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, 2017 – August 31, 2018 | ||
Item 1: Reports to Shareholders |
Annual Report | August 31, 2018
Vanguard Money Market Funds
Vanguard Prime Money Market Fund
Vanguard Federal Money Market Fund
Vanguard Treasury Money Market Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
CEO’s Perspective. | 3 |
Advisor’s Report. | 5 |
Prime Money Market Fund. | 7 |
Federal Money Market Fund. | 26 |
Treasury Money Market Fund. | 42 |
About Your Fund’s Expenses. | 55 |
Trustees Approve Advisory Arrangements. | 57 |
Glossary. | 59 |
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.
Your Fund’s Performance at a Glance
• For the 12 months ended August 31, 2018, Vanguard Prime Money Market Fund returned 1.59% for Investor Shares and 1.66% for Admiral Shares. Vanguard Federal Money Market Fund returned 1.42% and Vanguard Treasury Money Market Fund 1.43%. All three funds surpassed the average returns of their peers.
• The Federal Reserve raised the federal funds rate three times during the period, pushing its target range to 1.75%–2%. With the economy expanding, unemployment low, and inflation near the Fed’s target of 2%, additional rate hikes are expected.
• In addition to their low expense ratios, all three funds benefited from adding U.S.
Treasury bills, which cheapened on the prospect of rising rates. Exposure to floating-rate notes, which adjust more quickly than fixed-rate securities to changes in interest rates, also added value.
• In the Prime Money Market Fund, dollar-denominated issuance from Canadian, Australian, and Northern European banks was modestly positive.
Total Returns: Fiscal Year Ended August 31, 2018 | ||
7-Day SEC | Total | |
Yield | Returns | |
Vanguard Prime Money Market Fund | ||
Investor Shares | 2.08% | 1.59% |
Admiral™ Shares | 2.14 | 1.66 |
Money Market Funds Average | 1.16 | |
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Vanguard Federal Money Market Fund | 1.93% | 1.42% |
Government Money Market Funds Average | 0.87 | |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Vanguard Treasury Money Market Fund | 1.95% | 1.43% |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average | 0.92 | |
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, 2018 | |
Average | |
Annual Return | |
Prime Money Market Fund Investor Shares | 0.43% |
Money Market Funds Average | 0.23 |
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Federal Money Market Fund | 0.34% |
Government Money Market Funds Average | 0.15 |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Treasury Money Market Fund | 0.29% |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average | 0.13 |
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% | 0.50% |
Admiral Shares | 0.10 | 0.50 |
Federal Money Market Fund | 0.11 | 0.48 |
Treasury Money Market Fund | 0.09 | 0.40 |
The fund expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, 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%; and for the Treasury Money Market Fund, 0.09%.
Peer groups: For the Prime Money Market Fund Investor Shares and Admiral Shares, 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 Funds.
2
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
3
We have been enjoying one of the longest bull markets in history, but it won’t continue forever. Prepare yourself now for how you will react when volatility comes back. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline
is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Mortimer J. Buckley
President and Chief Executive Officer
September 13, 2018
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2018 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.82% | 15.84% | 14.36% |
Russell 2000 Index (Small-caps) | 25.45 | 16.11 | 13.00 |
Russell 3000 Index (Broad U.S. market) | 20.25 | 15.86 | 14.25 |
FTSE All-World ex US Index (International) | 3.51 | 8.31 | 5.82 |
Bonds | |||
Bloomberg Barclays U. S. Aggregate Bond Index | |||
(Broad taxable market) | -1.05% | 1.76% | 2.49% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | 0.49 | 2.71 | 4.12 |
FTSE Three-Month U. S. Treasury Bill Index | 1.49 | 0.74 | 0.44 |
CPI | |||
Consumer Price Index | 2.70% | 1.90% | 1.52% |
4
Advisor’s Report
For the 12 months ended August 31, 2018, Vanguard Prime Money Market Fund returned 1.59% for Investor Shares, while Admiral Shares, with their lower expense ratio, returned 1.66%. Vanguard Federal Money Market Fund returned 1.42% and Vanguard Treasury Money Market Fund 1.43%. Each fund outpaced the average return of its peer group.
Vanguard would like to thank David Glocke, who retired at the end of June, for his skillful stewardship of the Vanguard Money Market Funds over the last two decades. He was also instrumental in developing the depth and breadth of our money market fund management team, which includes John Lanius and Nafis Smith, the current managers of the funds covered in this report.
The investment environment
Macroeconomic fundamentals were robust throughout the 12 months. Despite two brief federal government shutdowns early in 2018 and ongoing trade uncertainties, business confidence held up and consumer spending remained solid. Unemployment hit an 18-year low, finishing the period at 3.9%. The tax cuts enacted in late 2017 and the March passage of a bill increasing federal spending added to optimism about growth. Inflation moved up to hover near the Federal Reserve’s 2% target with some help from an increase in the price of oil.
The Fed, acknowledging the economy’s health, moved further down the path toward monetary policy normalization. It continued
shrinking the $4.5 trillion balance sheet it had amassed as part of the monetary stimulus it began providing in the wake of the 2007–2009 financial crisis. The Fed raised the federal funds target rate in December, March, and June, to 1.75%–2%, and penciled in additional hikes this year and next. (It raised rates another quarter percentage point just after the close of the funds’ fiscal year.)
Demand for longer-term U.S. Treasury bonds was supported at times by escalating trade tensions, political uncertainty in Europe, and geopolitical flare-ups. But the outlook for continuing growth and rising inflation expectations led yields on these securities to end the period higher.
The rise in shorter-term bond yields, which are more influenced by Fed action, was more pronounced.
Management of the funds
As the supply of Treasury bills increased between February and April, we began buying them to increase our funds’ safety and liquidity, while reducing our purchases of short-dated bank products.
We extended the funds’ weighted average life as the spread between 3-month U.S. dollar London Interbank Offered Rate (LIBOR) and the 3-month Overnight Indexed Swap (OIS) widened between February and April. LIBOR is a short-term bank funding rate, and OIS represents market expectations for the path of short-term interest rates. The LIBOR–OIS
5
spread is considered a measure of the health of the banking system. We believe that this widening episode was not systemic, so we took the opportunity to extend the funds’ weighted average life.
We continued to buy floating-rate notes for the protection they provide in a rising-rate environment. Their yields reset periodically, often monthly, to reflect prevailing interest rates. When rates are rising, these securities help the funds’ yields adjust upward more quickly than if they were holding only fixed-rate instruments.
We manage the funds with an emphasis on safety and liquidity above all else, resulting in a bias toward high-quality assets. Our funds are nonetheless able to achieve competitive returns because of the persistent competitive advantage provided by their low operating costs compared with those of their peer groups.
The outlook
In the absence of any external shocks, the U.S. economy is on pace to break above its long-term potential growth rate in 2018 given the tax cuts and increased government spending coming on top of solid fundamentals. That, along with some upward pressure on wages given how tight the labor market has become, may put the U.S. core personal consumption expenditures price index a little above 2% at the end of 2018.
We see this bounce as cyclical, however, and still expect long-term structural pressures from an aging population, global sourcing of goods and labor, and technological disruptions to result in moderate long-run growth and inflation.
Some upward adjustments to the Fed’s assumptions—the economy growing a little faster, unemployment falling a little lower, and inflation running a little higher—should justify further rate hikes this year and next.
