 | |
* | Flotek Industries Inc. | 27,156 | 421 |
Innophos Holdings Inc. | 9,764 | 412 | |
A Schulman Inc. | 14,726 | 376 | |
Calgon Carbon Corp. | 25,513 | 370 | |
Quaker Chemical Corp. | 3,470 | 347 | |
* | Koppers Holdings Inc. | 10,396 | 339 |
Materion Corp. | 10,096 | 296 | |
Kaiser Aluminum Corp. | 3,443 | 293 | |
Neenah Paper Inc. | 3,542 | 285 | |
Rayonier Advanced | |||
Materials Inc. | 21,806 | 268 | |
* | AK Steel Holding Corp. | 59,997 | 268 |
KapStone Paper and | |||
Packaging Corp. | 14,712 | 258 | |
Tredegar Corp. | 12,496 | 235 | |
Haynes International Inc. | 6,285 | 232 | |
SunCoke Energy Inc. | 32,295 | 211 | |
Hawkins Inc. | 4,782 | 209 | |
* | TimkenSteel Corp. | 19,132 | 188 |
Myers Industries Inc. | 11,016 | 158 | |
* | Century Aluminum Co. | 24,940 | 157 |
36
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
FutureFuel Corp. | 11,498 | 134 | |
* | LSB Industries Inc. | 10,182 | 122 |
American Vanguard Corp. | 6,746 | 114 | |
Olympic Steel Inc. | 4,556 | 88 | |
* | Intrepid Potash Inc. | 28,485 | 39 |
12,342 | |||
Other (0.0%)2 | |||
* | Gerber Scientific Inc. CVR | 1,604 | — |
Telecommunication Services (1.1%) | |||
Consolidated Communications | |||
Holdings Inc. | 14,305 | 344 | |
* | Iridium Communications Inc. | 40,937 | 341 |
Cogent Communications | |||
Holdings Inc. | 7,049 | 251 | |
ATN International Inc. | 2,719 | 178 | |
Spok Holdings Inc. | 10,361 | 171 | |
* | Lumos Networks Corp. | 11,703 | 161 |
Inteliquent Inc. | 9,652 | 161 | |
* | Cincinnati Bell Inc. | 37,181 | 155 |
1,762 | |||
Utilities (5.8%) | |||
Spire Inc. | 23,004 | 1,488 | |
NorthWestern Corp. | 24,297 | 1,405 | |
ALLETE Inc. | 23,355 | 1,385 | |
Avista Corp. | 31,866 | 1,294 | |
South Jersey Industries Inc. | 40,067 | 1,189 | |
El Paso Electric Co. | 20,409 | 933 | |
Northwest Natural Gas Co. | 13,860 | 828 | |
California Water Service | |||
Group | 18,374 | 560 | |
American States Water Co. | 6,999 | 273 | |
9,355 | |||
Total Common Stocks | |||
(Cost $155,436) | 160,513 | ||
Temporary Cash Investments (0.5%)1 | |||
Money Market Fund (0.4%) | |||
3,4 | Vanguard Market Liquidity | ||
Fund, 0.612% | 7,076 | 708 |
Face | Market | |
Amount | Value• | |
($000) | ($000) | |
U.S. Government and Agency Obligations (0.1%) | ||
5,6 Federal Home Loan | ||
Bank Discount Notes, | ||
0.348%, 10/11/16 | 100 | 100 |
Total Temporary Cash Investments | ||
(Cost $808) | 808 | |
Total Investments (100.3%) | ||
(Cost $156,244) | 161,321 | |
Amount | ||
($000) | ||
Other Assets and Liabilities (-0.3%) | ||
Other Assets | ||
Investment in Vanguard | 12 | |
Receivables for Investment Securities Sold | 435 | |
Receivables for Accrued Income | 160 | |
Other Assets | 5 | |
Total Other Assets | 612 | |
Liabilities | ||
Payables for Investment Securities | ||
Purchased | (273) | |
Collateral for Securities on Loan | (707) | |
Payables to Vanguard | (30) | |
Other Liabilities | (109) | |
Total Liabilities | (1,119) | |
Net Assets (100%) | 160,814 |
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 162,745 |
Undistributed Net Investment Income | 510 |
Accumulated Net Realized Losses | (7,518) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 5,077 |
Futures Contracts | — |
Net Assets | 160,814 |
37
S&P Small-Cap 600 Value Index Fund
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 1,175,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 125,706 |
Net Asset Value Per Share— | |
ETF Shares | $106.98 |
Institutional Shares—Net Assets | |
Applicable to 156,912 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 35,108 |
Net Asset Value Per Share— | |
Institutional Shares | $223.74 |
• See Note A in Notes to Financial Statements.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $648,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively,
of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
4 Includes $707,000 of collateral received for securities on loan.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
6 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
38
S&P Small-Cap 600 Value Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,061 |
Interest1 | 1 |
Securities Lending—Net | 12 |
Total Income | 2,074 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 21 |
Management and Administrative—ETF Shares | 104 |
Management and Administrative—Institutional Shares | — |
Marketing and Distribution—ETF Shares | 7 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 46 |
Auditing Fees | 32 |
Shareholders’ Reports—ETF Shares | 10 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 221 |
Net Investment Income | 1,853 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 4,348 |
Futures Contracts | 11 |
Realized Net Gain (Loss) | 4,359 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 13,049 |
Futures Contracts | 17 |
Change in Unrealized Appreciation (Depreciation) | 13,066 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,278 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $1,000 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
39
S&P Small-Cap 600 Value Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,853 | 1,424 |
Realized Net Gain (Loss) | 4,359 | 4,054 |
Change in Unrealized Appreciation (Depreciation) | 13,066 | (9,087) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,278 | (3,609) |
Distributions | ||
Net Investment Income | ||
ETF Shares | (1,886) | (1,091) |
Institutional Shares | (331) | (120) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (2,217) | (1,211) |
Capital Share Transactions | ||
ETF Shares | 16,679 | 5,043 |
Institutional Shares | 17,620 | 15,248 |
Net Increase (Decrease) from Capital Share Transactions | 34,299 | 20,291 |
Total Increase (Decrease) | 51,360 | 15,471 |
Net Assets | ||
Beginning of Period | 109,454 | 93,983 |
End of Period1 | 160,814 | 109,454 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $510,000 and $874,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
40
S&P Small-Cap 600 Value Index Fund | |||||
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $94.66 | $98.93 | $82.76 | $65.79 | $56.68 |
Investment Operations | |||||
Net Investment Income | 1.352 | 1.337 | 1.3551 | 1.146 | .960 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 12.736 | (4.323) | 15.685 | 16.731 | 8.801 |
Total from Investment Operations | 14.088 | (2.986) | 17.040 | 17.877 | 9.761 |
Distributions | |||||
Dividends from Net Investment Income | (1.768) | (1.284) | (.870) | (. 907) | (.651) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.768) | (1.284) | (.870) | (. 907) | (.651) |
Net Asset Value, End of Period | $106.98 | $94.66 | $98.93 | $82.76 | $65.79 |
Total Return | 15.14% | -3.09% | 20.64% | 27.45% | 17.33% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $126 | $95 | $94 | $29 | $16 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.49% | 1.43% | 1.43% | 1.73% | 1.56% |
Portfolio Turnover Rate 2 | 42% | 43% | 32% | 37% | 29% |
1 Calculated based on average shares outstanding. | |||||
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.
41
S&P Small-Cap 600 Value Index Fund | ||
Financial Highlights | ||
Institutional Shares | ||
Year | Nov. 19, | |
Ended | 20141 to | |
Aug. 31, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2016 | 2015 |
Net Asset Value, Beginning of Period | $198.02 | $206.40 |
Investment Operations | ||
Net Investment Income | 3.057 | 2.201 |
Net Realized and Unrealized Gain (Loss) on Investments | 26.649 | (7.820) |
Total from Investment Operations | 29.706 | (5.619) |
Distributions | ||
Dividends from Net Investment Income | (3.986) | (2.761) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (3.986) | (2.761) |
Net Asset Value, End of Period | $223.74 | $198.02 |
Total Return | 15.28% | -2.79% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $35 | $15 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.61% | 1.55%2 |
Portfolio Turnover Rate 3 | 42% | 43% |
1 Inception—See Notes to Financial Statements. | ||
2 Annualized. | ||
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | ||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
42
S&P Small-Cap 600 Value Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on November 19, 2014. The Financial Highlights included in these financial statements are based on activity of the Institutional Shares since November 19, 2014.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
43
S&P Small-Cap 600 Value Index Fund
During the year ended August 31, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2013–2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
44
S&P Small-Cap 600 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $12,000, 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 employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 160,513 | — | — |
Temporary Cash Investments | 708 | 100 | — |
Futures Contracts—Liabilities1 | (1) | — | — |
Total | 161,220 | 100 | — |
1 Represents variation margin on the last day of the reporting period. |
45
S&P Small-Cap 600 Value Index Fund
D. At August 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini Russell 2000 Index | September 2016 | 2 | 248 | — |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2016, the fund realized $7,374,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2016, the fund had $524,000 of ordinary income available for distribution. The fund had available capital losses totaling $7,518,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2016, the cost of investment securities for tax purposes was $156,244,000. Net unrealized appreciation of investment securities for tax purposes was $5,077,000, consisting of unrealized gains of $17,480,000 on securities that had risen in value since their purchase and $12,403,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2016, the fund purchased $125,331,000 of investment securities and sold $91,365,000 of investment securities, other than temporary cash investments. Purchases and sales include $57,743,000 and $38,900,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2016, such purchases and sales were $23,974,000 and $14,828,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
46
S&P Small-Cap 600 Value Index Fund
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2016 | 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 72,083 | 750 | 82,573 | 825 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (55,404) | (575) | (77,530) | (775) |
Net Increase (Decrease) —ETF Shares | 16,679 | 175 | 5,043 | 50 |
Institutional Shares | ||||
Issued | 17,622 | 82 | 15,248 | 75 |
Issued in Lieu of Cash Distributions | 331 | 2 | 120 | 1 |
Redeemed | (333) | (2) | (120) | (1) |
Net Increase (Decrease) —Institutional Shares | 17,620 | 82 | 15,248 | 75 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
47
S&P Small-Cap 600 Growth Index Fund
Fund Profile
As of August 31, 2016
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. | ||
SmallCap | Total | ||
600 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 349 | 348 | 3,817 |
Median Market Cap | $1.7B | $1.7B | $51.2B |
Price/Earnings Ratio | 26.2x | 26.3x | 23.5x |
Price/Book Ratio | 2.9x | 2.9x | 2.8x |
Return on Equity | 12.7% | 12.7% | 16.6% |
Earnings Growth | |||
Rate | 12.5% | 12.5% | 7.5% |
Dividend Yield | 1.1% | 1.1% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 48% | — | — |
Ticker Symbol | VIOG | — | — |
Expense Ratio1 | 0.20% | — | — |
30-Day SEC Yield | 0.87% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. | ||
SmallCap | Total | ||
600 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary 11.4% | 11.3% | 12.9% | |
Consumer Staples | 2.6 | 2.5 | 8.9 |
Energy | 2.1 | 2.1 | 6.4 |
Financials | 24.3 | 24.6 | 18.0 |
Health Care | 18.9 | 18.8 | 14.1 |
Industrials | 16.8 | 16.8 | 10.4 |
Information Technology | 17.5 | 17.5 | 20.3 |
Materials | 3.7 | 3.7 | 3.3 |
Telecommunication | |||
Services | 0.9 | 0.9 | 2.4 |
Utilities | 1.8 | 1.8 | 3.3 |
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.72 |
Beta | 1.00 | 1.04 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Piedmont Natural Gas | ||
Co. Inc. | Gas Utilities | 1.5% |
Take-Two Interactive | Home Entertainment | |
Software Inc. | Software | 1.1 |
NuVasive Inc. | Health Care | |
Equipment | 1.0 | |
Blackbaud Inc. | Application Software | 1.0 |
Cirrus Logic Inc. | Semiconductors | 0.9 |
B&G Foods Inc. | Packaged Foods & | |
Meats | 0.9 | |
Medidata Solutions Inc. | Health Care | |
Technology | 0.9 | |
Healthcare Services | Diversified Support | |
Group Inc. | Services | 0.9 |
Home BancShares Inc. | Regional Banks | 0.9 |
Monolithic Power | ||
Systems Inc. | Semiconductors | 0.8 |
Top Ten | 9.9% | |
The holdings listed exclude any temporary cash investments and | ||
equity index products. |
Investment Focus
1 The expense ratio shown is from the prospectus dated December 14, 2015, and represents estimated costs for the current fiscal year. For the fiscal
year ended August 31, 2016, the expense ratio was 0.20%.
48
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.