We may continue to see bouts of volatility related to inflation and interest rate expectations. Other potential triggers include the midterm elections, an intensification of trade disputes, flare-ups in geopolitical tensions, Brexit uncertainty, and missteps by central banks.
As always, whatever the markets may bring, our experienced team of portfolio managers, credit analysts, and traders will continue to seek out opportunities to produce competitive returns.
John C. Lanius, Portfolio Manager
Nafis T. Smith, Portfolio Manager
Vanguard Fixed Income Group
September 26, 2018
6
Prime Money Market Fund
Fund Profile
As of August 31, 2018
Financial Attributes | ||
Investor | Admiral | |
Shares | Shares | |
Ticker Symbol | VMMXX | VMRXX |
Expense Ratio1 | 0.16% | 0.10% |
7-Day SEC Yield | 2.08% | 2.14% |
Average Weighted | ||
Maturity | 48 days | 48 days |
Sector Diversification (% of portfolio) | ||
Certificates of Deposit | 6.8% | |
U.S. Commercial Paper | 2.7 | |
Repurchase Agreements | 0.3 | |
U.S. Government Obligations | 5.4 | |
U.S. Treasury Bills | 29.0 | |
Yankee/Foreign | 55.8 |
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 ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, the expense ratios were 0.16% for Investor Shares and 0.10% for Admiral Shares.
7
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 the 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, 2008, Through August 31, 2018
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Prime Money Market Fund Investor | ||||
Shares | 1.59% | 0.55% | 0.43% | $10,436 |
Money Market Funds Average | 1.16 | 0.32 | 0.23 | 10,228 |
FTSE Three-Month U.S. Treasury Bill | ||||
Index | 1.49 | 0.44 | 0.31 | 10,334 |
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
See Financial Highlights for dividend information.
8
Prime Money Market Fund | ||||
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Prime Money Market Fund Admiral Shares | 1.66% | 0.61% | 0.51% | $5,260,056 |
Money Market Funds Average | 1.16 | 0.32 | 0.23 | 5,114,234 |
FTSE Three-Month U.S. Treasury Bill Index | 1.49 | 0.44 | 0.31 | 5,167,018 |
Fiscal-Year Total Returns (%): August 31, 2008, Through August 31, 2018
Money | ||
Market | ||
Funds | ||
Investor Shares | Average | |
Fiscal Year | Total Returns | Total Returns |
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 |
2017 | 0.83 | 0.43 |
2018 | 1.59 | 1.16 |
7-day SEC yield (8/31/2018): 2.08%
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 1.43% | 0.48% | 0.43% |
Admiral Shares | 10/3/1989 | 1.49 | 0.54 | 0.51 |
9
Prime Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2018
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 (34.3%) | ||||||
2 | Fannie Mae Discount Notes | 1.931% | 9/5/18 | 79,250 | 79,233 | |
3 | Federal Home Loan Bank Discount | |||||
Notes | 1.911%–1.941% | 9/5/18 | 859,300 | 859,117 | ||
3 | Federal Home Loan Bank Discount | |||||
Notes | 1.924%–1.941% | 9/7/18 | 499,950 | 499,790 | ||
3 | Federal Home Loan Bank Discount | |||||
Notes | 1.941% | 9/11/18 | 125,611 | 125,543 | ||
3 | Federal Home Loan Bank Discount | |||||
Notes | 1.911%–1.931% | 9/12/18 | 1,682,509 | 1,681,521 | ||
3 | Federal Home Loan Bank Discount | |||||
Notes | 1.932% | 9/13/18 | 183,500 | 183,382 | ||
3 | Federal Home Loan Bank Discount | |||||
Notes | 2.057% | 10/26/18 | 922,050 | 919,162 | ||
United States Treasury Bill | 1.901%–1.908% | 9/6/18 | 1,131,244 | 1,130,945 | ||
United States Treasury Bill | 1.901% | 9/13/18 | 250,000 | 249,842 | ||
United States Treasury Bill | 1.955% | 10/11/18 | 3,000,000 | 2,993,517 | ||
United States Treasury Bill | 1.990% | 10/18/18 | 3,000,000 | 2,992,245 | ||
United States Treasury Bill | 1.980%–2.005% | 10/25/18 | 4,500,000 | 4,486,657 | ||
United States Treasury Bill | 2.010% | 11/1/18 | 4,000,000 | 3,986,478 | ||
United States Treasury Bill | 2.020% | 11/8/18 | 3,250,000 | 3,237,680 | ||
United States Treasury Bill | 2.041%–2.048% | 11/15/18 | 3,000,000 | 2,987,298 | ||
United States Treasury Bill | 2.046%–2.102% | 11/23/18 | 4,500,000 | 4,478,521 | ||
United States Treasury Bill | 2.091% | 11/29/18 | 2,000,000 | 1,989,716 | ||
United States Treasury Bill | 2.184% | 1/31/19 | 500,000 | 495,440 | ||
United States Treasury Bill | 2.204% | 2/7/19 | 1,500,000 | 1,485,557 | ||
United States Treasury Bill | 2.204% | 2/14/19 | 1,000,000 | 989,948 | ||
4 | United States Treasury Floating Rate Note | 2.261% | 10/31/18 | 1,500,000 | 1,500,002 | |
Total U.S. Government and Agency Obligations (Cost $37,351,594) | 37,351,594 | |||||
Commercial Paper (39.1%) | ||||||
Bank Holding Company (1.4%) | ||||||
5 | ABN Amro Funding USA LLC | 2.410% | 9/4/18 | 28,750 | 28,744 | |
5 | ABN Amro Funding USA LLC | 2.369% | 10/11/18 | 176,750 | 176,288 | |
5 | ABN Amro Funding USA LLC | 2.368%–2.369% | 10/12/18 | 90,250 | 90,008 |
10
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value • | |||
Yield1 | Date | ($000) | ($000) | ||
5 | ABN Amro Funding USA LLC | 2.368% | 10/17/18 | 100,000 | 99,700 |
5 | ABN Amro Funding USA LLC | 2.369% | 11/2/18 | 102,000 | 101,587 |
5 | ABN Amro Funding USA LLC | 2.369% | 11/6/18 | 148,500 | 147,860 |