Cumulative Performance: September 7, 2010, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended August 31, 2016 | |||||
Since | Final Value | ||||
One | Five | Inception | of a $10,000 | ||
Year | Years | (9/7/2010) | Investment | ||
S&P Small-Cap 600 Growth Index | |||||
Fund*ETF Shares Net Asset Value | 11.24% | 14.90% | 16.33% | $24,717 | |
S&P Small-Cap 600 Growth Index | |||||
Fund*ETF Shares Market Price | 11.32 | 14.93 | 16.34 | 24,732 | |
•••••••• | S&P SmallCap 600 Growth Index | 11.42 | 15.11 | 16.55 | 24,997 |
– – – – | Small-Cap Growth Funds Average | 2.63 | 11.38 | 12.65 | 20,392 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 11.34 | 14.40 | 14.48 | 22,460 | |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2016 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Growth Index Fund ETF Shares | |||
Market Price | 11.32% | 100.54% | 147.32% |
S&P Small-Cap 600 Growth Index Fund ETF Shares | |||
Net Asset Value | 11.24 | 100.28 | 147.17 |
S&P SmallCap 600 Growth Index | 11.42 | 102.12 | 149.97 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
See Financial Highlights for dividend and capital gains information. |
49
S&P Small-Cap 600 Growth Index Fund
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2016
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | -0.91% | 10.86% | 15.56% | |
Net Asset Value | -0.81 | 10.84 | 15.56 |
50
S&P Small-Cap 600 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (100.0%)1 | |||
Consumer Discretionary (11.4%) | |||
Drew Industries Inc. | 9,636 | 981 | |
Papa John’s International Inc. | 10,836 | 811 | |
Lithia Motors Inc. Class A | 9,369 | 776 | |
Monro Muffler Brake Inc. | 12,680 | 715 | |
* | Boyd Gaming Corp. | 31,731 | 619 |
Sonic Corp. | 19,091 | 548 | |
* | Meritage Homes Corp. | 14,630 | 525 |
* | Dorman Products Inc. | 7,933 | 500 |
* | Gentherm Inc. | 14,325 | 472 |
* | Popeyes Louisiana Kitchen | ||
Inc. | 8,609 | 469 | |
Sturm Ruger & Co. Inc. | 7,456 | 457 | |
* | Five Below Inc. | 8,823 | 393 |
* | Steven Madden Ltd. | 10,942 | 384 |
Core-Mark Holding Co. Inc. | 9,824 | 375 | |
Nutrisystem Inc. | 11,456 | 330 | |
* | G-III Apparel Group Ltd. | 10,251 | 324 |
^ | World Wrestling | ||
Entertainment Inc. Class A | 14,510 | 301 | |
* | TopBuild Corp. | 8,772 | 299 |
* | Select Comfort Corp. | 11,381 | 299 |
* | Cooper-Standard Holding Inc. | 2,775 | 275 |
Callaway Golf Co. | 24,065 | 275 | |
* | American Axle & | ||
Manufacturing Holdings Inc. | 15,079 | 259 | |
La-Z-Boy Inc. | 9,636 | 257 | |
* | Cavco Industries Inc. | 2,128 | 223 |
* | LGI Homes Inc. | 5,775 | 222 |
* | Installed Building Products | ||
Inc. | 6,521 | 218 | |
* | Francesca’s Holdings Corp. | 15,895 | 217 |
* | Asbury Automotive Group | ||
Inc. | 4,001 | 215 | |
^ | Outerwall Inc. | 4,124 | 214 |
Oxford Industries Inc. | 3,359 | 210 | |
DineEquity Inc. | 2,679 | 209 | |
Ruth’s Hospitality Group Inc. | 13,250 | 198 | |
* | Universal Electronics Inc. | 2,676 | 198 |
MDC Holdings Inc. | 7,389 | 193 | |
* | iRobot Corp. | 4,744 | 189 |
* | BJ’s Restaurants Inc. | 4,737 | 188 |
Blue Nile Inc. | 4,557 | 157 | |
* | EW Scripps Co. Class A | 9,217 | 157 |
Winnebago Industries Inc. | 6,124 | 147 | |
* | Red Robin Gourmet Burgers | ||
Inc. | 2,733 | 137 | |
* | Fiesta Restaurant Group Inc. | 5,281 | 133 |
* | Motorcar Parts of America | ||
Inc. | 4,317 | 123 | |
* | Chuy’s Holdings Inc. | 3,961 | 120 |
* | MarineMax Inc. | 5,352 | 106 |
* | M/I Homes Inc. | 4,455 | 103 |
* | Monarch Casino & Resort Inc. | 4,264 | 101 |
PetMed Express Inc. | 4,913 | 99 | |
Marcus Corp. | 4,056 | 96 | |
* | Belmond Ltd. Class A | 8,229 | 92 |
* | Scientific Games Corp. | ||
Class A | 9,351 | 77 | |
14,986 | |||
Consumer Staples (2.7%) | |||
B&G Foods Inc. | 26,104 | 1,239 | |
WD-40 Co. | 5,237 | 620 | |
^ | Cal-Maine Foods Inc. | 12,210 | 561 |
J&J Snack Foods Corp. | 3,759 | 459 | |
Calavo Growers Inc. | 5,827 | 343 | |
* | SUPERVALU Inc. | 38,171 | 209 |
Medifast Inc. | 1,654 | 61 | |
3,492 | |||
Energy (2.1%) | |||
* | PDC Energy Inc. | 13,113 | 871 |
US Silica Holdings Inc. | 15,480 | 608 | |
* | Synergy Resources Corp. | 76,160 | 499 |
* | Carrizo Oil & Gas Inc. | 12,896 | 494 |
* | TETRA Technologies Inc. | 19,177 | 116 |
* | Matrix Service Co. | 5,435 | 100 |
^,* | Northern Oil and Gas Inc. | 9,969 | 32 |
2,720 |
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Financials (24.2%) | |||
Home BancShares Inc. | 48,021 | 1,124 | |
Acadia Realty Trust | 29,807 | 1,101 | |
RLI Corp. | 14,939 | 1,060 | |
CoreSite Realty Corp. | 13,340 | 1,041 | |
First Financial Bankshares | |||
Inc. | 25,973 | 951 | |
Retail Opportunity | |||
Investments Corp. | 41,803 | 933 | |
Pinnacle Financial Partners | |||
Inc. | 15,217 | 863 | |
* | Hope Bancorp Inc. | 49,922 | 859 |
Evercore Partners Inc. | |||
Class A | 15,602 | 799 | |
Financial Engines Inc. | 20,792 | 665 | |
ProAssurance Corp. | 11,713 | 644 | |
First Midwest Bancorp Inc. | 31,977 | 626 | |
Interactive Brokers Group | |||
Inc. | 16,608 | 596 | |
Glacier Bancorp Inc. | 19,766 | 592 | |
United Bankshares Inc. | 14,535 | 573 | |
Sterling Bancorp | 31,648 | 565 | |
Simmons First National Corp. | |||
Class A | 11,239 | 564 | |
Columbia Banking System | |||
Inc. | 16,649 | 550 | |
* | Texas Capital Bancshares Inc. | 10,108 | 531 |
PS Business Parks Inc. | 4,753 | 526 | |
LegacyTexas Financial Group | |||
Inc. | 17,235 | 523 | |
Cousins Properties Inc. | 45,520 | 502 | |
EastGroup Properties Inc. | 6,707 | 492 | |
Selective Insurance Group | |||
Inc. | 12,240 | 488 | |
^,* | BofI Holding Inc. | 22,564 | 485 |
LTC Properties Inc. | 9,243 | 480 | |
CVB Financial Corp. | 26,807 | 477 | |
American Assets Trust Inc. | 10,718 | 475 | |
Community Bank System | |||
Inc. | 9,713 | 461 | |
AMERISAFE Inc. | 7,542 | 453 | |
DiamondRock Hospitality Co. | 42,644 | 452 | |
ServisFirst Bancshares Inc. | 8,555 | 448 | |
Four Corners Property Trust | |||
Inc. | 21,190 | 439 | |
Great Western Bancorp Inc. | 12,692 | 434 | |
United Community Banks | |||
Inc. | 19,627 | 412 | |
Independent Bank Corp. | 7,343 | 389 | |
Employers Holdings Inc. | 12,756 | 389 | |
Ameris Bancorp | 10,957 | 381 | |
* | PRA Group Inc. | 11,659 | 373 |
HFF Inc. Class A | 13,626 | 365 | |
Banner Corp. | 8,077 | 358 | |
Summit Hotel Properties Inc. | 24,698 | 353 | |
Hanmi Financial Corp. | 12,681 | 333 |
Universal Insurance | |||
Holdings Inc. | 12,661 | 314 | |
Banc of California Inc. | 13,905 | 310 | |
* | Walker & Dunlop Inc. | 10,704 | 284 |
NBT Bancorp Inc. | 8,464 | 273 | |
Pennsylvania REIT | 10,677 | 268 | |
^,* | LendingTree Inc. | 2,715 | 263 |
Agree Realty Corp. | 5,477 | 263 | |
Opus Bank | 7,427 | 259 | |
S&T Bancorp Inc. | 8,806 | 253 | |
Tompkins Financial Corp. | 3,351 | 248 | |
CareTrust REIT Inc. | 16,601 | 247 | |
Cardinal Financial Corp. | 9,165 | 246 | |
Northfield Bancorp Inc. | 15,382 | 244 | |
First Commonwealth | |||
Financial Corp. | 22,646 | 231 | |
Westamerica Bancorporation | 4,406 | 224 | |
Government Properties | |||
Income Trust | 9,217 | 215 | |
United Fire Group Inc. | 4,598 | 199 | |
Brookline Bancorp Inc. | 16,586 | 198 | |
Central Pacific Financial Corp. | 7,686 | 197 | |
Universal Health Realty | |||
Income Trust | 3,130 | 193 | |
Saul Centers Inc. | 2,683 | 178 | |
City Holding Co. | 3,356 | 170 | |
Oritani Financial Corp. | 10,391 | 167 | |
Getty Realty Corp. | 6,987 | 164 | |
Urstadt Biddle Properties | |||
Inc. Class A | 6,079 | 138 | |
Cedar Realty Trust Inc. | 17,989 | 136 | |
Bank Mutual Corp. | 16,635 | 130 | |
Talmer Bancorp Inc. Class A | 5,381 | 125 | |
Maiden Holdings Ltd. | 8,501 | 117 | |
Investment Technology | |||
Group Inc. | 7,171 | 110 | |
Virtus Investment Partners | |||
Inc. | 1,198 | 109 | |
Greenhill & Co. Inc. | 3,813 | 87 | |
RE/MAX Holdings Inc. | |||
Class A | 2,010 | 84 | |
* | Forestar Group Inc. | 5,990 | 75 |
HCI Group Inc. | 1,984 | 63 | |
* | First NBC Bank Holding Co. | 3,713 | 48 |
* | eHealth Inc. | 2,156 | 24 |
31,979 | |||
Health Care (18.9%) | |||
* | NuVasive Inc. | 19,595 | 1,283 |
* | Medidata Solutions Inc. | 22,529 | 1,219 |
Cantel Medical Corp. | 14,102 | 1,066 | |
* | Masimo Corp. | 17,335 | 1,025 |
* | Integra LifeSciences | ||
Holdings Corp. | 11,415 | 987 | |
* | Nektar Therapeutics | 53,578 | 956 |
Chemed Corp. | 6,510 | 878 |
52
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Neogen Corp. | 14,754 | 871 |
* | Ligand Pharmaceuticals Inc. | 7,450 | 770 |
* | AMN Healthcare Services | ||
Inc. | 18,887 | 684 | |
* | Impax Laboratories Inc. | 27,282 | 660 |
* | Medicines Co. | 16,139 | 632 |
* | Cambrex Corp. | 12,575 | 539 |
* | Omnicell Inc. | 14,123 | 531 |
* | Natus Medical Inc. | 13,021 | 507 |
* | ICU Medical Inc. | 3,984 | 497 |
* | Depomed Inc. | 24,024 | 487 |
* | Zeltiq Aesthetics Inc. | 12,721 | 485 |
* | Cynosure Inc. Class A | 9,249 | 482 |
* | Surgical Care Affiliates Inc. | 10,698 | 441 |
* | Acorda Therapeutics Inc. | 18,114 | 436 |
* | Merit Medical Systems Inc. | 17,422 | 422 |
* | Repligen Corp. | 13,227 | 410 |
* | Lannett Co. Inc. | 10,982 | 372 |
* | Diplomat Pharmacy Inc. | 11,415 | 357 |
* | Vascular Solutions Inc. | 6,831 | 329 |
* | Emergent BioSolutions Inc. | 12,287 | 327 |
* | Luminex Corp. | 15,166 | 320 |
* | Haemonetics Corp. | 8,430 | 313 |
US Physical Therapy Inc. | 4,916 | 310 | |
* | Amedisys Inc. | 6,292 | 303 |
* | Momenta Pharmaceuticals | ||
Inc. | 24,866 | 299 | |
* | Supernus Pharmaceuticals | ||
Inc. | 13,603 | 291 | |
* | MiMedx Group Inc. | 39,197 | 284 |
* | Air Methods Corp. | 7,570 | 266 |
* | HealthEquity Inc. | 7,942 | 259 |
* | HealthStream Inc. | 9,631 | 256 |
Abaxis Inc. | 5,067 | 254 | |
CONMED Corp. | 6,205 | 253 | |
Ensign Group Inc. | 12,896 | 242 | |
Aceto Corp. | 11,633 | 235 | |
Analogic Corp. | 2,490 | 222 | |
Meridian Bioscience Inc. | 11,235 | 219 | |
* | Inogen Inc. | 3,540 | 205 |
* | BioTelemetry Inc. | 10,952 | 202 |
* | LHC Group Inc. | 5,124 | 182 |
* | AMAG Pharmaceuticals Inc. | 7,603 | 181 |
Phibro Animal Health Corp. | |||
Class A | 7,273 | 177 | |
* | Anika Therapeutics Inc. | 3,490 | 165 |
* | Cross Country Healthcare | ||
Inc. | 12,866 | 157 | |
* | CorVel Corp. | 3,997 | 154 |
* | Integer Holdings Corp. | 6,149 | 149 |
* | Adeptus Health Inc. Class A | 3,495 | 149 |
* | Surmodics Inc. | 5,111 | 146 |
^,* | Albany Molecular Research | ||
Inc. | 8,729 | 129 | |
* | Providence Service Corp. | 2,728 | 129 |
* | Almost Family Inc. | 3,422 | 126 |
Landauer Inc. | 2,488 | 118 | |
* | SciClone Pharmaceuticals | ||
Inc. | 11,170 | 112 | |
Quality Systems Inc. | 9,439 | 111 | |
* | ANI Pharmaceuticals Inc. | 1,489 | 89 |
CryoLife Inc. | 4,756 | 76 | |
Computer Programs & | |||
Systems Inc. | 2,055 | 53 | |
* | Spectrum Pharmaceuticals | ||
Inc. | 9,104 | 48 | |
* | Quorum Health Corp. | 4,608 | 28 |
24,865 | |||
Industrials (16.8%) | |||
Healthcare Services Group | |||
Inc. | 28,453 | 1,149 | |
* | Hawaiian Holdings Inc. | 18,753 | 881 |
Universal Forest Products | |||
Inc. | 7,983 | 871 | |
John Bean Technologies | |||
Corp. | 11,488 | 789 | |
Matthews International | |||
Corp. Class A | 12,597 | 775 | |
* | Trex Co. Inc. | 11,533 | 714 |
* | On Assignment Inc. | 18,890 | 712 |
Allegiant Travel Co. Class A | 5,069 | 701 | |
AZZ Inc. | 10,191 | 677 | |
Matson Inc. | 17,009 | 656 | |
* | TASER International Inc. | 20,679 | 560 |
Hillenbrand Inc. | 17,096 | 550 | |
Apogee Enterprises Inc. | 11,319 | 548 | |
Korn/Ferry International | 22,523 | 537 | |
Exponent Inc. | 10,205 | 515 | |
* | Proto Labs Inc. | 9,308 | 509 |
* | American Woodmark Corp. | 5,376 | 468 |
Interface Inc. Class A | 25,742 | 455 | |
Barnes Group Inc. | 10,716 | 443 | |
AAON Inc. | 15,637 | 442 | |
Simpson Manufacturing Co. | |||
Inc. | 10,013 | 439 | |
Comfort Systems USA Inc. | 14,625 | 415 | |
US Ecology Inc. | 8,560 | 384 | |
Forward Air Corp. | 8,261 | 381 | |
G&K Services Inc. Class A | 3,810 | 371 | |
* | TrueBlue Inc. | 16,695 | 365 |
* | WageWorks Inc. | 5,699 | 352 |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 19,291 | 347 | |
Knight Transportation Inc. | 11,745 | 330 | |
* | Lydall Inc. | 6,734 | 323 |
Brady Corp. Class A | 9,002 | 301 | |
Watts Water Technologies | |||
Inc. Class A | 4,492 | 289 | |
* | Patrick Industries Inc. | 4,465 | 286 |
Standex International Corp. | 3,374 | 284 |
53
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Mobile Mini Inc. | 9,263 | 277 | |
Griffon Corp. | 14,511 | 248 | |
Albany International Corp. | 5,655 | 239 | |
Franklin Electric Co. Inc. | 6,195 | 237 | |
ESCO Technologies Inc. | 5,155 | 233 | |
* | Mercury Systems Inc. | 10,216 | 232 |
Insperity Inc. | 3,510 | 230 | |
* | PGT Inc. | 19,117 | 228 |
Tennant Co. | 3,483 | 225 | |
Heartland Express Inc. | 11,834 | 225 | |
Multi-Color Corp. | 3,362 | 225 | |
Federal Signal Corp. | 16,856 | 221 | |
* | Gibraltar Industries Inc. | 5,255 | 201 |
* | Navigant Consulting Inc. | 9,913 | 195 |
* | Wabash National Corp. | 13,290 | 185 |
Quanex Building Products | |||
Corp. | 8,472 | 164 | |
* | Team Inc. | 4,172 | 133 |
Resources Connection Inc. | 8,660 | 131 | |
Alamo Group Inc. | 1,988 | 129 | |
Heidrick & Struggles | |||
International Inc. | 6,846 | 128 | |
National Presto Industries Inc. | 1,126 | 98 | |
Raven Industries Inc. | 3,833 | 94 | |
* | Vicor Corp. | 4,522 | 49 |
American Science & | |||
Engineering Inc. | 1,084 | 40 | |
22,186 | |||
Information Technology (17.5%) | |||
* | Take-Two Interactive | ||
Software Inc. | 33,356 | 1,450 | |
Blackbaud Inc. | 18,675 | 1,258 | |
* | Cirrus Logic Inc. | 24,468 | 1,242 |
Monolithic Power Systems | |||
Inc. | 14,575 | 1,118 | |
LogMeIn Inc. | 9,829 | 821 | |
Littelfuse Inc. | 6,084 | 771 | |
* | ExlService Holdings Inc. | 13,162 | 674 |
* | Synchronoss Technologies | ||
Inc. | 15,824 | 661 | |
Tessera Technologies Inc. | 18,114 | 608 | |
* | Electronics For Imaging Inc. | 12,778 | 602 |
* | Rambus Inc. | 43,281 | 598 |
^,* | Stamps.com Inc. | 6,174 | 597 |
* | Cardtronics plc Class A | 12,802 | 575 |
^ | Ebix Inc. | 10,048 | 573 |
NIC Inc. | 24,102 | 554 | |
* | Coherent Inc. | 5,254 | 553 |
Methode Electronics Inc. | 14,513 | 532 | |
MKS Instruments Inc. | 10,702 | 522 | |
* | Fabrinet | 12,046 | 468 |
* | 8x8 Inc. | 35,141 | 466 |
* | OSI Systems Inc. | 6,909 | 463 |
* | NETGEAR Inc. | 8,067 | 460 |
* | II-VI Inc. | 20,861 | 442 |
* | Advanced Energy Industries | ||
Inc. | 9,802 | 431 | |
Power Integrations Inc. | 7,248 | 423 | |
CSG Systems International | |||
Inc. | 9,567 | 418 | |
* | Cray Inc. | 16,028 | 367 |
* | Progress Software Corp. | 12,069 | 350 |
* | MicroStrategy Inc. Class A | 1,921 | 320 |
* | Sykes Enterprises Inc. | 10,826 | 316 |
* | Virtusa Corp. | 10,733 | 281 |
* | Lumentum Holdings Inc. | 7,850 | 276 |
* | Semtech Corp. | 10,035 | 267 |
* | CEVA Inc. | 8,057 | 254 |
Badger Meter Inc. | 3,840 | 253 | |
* | Qualys Inc. | 6,842 | 235 |
^,* | Shutterstock Inc. | 3,488 | 202 |
Monotype Imaging Holdings | |||
Inc. | 9,419 | 199 | |
* | Interactive Intelligence | ||
Group Inc. | 3,119 | 187 | |
* | Bottomline Technologies | ||
de Inc. | 7,887 | 182 | |
* | Ixia | 15,370 | 177 |
* | Super Micro Computer Inc. | 7,317 | 158 |
MTS Systems Corp. | 3,155 | 157 | |
* | Perficient Inc. | 7,513 | 150 |
* | Rudolph Technologies Inc. | 8,124 | 142 |
TeleTech Holdings Inc. | 4,689 | 133 | |
DTS Inc. | 3,844 | 129 | |
* | CalAmp Corp. | 8,756 | 128 |
* | VASCO Data Security | ||
International Inc. | 6,091 | 111 | |
* | ePlus Inc. | 1,141 | 103 |
* | XO Group Inc. | 5,525 | 103 |
Forrester Research Inc. | 2,116 | 87 | |
* | DHI Group Inc. | 10,750 | 83 |
* | Exar Corp. | 8,971 | 82 |
* | Nanometrics Inc. | 3,827 | 78 |
Cohu Inc. | 6,249 | 68 | |
* | Digi International Inc. | 5,878 | 67 |
* | Monster Worldwide Inc. | 17,764 | 65 |
* | Kopin Corp. | 24,610 | 53 |
* | LivePerson Inc. | 6,762 | 53 |
* | Agilysys Inc. | 2,556 | 28 |
23,124 | |||
Materials (3.7%) | |||
Balchem Corp. | 12,415 | 869 | |
* | Ingevity Corp. | 16,554 | 735 |
Innospec Inc. | 9,426 | 559 | |
* | Headwaters Inc. | 29,117 | 528 |
KapStone Paper and | |||
Packaging Corp. | 22,290 | 390 | |
Kaiser Aluminum Corp. | 4,384 | 374 | |
Neenah Paper Inc. | 3,818 | 307 | |
Deltic Timber Corp. | 4,210 | 299 |
54
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | US Concrete Inc. | 5,437 | 288 |
Quaker Chemical Corp. | 2,503 | 250 | |
* | AK Steel Holding Corp. | 46,760 | 209 |
American Vanguard Corp. | 4,833 | 81 | |
4,889 | |||
Telecommunication Services (0.9%) | |||
Cogent Communications | |||
Holdings Inc. | 10,681 | 380 | |
* | Cincinnati Bell Inc. | 53,616 | 224 |
Consolidated | |||
Communications Holdings | |||
Inc. | 8,751 | 210 | |
* | General Communication Inc. | ||
Class A | 11,501 | 160 | |
ATN International Inc. | 2,122 | 139 | |
Inteliquent Inc. | 5,888 | 98 | |
1,211 | |||
Utilities (1.8%) | |||
Piedmont Natural Gas Co. | |||
Inc. | 31,878 | 1,916 | |
American States Water Co. | 8,912 | 347 | |
California Water Service | |||
Group | 4,520 | 138 | |