5 | ABN Amro Funding USA LLC | 2.369% | 11/16/18 | 47,500 | 47,264 |
5 | ABN Amro Funding USA LLC | 2.263% | 11/19/18 | 25,000 | 24,877 |
5 | ABN Amro Funding USA LLC | 2.348% | 11/20/18 | 32,500 | 32,332 |
5 | ABN Amro Funding USA LLC | 2.369% | 11/21/18 | 32,500 | 32,328 |
5 | ABN Amro Funding USA LLC | 2.369% | 11/27/18 | 9,000 | 8,949 |
5 | ABN Amro Funding USA LLC | 2.369% | 12/3/18 | 92,110 | 91,551 |
Bank of New York Mellon | 2.419% | 9/25/18 | 49,500 | 49,421 | |
Bank of Tokyo-Mitsubishi UFJ Ltd. | |||||
(New York Branch) | 2.338% | 10/19/18 | 494,000 | 492,472 | |
Bank of Tokyo-Mitsubishi UFJ Ltd. | |||||
(New York Branch) | 2.318% | 12/6/18 | 56,000 | 55,657 | |
1,479,038 | |||||
Finance—Auto (1.3%) | |||||
American Honda Finance Corp. | 2.233% | 9/18/18 | 174,325 | 174,142 | |
American Honda Finance Corp. | 2.233% | 9/19/18 | 193,750 | 193,535 | |
American Honda Finance Corp. | 2.222% | 11/5/18 | 30,500 | 30,378 | |
American Honda Finance Corp. | 2.233% | 11/19/18 | 79,250 | 78,864 | |
Toyota Motor Credit Corp. | 2.348% | 10/22/18 | 247,500 | 246,683 | |
Toyota Motor Credit Corp. | 2.348% | 10/24/18 | 247,500 | 246,651 | |
Toyota Motor Credit Corp. | 2.338% | 11/7/18 | 79,000 | 78,659 | |
Toyota Motor Credit Corp. | 2.349% | 11/13/18 | 29,750 | 29,609 | |
Toyota Motor Credit Corp. | 2.349% | 11/14/18 | 56,000 | 55,732 | |
Toyota Motor Credit Corp. | 2.369% | 12/5/18 | 63,750 | 63,355 | |
Toyota Motor Credit Corp. | 2.369% | 12/6/18 | 63,750 | 63,350 | |
Toyota Motor Credit Corp. | 2.307% | 12/14/18 | 150,000 | 149,008 | |
1,409,966 | |||||
Foreign Banks (27.6%) | |||||
5,6 | Australia & New Zealand Banking Group Ltd. | 2.249% | 9/6/18 | 220,000 | 220,000 |
5,6 | Australia & New Zealand Banking Group Ltd. | 2.349% | 9/7/18 | 249,000 | 249,000 |
5,6 | Australia & New Zealand Banking Group Ltd. | 2.333% | 9/10/18 | 255,000 | 255,000 |
5,6 | Australia & New Zealand Banking Group Ltd. | 2.230% | 9/24/18 | 135,500 | 135,500 |
5,6 | Australia & New Zealand Banking Group Ltd. | 2.465% | 9/27/18 | 165,000 | 164,999 |
5,6 | Australia & New Zealand Banking Group Ltd. | 2.273% | 11/29/18 | 524,500 | 524,500 |
5 | Australia & New Zealand Banking Group Ltd. | 2.399% | 12/5/18 | 122,750 | 121,982 |
5,6 | Australia & New Zealand Banking Group Ltd. | 2.289% | 12/6/18 | 150,000 | 149,990 |
5,6 | Australia & New Zealand Banking Group Ltd. | 2.273% | 12/10/18 | 120,000 | 120,000 |
5,6 | Australia & New Zealand Banking Group Ltd. | 2.317% | 12/14/18 | 65,000 | 65,000 |
5 | Australia & New Zealand Banking Group Ltd. | 2.430% | 12/14/18 | 178,500 | 177,262 |
5 | Australia & New Zealand Banking Group Ltd. | 2.420% | 2/25/19 | 500,000 | 494,125 |
5,6 | Australia & New Zealand Banking Group Ltd. | 2.329% | 3/7/19 | 65,000 | 65,000 |
5,6 | Bank of Nova Scotia | 2.507% | 9/19/18 | 34,000 | 34,000 |
5,6 | Bank of Nova Scotia | 2.299% | 9/21/18 | 655,000 | 655,000 |
5 | Bank of Nova Scotia | 2.430% | 11/26/18 | 150,000 | 149,140 |
5,6 | Bank of Nova Scotia | 2.320% | 1/4/19 | 148,750 | 148,750 |
5,6 | Bank of Nova Scotia | 2.313% | 1/15/19 | 500,000 | 500,000 |
5,6 | Bank of Nova Scotia | 2.327% | 1/18/19 | 506,000 | 506,000 |
5,6 | Bank of Nova Scotia | 2.197% | 2/13/19 | 120,000 | 120,000 |
5,6 | Canadian Imperial Bank of Commerce | 2.337% | 1/11/19 | 434,000 | 434,000 |
5,6 | Commonwealth Bank of Australia | 2.256% | 9/24/18 | 136,000 | 136,000 |
5,6 | Commonwealth Bank of Australia | 2.255% | 9/28/18 | 180,000 | 180,000 |
5,6 | Commonwealth Bank of Australia | 2.329% | 2/7/19 | 222,750 | 222,750 |
11
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value • | |||
Yield1 | Date | ($000) | ($000) | ||
5,6 | Commonwealth Bank of Australia | 2.333% | 2/8/19 | 247,500 | 247,500 |
5,6 | Commonwealth Bank of Australia | 2.395% | 2/25/19 | 584,000 | 584,000 |
Credit Suisse AG | 2.354% | 9/14/18 | 940,000 | 939,206 | |
5 | Danske Corp. | 2.253% | 10/26/18 | 45,500 | 45,344 |
5 | Danske Corp. | 2.253% | 10/29/18 | 324,750 | 323,578 |
5 | Danske Corp. | 2.259% | 10/31/18 | 269,500 | 268,492 |
5 | Danske Corp. | 2.254% | 11/1/18 | 106,000 | 105,598 |
5 | Danske Corp. | 2.254% | 11/2/18 | 130,750 | 130,246 |
5 | DNB Bank ASA | 2.343% | 10/1/18 | 500,000 | 499,033 |
5 | DNB Bank ASA | 2.419% | 11/6/18 | 275,000 | 273,795 |
5 | DNB Bank ASA | 2.336% | 11/26/18 | 250,000 | 248,616 |
5,6 | HSBC Bank plc | 2.266% | 10/24/18 | 123,000 | 123,000 |
5,6 | HSBC Bank plc | 2.265% | 10/25/18 | 61,250 | 61,250 |
5,6 | HSBC Bank plc | 2.280% | 11/5/18 | 86,000 | 86,000 |
5,6 | HSBC Bank plc | 2.285% | 11/26/18 | 142,600 | 142,600 |
5,6 | HSBC Bank plc | 2.325% | 1/25/19 | 341,000 | 341,000 |
5,6 | HSBC Bank plc | 2.342% | 2/1/19 | 239,000 | 239,000 |
5,6 | HSBC Bank plc | 2.337% | 2/12/19 | 43,000 | 43,000 |
5,6 | HSBC Bank plc | 2.415% | 2/26/19 | 187,000 | 187,000 |
5,6 | HSBC Bank plc | 2.527% | 4/18/19 | 550,000 | 550,000 |
ING US Funding LLC | 2.308% | 10/4/18 | 118,500 | 118,251 | |
ING US Funding LLC | 2.370% | 11/1/18 | 346,500 | 345,120 | |
ING US Funding LLC | 2.371% | 11/2/18 | 346,500 | 345,098 | |
ING US Funding LLC | 2.328%–2.331% | 12/21/18 | 500,000 | 496,437 | |