2,401 | |||
Total Common Stocks | |||
(Cost $121,438) | 131,853 | ||
Temporary Cash Investment (1.0%)1 | |||
Money Market Fund (1.0%) | |||
2,3 | Vanguard Market Liquidity | ||
Fund, 0.612% | |||
(Cost $1,324) | 13,235 | 1,324 | |
Total Investments (101.0%) | |||
(Cost $122,762) | 133,177 |
Amount | |
($000) | |
Other Assets and Liabilities (-1.0%) | |
Other Assets | |
Investment in Vanguard | 10 |
Receivables for Investment Securities Sold | 553 |
Receivables for Accrued Income | 75 |
Receivables for Capital Shares Issued | 15 |
Other Assets 4 | 6 |
Total Other Assets | 659 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (619) |
Collateral for Securities on Loan | (1,292) |
Payables to Vanguard | (19) |
Other Liabilities | (4) |
Total Liabilities | (1,934) |
ETF Shares—Net Assets (100%) | |
Applicable to 1,125,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 131,902 |
Net Asset Value Per Share— | |
ETF Shares | $117.25 |
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 133,574 |
Undistributed Net Investment Income | 263 |
Accumulated Net Realized Losses | (12,350) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 10,415 |
Futures Contracts | — |
Net Assets | 131,902 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,231,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 0.9%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $1,292,000 of collateral received for securities on loan.
4 Cash of $6,000 has been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
55
S&P Small-Cap 600 Growth Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,349 |
Interest1 | 3 |
Securities Lending—Net | 54 |
Total Income | 1,406 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 14 |
Management and Administrative | 109 |
Marketing and Distribution | 6 |
Custodian Fees | 39 |
Auditing Fees | 32 |
Shareholders’ Reports | 9 |
Total Expenses | 209 |
Net Investment Income | 1,197 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (5,018) |
Futures Contracts | (19) |
Realized Net Gain (Loss) | (5,037) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 16,328 |
Futures Contracts | 8 |
Change in Unrealized Appreciation (Depreciation) | 16,336 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,496 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $0 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
56
S&P Small-Cap 600 Growth Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,197 | 692 |
Realized Net Gain (Loss) | (5,037) | 9,091 |
Change in Unrealized Appreciation (Depreciation) | 16,336 | (6,300) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,496 | 3,483 |
Distributions | ||
Net Investment Income | (1,395) | (455) |
Realized Capital Gain | — | — |
Total Distributions | (1,395) | (455) |
Capital Share Transactions | ||
Issued | 86,678 | 158,094 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (40,767) | (147,047) |
Net Increase (Decrease) from Capital Share Transactions | 45,911 | 11,047 |
Total Increase (Decrease) | 57,012 | 14,075 |
Net Assets | ||
Beginning of Period | 74,890 | 60,815 |
End of Period1 | 131,902 | 74,890 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $263,000 and $461,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
57
S&P Small-Cap 600 Growth Index Fund | |||||
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $106.99 | $101.36 | $87.79 | $70.70 | $61.18 |
Investment Operations | |||||
Net Investment Income | 1.180 | 1.043 | .6681 | .822 | .5311 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 10.685 | 5.345 | 13.432 | 17.083 | 9.326 |
Total from Investment Operations | 11.865 | 6.388 | 14.100 | 17.905 | 9.857 |
Distributions | |||||
Dividends from Net Investment Income | (1.605) | (.758) | (. 530) | (. 815) | (.337) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.605) | (.758) | (. 530) | (. 815) | (.337) |
Net Asset Value, End of Period | $117.25 | $106.99 | $101.36 | $87.79 | $70.70 |
Total Return | 11.24% | 6.32% | 16.07% | 25.59% | 16.17% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $132 | $75 | $61 | $22 | $14 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.15% | 0.98% | 0.66% | 1.03% | 0.83% |
Portfolio Turnover Rate 2 | 48% | 63% | 44% | 39% | 45% |
1 Calculated based on average shares outstanding. | |||||
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.
58
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. During the year ended August 31, 2016, there were no investors in the Institutional share class.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2013–2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
59
S&P Small-Cap 600 Growth Index Fund
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
60
S&P Small-Cap 600 Growth Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $10,000, 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 employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments).
At August 31, 2016, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. At August 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini Russell 2000 Index | September 2016 | 1 | 124 | — |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2016, the fund realized $3,929,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2016, the fund had $280,000 of ordinary income available for distribution. The fund had available capital losses totaling $12,361,000 that may be carried forward indefinitely to offset future net capital gains.
61
S&P Small-Cap 600 Growth Index Fund
At August 31, 2016, the cost of investment securities for tax purposes was $122,762,000. Net unrealized appreciation of investment securities for tax purposes was $10,415,000, consisting of unrealized gains of $15,746,000 on securities that had risen in value since their purchase and $5,331,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2016, the fund purchased $128,938,000 of investment securities and sold $83,059,000 of investment securities, other than temporary cash investments. Purchases and sales include $78,488,000 and $23,188,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2016, such purchases and sales were $20,083,000 and $18,759,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital shares issued and redeemed were:
Year Ended August 31, | ||
2016 | 2015 | |
Shares | Shares | |
(000) | (000) | |
Issued | 800 | 1,450 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (375) | (1,350) |
Net Increase (Decrease) in Shares Outstanding | 425 | 100 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
62 |
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and the Shareholders of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600 Growth Index Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600 Growth Index Fund (constituting separate portfolios of Vanguard Admiral Funds, hereafter referred to as the “Funds”) at August 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2016 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 18, 2016
63
Special 2016 tax information (unaudited) for Vanguard S&P Small-Cap 600 Index Funds
This information for the fiscal year ended August 31, 2016, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 4,964 |
S&P Small-Cap 600 Value Index Fund | 2,112 |
S&P Small-Cap 600 Growth Index Fund | 1,052 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund | Percentage |
S&P Small-Cap 600 Index Fund | 79.1% |
S&P Small-Cap 600 Value Index Fund | 87.1 |
S&P Small-Cap 600 Growth Index Fund | 78.9 |
64
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income, using actual prior-year figures and estimates for 2016. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: S&P Small Cap 600 Index Funds | |||
Periods Ended August 31, 2016 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Index Fund ETF Shares | |||
Returns Before Taxes | 13.17% | 15.02% | 15.69% |
Returns After Taxes on Distributions | 12.78 | 14.72 | 15.43 |
Returns After Taxes on Distributions and Sale of Fund Shares | 7.62 | 12.05 | 12.78 |
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Value Index Fund ETF Shares | |||
Returns Before Taxes | 15.14% | 15.02% | 14.99% |
Returns After Taxes on Distributions | 14.62 | 14.68 | 14.68 |
Returns After Taxes on Distributions and Sale of Fund Shares | 8.89 | 12.06 | 12.18 |
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Growth Index Fund ETF Shares | |||
Returns Before Taxes | 11.24% | 14.90% | 16.33% |
Returns After Taxes on Distributions | 10.77 | 14.67 | 16.12 |
Returns After Taxes on Distributions and Sale of Fund Shares | 6.56 | 11.97 | 13.35 |
65
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
66
Six Months Ended August 31, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2016 | 8/31/2016 | Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,192.03 | $0.88 |
Institutional Shares | 1,000.00 | 1,192.49 | 0.50 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,201.88 | $1.22 |
Institutional Shares | 1,000.00 | 1,202.69 | 0.44 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,182.30 | $1.21 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.33 | $0.81 |
Institutional Shares | 1,000.00 | 1,024.68 | 0.46 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.03 | $1.12 |
Institutional Shares | 1,000.00 | 1,024.73 | 0.41 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.03 | $1.12 |
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 S&P Small-Cap 600 Index Fund, 0.16% for ETF Shares and 0.09% for Institutional Shares; for the S&P Small-Cap 600 Value
Index Fund, 0.22% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.22% for ETF
Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over
the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent
12-month period (184/366).
67
Trustees Approve Advisory Arrangements
The board of trustees 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 has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Equity Index Group—serves as investment advisor for each fund. The board determined that continuing each fund’s internalized management structure was in the best interest of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year directing the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they had received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its respective peer group and that each fund’s advisory expenses were also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
68
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
69
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
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.
70
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
71
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 198 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 |
F. William McNabb III |
Born 1957. Trustee Since July 2009. Chairman of |
the Board. Principal Occupation(s) During the Past |
Five Years and Other Experience: Chairman of the |
Board of The Vanguard Group, Inc., and of each of |
the investment companies served by The Vanguard |
Group, since January 2010; Director of The Vanguard |
Group since 2008; Chief Executive Officer and |
President of The Vanguard Group, and of each of |
the investment companies served by The Vanguard |
Group, since 2008; Director of Vanguard Marketing |
Corporation; Managing Director of The Vanguard |
Group (1995–2008). |
IndependentTrustees |
Emerson U. Fullwood |
Born 1948. Trustee Since January 2008. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 2009–2010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (2006–2008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President of the University of |
Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and |
Sciences, and Professor of Communication, Annenberg |
School for Communication, with secondary faculty |
appointments in the Department of Philosophy, School |
of Arts and Sciences, and at the Graduate School of |
Education, University of Pennsylvania; Trustee of the |
National Constitution Center; Chair of the Presidential |
Commission for the Study of Bioethical Issues. |
JoAnn Heffernan Heisen |
Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: Corporate Vice President and |
Chief Global Diversity Officer (retired 2008) and |
Member of the Executive Committee (1997–2008) |
of Johnson & Johnson (pharmaceuticals/medical |
devices/consumer products); Director of Skytop |
Lodge Corporation (hotels) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Women’s Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2009) of Cummins Inc. (industrial machinery); |
Chairman of the Board of Hillenbrand, Inc. (specialized |
consumer services), and of Oxfam America; Director |
of SKF AB (industrial machinery), Hyster-Yale Materials |
Handling, Inc. (forklift trucks), the Lumina Foundation |
for Education, and the V Foundation for Cancer |
Research; Member of the Advisory Council for the |
College of Arts and Letters and of the Advisory Board |
to the Kellogg Institute for International Studies, both |
at the University of Notre Dame. |
Mark Loughridge |
Born 1953. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chief Investment Officer and Vice |
President at the University of Notre Dame; Assistant |
Professor of Finance at the Mendoza College of |
Business at Notre Dame; Member of the Notre Dame |
403(b) Investment Committee, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: George Gund Professor of Finance and |
Banking, Emeritus at the Harvard Business School |
(retired 2011); Chief Investment Officer and Managing |
Partner of HighVista Strategies LLC (private investment |
firm); Director of Rand Merchant Bank; Overseer of |
the Museum of Fine Arts Boston. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President and Chief Operating |
Officer (retired 2010) of Corning Incorporated |
(communications equipment); Chairman of the |
Board of Trustees of Colby-Sawyer College; |
Member of the Advisory Board of the Norris |
Cotton Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); Assistant Controller of each of | |
the investment companies served by The Vanguard | |
Group (2001–2010). | |
Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | |
Years and Other Experience: Principal of The Vanguard | |
Group, Inc.; Chief Financial Officer of each of the | |
investment companies served by The Vanguard Group; | |
Treasurer of each of the investment companies served | |
by The Vanguard Group (1998–2008). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: Managing Director of The Vanguard | |
Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | |
investment companies served by The Vanguard Group; | |
Director and Senior Vice President of Vanguard | |
Marketing Corporation. | |
Vanguard Senior ManagementTeam | |
Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | The index is a product of S&P Dow Jones Indices LLC |
Direct Investor Account Services > 800-662-2739 | (“SPDJI”), and has been licensed for use by Vanguard. |
Standard & Poor’s® and S&P® are registered | |
Institutional Investor Services > 800-523-1036 | trademarks of Standard & Poor’s Financial Services LLC |
Text Telephone for People | (“S&P”); Dow Jones® is a registered trademark of Dow |
Who Are Deaf or Hard of Hearing> 800-749-7273 | Jones Trademark Holdings LLC (“Dow Jones”); S&P® |
and S&P 500® are trademarks of S&P; and these | |
This material may be used in conjunction | trademarks have been licensed for use by SPDJI and |
with the offering of shares of any Vanguard | sublicensed for certain purposes by Vanguard. |
fund only if preceded or accompanied by | Vanguard product(s) are not sponsored, endorsed, sold |
or promoted by SPDJI, Dow Jones, S&P, or their | |
the fund’s current prospectus. | respective affiliates and none of such parties make any |
All comparative mutual fund data are from Lipper, a | representation regarding the advisability of investing in |
Thomson Reuters Company, or Morningstar, Inc., unless | such product(s) nor do they have any liability for any |
otherwise noted. | errors, omissions, or interruptions of the index. |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18450 102016 |
Annual Report | August 31, 2016
Vanguard S&P 500 Value and Growth
Index Funds
Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 4 |
S&P 500 Value Index Fund. | 8 |
S&P 500 Growth Index Fund. | 26 |
Your Fund’s After-Tax Returns. | 43 |
About Your Fund’s Expenses. | 44 |
Trustees Approve Advisory Arrangements. | 46 |
Glossary. | 48 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary
focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown
translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• Large-capitalization value stocks generally outperformed their growth counterparts during the 12 months ended August 31, 2016. Vanguard S&P 500 Value Index Fund returned about 13% for the year and Vanguard S&P 500 Growth Index Fund returned nearly 12%.