ING US Funding LLC | 2.328% | 12/24/18 | 99,035 | 98,311 | |
ING US Funding LLC | 2.329% | 12/27/18 | 68,095 | 67,584 | |
Lloyds Bank plc | 2.368% | 11/21/18 | 179,000 | 178,058 | |
Lloyds Bank plc | 2.409% | 12/4/18 | 148,500 | 147,577 | |
6 | Lloyds Bank plc | 2.329% | 12/7/18 | 500,000 | 500,000 |
Lloyds Bank plc | 2.430% | 12/21/18 | 584,000 | 579,678 | |
Lloyds Bank plc | 2.440% | 12/24/18 | 147,500 | 146,374 | |
Lloyds Bank plc | 2.451% | 1/7/19 | 49,500 | 49,074 | |
6 | Lloyds Bank plc | 2.213% | 2/15/19 | 50,000 | 50,000 |
6 | Lloyds Bank plc | 2.219% | 2/21/19 | 133,500 | 133,500 |
6 | Lloyds Bank plc | 2.206% | 2/22/19 | 99,000 | 99,000 |
5,6 | National Australia Bank Ltd. | 2.277% | 9/19/18 | 760,000 | 760,000 |
5,6 | National Australia Bank Ltd. | 2.355% | 11/30/18 | 778,000 | 778,000 |
5,6 | National Australia Bank Ltd. | 2.262% | 5/3/19 | 483,000 | 483,000 |
5,6 | National Australia Bank Ltd. | 2.234% | 5/16/19 | 65,000 | 65,000 |
5,6 | National Australia Bank Ltd. | 2.230% | 5/17/19 | 335,000 | 335,000 |
5 | Nederlandse Waterschapsbank NV | 1.951% | 9/4/18 | 861,250 | 861,110 |
5 | Nederlandse Waterschapsbank NV | 1.951% | 9/5/18 | 292,000 | 291,937 |
5 | Nederlandse Waterschapsbank NV | 1.951% | 9/6/18 | 317,500 | 317,414 |
5 | Nederlandse Waterschapsbank NV | 1.951% | 9/7/18 | 528,500 | 528,328 |
5 | Nordea Bank AB | 2.245% | 9/5/18 | 500,000 | 499,877 |
5 | Nordea Bank AB | 2.287% | 12/4/18 | 600,000 | 596,444 |
5 | NRW Bank | 1.916% | 9/4/18 | 600,000 | 599,904 |
5 | NRW Bank | 1.936% | 9/5/18 | 396,750 | 396,665 |
5 | NRW Bank | 1.941% | 9/6/18 | 400,300 | 400,192 |
Santander UK plc | 2.256% | 9/18/18 | 29,750 | 29,719 | |
Santander UK plc | 2.257% | 9/20/18 | 59,750 | 59,679 | |
Santander UK plc | 2.328% | 10/5/18 | 600,000 | 598,691 | |
Santander UK plc | 2.338% | 10/16/18 | 450,000 | 448,695 | |
Santander UK plc | 2.353% | 11/6/18 | 250,000 | 248,930 |
12
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value • | |||
Yield1 | Date | ($000) | ($000) | ||
Santander UK plc | 2.329% | 12/5/18 | 202,000 | 200,769 | |
5 | Sumitomo Mitsui Banking Corp. | 2.349% | 10/12/18 | 50,000 | 49,867 |
5 | Sumitomo Mitsui Banking Corp. | 2.358% | 11/16/18 | 338,000 | 336,330 |
5 | Svenska Handelsbanken AB | 2.435% | 1/4/19 | 150,000 | 148,747 |
5 | Svenska Handelsbanken AB | 2.474% | 3/15/19 | 82,887 | 81,792 |
Swedbank AB | 2.245%–2.296% | 9/4/18 | 709,000 | 708,867 | |
Swedbank AB | 2.399% | 11/1/18 | 124,000 | 123,502 | |
Swedbank AB | 2.399% | 11/2/18 | 87,000 | 86,645 | |
Swedbank AB | 2.339% | 11/20/18 | 77,000 | 76,603 | |
Swedbank AB | 2.339% | 11/23/18 | 146,000 | 145,219 | |
Swedbank AB | 2.340% | 11/26/18 | 146,000 | 145,191 | |
Swedbank AB | 2.340% | 11/27/18 | 36,000 | 35,798 | |
Swedbank AB | 2.339% | 12/3/18 | 25,975 | 25,819 | |
Swedbank AB | 2.287% | 12/4/18 | 41,000 | 40,757 | |
Swedbank AB | 2.450% | 12/24/18 | 88,000 | 87,326 | |
Swedbank AB | 2.419% | 2/11/19 | 150,000 | 148,377 | |
5,6 | Toronto-Dominion Bank | 2.257% | 9/14/18 | 260,000 | 260,000 |
5 | Toronto-Dominion Bank | 2.296% | 9/19/18 | 347,000 | 346,604 |
5,6 | Toronto-Dominion Bank | 2.267% | 11/14/18 | 792,000 | 792,000 |
5,6 | Toronto-Dominion Bank | 2.310% | 12/5/18 | 208,000 | 208,000 |
5,6 | Toronto-Dominion Bank | 2.353% | 2/8/19 | 200,000 | 200,000 |
5,6 | Toronto-Dominion Bank | 2.251% | 5/9/19 | 440,000 | 440,000 |
5,6 | Toronto-Dominion Bank | 2.281% | 8/9/19 | 450,000 | 450,000 |
5,6 | Westpac Banking Corp. | 2.267% | 9/20/18 | 250,000 | 249,999 |
5,6 | Westpac Banking Corp. | 2.255% | 9/27/18 | 199,000 | 198,999 |
5,6 | Westpac Banking Corp. | 2.255% | 9/28/18 | 200,000 | 200,000 |
5,6 | Westpac Banking Corp. | 2.283% | 12/10/18 | 340,000 | 339,995 |
5,6 | Westpac Banking Corp. | 2.296% | 1/24/19 | 83,000 | 82,994 |
5,6 | Westpac Banking Corp. | 2.367% | 6/12/19 | 366,500 | 366,500 |
5,6 | Westpac Banking Corp. | 2.367% | 6/13/19 | 153,000 | 153,000 |
5,6 | Westpac Banking Corp. | 2.285% | 7/26/19 | 385,000 | 385,000 |
5,6 | Westpac Banking Corp. | 2.267% | 8/8/19 | 100,000 | 100,000 |
30,133,603 | |||||
Foreign Governments (4.9%) | |||||
5 | Alberta (Province Of) | 2.278% | 9/4/18 | 50,000 | 49,991 |
5 | Alberta (Province Of) | 2.252% | 10/1/18 | 30,900 | 30,842 |
5 | Alberta (Province Of) | 2.430% | 11/8/18 | 98,975 | 98,526 |
5 | Alberta (Province Of) | 2.396%–2.398% | 11/13/18 | 146,500 | 145,796 |
5 | Alberta (Province Of) | 2.371% | 11/21/18 | 99,000 | 98,477 |
5 | Alberta (Province Of) | 2.428% | 12/20/18 | 297,000 | 294,822 |
5 | Alberta (Province Of) | 2.430%–2.440% | 1/7/19 | 158,500 | 157,143 |
5 | Alberta (Province Of) | 2.439% | 1/10/19 | 64,500 | 63,934 |
5 | Alberta (Province Of) | 2.419%–2.429% | 1/22/19 | 84,250 | 83,448 |
5 | Alberta (Province Of) | 2.420% | 1/30/19 | 59,500 | 58,903 |
BNG Bank NV | 1.951% | 9/5/18 | 556,750 | 556,629 | |
BNG Bank NV | 1.951% | 9/6/18 | 365,750 | 365,651 | |
5 | CDP Financial Inc. | 2.457%–2.489% | 9/14/18 | 83,550 | 83,476 |
5 | CDP Financial Inc. | 2.511% | 10/1/18 | 162,150 | 161,815 |
5 | CDP Financial Inc. | 2.501%–2.522% | 10/2/18 | 32,700 | 32,630 |