• Both funds closely tracked their target indexes and surpassed the average returns of their large-cap fund peers.
• Industrials, consumer staples, energy, and information technology were the top contributing sectors for the Value Index Fund. Telecommunication services, utilities, and health care added significantly to performance. Materials, financials, and consumer discretionary were among the weakest sectors.
• For the Growth Index Fund, information technology contributed the most to returns; consumer staples, consumer discretionary, and financials also performed strongly.
• The Value Index Fund posted positive results in all ten sectors. The Growth Index Fund advanced in nine sectors, with energy the only sector producing negative returns.
Total Returns: Fiscal Year Ended August 31, 2016 | |
Total | |
Returns | |
Vanguard S&P 500 Value Index Fund | |
ETF Shares | |
Market Price | 13.00% |
Net Asset Value | 13.03 |
Institutional Shares | 13.09 |
S&P 500 Value Index | 13.17 |
Large-Cap Value Funds Average | 8.66 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
1
Total | |
Returns | |
Vanguard S&P 500 Growth Index Fund | |
ETF Shares | |
Market Price | 11.63% |
Net Asset Value | 11.62 |
S&P 500 Growth Index | 11.77 |
Large-Cap Growth Funds Average | 6.69 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The
Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns
based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573;
8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock
Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about
how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price
and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was
above or below the NAV.
Total Returns: Inception Through August 31, 2016 | |
Average | |
Annual Return | |
S&P 500 Value Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 13.19% |
S&P 500 Value Index | 13.35 |
Large-Cap Value Funds Average | 11.86 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P 500 Growth Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 15.57% |
S&P 500 Growth Index | 15.75 |
Large-Cap Growth Funds Average | 13.26 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost.
2
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
ETF | Institutional | Peer Group | |
Shares | Shares | Average | |
S&P 500 Value Index Fund | 0.15% | 0.08% | 1.10% |
S&P 500 Growth Index Fund | 0.15 | — | 1.17 |
The fund expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year.
For the fiscal year ended August 31, 2016, the funds’ expense ratios were: for the S&P 500 Value Index Fund, 0.15% for ETF Shares and
0.08% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.15%. Peer-group expense ratios are derived from data provided by
Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the S&P 500 Value Index Fund, Large-Cap Value Funds, and for the S&P 500 Growth Index Fund, Large-Cap Growth Funds.
3
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
Even as the global economy continued to expand at a slow but sustained pace over the 12 months ended August 31, 2016, a series of disquieting developments highlighted the importance for investors of remaining disciplined.
Chief among them was “Brexit”—the British public’s vote to exit the European Union—but plenty of others moved the markets as well. We saw sharp ups and downs in the prices of oil and other commodities, choppy U.S. job numbers, shifting expectations about when the Federal Reserve might raise interest rates again, and decreases in already negative yields for European and Japanese government bonds.
Beyond being the end of the fiscal period, August marked a milestone: 40 years since Vanguard introduced the first index mutual fund. In ways that are perhaps still not fully appreciated, indexing has vastly improved investing for individuals, advisors, and institutions all over the world. Later in this letter, I’ll discuss the revolution wrought by what was initially a little-heralded new fund from a fledgling outfit in Valley Forge, Pennsylvania.
Brexit added another layer of uncertainty for investors
I think it’s fair to say that the momentous June 23 Brexit vote caught even the British off guard. Although we saw some market jitters in the run-up to the referendum, the unexpected outcome triggered a spike in
4
volatility worldwide. Stocks around the world lost 5%–10% in U.S. dollar terms in the first two trading sessions following the vote, with U.K. and European markets among the hardest hit; global bonds, though, headed in the other direction. It was a textbook illustration of the value of having a diversified portfolio.
That kind of volatility can push investors to “do something.” But some of the worst days in the stock markets are sometimes followed by some of the best—as happened at the end of June. Investors who scrambled to protect their portfolios by shedding stocks amid headlines warning of a global market meltdown may well have ended up locking in post-Brexit losses, then missing out on the strong rebound that took place just days later. Those headlines were noise that investors would have been better off tuning out. I’m pleased to say that Vanguard investors on the whole did just that—we continued to see cash flows into our funds in the days after the vote.
For the 12 months, stocks generally finished higher, with U.S. stocks up more than 11% and international stocks about 3% for U.S.-based investors.
In a surprise, bonds turned in a solid performance that few would have predicted a year ago. It seemed as if rates had fallen so far that they couldn’t go any lower, but many did. Central banks in a number of European countries and Japan set key monetary policy rates below zero.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2016 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 11.69% | 12.02% | 14.60% |
Russell 2000 Index (Small-caps) | 8.59 | 8.53 | 12.85 |
Russell 3000 Index (Broad U.S. market) | 11.44 | 11.74 | 14.46 |
FTSE All-World ex US Index (International) | 3.37 | 2.59 | 3.72 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 4.37% | 3.24% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 6.88 | 6.47 | 4.80 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.18 | 0.05 | 0.06 |
CPI | |||
Consumer Price Index | 1.06% | 0.98% | 1.23% |
5
When being ‘average’ is a lot better than average |
Not only did Vanguard founder John C. Bogle launch the first index mutual fund in 1976, but |
he also was among the first to clearly explain to the investing public the benefits of what was |
then a novel, unproven strategy. |
Back in 1977, in the first annual report for what was later renamed Vanguard 500 Index Fund, |
Mr. Bogle wrote that an index fund ‘‘represents a tough and demanding ‘par.’ And if there |
are some professionals who can ‘beat par’ more often than not------in investing or in golf------they |
do not seem to be in the majority.’’ |
Mr. Bogle’s analogy has been borne out by historical returns. As you can see in the chart |
below, out of 1,238 actively managed large-capitalization funds, a clear majority-----65%----- |
trailed the Standard & Poor’s 500 Index in average annual return over the decade ended |
December 31, 2015. And 518 funds, or about 42% of the total number, trailed by more than |
1 percentage point. |
The track record looks even more discouraging when you consider that of the 35% of funds |
that outperformed the index, only 119------or about 10% in all------did so by more than 1 percentage |
point. The 315 others also took on risk to try to outperform the index (and likely experienced |
greater volatility) but came out ahead by less than 1 percentage point in average annual return. |
Over a decade, a majority of active large-cap funds lagged the S&P 500 Index |
Based on average annual returns, 2006---2015 |
Notes: Data based on average annual returns of all 1,238 existing actively managed large-cap funds over the decade ended December 31, |
2015. Note that index funds seek to track the performance of a benchmark index but typically won't ‘‘match’’ the benchmark's returns because |
of the costs of passive indexing. |
Sources: Vanguard calculations, using data from Standard & Poor’s. |
Past performance is not a guarantee of future results. The performance of an index is not an exact representation of any particular investment, |
as you cannot invest directly in an index. |
6
These policies held down short-term rates, while more muted expectations for global growth and inflation weighed on longer-term rates.
Yields in the United States weren’t quite as low as in many developed countries. The Fed raised the federal funds target rate only once, in December, to a slim 0.25%–0.5%. Further out on the maturity spectrum, the bellwether 10-year U.S. Treasury yield dropped in early July to a record low 1.36%, before moving back up a little to end the period at 1.58%. Over the 12 months, U.S. bonds returned about 6%, and international bonds returned even more—about 11%—for U.S.-based investors, again underscoring the markets’ unpredictability and the merits of diversification.
Over the years, many investors have embraced the pluses of indexing
Market upsets like Brexit aren’t rare occurrences. Fortunately, indexing has proved to be a durable behavioral tool to help keep investors from making bad financial decisions when upsets happen. In fact, this is one of indexing’s less appreciated benefits: Holding index funds as part of a broadly diversified portfolio can counterbalance that tendency to react to news headlines. When times are volatile, you’ll know you might have some exposure to a part of the market that has dropped, but also to other parts that may be holding up better.
Vanguard’s launch of the First Index Investment Trust, now Vanguard 500 Index Fund, initially met with a frosty reception. Its mandate to track the performance of a broadly diversified benchmark at a low cost seemed underwhelming to an investing public accustomed to funds that offered the chance to outperform. Investors have since come around, as experience has demonstrated the benefits of low costs and broad diversification.
Indexing accounted for about 30% of U.S. mutual fund and exchange-traded fund (ETF) assets at the end of 2015, according to the Investment Company Institute. Some now even proclaim the “triumph of indexing,” implying that it’s the only way to invest.
In our view, the rise of indexing has served to underscore an investment principle that long predates 1976: A long-term, low-cost, diversified approach gives investors the best chance for success. That’s true whether the investments you choose are indexed or actively managed—or both.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 9, 2016
7
S&P 500 Value Index Fund
Fund Profile
As of August 31, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VOOV | VSPVX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 2.46% | 2.52% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Number of Stocks | 360 | 361 | 3,817 |
Median Market Cap | $67.0B | $67.0B | $51.2B |
Price/Earnings Ratio | 20.1x | 20.1x | 23.5x |
Price/Book Ratio | 2.0x | 2.0x | 2.8x |
Return on Equity | 14.6% | 14.6% | 16.6% |
Earnings Growth | |||
Rate | 2.5% | 2.5% | 7.5% |
Dividend Yield | 2.6% | 2.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 22% | — | — |
Short-Term Reserves | -0.1% | — | — |
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.93 |
Beta | 1.00 | 0.92 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Exxon Mobil Corp. | Integrated Oil & Gas | 3.9% |
Berkshire Hathaway Inc. Multi-Sector Holdings | 3.0 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 2.7 | |
JPMorgan Chase & Co. | Diversified Banks | 2.6 |
Wells Fargo & Co. | Diversified Banks | 2.5 |
Procter & Gamble Co. | Household Products | 2.5 |
Chevron Corp. | Integrated Oil & Gas | 2.0 |
Merck & Co. Inc. | Pharmaceuticals | 1.9 |
Johnson & Johnson | Pharmaceuticals | 1.8 |
Bank of America Corp. | Diversified Banks | 1.8 |
Top Ten | 24.7% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2016, the expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
8
S&P 500 Value Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 7.1% | 7.1% | 12.9% |
Consumer Staples | 10.3 | 10.3 | 8.9 |
Energy | 12.5 | 12.5 | 6.4 |
Financials | 24.7 | 24.7 | 18.0 |
Health Care | 12.0 | 12.0 | 14.1 |
Industrials | 10.8 | 10.8 | 10.4 |
Information Technology | 8.4 | 8.4 | 20.3 |
Materials | 3.5 | 3.5 | 3.3 |
Telecommunication | |||
Services | 4.4 | 4.4 | 2.4 |
Utilities | 6.3 | 6.3 | 3.3 |
9
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.
Cumulative Performance: September 7, 2010, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended August 31, 2016 | |||||
Since | Final Value | ||||
One | Five | Inception | of a $10,000 | ||
Year | Years | (9/7/2010) | Investment | ||
S&P 500 Value Index Fund*ETF | |||||
Shares Net Asset Value | 13.03% | 14.01% | 13.19% | $20,979 | |
S&P 500 Value Index Fund*ETF | |||||
Shares Market Price | 13.00 | 14.01 | 13.19 | 20,988 | |
•••••••• | S&P 500 Value Index | 13.17 | 14.17 | 13.35 | 21,166 |
– – – – | Large-Cap Value Funds Average | 8.66 | 12.42 | 11.86 | 19,550 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 11.34 | 14.40 | 14.48 | 22,460 | |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (3/3/2015) | Investment | |
S&P 500 Value Index Fund Institutional | |||
Shares | 13.09% | 3.55% | $5,268,070 |
S&P 500 Value Index | 13.17 | 3.61 | 5,272,795 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 11.34 | 3.45 | 5,260,147 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
See Financial Highlights for dividend and capital gains information.