5 | CDP Financial Inc. | 2.223% | 10/26/18 | 22,500 | 22,424 |
5 | CDP Financial Inc. | 2.420% | 10/31/18 | 36,500 | 36,355 |
5 | CDP Financial Inc. | 2.409% | 12/17/18 | 162,950 | 161,797 |
5 | CDP Financial Inc. | 2.428% | 12/18/18 | 102,300 | 101,563 |
5 | CDP Financial Inc. | 2.427% | 12/19/18 | 44,500 | 44,177 |
13
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value • | |||
Yield1 | Date | ($000) | ($000) | ||
5 | CDP Financial Inc. | 2.399% | 2/1/19 | 49,750 | 49,249 |
7 | CPPIB Capital Inc. | 2.319% | 1/3/19 | 100,000 | 99,208 |
Export Development Canada | 2.337% | 10/22/18 | 43,500 | 43,358 | |
Export Development Canada | 2.419% | 11/2/18 | 148,500 | 147,889 | |
Export Development Canada | 2.400% | 1/3/19 | 66,250 | 65,707 | |
Export Development Canada | 2.390% | 1/4/19 | 132,500 | 131,410 | |
Export Development Canada | 2.401% | 1/8/19 | 66,250 | 65,685 | |
Export Development Canada | 2.425% | 2/1/19 | 99,000 | 97,990 | |
Export Development Canada | 2.420% | 3/1/19 | 94,000 | 92,870 | |
Export Development Canada | 2.421% | 3/4/19 | 198,000 | 195,581 | |
Export Development Canada | 2.410% | 3/5/19 | 133,750 | 132,114 | |
Export Development Canada | 2.410% | 3/6/19 | 99,000 | 97,783 | |
7 | Ontario Teachers’ Finance Trust | 2.340% | 9/6/18 | 26,000 | 25,992 |
7 | Ontario Teachers’ Finance Trust | 2.258% | 9/18/18 | 31,250 | 31,217 |
7 | Ontario Teachers’ Finance Trust | 2.515% | 10/9/18 | 20,000 | 19,948 |
7 | Ontario Teachers’ Finance Trust | 2.353% | 10/19/18 | 17,500 | 17,446 |
7 | Ontario Teachers’ Finance Trust | 2.496% | 10/29/18 | 82,861 | 82,533 |
7 | Ontario Teachers’ Finance Trust | 2.309% | 11/16/18 | 61,169 | 60,876 |
7 | Ontario Teachers’ Finance Trust | 2.475% | 11/26/18 | 49,500 | 49,211 |
7 | Ontario Teachers’ Finance Trust | 2.474% | 11/27/18 | 94,800 | 94,241 |
7 | Ontario Teachers’ Finance Trust | 2.422% | 11/30/18 | 100,000 | 99,402 |
7 | Ontario Teachers’ Finance Trust | 2.410%–2.431% | 12/4/18 | 74,000 | 73,539 |
7 | Ontario Teachers’ Finance Trust | 2.431% | 12/18/18 | 25,000 | 24,820 |
7 | Ontario Teachers’ Finance Trust | 2.496% | 1/17/19 | 25,000 | 24,764 |
7 | Ontario Teachers’ Finance Trust | 2.406%–2.487% | 2/8/19 | 199,150 | 196,996 |
7 | Ontario Teachers’ Finance Trust | 2.484% | 3/1/19 | 147,100 | 145,288 |
7 | Ontario Teachers’ Finance Trust | 2.452% | 3/8/19 | 49,500 | 48,874 |
7 | Ontario Teachers’ Finance Trust | 2.539% | 3/13/19 | 69,250 | 68,322 |
7 | Ontario Teachers’ Finance Trust | 2.562% | 3/29/19 | 34,750 | 34,242 |
6,7 | PSP Capital Inc. | 2.245% | 10/26/18 | 122,500 | 122,500 |
7 | PSP Capital Inc. | 2.379% | 1/7/19 | 148,500 | 147,259 |
7 | PSP Capital Inc. | 2.420% | 2/27/19 | 99,000 | 97,823 |
5,332,536 | |||||
Foreign Industrial (2.5%) | |||||
5 | Nestle Capital Corp. | 2.245% | 9/5/18 | 178,250 | 178,206 |
5 | Nestle Capital Corp. | 2.247% | 10/4/18 | 150,000 | 149,693 |
5 | Nestle Capital Corp. | 2.308% | 10/9/18 | 147,250 | 146,894 |
5 | Nestle Capital Corp. | 2.338% | 11/13/18 | 207,500 | 206,524 |
5 | Nestle Capital Corp. | 2.339% | 11/19/18 | 197,750 | 196,743 |
5 | Nestle Capital Corp. | 2.358% | 12/3/18 | 200,000 | 198,796 |
5 | Nestle Capital Corp. | 2.378% | 12/10/18 | 99,000 | 98,354 |
5 | Nestle Capital Corp. | 2.257%–2.389% | 12/11/18 | 285,750 | 283,915 |
5 | Nestle Capital Corp. | 2.410% | 1/8/19 | 198,000 | 196,311 |
5 | Nestle Capital Corp. | 2.409% | 1/9/19 | 99,000 | 98,149 |
5 | Nestle Capital Corp. | 2.410% | 2/11/19 | 396,000 | 391,733 |
Nestle Finance International Ltd. | 2.287% | 12/19/18 | 113,635 | 112,854 | |
Nestle Finance International Ltd. | 2.429% | 2/15/19 | 99,000 | 97,898 | |
Nestle Finance International Ltd. | 2.430% | 2/20/19 | 297,750 | 294,336 | |
5 | Total Capital Canada Ltd. | 2.222% | 10/24/18 | 65,250 | 65,038 |
Toyota Credit Canada Inc. | 2.389% | 11/26/18 | 32,750 | 32,565 | |
Toyota Credit Canada Inc. | 2.389% | 11/27/18 | 32,750 | 32,562 | |
2,780,571 |
14
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value • | ||
Yield1 | Date | ($000) | ($000) | |
Industrial (1.4%) | ||||
5 Apple Inc. | 2.280% | 12/11/18 | 168,500 | 167,432 |
5 Apple Inc. | 2.367% | 1/2/19 | 237,500 | 235,601 |
5 Apple Inc. | 2.345%–2.355% | 1/8/19 | 237,500 | 235,521 |
5 Apple Inc. | 2.346% | 1/23/19 | 64,250 | 63,654 |
5 Apple Inc. | 2.357% | 1/28/19 | 118,000 | 116,862 |
5 Henkel of America Inc. | 2.266% | 9/24/18 | 99,000 | 98,858 |
5 Henkel of America Inc. | 2.266% | 9/25/18 | 35,750 | 35,696 |
5 Henkel of America Inc. | 2.233%–2.252% | 10/22/18 | 62,950 | 62,751 |
5 Henkel of America Inc. | 2.253% | 10/24/18 | 33,150 | 33,041 |
5 Henkel of America Inc. | 2.223% | 11/6/18 | 39,950 | 39,788 |
5 The Coca-Cola Co. | 2.267% | 9/18/18 | 14,750 | 14,734 |
5 The Coca-Cola Co. | 2.267% | 9/19/18 | 14,750 | 14,733 |
5 The Coca-Cola Co. | 2.245% | 10/4/18 | 200,000 | 199,591 |
5 The Coca-Cola Co. | 2.267% | 12/5/18 | 32,000 | 31,810 |
5 The Coca-Cola Co. | 2.247% | 12/14/18 | 158,500 | 157,479 |
1,507,551 | ||||
Total Commercial Paper (Cost $42,643,265) | 42,643,265 | |||
Certificates of Deposit (24.3%) | ||||
Domestic Banks (5.0%) | ||||
Citibank NA | 2.350% | 11/1/18 | 738,000 | 738,000 |
6 HSBC Bank USA NA | 2.271% | 10/2/18 | 153,000 | 153,000 |
6 HSBC Bank USA NA | 2.281% | 11/2/18 | 71,975 | 71,975 |
6 HSBC Bank USA NA | 2.286% | 11/23/18 | 82,250 | 82,250 |
6 HSBC Bank USA NA | 2.285% | 11/27/18 | 30,750 | 30,750 |
6 HSBC Bank USA NA | 2.320% | 12/4/18 | 148,250 | 148,250 |
6 HSBC Bank USA NA | 2.420% | 2/4/19 | 264,750 | 264,750 |
6 HSBC Bank USA NA | 2.239% | 3/21/19 | 50,000 | 50,000 |
6 HSBC Bank USA NA | 2.264% | 4/1/19 | 265,250 | 265,250 |
6 State Street Bank & Trust Co. | 2.265% | 9/28/18 | 297,000 | 297,000 |
6 State Street Bank & Trust Co. | 2.283% | 10/29/18 | 297,000 | 297,000 |
6 State Street Bank & Trust Co. | 2.286% | 11/26/18 | 596,000 | 596,000 |
6 Wells Fargo Bank NA | 2.433% | 9/17/18 | 233,000 | 233,000 |
6 Wells Fargo Bank NA | 2.513% | 9/28/18 | 470,000 | 470,000 |
Wells Fargo Bank NA | 2.410% | 11/2/18 | 500,000 | 500,000 |
Wells Fargo Bank NA | 2.400% | 12/3/18 | 249,000 | 249,000 |
6 Wells Fargo Bank NA | 2.232% | 2/4/19 | 500,000 | 500,000 |
6 Wells Fargo Bank NA | 2.230% | 2/5/19 | 525,000 | 525,000 |
5,471,225 | ||||
Yankee Certificates of Deposit (19.3%) | ||||
6 Bank of Montreal (Chicago Branch) | 2.267% | 9/12/18 | 259,000 | 259,000 |
6 Bank of Montreal (Chicago Branch) | 2.309% | 9/21/18 | 399,000 | 399,000 |
6 Bank of Montreal (Chicago Branch) | 2.316% | 9/24/18 | 277,000 | 277,000 |
6 Bank of Montreal (Chicago Branch) | 2.443% | 10/15/18 | 139,000 | 139,000 |
6 Bank of Montreal (Chicago Branch) | 2.490% | 11/6/18 | 150,000 | 150,000 |
6 Bank of Montreal (Chicago Branch) | 2.331% | 1/2/19 | 275,000 | 275,000 |
6 Bank of Montreal (Chicago Branch) | 2.332% | 2/1/19 | 300,000 | 300,000 |
6 Bank of Montreal (Chicago Branch) | 2.332% | 2/1/19 | 170,000 | 170,000 |
6 Bank of Montreal (Chicago Branch) | 2.330% | 2/4/19 | 150,000 | 150,000 |
6 Bank of Montreal (Chicago Branch) | 2.307% | 2/12/19 | 350,000 | 350,000 |
6 Bank of Montreal (Chicago Branch) | 2.251% | 3/4/19 | 160,000 | 160,000 |
6 Bank of Nova Scotia (Houston Branch) | 2.370% | 10/5/18 | 145,000 | 145,000 |
6 Bank of Nova Scotia (Houston Branch) | 2.309% | 12/21/18 | 210,000 | 210,000 |
15
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value • | ||
Yield1 | Date | ($000) | ($000) | |
Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 2.000% | 9/17/18 | 14,250 | 14,248 |
6 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 2.307% | 9/20/18 | 420,000 | 420,000 |
6 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 2.360% | 10/5/18 | 525,000 | 525,000 |
6 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 2.307% | 10/22/18 | 74,000 | 73,993 |
6 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 2.320% | 2/5/19 | 175,000 | 175,000 |
6 Commonwealth Bank of Australia | ||||
(New York Branch) | 2.193% | 2/15/19 | 99,000 | 99,000 |
6 DNB Bank ASA (New York Branch) | 2.267% | 1/18/19 | 440,000 | 440,000 |
6 DNB Bank ASA (New York Branch) | 2.236% | 1/23/19 | 550,000 | 550,000 |
MUFG Bank Ltd. (New York Branch) | 2.350% | 10/29/18 | 455,000 | 455,000 |
MUFG Bank Ltd. (New York Branch) | 2.340% | 11/6/18 | 500,000 | 500,000 |
MUFG Bank Ltd. (New York Branch) | 2.350% | 11/9/18 | 100,000 | 100,000 |
MUFG Bank Ltd. (New York Branch) | 2.360% | 11/16/18 | 350,000 | 350,000 |
MUFG Bank Ltd. (New York Branch) | 2.320% | 12/10/18 | 30,000 | 30,000 |
MUFG Bank Ltd. (New York Branch) | 2.330% | 12/20/18 | 170,000 | 170,000 |
Nordea Bank AB (New York Branch) | 2.390% | 12/7/18 | 495,000 | 494,993 |
6 Nordea Bank AB (New York Branch) | 2.245% | 2/25/19 | 454,250 | 454,250 |
6 Nordea Bank AB (New York Branch) | 2.223% | 4/1/19 | 450,000 | 450,000 |
6 Nordea Bank AB (New York Branch) | 2.233% | 5/15/19 | 48,500 | 48,500 |
6 Nordea Bank AB (New York Branch) | 2.230% | 5/17/19 | 750,000 | 749,973 |
6 Royal Bank of Canada (New York Branch) | 2.257% | 9/12/18 | 260,000 | 260,000 |
6 Royal Bank of Canada (New York Branch) | 2.460% | 9/17/18 | 140,000 | 140,000 |
6 Royal Bank of Canada (New York Branch) | 2.411% | 10/9/18 | 993,000 | 993,000 |
6 Royal Bank of Canada (New York Branch) | 2.329% | 1/7/19 | 400,000 | 400,000 |
6 Royal Bank of Canada (New York Branch) | 2.317% | 1/22/19 | 150,000 | 150,000 |
6 Royal Bank of Canada (New York Branch) | 2.320% | 2/5/19 | 400,000 | 400,000 |
6 Royal Bank of Canada (New York Branch) | 2.307% | 2/11/19 | 495,000 | 495,000 |
6 Royal Bank of Canada (New York Branch) | 2.254% | 4/1/19 | 270,000 | 270,000 |
6 Royal Bank of Canada (New York Branch) | 2.306% | 4/23/19 | 150,000 | 150,000 |
6 Skandinaviska Enskilda Banken AB | ||||
(New York Branch) | 2.427% | 9/19/18 | 750,000 | 750,000 |
6 Skandinaviska Enskilda Banken AB | ||||
(New York Branch) | 2.440% | 10/5/18 | 298,000 | 298,000 |
6 Skandinaviska Enskilda Banken AB | ||||
(New York Branch) | 2.440% | 10/5/18 | 386,100 | 386,100 |
6 Skandinaviska Enskilda Banken AB | ||||
(New York Branch) | 2.397% | 10/19/18 | 520,000 | 520,000 |
6 Sumitomo Mitsui Banking Corp. | ||||
(New York Branch) | 2.285% | 11/1/18 | 623,000 | 623,000 |
6 Sumitomo Mitsui Banking Corp. | ||||
(New York Branch) | 2.187% | 12/13/18 | 429,000 | 429,000 |
6 Svenska HandelsBanken AB | ||||