10
S&P 500 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2016 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P 500 Value Index Fund ETF Shares Market Price | 13.00% | 92.66% | 109.88% |
S&P 500 Value Index Fund ETF Shares Net Asset | |||
Value | 13.03 | 92.62 | 109.79 |
S&P 500 Value Index | 13.17 | 93.95 | 111.66 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2016
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | 3.12% | 11.00% | 12.95% | |
Net Asset Value | 3.25 | 11.01 | 12.96 | |
Institutional Shares | 3/3/2015 | 3.33 | — | 1.50 |
11
S&P 500 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
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%)1 | |||
Consumer Discretionary (7.0%) | |||
Time Warner Inc. | 41,668 | 3,267 | |
Comcast Corp. Class A | 47,400 | 3,093 | |
Ford Motor Co. | 206,752 | 2,605 | |
General Motors Co. | 74,247 | 2,370 | |
Target Corp. | 31,224 | 2,192 | |
McDonald’s Corp. | 15,816 | 1,829 | |
Johnson Controls Inc. | 34,356 | 1,508 | |
Carnival Corp. | 23,234 | 1,111 | |
Yum! Brands Inc. | 10,363 | 940 | |
Genuine Parts Co. | 7,929 | 815 | |
Viacom Inc. Class B | 18,367 | 741 | |
Whirlpool Corp. | 4,026 | 719 | |
Twenty-First Century | |||
Fox Inc. Class A | 27,289 | 670 | |
Mattel Inc. | 18,041 | 598 | |
Macy’s Inc. | 16,342 | 591 | |
Best Buy Co. Inc. | 14,941 | 575 | |
Coach Inc. | 14,733 | 562 | |
Omnicom Group Inc. | 6,426 | 553 | |
VF Corp. | 8,663 | 537 | |
Dollar General Corp. | 7,068 | 519 | |
Harley-Davidson Inc. | 9,597 | 506 | |
CBS Corp. Class B | 9,904 | 505 | |
PVH Corp. | 4,295 | 463 | |
Kohl’s Corp. | 9,735 | 432 | |
Tiffany & Co. | 5,810 | 415 | |
BorgWarner Inc. | 11,533 | 397 | |
Bed Bath & Beyond Inc. | 8,181 | 379 | |
Darden Restaurants Inc. | 6,044 | 373 | |
News Corp. Class A | 25,881 | 364 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 4,645 | 360 | |
PulteGroup Inc. | 16,660 | 356 | |
^ | Nordstrom Inc. | 6,802 | 343 |
Ralph Lauren Corp. Class A | 3,022 | 313 | |
Garmin Ltd. | 6,206 | 305 | |
Gap Inc. | 12,021 | 299 | |
Staples Inc. | 34,193 | 293 |
Twenty-First Century Fox Inc. | 10,722 | 266 | |
Wynn Resorts Ltd. | 2,890 | 258 | |
* | CarMax Inc. | 4,304 | 254 |
^ | Marriott International Inc. | ||
Class A | 3,430 | 245 | |
Goodyear Tire & Rubber Co. | 7,459 | 219 | |
Royal Caribbean Cruises Ltd. | 2,933 | 209 | |
* | AutoNation Inc. | 3,767 | 178 |
Interpublic Group of Cos. Inc. 7,678 | 178 | ||
Foot Locker Inc. | 2,522 | 166 | |
* | Urban Outfitters Inc. | 4,581 | 164 |
* | Michael Kors Holdings Ltd. | 3,174 | 155 |
Scripps Networks | |||
Interactive Inc. Class A | 2,365 | 150 | |
Leggett & Platt Inc. | 2,703 | 142 | |
Harman International | |||
Industries Inc. | 1,608 | 136 | |
TEGNA Inc. | 5,644 | 114 | |
H&R Block Inc. | 4,039 | 87 | |
34,819 | |||
Consumer Staples (10.3%) | |||
Procter & Gamble Co. | 141,040 | 12,314 | |
Wal-Mart Stores Inc. | 80,918 | 5,781 | |
Coca-Cola Co. | 99,027 | 4,301 | |
Philip Morris | |||
International Inc. | 36,988 | 3,696 | |
PepsiCo Inc. | 34,441 | 3,677 | |
CVS Health Corp. | 30,731 | 2,870 | |
Kraft Heinz Co. | 31,571 | 2,825 | |
Costco Wholesale Corp. | 12,999 | 2,107 | |
Colgate-Palmolive Co. | 21,767 | 1,618 | |
Walgreens Boots | |||
Alliance Inc. | 19,691 | 1,589 | |
Sysco Corp. | 27,769 | 1,440 | |
Archer-Daniels-Midland Co. | 31,135 | 1,362 | |
Tyson Foods Inc. Class A | 15,925 | 1,203 | |
Kimberly-Clark Corp. | 8,588 | 1,100 | |
Kroger Co. | 27,292 | 873 | |
General Mills Inc. | 11,969 | 848 | |
Whole Foods Market Inc. | 17,012 | 517 | |
Kellogg Co. | 5,877 | 483 |
12
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
ConAgra Foods Inc. | 9,945 | 464 | |
Molson Coors Brewing Co. | |||
Class B | 4,391 | 449 | |
Mead Johnson Nutrition Co. | 4,946 | 421 | |
JM Smucker Co. | 2,664 | 378 | |
Hershey Co. | 3,346 | 334 | |
McCormick & Co. Inc. | 1,950 | 199 | |
50,849 | |||
Energy (12.5%) | |||
Exxon Mobil Corp. | 219,710 | 19,146 | |
Chevron Corp. | 99,862 | 10,044 | |
Schlumberger Ltd. | 73,625 | 5,816 | |
ConocoPhillips | 65,618 | 2,694 | |
Kinder Morgan Inc. | 96,959 | 2,119 | |
Halliburton Co. | 45,530 | 1,958 | |
Phillips 66 | 24,786 | 1,944 | |
Occidental Petroleum Corp. | 23,877 | 1,835 | |
Valero Energy Corp. | 24,894 | 1,378 | |
Spectra Energy Corp. | 36,255 | 1,291 | |
EOG Resources Inc. | 13,705 | 1,213 | |
Marathon Petroleum Corp. | 28,075 | 1,193 | |
Baker Hughes Inc. | 23,204 | 1,140 | |
Anadarko Petroleum Corp. | 15,147 | 810 | |
Noble Energy Inc. | 22,710 | 783 | |
Hess Corp. | 13,969 | 759 | |
Marathon Oil Corp. | 44,916 | 675 | |
National Oilwell Varco Inc. | 19,981 | 670 | |
EQT Corp. | 9,154 | 654 | |
Williams Cos. Inc. | 22,802 | 637 | |
Devon Energy Corp. | 13,884 | 602 | |
Apache Corp. | 11,634 | 578 | |
ONEOK Inc. | 11,134 | 522 | |
Cabot Oil & Gas Corp. | 14,270 | 351 | |
* | Southwestern Energy Co. | 25,082 | 349 |
Range Resources Corp. | 8,996 | 347 | |
Helmerich & Payne Inc. | 5,726 | 346 | |
* | Concho Resources Inc. | 2,654 | 343 |
* | FMC Technologies Inc. | 11,976 | 338 |
Tesoro Corp. | 3,555 | 268 | |
Cimarex Energy Co. | 1,759 | 232 | |
Murphy Oil Corp. | 8,564 | 229 | |
* | Chesapeake Energy Corp. | 30,956 | 197 |
* | Transocean Ltd. | 18,164 | 176 |
* | Newfield Exploration Co. | 4,058 | 176 |
Diamond Offshore Drilling Inc. 3,400 | 63 | ||
61,876 | |||
Financials (24.6%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 99,287 | 14,942 | |
JPMorgan Chase & Co. | 193,750 | 13,078 | |
Wells Fargo & Co. | 244,799 | 12,436 | |
Bank of America Corp. | 544,263 | 8,784 | |
Citigroup Inc. | 155,509 | 7,424 | |
US Bancorp | 85,987 | 3,796 | |
American International | |||
Group Inc. | 59,293 | 3,548 |
Goldman Sachs Group Inc. | 20,470 | 3,469 |
Chubb Ltd. | 24,611 | 3,124 |
American Express Co. | 42,833 | 2,809 |
MetLife Inc. | 58,215 | 2,527 |
PNC Financial Services | ||
Group Inc. | 26,458 | 2,384 |
Bank of New York | ||
Mellon Corp. | 57,071 | 2,378 |
Capital One Financial Corp. | 27,135 | 1,943 |
Prudential Financial Inc. | 23,421 | 1,859 |
Travelers Cos. Inc. | 15,494 | 1,839 |
BB&T Corp. | 43,495 | 1,675 |
Aflac Inc. | 21,936 | 1,627 |
State Street Corp. | 20,980 | 1,474 |
Allstate Corp. | 19,837 | 1,368 |
Morgan Stanley | 42,431 | 1,360 |
Simon Property Group Inc. | 6,230 | 1,342 |
Discover Financial Services | 21,843 | 1,311 |
SunTrust Banks Inc. | 26,554 | 1,170 |
M&T Bank Corp. | 8,426 | 997 |
HCP Inc. | 24,750 | 973 |
BlackRock Inc. | 2,600 | 969 |
CME Group Inc. | 8,793 | 953 |
Marsh & McLennan | ||
Cos. Inc. | 13,258 | 897 |
Hartford Financial | ||
Services Group Inc. | 20,845 | 856 |
Fifth Third Bancorp | 40,681 | 820 |
KeyCorp | 57,382 | 721 |
Synchrony Financial | 25,630 | 713 |
Franklin Resources Inc. | 19,527 | 713 |
Ventas Inc. | 9,676 | 703 |
Principal Financial Group Inc. | 14,284 | 701 |
Invesco Ltd. | 22,111 | 690 |
Regions Financial Corp. | 67,122 | 669 |
Weyerhaeuser Co. | 19,794 | 630 |
Lincoln National Corp. | 12,665 | 608 |
Loews Corp. | 14,192 | 594 |
Aon plc | 5,335 | 594 |
Welltower Inc. | 7,567 | 581 |
Citizens Financial Group Inc. | 22,145 | 549 |
Progressive Corp. | 16,683 | 543 |
Vornado Realty Trust | 4,796 | 495 |
Ameriprise Financial Inc. | 4,570 | 462 |
Unum Group | 12,600 | 449 |
Comerica Inc. | 9,281 | 439 |
Boston Properties Inc. | 2,931 | 411 |
Host Hotels & Resorts Inc. | 20,593 | 367 |
Willis Towers Watson plc | 2,930 | 363 |
SL Green Realty Corp. | 3,081 | 363 |
General Growth | ||
Properties Inc. | 12,048 | 351 |
Leucadia National Corp. | 17,665 | 338 |
Zions Bancorporation | 10,830 | 331 |
Northern Trust Corp. | 4,312 | 304 |
T. Rowe Price Group Inc. | 4,341 | 302 |
13
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Iron Mountain Inc. | 7,714 | 296 | |
Huntington Bancshares Inc. | 29,274 | 293 | |
Macerich Co. | 3,540 | 290 | |
Cincinnati Financial Corp. | 3,685 | 284 | |
Digital Realty Trust Inc. | 2,719 | 269 | |
People’s United Financial Inc. | 16,448 | 267 | |
Navient Corp. | 17,488 | 251 | |
Realty Income Corp. | 3,819 | 251 | |
Arthur J Gallagher & Co. | 4,405 | 218 | |
Federal Realty | |||
Investment Trust | 1,274 | 203 | |
Legg Mason Inc. | 5,573 | 193 | |
Torchmark Corp. | 2,791 | 181 | |
Apartment Investment | |||
& Management Co. | 3,813 | 172 | |
Nasdaq Inc. | 2,315 | 165 | |
Assurant Inc. | 1,806 | 162 | |
* | Affiliated Managers | ||
Group Inc. | 1,081 | 154 | |
121,765 | |||
Health Care (12.0%) | |||
Merck & Co. Inc. | 146,665 | 9,209 | |
Johnson & Johnson | 74,330 | 8,871 | |
Pfizer Inc. | 154,248 | 5,368 | |
UnitedHealth Group Inc. | 21,664 | 2,947 | |
Medtronic plc | 32,783 | 2,853 | |
AbbVie Inc. | 38,564 | 2,472 | |
* | Express Scripts Holding Co. | 33,530 | 2,438 |
McKesson Corp. | 11,924 | 2,201 | |
Amgen Inc. | 12,340 | 2,099 | |
Bristol-Myers Squibb Co. | 35,381 | 2,031 | |
Abbott Laboratories | 45,151 | 1,897 | |
Anthem Inc. | 13,933 | 1,743 | |
Eli Lilly & Co. | 19,559 | 1,521 | |
Cardinal Health Inc. | 17,264 | 1,375 | |
Baxter International Inc. | 29,263 | 1,367 | |
Thermo Fisher Scientific Inc. | 7,090 | 1,079 | |
Danaher Corp. | 10,795 | 879 | |
Zimmer Biomet Holdings Inc. | 5,913 | 766 | |
Humana Inc. | 4,186 | 748 | |
Stryker Corp. | 6,326 | 732 | |
* | HCA Holdings Inc. | 9,255 | 699 |
Quest Diagnostics Inc. | 7,496 | 621 | |
* | Vertex Pharmaceuticals Inc. | 6,554 | 619 |
St. Jude Medical Inc. | 7,382 | 575 | |
Agilent Technologies Inc. | 10,943 | 514 | |
* | Mylan NV | 11,943 | 506 |
* | Intuitive Surgical Inc. | 727 | 499 |
Zoetis Inc. | 8,467 | 433 | |
* | Mallinckrodt plc | 5,794 | 432 |
Perrigo Co. plc | 4,402 | 401 | |
Dentsply Sirona Inc. | 5,710 | 351 | |
* | Henry Schein Inc. | 1,346 | 221 |
* | Varian Medical Systems Inc. | 2,269 | 218 |
Universal Health | |||
Services Inc. Class B | 1,803 | 217 |
* | DaVita HealthCare | ||
Partners Inc. | 2,758 | 178 | |
* | Endo International plc | 7,148 | 148 |
Patterson Cos. Inc. | 2,070 | 95 | |
59,323 | |||
Industrials (10.8%) | |||
General Electric Co. | 219,257 | 6,850 | |
United Technologies Corp. | 41,238 | 4,389 | |
Union Pacific Corp. | 26,738 | 2,554 | |
Caterpillar Inc. | 30,937 | 2,535 | |
3M Co. | 13,498 | 2,419 | |
Honeywell International Inc. | 19,384 | 2,262 | |
FedEx Corp. | 13,228 | 2,182 | |
United Parcel Service Inc. | |||
Class B | 16,829 | 1,838 | |
Emerson Electric Co. | 34,089 | 1,796 | |
Eaton Corp. plc | 24,268 | 1,615 | |
Delta Air Lines Inc. | 40,885 | 1,502 | |
Norfolk Southern Corp. | 15,671 | 1,471 | |
CSX Corp. | 50,649 | 1,432 | |
Lockheed Martin Corp. | 5,689 | 1,382 | |
Deere & Co. | 15,820 | 1,338 | |
General Dynamics Corp. | 8,373 | 1,275 | |
PACCAR Inc. | 18,571 | 1,111 | |
Cummins Inc. | 8,396 | 1,055 | |
American Airlines Group Inc. | 28,079 | 1,019 | |
Raytheon Co. | 6,924 | 970 | |
Ingersoll-Rand plc | 13,643 | 928 | |
* | United Continental | ||
Holdings Inc. | 17,789 | 897 | |
Illinois Tool Works Inc. | 7,541 | 896 | |
Parker-Hannifin Corp. | 7,137 | 874 | |
Waste Management Inc. | 10,290 | 658 | |
L-3 Communications | |||
Holdings Inc. | 4,078 | 607 | |
Dover Corp. | 8,222 | 596 | |
Textron Inc. | 14,246 | 582 | |
Kansas City Southern | 5,723 | 554 | |
Tyco International plc | 12,401 | 542 | |
Rockwell Automation Inc. | 3,590 | 416 | |
WW Grainger Inc. | 1,764 | 407 | |
Fluor Corp. | 7,379 | 383 | |
* | Jacobs Engineering | ||
Group Inc. | 6,462 | 340 | |
Republic Services Inc. | |||
Class A | 6,665 | 337 | |
Nielsen Holdings plc | 6,310 | 336 | |
Flowserve Corp. | 6,909 | 334 | |
Fortive Corp. | 5,398 | 284 | |
Xylem Inc. | 5,584 | 284 | |
CH Robinson Worldwide Inc. | 3,926 | 273 | |
Fastenal Co. | 6,110 | 263 | |
* | United Rentals Inc. | 2,765 | 228 |
Pentair plc | 3,541 | 227 | |
* | Quanta Services Inc. | 7,990 | 206 |
Pitney Bowes Inc. | 9,997 | 188 |
14
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Ryder System Inc. | 2,839 | 186 | |
Expeditors International | |||
of Washington Inc. | 3,566 | 181 | |
JB Hunt Transport | |||
Services Inc. | 1,931 | 153 | |
Robert Half International Inc. | 3,057 | 117 | |
Dun & Bradstreet Corp. | 825 | 114 | |
53,386 | |||
Information Technology (8.4%) | |||
Intel Corp. | 147,617 | 5,298 | |
Cisco Systems Inc. | 157,237 | 4,943 | |
QUALCOMM Inc. | 77,832 | 4,909 | |
International Business | |||
Machines Corp. | 28,546 | 4,535 | |
Oracle Corp. | 82,457 | 3,399 | |
EMC Corp. | 103,493 | 3,000 | |
* | Yahoo! Inc. | 46,307 | 1,980 |
Texas Instruments Inc. | 19,689 | 1,369 | |
HP Inc. | 90,641 | 1,302 | |
Corning Inc. | 56,980 | 1,293 | |
Automatic Data | |||
Processing Inc. | 9,897 | 889 | |
Hewlett Packard | |||
Enterprise Co. | 38,743 | 832 | |
Symantec Corp. | 32,445 | 783 | |
TE Connectivity Ltd. | 10,991 | 699 | |
Western Digital Corp. | 14,914 | 696 | |
Seagate Technology plc | 15,817 | 534 | |
CA Inc. | 15,681 | 532 | |
NetApp Inc. | 15,319 | 530 | |
Fidelity National Information | |||
Services Inc. | 6,470 | 513 | |
Xerox Corp. | 50,459 | 497 | |
* | Micron Technology Inc. | 28,576 | 471 |
* | Autodesk Inc. | 4,515 | 304 |
Linear Technology Corp. | 5,195 | 303 | |
Xilinx Inc. | 5,369 | 291 | |
KLA-Tencor Corp. | 3,955 | 274 | |
Harris Corp. | 2,907 | 270 | |
Western Union Co. | 12,494 | 269 | |
Motorola Solutions Inc. | 3,364 | 259 | |
* | First Solar Inc. | 4,061 | 154 |
* | F5 Networks Inc. | 1,172 | 144 |
* | Teradata Corp. | 4,124 | 131 |
FLIR Systems Inc. | 3,711 | 114 | |
CSRA Inc. | 4,134 | 105 | |
41,622 | |||
Materials (3.5%) | |||
Dow Chemical Co. | 59,495 | 3,191 | |
EI du Pont de | |||
Nemours & Co. | 25,457 | 1,772 | |
Monsanto Co. | 11,574 | 1,233 | |
Newmont Mining Corp. | 28,112 | 1,075 | |
International Paper Co. | 21,788 | 1,057 | |
Praxair Inc. | 7,709 | 941 | |
Air Products & Chemicals Inc. | 5,359 | 834 |
Nucor Corp. | 16,847 | 817 | |
Freeport-McMoRan Inc. | 70,475 | 725 | |
Alcoa Inc. | 69,687 | 702 | |
LyondellBasell Industries | |||
NV Class A | 8,322 | 657 | |
WestRock Co. | 13,386 | 641 | |
PPG Industries Inc. | 5,499 | 582 | |
Mosaic Co. | 18,537 | 557 | |
Eastman Chemical Co. | 7,878 | 535 | |
Albemarle Corp. | 5,951 | 476 | |
Ball Corp. | 4,325 | 342 | |
FMC Corp. | 7,088 | 333 | |
CF Industries Holdings Inc. | 12,353 | 321 | |
Sealed Air Corp. | 4,486 | 211 | |
* | Owens-Illinois Inc. | 8,571 | 154 |
17,156 | |||
Telecommunication Services (4.4%) | |||
AT&T Inc. | 326,178 | 13,334 | |
Verizon | |||
Communications Inc. | 129,591 | 6,781 | |
CenturyLink Inc. | 28,935 | 804 | |
* | Level 3 | ||
Communications Inc. | 9,065 | 450 | |
Frontier | |||
Communications Corp. | 62,066 | 286 | |
21,655 | |||
Utilities (6.3%) | |||
NextEra Energy Inc. | 24,451 | 2,957 | |
Duke Energy Corp. | 36,503 | 2,908 | |
Southern Co. | 49,731 | 2,553 | |
American Electric | |||
Power Co. Inc. | 26,034 | 1,681 | |
Exelon Corp. | 48,844 | 1,661 | |
PG&E Corp. | 26,284 | 1,628 | |
Dominion Resources Inc. | 19,265 | 1,429 | |
Sempra Energy | 12,560 | 1,314 | |
Edison International | 17,264 | 1,255 | |
PPL Corp. | 35,870 | 1,248 | |
Consolidated Edison Inc. | 16,117 | 1,213 | |
Public Service Enterprise | |||
Group Inc. | 26,808 | 1,146 | |
Xcel Energy Inc. | 26,916 | 1,113 | |
WEC Energy Group Inc. | 16,726 | 1,002 | |
Eversource Energy | 16,809 | 907 | |
DTE Energy Co. | 9,508 | 883 | |
Entergy Corp. | 9,472 | 741 | |
FirstEnergy Corp. | 22,505 | 737 | |
Ameren Corp. | 12,858 | 635 | |
CMS Energy Corp. | 14,793 | 621 | |
SCANA Corp. | 7,574 | 535 | |
CenterPoint Energy Inc. | 22,819 | 513 | |
Alliant Energy Corp. | 12,036 | 457 | |
Pinnacle West Capital Corp. | 5,890 | 442 | |
AES Corp. | 34,922 | 421 | |
NiSource Inc. | 17,014 | 407 |
15
S&P 500 Value Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
American Water | ||
Works Co. Inc. | 4,234 | 313 |
NRG Energy Inc. | 16,667 | 202 |
30,922 | ||
Total Common Stocks | ||
(Cost $453,609) | 493,373 | |
Temporary Cash Investments (0.1%)1 | ||
Money Market Fund (0.1%) | ||
2,3 Vanguard Market Liquidity | ||
Fund, 0.612% | 3,433 | 343 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4,5 Federal Home Loan | ||
Bank Discount Notes, | ||
0.431%, 1/25/17 | 300 | 300 |
Total Temporary Cash Investments | ||
(Cost $643) | 643 | |
Total Investments (99.9%) | ||
(Cost $454,252) | 494,016 | |
Amount | ||
($000) | ||
Other Assets and Liabilities (0.1%) | ||
Other Assets | ||
Investment in Vanguard | 37 | |
Receivables for Accrued Income | 1,473 | |
Total Other Assets | 1,510 | |
Liabilities | ||
Payables for Investment | ||
Securities Purchased | (806) | |
Collateral for Securities on Loan | (311) | |
Payables to Vanguard | (131) | |
Other Liabilities | (6) | |
Total Liabilities | (1,254) | |
Net Assets (100%) | 494,272 |
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 460,132 |
Undistributed Net Investment Income | 2,455 |
Accumulated Net Realized Losses | (8,082) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 39,764 |
Futures Contracts | 3 |
Net Assets | 494,272 |
ETF Shares—Net Assets | |
Applicable to 5,275,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 487,453 |
Net Asset Value Per Share— | |
ETF Shares | $92.41 |
Institutional Shares—Net Assets | |
Applicable to 33,650 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 6,819 |
Net Asset Value Per Share— | |
Institutional Shares | $202.64 |
• See Note A in Notes to Financial Statements.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $299,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and –0.1%, respectively,
of net assets.
2 Includes $311,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P 500 Value Index Fund
Statement of Operations
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 10,075 |
Interest1 | 4 |
Securities Lending—Net | 10 |
Total Income | 10,089 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 62 |
Management and Administrative—ETF Shares | 366 |
Management and Administrative—Institutional Shares | 4 |
Marketing and Distribution—ETF Shares | 24 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 34 |
Auditing Fees | 32 |
Shareholders’ Reports—ETF Shares | 15 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 537 |
Net Investment Income | 9,552 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 2,955 |
Futures Contracts | 114 |
Realized Net Gain (Loss) | 3,069 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 35,911 |
Futures Contracts | 61 |
Change in Unrealized Appreciation (Depreciation) | 35,972 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 48,593 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $3,000 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P 500 Value Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 9,552 | 6,202 |
Realized Net Gain (Loss) | 3,069 | 11,788 |
Change in Unrealized Appreciation (Depreciation) | 35,972 | (26,705) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 48,593 | (8,715) |
Distributions | ||
Net Investment Income | ||
ETF Shares | (8,238) | (5,543) |
Institutional Shares | (245) | (92) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (8,483) | (5,635) |
Capital Share Transactions | ||
ETF Shares | 173,732 | 84,010 |
Institutional Shares | (4,966) | 12,094 |
Net Increase (Decrease) from Capital Share Transactions | 168,766 | 96,104 |
Total Increase (Decrease) | 208,876 | 81,754 |
Net Assets | ||
Beginning of Period | 285,396 | 203,642 |
End of Period1 | 494,272 | 285,396 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,455,000 and $1,386,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P 500 Value Index Fund
Financial Highlights
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $83.75 | $88.54 | $73.72 | $61.42 | $53.59 |
Investment Operations | |||||
Net Investment Income | 2.125 | 1.932 | 1.702 | 1.584 | 1.329 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 8.605 | (4.838) | 14.824 | 12.242 | 7.734 |
Total from Investment Operations | 10.730 | (2.906) | 16.526 | 13.826 | 9.063 |
Distributions | |||||
Dividends from Net Investment Income | (2.070) | (1.884) | (1.706) | (1.526) | (1.233) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.070) | (1.884) | (1.706) | (1.526) | (1.233) |
Net Asset Value, End of Period | $92.41 | $83.75 | $88.54 | $73.72 | $61.42 |
Total Return | 13.03% | -3.41% | 22.64% | 22.79% | 17.16% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $487 | $274 | $204 | $118 | $52 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.64% | 2.37% | 2.31% | 2.45% | 2.43% |
Portfolio Turnover Rate1 | 22% | 23% | 25% | 25% | 20% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | |||||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P 500 Value Index Fund
Financial Highlights
Institutional Shares | ||
Year | March 3, | |
Ended | 20151 to | |
August 31, | August 31, | |
For a Share Outstanding Throughout Each Period | 2016 | 2015 |
Net Asset Value, Beginning of Period | $183.75 | $199.34 |
Investment Operations | ||
Net Investment Income | 4.765 | 2.352 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.875 | (15.830) |
Total from Investment Operations | 23.640 | (13.478) |
Distributions | ||
Dividends from Net Investment Income | (4.750) | (2.112) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (4.750) | (2.112) |
Net Asset Value, End of Period | $202.64 | $183.75 |
Total Return | 13.09% | -6.84% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $7 | $11 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.71% | 2.44%2 |
Portfolio Turnover Rate 3 | 22% | 23% |
1 Inception. | ||
2 Annualized. | ||
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | ||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
20
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
21
S&P 500 Value Index Fund
During the year ended August 31, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2013–2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
22
S&P 500 Value Index Fund
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $37,000, representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 493,373 | — | — |
Temporary Cash Investments | 343 | 300 | — |
Futures Contracts—Liabilities1 | (2) | — | — |
Total | 493,714 | 300 | — |
1 Represents variation margin on the last day of the reporting period. |
23
S&P 500 Value Index Fund
D. At August 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 7 | 759 | 3 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2016, the fund realized $8,423,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2016, the fund had $2,546,000 of ordinary income available for distribution. The fund had available capital losses totaling $8,079,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2016, the cost of investment securities for tax purposes was $454,252,000.
Net unrealized appreciation of investment securities for tax purposes was $39,764,000 consisting of unrealized gains of $47,789,000 on securities that had risen in value since their purchase and $8,025,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2016, the fund purchased $282,240,000 of investment securities and sold $111,618,000 of investment securities, other than temporary cash investments. Purchases and sales include $203,621,000 and $33,783,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2016, such purchases and sales were $42,241,000 and $39,799,000 respectively; these amounts are included in the purchases and sales of investment securities noted above.
24
S&P 500 Value Index Fund
G. Capital share transactions for each class of shares were: |
Year Ended August 31, | ||||
2016 | 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 215,592 | 2,500 | 129,195 | 1,475 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (41,860) | (500) | (45,185) | (500) |
Net Increase (Decrease)—ETF Shares | 173,732 | 2,000 | 84,010 | 975 |
Institutional Shares1 | ||||
Issued | 39 | — | 12,002 | 60 |
Issued in Lieu of Cash Distributions | 245 | 1 | 92 | —2 |
Redeemed | (5,250) | (28) | — | — |
Net Increase (Decrease) —Institutional Shares | (4,966) | (27) | 12,094 | 60 |
1 Inception was March 3, 2015, for Institutional Shares. | ||||
2 Represents less than 1,000 shares. |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
25
S&P 500 Growth Index Fund
Fund Profile
As of August 31, 2016
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 316 | 316 | 3,817 |
Median Market Cap | $88.9B | $88.9B | $51.2B |
Price/Earnings Ratio | 24.3x | 24.3x | 23.5x |
Price/Book Ratio | 4.9x | 4.9x | 2.8x |
Return on Equity | 21.1% | 20.7% | 16.6% |
Earnings Growth | |||
Rate | 11.9% | 11.9% | 7.5% |
Dividend Yield | 1.6% | 1.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 20% | — | — |
Ticker Symbol | VOOG | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 1.49% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 17.3% | 17.3% | 12.9% |
Consumer Staples | 9.8 | 9.8 | 8.9 |
Energy | 1.6 | 1.6 | 6.4 |
Financials | 8.2 | 8.1 | 18.0 |
Health Care | 17.2 | 17.2 | 14.1 |
Industrials | 9.1 | 9.1 | 10.4 |
Information Technology | 33.2 | 33.3 | 20.3 |
Materials | 2.4 | 2.4 | 3.3 |
Telecommunication | |||
Services | 0.9 | 0.9 | 2.4 |
Utilities | 0.3 | 0.3 | 3.3 |
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.95 |
Beta | 1.00 | 1.02 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Technology | |
Hardware, Storage & | ||
Peripherals | 6.1% | |
Alphabet Inc. | Internet Software & | |
Services | 4.8 | |
Microsoft Corp. | Systems Software | 4.7 |
Amazon.com Inc. | Internet Retail | 3.1 |
Facebook Inc. | Internet Software & | |
Services | 3.1 | |
Home Depot Inc. | Home Improvement | |
Retail | 1.8 | |
Johnson & Johnson | Pharmaceuticals | 1.7 |
General Electric Co. | Industrial | |
Conglomerates | 1.7 | |
Visa Inc. | Data Processing & | |
Outsourced Services | 1.6 | |
Walt Disney Co. | Movies & | |
Entertainment | 1.5 | |
Top Ten | 30.1% | |
The holdings listed exclude any temporary cash investments and | ||
equity index products. |
Investment Focus
1 The expense ratio shown is from the prospectus dated December 14, 2015, and represents estimated costs for the current fiscal year. For the fiscal
year ended August 31, 2016, the expense ratio was 0.15%.
26
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.
Cumulative Performance: September 7, 2010, Through August 31, 2016
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended August 31, 2016 | |||||
Since | Final Value | ||||
One | Five | Inception | of a $10,000 | ||
Year | Years | (9/7/2010) | Investment | ||
S&P 500 Growth Index Fund*ETF | |||||
Shares Net Asset Value | 11.62% | 14.96% | 15.57% | $23,763 | |
S&P 500 Growth Index Fund*ETF | |||||
Shares Market Price | 11.63 | 14.96 | 15.58 | 23,772 | |
•••••••• | S&P 500 Growth Index | 11.77 | 15.13 | 15.75 | 23,981 |
– – – – | Large-Cap Growth Funds Average | 6.69 | 12.88 | 13.26 | 21,061 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 11.34 | 14.40 | 14.48 | 22,460 | |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2016 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P 500 Growth Index Fund ETF Shares Market | |||
Price | 11.63% | 100.82% | 137.72% |
S&P 500 Growth Index Fund ETF Shares Net Asset | |||
Value | 11.62 | 100.83 | 137.63 |
S&P 500 Growth Index | 11.77 | 102.27 | 139.81 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
See Financial Highlights for dividend and capital gains information.