(New York Branch) | 2.240% | 9/4/18 | 569,000 | 569,000 |
6 Svenska HandelsBanken AB | ||||
(New York Branch) | 2.259% | 9/7/18 | 272,000 | 272,000 |
6 Svenska HandelsBanken AB | ||||
(New York Branch) | 2.279% | 9/21/18 | 470,000 | 470,000 |
6 Svenska HandelsBanken AB | ||||
(New York Branch) | 2.307% | 11/19/18 | 1,000,000 | 1,000,000 |
16
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value • | ||
Yield1 | Date | ($000) | ($000) | |
6 Svenska HandelsBanken AB | ||||
(New York Branch) | 2.299% | 12/21/18 | 138,000 | 138,000 |
6 Svenska HandelsBanken AB | ||||
(New York Branch) | 2.235% | 2/28/19 | 530,000 | 530,000 |
6 Svenska HandelsBanken AB | ||||
(New York Branch) | 2.264% | 4/1/19 | 400,000 | 400,000 |
6 Svenska HandelsBanken AB | ||||
(New York Branch) | 2.247% | 5/20/19 | 100,000 | 100,000 |
6 Swedbank AB (New York Branch) | 2.440% | 10/5/18 | 140,000 | 140,000 |
6 Swedbank AB (New York Branch) | 2.290% | 11/6/18 | 750,000 | 750,000 |
Toronto-Dominion Bank (New York Branch) | 2.500% | 1/7/19 | 520,000 | 520,000 |
6 Westpac Banking Corp. (New York Branch) | 2.293% | 1/10/19 | 62,000 | 61,971 |
6 Westpac Banking Corp. (New York Branch) | 2.317% | 2/13/19 | 234,000 | 234,000 |
6 Westpac Banking Corp. (New York Branch) | 2.317% | 2/14/19 | 500,000 | 500,000 |
21,033,028 | ||||
Total Certificates of Deposit (Cost $26,504,253) | 26,504,253 | |||
Other Notes (1.8%) | ||||
6 Bank of America NA | 2.297% | 9/10/18 | 157,000 | 157,000 |
6 Bank of America NA | 2.467% | 10/22/18 | 250,000 | 250,000 |
6 Bank of America NA | 2.466% | 10/23/18 | 250,000 | 250,000 |
Bank of America NA | 2.410% | 11/1/18 | 247,500 | 247,500 |
6 Bank of America NA | 2.501% | 11/2/18 | 346,500 | 346,500 |
Bank of America NA | 2.420% | 11/5/18 | 247,500 | 247,500 |
6 Bank of America NA | 2.473% | 11/8/18 | 154,250 | 154,250 |
Bank of America NA | 2.400% | 11/13/18 | 247,500 | 247,500 |
6 Bank of America NA | 2.332% | 4/1/19 | 52,500 | 52,528 |
Total Other Notes (Cost $1,952,778) | 1,952,778 | |||
Repurchase Agreements (0.3%) | ||||
JP Morgan Securities LLC | ||||
(Dated 8/31/18, Repurchase Value | ||||
$332,072,000, collateralized by U. S. | ||||
Treasury Note/Bond 1.625%–2.750%, | ||||
7/31/20–7/31/23, with a value of | ||||
$338,640,000) (Cost $332,000) | 1.950% | 9/4/18 | 332,000 | 332,000 |
Taxable Municipal Bonds (0.0%) | ||||
8 Greene County GA Development Authority | ||||
Revenue VRDO (Cost $6,250) | 2.000% | 9/7/18 | 6,250 | 6,250 |
Total Investments (99.8%) (Cost $108,790,140) | 108,790,140 |
17
Prime Money Market Fund | |
Amount | |
($000) | |
Other Assets and Liabilities (0.2%) | |
Other Assets | |
Investment in Vanguard | 5,428 |
Receivables for Accrued Income | 68,546 |
Receivables for Capital Shares Issued | 254,286 |
Other Assets | 90,607 |
Total Other Assets | 418,867 |
Liabilities | |
Payables for Capital Shares Redeemed | (172,857) |
Payables for Distributions | (11,972) |
Payables to Vanguard | (8,059) |
Other Liabilities | (428) |
Total Liabilities | (193,316) |
Net Assets (100%) | 109,015,691 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 109,011,976 |
Overdistributed Net Investment Income | (13) |
Accumulated Net Realized Gains | 3,728 |
Net Assets | 109,015,691 |
Investor Shares—Net Assets | |
Applicable to 92,885,694,144 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 92,898,002 |
Net Asset Value Per Share—Investor Shares | $1.00 |
Admiral Shares—Net Assets | |
Applicable to 16,115,718,767 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 16,117,689 |
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 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 based upon 3-month U.S. Treasury Bill Auction High Money Market Yield plus spread.
5 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, 2018, the aggregate value
of these securities was $29,004,511,000, representing 26.6% of net assets.
6 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
7 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, 2018, the aggregate value of these securities
was $1,564,501,000, representing 1.4% of net assets.
8 Scheduled principal and interest payments are guaranteed by bank letter of credit.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Prime Money Market Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2018 | |
($000) | |
Investment Income | |
Income | |
Interest | 1,731,386 |
Total Income | 1,731,386 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 3,049 |
Management and Administrative—Investor Shares | 113,783 |
Management and Administrative—Admiral Shares | 11,654 |
Marketing and Distribution—Investor Shares | 18,502 |
Marketing and Distribution—Admiral Shares | 838 |
Custodian Fees | 880 |
Auditing Fees | 34 |
Shareholders’ Reports and Proxy—Investor Shares | 1,288 |
Shareholders’ Reports and Proxy—Admiral Shares | 75 |
Trustees’ Fees and Expenses | 91 |
Total Expenses | 150,194 |
Net Investment Income | 1,581,192 |
Realized Net Gain (Loss) on Investment Securities Sold | (4,203) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,576,989 |
See accompanying Notes, which are an integral part of the Financial Statements.