27
S&P 500 Growth Index Fund
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2016
Average Annual Total Returns: Periods Ended June 30, 2016
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.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | 3.95% | 12.74% | 15.21% | |
Net Asset Value | 4.11 | 12.75 | 15.22 |
28
S&P 500 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2016
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%)1 | |||
Consumer Discretionary (17.2%) | |||
* | Amazon.com Inc. | 41,858 | 32,196 |
Home Depot Inc. | 134,579 | 18,050 | |
Walt Disney Co. | 161,480 | 15,253 | |
Comcast Corp. Class A | 164,780 | 10,754 | |
Starbucks Corp. | 158,478 | 8,911 | |
NIKE Inc. Class B | 144,047 | 8,303 | |
* | Priceline Group Inc. | 5,366 | 7,602 |
Lowe’s Cos. Inc. | 95,861 | 7,339 | |
McDonald’s Corp. | 62,678 | 7,249 | |
TJX Cos. Inc. | 71,517 | 5,538 | |
* | Netflix Inc. | 46,339 | 4,516 |
* | O’Reilly Automotive Inc. | 10,447 | 2,925 |
Newell Brands Inc. | 52,156 | 2,768 | |
Ross Stores Inc. | 43,465 | 2,705 | |
* | AutoZone Inc. | 3,239 | 2,403 |
* | Dollar Tree Inc. | 25,485 | 2,108 |
Delphi Automotive plc | 29,527 | 2,086 | |
L Brands Inc. | 27,371 | 2,086 | |
Yum! Brands Inc. | 22,890 | 2,076 | |
* | Ulta Salon Cosmetics | ||
& Fragrance Inc. | 6,799 | 1,681 | |
Twenty-First Century | |||
Fox Inc. Class A | 62,825 | 1,542 | |
* | Mohawk Industries Inc. | 6,876 | 1,463 |
Expedia Inc. | 12,756 | 1,392 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 3,153 | 1,305 | |
CBS Corp. Class B | 24,705 | 1,261 | |
Advance Auto Parts Inc. | 7,943 | 1,250 | |
Tractor Supply Co. | 14,430 | 1,211 | |
* | LKQ Corp. | 33,179 | 1,197 |
Dollar General Corp. | 16,269 | 1,194 | |
VF Corp. | 18,534 | 1,150 | |
DR Horton Inc. | 35,665 | 1,143 | |
Omnicom Group Inc. | 12,568 | 1,082 | |
Hanesbrands Inc. | 40,693 | 1,080 | |
Hasbro Inc. | 12,118 | 991 | |
^ | Marriott International Inc. | ||
Class A | 13,591 | 969 |
Lennar Corp. Class A | 19,780 | 936 | |
Royal Caribbean | |||
Cruises Ltd. | 12,165 | 865 | |
Wyndham Worldwide Corp. | 12,091 | 856 | |
*,^ | Under Armour Inc. Class A | 19,778 | 784 |
* | TripAdvisor Inc. | 12,351 | 753 |
* | CarMax Inc. | 12,181 | 718 |
* | Under Armour Inc. | 19,887 | 709 |
Signet Jewelers Ltd. | 8,508 | 697 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 8,749 | 678 | |
Interpublic Group of | |||
Cos. Inc. | 27,844 | 644 | |
Foot Locker Inc. | 9,541 | 626 | |
* | Michael Kors Holdings Ltd. | 12,717 | 623 |
Twenty-First Century | |||
Fox Inc. | 24,597 | 611 | |
* | Discovery | ||
Communications Inc. | 24,253 | 602 | |
Leggett & Platt Inc. | 9,026 | 474 | |
* | Discovery Communications | ||
Inc. Class A | 16,250 | 415 | |
Goodyear Tire & Rubber Co. | 13,580 | 399 | |
Harman International | |||
Industries Inc. | 4,330 | 367 | |
H&R Block Inc. | 16,580 | 359 | |
Scripps Networks | |||
Interactive Inc. Class A | 5,430 | 344 | |
Wynn Resorts Ltd. | 2,901 | 259 | |
TEGNA Inc. | 12,124 | 246 | |
177,744 | |||
Consumer Staples (9.8%) | |||
Altria Group Inc. | 211,653 | 13,988 | |
Coca-Cola Co. | 219,034 | 9,513 | |
Philip Morris | |||
International Inc. | 92,301 | 9,224 | |
PepsiCo Inc. | 85,948 | 9,175 | |
Mondelez International Inc. | |||
Class A | 167,908 | 7,559 | |
CVS Health Corp. | 53,455 | 4,993 | |
Reynolds American Inc. | 89,554 | 4,439 |
29
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Walgreens Boots | |||
Alliance Inc. | 53,287 | 4,301 | |
Colgate-Palmolive Co. | 52,165 | 3,878 | |
Costco Wholesale Corp. | 20,848 | 3,379 | |
Constellation Brands Inc. | |||
Class A | 19,093 | 3,132 | |
General Mills Inc. | 39,875 | 2,824 | |
Kimberly-Clark Corp. | 21,432 | 2,745 | |
* | Monster Beverage Corp. | 15,224 | 2,343 |
Estee Lauder Cos. Inc. | |||
Class A | 24,045 | 2,146 | |
Dr Pepper Snapple | |||
Group Inc. | 20,075 | 1,881 | |
Clorox Co. | 13,968 | 1,830 | |
Kroger Co. | 47,469 | 1,519 | |
Church & Dwight Co. Inc. | 13,920 | 1,384 | |
ConAgra Foods Inc. | 26,906 | 1,254 | |
Kellogg Co. | 15,234 | 1,252 | |
Campbell Soup Co. | 19,357 | 1,175 | |
Molson Coors Brewing Co. | |||
Class B | 10,938 | 1,119 | |
Hormel Foods Corp. | 29,176 | 1,116 | |
JM Smucker Co. | 7,512 | 1,065 | |
Brown-Forman Corp. | |||
Class B | 21,720 | 1,054 | |
McCormick & Co. Inc. | 8,472 | 864 | |
Mead Johnson Nutrition Co. | 10,087 | 858 | |
Hershey Co. | 8,410 | 840 | |
100,850 | |||
Energy (1.6%) | |||
Pioneer Natural | |||
Resources Co. | 17,697 | 3,169 | |
EOG Resources Inc. | 31,559 | 2,793 | |
Occidental Petroleum Corp. | 33,880 | 2,604 | |
Anadarko Petroleum Corp. | 24,249 | 1,297 | |
* | Concho Resources Inc. | 9,652 | 1,247 |
Devon Energy Corp. | 28,342 | 1,228 | |
Cimarex Energy Co. | 6,665 | 881 | |
Apache Corp. | 17,182 | 854 | |
Williams Cos. Inc. | 27,285 | 762 | |
* | Newfield Exploration Co. | 12,964 | 562 |
Cabot Oil & Gas Corp. | 21,095 | 519 | |
Tesoro Corp. | 5,682 | 428 | |
16,344 | |||
Financials (8.1%) | |||
American Tower | |||
Corporation | 45,936 | 5,208 | |
Simon Property Group Inc. | 20,754 | 4,472 | |
Charles Schwab Corp. | 130,120 | 4,094 | |
Intercontinental | |||
Exchange Inc. | 12,877 | 3,632 | |
Public Storage | 15,939 | 3,569 | |
S&P Global Inc. | 28,628 | 3,537 | |
Crown Castle | |||
International Corp. | 36,454 | 3,455 | |
BlackRock Inc. | 8,302 | 3,095 |
Prologis Inc. | 56,843 | 3,019 | |
Equinix Inc. | 7,513 | 2,770 | |
AvalonBay Communities Inc. | 14,833 | 2,596 | |
Equity Residential | 39,545 | 2,565 | |
Morgan Stanley | 77,127 | 2,473 | |
CME Group Inc. | 18,652 | 2,021 | |
Moody’s Corp. | 18,280 | 1,987 | |
Marsh & McLennan Cos. Inc. | 29,282 | 1,980 | |
Aon plc | 17,768 | 1,978 | |
Welltower Inc. | 23,126 | 1,775 | |
Essex Property Trust Inc. | 7,073 | 1,606 | |
Boston Properties Inc. | 10,615 | 1,487 | |
Kimco Realty Corp. | 45,394 | 1,364 | |
Realty Income Corp. | 20,065 | 1,319 | |
Weyerhaeuser Co. | 40,343 | 1,285 | |
T. Rowe Price Group Inc. | 17,969 | 1,250 | |
Ventas Inc. | 16,809 | 1,221 | |
General Growth | |||
Properties Inc. | 38,407 | 1,119 | |
Willis Towers Watson plc | 8,976 | 1,113 | |
Extra Space Storage Inc. | 13,527 | 1,090 | |
Synchrony Financial | 37,820 | 1,052 | |
* | XL Group Ltd. | 30,694 | 1,051 |
UDR Inc. | 28,908 | 1,046 | |
Digital Realty Trust Inc. | 10,300 | 1,021 | |
Northern Trust Corp. | 14,384 | 1,015 | |
Vornado Realty Trust | 9,393 | 970 | |
Progressive Corp. | 29,015 | 945 | |
* | CBRE Group Inc. Class A | 31,528 | 942 |
Ameriprise Financial Inc. | 8,712 | 881 | |
Federal Realty | |||
Investment Trust | 5,056 | 804 | |
* | E*TRADE Financial Corp. | 30,366 | 801 |
Host Hotels & Resorts Inc. | 38,810 | 692 | |
Cincinnati Financial Corp. | 8,457 | 652 | |
Huntington Bancshares Inc. | 57,515 | 576 | |
Nasdaq Inc. | 7,716 | 549 | |
SL Green Realty Corp. | 4,546 | 535 | |
Macerich Co. | 6,389 | 523 | |
* | Affiliated Managers | ||
Group Inc. | 3,597 | 511 | |
Arthur J Gallagher & Co. | 10,158 | 502 | |
Torchmark Corp. | 6,495 | 420 | |
Apartment Investment | |||
& Management Co. | 9,145 | 413 | |
Iron Mountain Inc. | 10,100 | 388 | |
Citizens Financial Group Inc. | 12,021 | 298 | |
Assurant Inc. | 3,132 | 280 | |
83,947 | |||
Health Care (17.1%) | |||
Johnson & Johnson | 145,804 | 17,400 | |
Pfizer Inc. | 341,175 | 11,873 | |
Gilead Sciences Inc. | 144,084 | 11,293 | |
* | Allergan plc | 42,786 | 10,035 |
Amgen Inc. | 56,082 | 9,537 | |
* | Celgene Corp. | 83,798 | 8,945 |
30
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
UnitedHealth Group Inc. | 58,624 | 7,976 | |
Medtronic plc | 85,193 | 7,414 | |
* | Biogen Inc. | 23,702 | 7,244 |
Bristol-Myers Squibb Co. | 108,352 | 6,218 | |
AbbVie Inc. | 96,234 | 6,169 | |
Eli Lilly & Co. | 65,160 | 5,066 | |
Aetna Inc. | 37,928 | 4,442 | |
Thermo Fisher Scientific Inc. | 28,089 | 4,275 | |
Becton Dickinson and Co. | 22,960 | 4,069 | |
Cigna Corp. | 27,758 | 3,560 | |
* | Boston Scientific Corp. | 146,790 | 3,497 |
Danaher Corp. | 42,775 | 3,482 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 8,432 | 3,310 | |
* | Alexion Pharmaceuticals Inc. | 24,232 | 3,050 |
Abbott Laboratories | 66,756 | 2,805 | |
* | Illumina Inc. | 15,921 | 2,680 |
* | Edwards Lifesciences Corp. | 22,915 | 2,639 |
Stryker Corp. | 21,074 | 2,437 | |
* | Cerner Corp. | 32,552 | 2,101 |
* | Intuitive Surgical Inc. | 2,636 | 1,809 |
CR Bard Inc. | 7,932 | 1,752 | |
AmerisourceBergen Corp. | |||
Class A | 19,857 | 1,727 | |
Zoetis Inc. | 32,048 | 1,638 | |
* | Laboratory Corp. of | ||
America Holdings | 11,072 | 1,516 | |
* | Waters Corp. | 8,730 | 1,373 |
Humana Inc. | 7,564 | 1,352 | |
* | Vertex Pharmaceuticals Inc. | 13,348 | 1,261 |
* | Centene Corp. | 18,415 | 1,258 |
Zimmer Biomet Holdings Inc. | 9,482 | 1,229 | |
St. Jude Medical Inc. | 15,670 | 1,221 | |
* | HCA Holdings Inc. | 13,773 | 1,041 |
* | Mylan NV | 24,347 | 1,031 |
* | Hologic Inc. | 26,480 | 1,017 |
* | Henry Schein Inc. | 6,111 | 1,001 |
Dentsply Sirona Inc. | 13,628 | 838 | |
* | DaVita HealthCare | ||
Partners Inc. | 12,099 | 782 | |
Universal Health | |||
Services Inc. Class B | 6,050 | 729 | |
PerkinElmer Inc. | 11,760 | 626 | |
Agilent Technologies Inc. | 13,125 | 617 | |
Perrigo Co. plc | 6,536 | 595 | |
* | Varian Medical Systems Inc. | 5,686 | 547 |
Patterson Cos. Inc. | 4,788 | 220 | |
* | Endo International plc | 7,552 | 156 |
176,853 | |||
Industrials (9.1%) | |||
General Electric Co. | 547,140 | 17,093 | |
Boeing Co. | 64,785 | 8,386 | |
3M Co. | 38,060 | 6,822 | |
Honeywell International Inc. | 42,880 | 5,005 | |
United Parcel Service Inc. | |||
Class B | 40,338 | 4,406 |
Northrop Grumman Corp. | 19,527 | 4,141 | |
Lockheed Martin Corp. | 16,707 | 4,059 | |
Union Pacific Corp. | 36,387 | 3,476 | |
Southwest Airlines Co. | 69,094 | 2,548 | |
Raytheon Co. | 18,001 | 2,522 | |
Illinois Tool Works Inc. | 19,614 | 2,331 | |
General Dynamics Corp. | 13,986 | 2,129 | |
Stanley Black & Decker Inc. | 16,240 | 2,010 | |
Roper Technologies Inc. | 10,931 | 1,941 | |
Equifax Inc. | 12,852 | 1,695 | |
* | TransDigm Group Inc. | 5,740 | 1,637 |
Waste Management Inc. | 23,657 | 1,513 | |
Nielsen Holdings plc | 26,147 | 1,393 | |
* | Verisk Analytics Inc. | ||
Class A | 16,703 | 1,387 | |
Acuity Brands Inc. | 4,744 | 1,305 | |
Masco Corp. | 35,991 | 1,277 | |
AMETEK Inc. | 25,263 | 1,232 | |
Rockwell Collins Inc. | 14,050 | 1,176 | |
Fortive Corp. | 21,323 | 1,123 | |
Cintas Corp. | 9,383 | 1,103 | |
Fortune Brands Home | |||
& Security Inc. | 16,594 | 1,055 | |
Snap-on Inc. | 6,288 | 964 | |
Tyco International plc | 20,684 | 903 | |
Alaska Air Group Inc. | 13,351 | 902 | |
Fastenal Co. | 18,729 | 807 | |
Pentair plc | 12,324 | 789 | |
* | Stericycle Inc. | 9,164 | 788 |
Rockwell Automation Inc. | 6,784 | 786 | |
Allegion plc | 10,330 | 736 | |
Expeditors International | |||
of Washington Inc. | 12,411 | 629 | |
Republic Services Inc. | |||
Class A | 12,091 | 611 | |
WW Grainger Inc. | 2,521 | 581 | |
CH Robinson Worldwide Inc. | 7,382 | 512 | |
JB Hunt Transport | |||
Services Inc. | 5,689 | 452 | |
Xylem Inc. | 7,908 | 402 | |
* | United Rentals Inc. | 4,051 | 333 |
Dun & Bradstreet Corp. | 2,222 | 306 | |
Robert Half International Inc. | 7,928 | 304 | |
93,570 | |||
Information Technology (33.2%) | |||
Apple Inc. | 592,562 | 62,871 | |
Microsoft Corp. | 850,359 | 48,862 | |
* | Facebook Inc. Class A | 250,100 | 31,543 |
* | Alphabet Inc. Class A | 31,768 | 25,092 |
* | Alphabet Inc. Class C | 31,959 | 24,514 |
Visa Inc. Class A | 206,065 | 16,671 | |
MasterCard Inc. Class A | 105,019 | 10,148 | |
Accenture plc Class A | 67,487 | 7,761 | |
Intel Corp. | 209,444 | 7,517 | |
Broadcom Ltd. | 40,122 | 7,078 | |
Cisco Systems Inc. | 223,089 | 7,014 |
31
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Oracle Corp. | 168,352 | 6,939 | |
International Business | |||
Machines Corp. | 37,267 | 5,921 | |
* | Adobe Systems Inc. | 54,107 | 5,536 |
* | salesforce.com Inc. | 68,896 | 5,472 |
Texas Instruments Inc. | 68,437 | 4,759 | |
* | PayPal Holdings Inc. | 119,295 | 4,432 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 65,551 | 3,765 | |
* | eBay Inc. | 114,348 | 3,677 |
Applied Materials Inc. | 117,823 | 3,516 | |
NVIDIA Corp. | 54,874 | 3,366 | |
Intuit Inc. | 27,675 | 3,084 | |
* | Electronic Arts Inc. | 32,621 | 2,650 |
Automatic Data | |||
Processing Inc. | 29,075 | 2,611 | |
* | Fiserv Inc. | 24,057 | 2,479 |
Activision Blizzard Inc. | 55,016 | 2,276 | |
Hewlett Packard | |||
Enterprise Co. | 100,675 | 2,163 | |
Paychex Inc. | 34,620 | 2,100 | |
Analog Devices Inc. | 33,239 | 2,079 | |
Amphenol Corp. Class A | 33,253 | 2,072 | |
Lam Research Corp. | 17,271 | 1,612 | |
Skyworks Solutions Inc. | 20,552 | 1,539 | |
* | Citrix Systems Inc. | 16,771 | 1,462 |
Microchip Technology Inc. | 23,212 | 1,437 | |
* | Red Hat Inc. | 19,585 | 1,429 |
Fidelity National Information | |||
Services Inc. | 16,789 | 1,332 | |
* | Alliance Data Systems Corp. | 6,379 | 1,305 |
Global Payments Inc. | 16,658 | 1,265 | |
* | Akamai Technologies Inc. | 19,004 | 1,043 |
TE Connectivity Ltd. | 16,191 | 1,029 | |
* | Autodesk Inc. | 15,014 | 1,012 |
Total System Services Inc. | 18,235 | 898 | |
Xilinx Inc. | 16,523 | 896 | |
* | Micron Technology Inc. | 53,857 | 888 |
Linear Technology Corp. | 15,227 | 887 | |
Juniper Networks Inc. | 38,146 | 880 | |
* | Qorvo Inc. | 13,850 | 795 |
Motorola Solutions Inc. | 10,289 | 792 | |
* | VeriSign Inc. | 10,325 | 769 |
Harris Corp. | 7,556 | 703 | |
KLA-Tencor Corp. | 8,756 | 606 | |
* | F5 Networks Inc. | 4,934 | 606 |
Western Union Co. | 28,044 | 604 | |
FLIR Systems Inc. | 7,223 | 223 | |
* | Teradata Corp. | 5,678 | 180 |
CSRA Inc. | 6,378 | 162 | |
342,322 | |||
Materials (2.4%) | |||
Ecolab Inc. | 28,572 | 3,516 | |
EI du Pont de | |||
Nemours & Co. | 42,531 | 2,960 |
Monsanto Co. | 23,663 | 2,520 | |
Sherwin-Williams Co. | 8,503 | 2,412 | |
PPG Industries Inc. | 17,535 | 1,857 | |
Praxair Inc. | 15,096 | 1,842 | |
Vulcan Materials Co. | 14,382 | 1,638 | |
LyondellBasell Industries | |||
NV Class A | 20,059 | 1,582 | |
Air Products & | |||
Chemicals Inc. | 10,088 | 1,570 | |
Martin Marietta | |||
Materials Inc. | 6,893 | 1,262 | |
International Flavors | |||
& Fragrances Inc. | 8,628 | 1,196 | |
Ball Corp. | 9,967 | 789 | |
Avery Dennison Corp. | 9,617 | 745 | |
Sealed Air Corp. | 12,153 | 573 | |
24,462 | |||
Telecommunication Services (1.0%) | |||
Verizon | |||
Communications Inc. | 176,394 | 9,231 | |
* | Level 3 | ||
Communications Inc. | 12,837 | 637 | |
9,868 | |||
Utilities (0.3%) | |||
Dominion Resources Inc. | 27,325 | 2,027 | |
American Water | |||
Works Co. Inc. | 10,557 | 781 | |
2,808 | |||
Total Common Stocks | |||
(Cost $883,442) | 1,028,768 | ||
Temporary Cash Investments (0.2%)1 | |||
Money Market Fund (0.2%) | |||
2,3 | Vanguard Market Liquidity | ||
Fund, 0.612% | 18,967 | 1,897 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.410%, 9/21/16 | 100 | 100 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.511%, 10/12/16 | 100 | 100 | |
200 | |||
Total Temporary Cash Investments | |||
(Cost $2,096) | 2,097 | ||
Total Investments (100.0%) | |||
(Cost $885,538) | 1,030,865 |
32
S&P 500 Growth Index Fund
Amount | |
($000) | |
Other Assets and Liabilities (0.0%) | |
Other Assets | |
Investment in Vanguard | 76 |
Receivables for Accrued Income | 1,536 |
Receivables for Capital Shares Issued | 6 |
Total Other Assets | 1,618 |
Liabilities | |
Payables for Investment | |
Securities Purchased | (1) |
Collateral for Securities on Loan | (1,038) |
Payables to Vanguard | (238) |
Other Liabilities | (10) |
Total Liabilities | (1,287) |
Net Assets (100%) | 1,031,196 |
At August 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 904,329 |
Undistributed Net Investment Income | 3,020 |
Accumulated Net Realized Losses | (21,500) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 145,327 |
Futures Contracts | 20 |
Net Assets | 1,031,196 |
ETF Shares—Net Assets | |
Applicable to 9,450,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,031,196 |
Net Asset Value Per Share— | |
ETF Shares | $109.12 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $995,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively,
of net assets.
2 Includes $1,038,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is
the 7-day yield.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by
the full faith and credit of the U.S. government.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
33
S&P 500 Growth Index Fund
Statement of Operations
Year Ended | |
August 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 13,370 |
Interest1 | 8 |
Securities Lending—Net | 3 |
Total Income | 13,381 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 131 |
Management and Administrative | 854 |
Marketing and Distribution | 59 |
Custodian Fees | 41 |
Auditing Fees | 32 |
Shareholders’ Reports | 30 |
Total Expenses | 1,147 |
Net Investment Income | 12,234 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (12,686) |
Futures Contracts | 275 |
Realized Net Gain (Loss) | (12,411) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 90,276 |
Futures Contracts | 57 |
Change in Unrealized Appreciation (Depreciation) | 90,333 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 90,156 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $7,000 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P 500 Growth Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 12,234 | 7,674 |
Realized Net Gain (Loss) | (12,411) | 13,679 |
Change in Unrealized Appreciation (Depreciation) | 90,333 | (8,177) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 90,156 | 13,176 |
Distributions | ||
Net Investment Income | (10,749) | (6,944) |
Realized Capital Gain | — | — |
Total Distributions | (10,749) | (6,944) |
Capital Share Transactions | ||
Issued | 409,258 | 302,814 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (27,919) | (63,511) |
Net Increase (Decrease) from Capital Share Transactions | 381,339 | 239,303 |
Total Increase (Decrease) | 460,746 | 245,535 |
Net Assets | ||
Beginning of Period | 570,450 | 324,915 |
End of Period1 | 1,031,196 | 570,450 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,020,000 and $1,535,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
35
S&P 500 Growth Index Fund
Financial Highlights
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $99.21 | $96.99 | $77.29 | $68.43 | $58.81 |
Investment Operations | |||||
Net Investment Income | 1.565 | 1.523 | 1.257 | 1.291 | 1.135 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 9.857 | 2.193 | 19.715 | 8.848 | 9.543 |
Total from Investment Operations | 11.422 | 3.716 | 20.972 | 10.139 | 10.678 |
Distributions | |||||
Dividends from Net Investment Income | (1.512) | (1.496) | (1.272) | (1.279) | (1.058) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.512) | (1.496) | (1.272) | (1.279) | (1.058) |
Net Asset Value, End of Period | $109.12 | $99.21 | $96.99 | $77.29 | $68.43 |
Total Return | 11.62% | 3.80% | 27.33% | 15.00% | 18.38% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,031 | $570 | $325 | $147 | $96 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.59% | 1.62% | 1.56% | 1.81% | 1.82% |
Portfolio Turnover Rate1 | 20% | 21% | 23% | 24% | 22% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | |||||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
36
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. 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 August 31, 2016.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values.
37
S&P 500 Growth Index Fund
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, 2013–2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
38
S&P 500 Growth Index Fund
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2016, the fund had contributed to Vanguard capital in the amount of $76,000, representing 0.01% of the fund’s net assets and 0.03% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,028,768 | — | — |
Temporary Cash Investments | 1,897 | 200 | — |
Futures Contracts—Liabilities1 | (5) | — | — |
Total | 1,030,660 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 19 | 2,061 | 20 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
39
S&P 500 Growth Index Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2016, the fund realized $8,022,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2016, the fund had $3,181,000 of ordinary income available for distribution. The fund had available capital losses totaling $21,480,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2016, the cost of investment securities for tax purposes was $885,538,000. Net unrealized appreciation of investment securities for tax purposes was $145,327,000, consisting of unrealized gains of $154,179,000 on securities that had risen in value since their purchase and $8,852,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2016, the fund purchased $562,355,000 of investment securities and sold $180,584,000 of investment securities, other than temporary cash investments. Purchases and sales include $398,626,000 and $23,415,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2016, such purchases and sales were $65,340,000 and $66,449,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital shares issued and redeemed were:
Year Ended August 31, | ||
2016 | 2015 | |
Shares | Shares | |
(000) | (000) | |
Issued | 3,975 | 3,025 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (275) | (625) |
Net Increase (Decrease) in Shares Outstanding | 3,700 | 2,400 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2016, that would require recognition or disclosure in these financial statements.
40
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and the Shareholders of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund (constituting separate portfolios of Vanguard Admiral Funds, hereafter referred to as the “Funds”) at August 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2016 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 18, 2016
41
Special 2016 tax information (unaudited) for Vanguard S&P 500 Index Funds
This information for the fiscal year ended August 31, 2016, is included pursuant to provisions of the
Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Fund | ($000) |
S&P 500 Value Index | 8,483 |
S&P 500 Growth Index | 10,749 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund | Percentage |
S&P 500 Value Index | 99.7% |
S&P 500 Growth Index | 96.1 |
42
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income, using actual prior-year figures and estimates for 2016. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: S&P 500 Value and Growth Index Funds | |||
Periods Ended August 31, 2016 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P 500 Value Index Fund ETF Shares | |||
Returns Before Taxes | 13.03% | 14.01% | 13.19% |
Returns After Taxes on Distributions | 12.39 | 13.48 | 12.71 |
Returns After Taxes on Distributions and Sale of Fund Shares | 7.83 | 11.22 | 10.66 |
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P 500 Growth Index Fund ETF Shares | |||
Returns Before Taxes | 11.62% | 14.96% | 15.57% |
Returns After Taxes on Distributions | 11.23 | 14.59 | 15.22 |
Returns After Taxes on Distributions and Sale of Fund Shares | 6.86 | 12.03 | 12.70 |
43
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
44
Six Months Ended August 31, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2016 | 8/31/2016 | Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,146.66 | $0.87 |
Institutional Shares | 1,000.00 | 1,147.09 | 0.49 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,123.90 | $0.86 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.33 | $0.81 |
Institutional Shares | 1,000.00 | 1,024.68 | 0.46 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.33 | $0.81 |
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 S&P 500 Value Index Fund, 0.16% for ETF Shares and 0.09% for Institutional Shares; and for the S&P 500 Growth Index
Fund, 0.16%. 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 peiod, then divided by the number of days in the most
recent 12-month period (184/366).
45
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard S&P 500 Value Index Fund and S&P 500 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Equity Index Group—serves as investment advisor for each fund. The board determined that continuing each fund’s internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year directing the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they had received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratios charged by funds in its respective peer group and that each fund’s advisory expenses were also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
46
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
47
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
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.
48
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
49
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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 198 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 |
F. William McNabb III |
Born 1957. Trustee Since July 2009. Chairman of |
the Board. Principal Occupation(s) During the Past |
Five Years and Other Experience: Chairman of the |
Board of The Vanguard Group, Inc., and of each of |
the investment companies served by The Vanguard |
Group, since January 2010; Director of The Vanguard |
Group since 2008; Chief Executive Officer and |
President of The Vanguard Group, and of each of |
the investment companies served by The Vanguard |
Group, since 2008; Director of Vanguard Marketing |
Corporation; Managing Director of The Vanguard |
Group (1995–2008). |
IndependentTrustees |
Emerson U. Fullwood |
Born 1948. Trustee Since January 2008. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 2009–2010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (2006–2008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President of the University of |
Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and |
Sciences, and Professor of Communication, Annenberg |
School for Communication, with secondary faculty |
appointments in the Department of Philosophy, School |
of Arts and Sciences, and at the Graduate School of |
Education, University of Pennsylvania; Trustee of the |
National Constitution Center; Chair of the Presidential |
Commission for the Study of Bioethical Issues. |
JoAnn Heffernan Heisen |
Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: Corporate Vice President and |
Chief Global Diversity Officer (retired 2008) and |
Member of the Executive Committee (1997–2008) |
of Johnson & Johnson (pharmaceuticals/medical |
devices/consumer products); Director of Skytop |
Lodge Corporation (hotels) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Women’s Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2009) of Cummins Inc. (industrial machinery); |
Chairman of the Board of Hillenbrand, Inc. (specialized |
consumer services), and of Oxfam America; Director |
of SKF AB (industrial machinery), Hyster-Yale Materials |
Handling, Inc. (forklift trucks), the Lumina Foundation |
for Education, and the V Foundation for Cancer |
Research; Member of the Advisory Council for the |
College of Arts and Letters and of the Advisory Board |
to the Kellogg Institute for International Studies, both |
at the University of Notre Dame. |
Mark Loughridge |
Born 1953. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chief Investment Officer and Vice |
President at the University of Notre Dame; Assistant |
Professor of Finance at the Mendoza College of |
Business at Notre Dame; Member of the Notre Dame |
403(b) Investment Committee, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: George Gund Professor of Finance and |
Banking, Emeritus at the Harvard Business School |
(retired 2011); Chief Investment Officer and Managing |
Partner of HighVista Strategies LLC (private investment |
firm); Director of Rand Merchant Bank; Overseer of |
the Museum of Fine Arts Boston. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President and Chief Operating |
Officer (retired 2010) of Corning Incorporated |
(communications equipment); Chairman of the |
Board of Trustees of Colby-Sawyer College; |
Member of the Advisory Board of the Norris |
Cotton Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); Assistant Controller of each of | |
the investment companies served by The Vanguard | |
Group (2001–2010). | |
Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | |
Years and Other Experience: Principal of The Vanguard | |
Group, Inc.; Chief Financial Officer of each of the | |
investment companies served by The Vanguard Group; | |
Treasurer of each of the investment companies served | |
by The Vanguard Group (1998–2008). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: Managing Director of The Vanguard | |
Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | |
investment companies served by The Vanguard Group; | |
Director and Senior Vice President of Vanguard | |
Marketing Corporation. | |
Vanguard Senior ManagementTeam | |
Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | The index is a product of S&P Dow Jones Indices LLC |
Direct Investor Account Services > 800-662-2739 | (“SPDJI”), and has been licensed for use by Vanguard. |
Standard & Poor’s® and S&P® are registered | |
Institutional Investor Services > 800-523-1036 | trademarks of Standard & Poor’s Financial Services LLC |
Text Telephone for People | (“S&P”); Dow Jones® is a registered trademark of Dow |
Who Are Deaf or Hard of Hearing> 800-749-7273 | Jones Trademark Holdings LLC (“Dow Jones”); S&P® |
and S&P 500® are trademarks of S&P; and these | |
This material may be used in conjunction | trademarks have been licensed for use by SPDJI and |
with the offering of shares of any Vanguard | sublicensed for certain purposes by Vanguard. |
fund only if preceded or accompanied by | Vanguard product(s) are not sponsored, endorsed, sold |
or promoted by SPDJI, Dow Jones, S&P, or their | |
the fund’s current prospectus. | respective affiliates and none of such parties make any |
All comparative mutual fund data are from Lipper, a | representation regarding the advisability of investing in |
Thomson Reuters Company, or Morningstar, Inc., unless | such product(s) nor do they have any liability for any |
otherwise noted. | errors, omissions, or interruptions of the index. |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18400 102016 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s
principal executive officer, principal financial officer, principal accounting officer or controller or
persons performing similar functions. The Code of Ethics was amended during the reporting
period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been
determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to
be independent: Rajiv L. Gupta, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge,
and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended August 31, 2016: $286,000
Fiscal Year Ended August 31, 2015: $229,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2016: $9,629,849
Fiscal Year Ended August 31, 2015: $7,000,200
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc. and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2016: $2,717,627
Fiscal Year Ended August 31, 2015: $2,899,096
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended August 31, 2016: $254,050
Fiscal Year Ended August 31, 2015: $353,389
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended August 31, 2016: $214,225
Fiscal Year Ended August 31, 2015: $202,313
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended August 31, 2016: $468,275
Fiscal Year Ended August 31, 2015: $555,702
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: Emerson U. Fullwood, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and Peter F. Volanakis.
Item 6: Investments.
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: October 17, 2016 |
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: October 17, 2016 | |
|
VANGUARD ADMIRAL FUNDS |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: October 17, 2016 |
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on October 4, 2016 see file Number 33-32548, Incorporated by Reference.
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