19
Prime Money Market Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,581,192 | 834,141 |
Realized Net Gain (Loss) | (4,203) | 1,961 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,576,989 | 836,102 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (1,363,449) | (726,141) |
Admiral Shares | (217,801) | (107,955) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Total Distributions | (1,581,250) | (834,096) |
Capital Share Transactions (at $1.00 per share) | ||
Investor Shares | 8,015,413 | (15,325,634) |
Admiral Shares | 4,121,058 | (4,432,381) |
Net Increase (Decrease) from Capital Share Transactions | 12,136,471 | (19,758,015) |
Total Increase (Decrease) | 12,132,210 | (19,756,009) |
Net Assets | ||
Beginning of Period | 96,883,481 | 116,639,490 |
End of Period1 | 109,015,691 | 96,883,481 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($13,000) and $45,000.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Prime Money Market Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | . 0161 | .0081 | .0032 | .0002 | .0001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .016 | .008 | .0032 | .0002 | .0001 |
Distributions | |||||
Dividends from Net Investment Income | (.016) | (.008) | (.0032) | (.0002) | (.0001) |
Distributions from Realized Capital Gains | — | — | — | — | (.0000) |
Total Distributions | (.016) | (.008) | (.0032) | (.0002) | (.0001) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return 3 | 1.59% | 0.83% | 0.32% | 0.02% | 0.02% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $92,898 | $84,886 | $100,210 | $105,820 | $101,910 |
Ratio of Total Expenses to Average Net Assets4 | 0.16% | 0.16% | 0.16% | 0.15% | 0.14% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.59% | 0.82% | 0.32% | 0.02% | 0.01% |
1 Calculated based on average shares outstanding.
2 Distribution was less than $.0001 per share.
3 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.
4 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. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2016, 0.16% for 2015, and 0.16% for 2014. For the years ended August 31, 2018 and 2017, there were no expense reductions.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Prime Money Market Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | . 0161 | .0091 | .004 | .001 | .001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .016 | .009 | .004 | .001 | .001 |
Distributions | |||||
Dividends from Net Investment Income | (.016) | (.009) | (.004) | (.001) | (.001) |
Distributions from Realized Capital Gains | — | — | — | — | (.000)2 |
Total Distributions | (.016) | (.009) | (.004) | (.001) | (.001) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return 3 | 1.66% | 0.89% | 0.38% | 0.07% | 0.06% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $16,118 | $11,997 | $16,429 | $28,988 | $28,699 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.65% | 0.88% | 0.38% | 0.07% | 0.05% |
Institutional Shares were renamed Admiral Shares in December 2015. Prior periods’ Financial Highlights are for the Institutional class.
1 Calculated based on average shares outstanding.
2 Distribution was less than $.0001 per share.
3 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.
22
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.
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, 2015–2018), 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. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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.
23
Prime Money Market Fund
The fund had no borrowings outstanding at August 31, 2018, 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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $5,428,000, representing 0.00% of the fund’s net assets and 2.17% 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
At August 31, 2018, 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. Permanent differences, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
24
Prime Money Market Fund
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
As of period end, the tax components of accumulated net earnings (losses) are detailed in the table asfollows:
Amount | |
($000) | |
Undistributed ordinary income | 19,891 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (4,204) |
Net unrealized gains (losses) | — |
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 108,790,140 |
Gross unrealized appreciation | — |
Gross unrealized depreciation | — |
Net unrealized appreciation (depreciation) | — |
E. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2018 | 2017 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 57,734,205 | 57,734,439 | 64,128,512 | 64,127,620 |
Issued in Lieu of Cash Distributions | 1,273,993 | 1,273,993 | 680,319 | 680,319 |
Redeemed | (50,992,785) | (50,992,785) | (80,134,465) | (80,134,468) |
Net Increase (Decrease) —Investor Shares | 8,015,413 | 8,015,647 | (15,325,634) | (15,326,529) |
Admiral Shares | ||||
Issued | 11,041,702 | 11,041,469 | 8,144,434 | 8,145,324 |
Issued in Lieu of Cash Distributions | 202,222 | 202,222 | 102,733 | 102,733 |
Redeemed | (7,122,866) | (7,122,866) | (12,679,548) | (12,679,548) |
Net Increase (Decrease)—Admiral Shares | 4,121,058 | 4,120,825 | (4,432,381) | (4,431,491) |
F. Management has determined that no events or transactions occurred subsequent to August 31, 2018, that would require recognition or disclosure in these financial statements.
25
Federal Money Market Fund
Fund Profile
As of August 31, 2018
Financial Attributes | |
Ticker Symbol | VMFXX |
Expense Ratio1 | 0.11% |
7-Day SEC Yield | 1.93% |
Average Weighted | |
Maturity | 55 days |
Sector Diversification (% of portfolio) | |
Repurchase Agreements | 16.4% |
U.S. Government Obligations | 27.7 |
U.S. Treasury Bills | 55.9 |
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 22, 2017, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, the expense ratio was 0.11%.
26
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, 2008, Through August 31, 2018
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Federal Money Market Fund | 1.42% | 0.45% | 0.34% | $10,342 |
Government Money Market Funds | ||||
Average | 0.87 | 0.21 | 0.15 | 10,150 |
FTSE Three-Month U.S. Treasury Bill | ||||
Index | 1.49 | 0.44 | 0.31 | 10,334 |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
See Financial Highlights for dividend information.
27
Federal Money Market Fund | ||
Fiscal-Year Total Returns (%): August 31, 2008, Through August 31, 2018 | ||
Gov't Money | ||
Market Funds Average | ||
Fiscal Year | Total Returns | Total Returns |
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 |
2017 | 0.57 | 0.19 |
2018 | 1.42 | 0.87 |
7-day SEC yield (8/31/2018): 1.93% | ||
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 1.26% | 0.38% | 0.34% |
28
Federal Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2018
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 (83.5%) | |||||
2 | Fannie Mae Discount Notes | 2.000% | 10/24/18 | 100,000 | 99,707 |
2 | Fannie Mae Discount Notes | 2.080% | 11/14/18 | 20,000 | 19,915 |
2 | Fannie Mae Discount Notes | 2.091% | 11/21/18 | 19,211 | 19,121 |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.925%–1.951% | 9/5/18 | 230,100 | 230,051 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.971% | 9/6/18 | 91,661 | 91,636 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.925%–1.941% | 9/7/18 | 505,050 | 504,887 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.921%–1.941% | 9/10/18 | 225,140 | 225,031 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.921% | 9/11/18 | 150,000 | 149,920 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.924% | 9/12/18 | 1,500,000 | 1,499,121 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.965% | 9/17/18 | 500,000 | 499,567 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.944% | 9/20/18 | 750,000 | 749,236 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.965% | 10/1/18 | 300,000 | 299,510 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 1.961% | 10/3/18 | 50,000 | 49,913 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.046% | 10/19/18 | 56,550 | 56,396 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.035%–2.036% | 10/24/18 | 175,000 | 174,477 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.057%–2.086% | 10/26/18 | 1,524,650 | 1,519,878 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.076% | 11/14/18 | 317,990 | 316,640 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.080% | 11/16/18 | 261,000 | 259,860 |
29
Federal Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value • | |||
Yield1 | Date | ($000) | ($000) | ||
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.064%–2.111% | 11/21/18 | 383,300 | 381,531 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.090% | 11/23/18 | 530,000 | 527,460 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.070% | 11/26/18 | 500,000 | 497,545 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.059%–2.070% | 11/27/18 | 624,540 | 621,445 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.086% | 12/3/18 | 377,815 | 375,795 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.120% | 12/21/18 | 350,000 | 347,728 | |
3 | Federal Home Loan Bank Discount | ||||
Notes | 2.125% | 12/24/18 | 120,000 | 119,198 | |
3,4 | Federal Home Loan Banks | 1.935% | 9/4/18 | 240,500 | 240,500 |
3,4 | Federal Home Loan Banks | 1.937% | 9/18/18 | 240,000 | 239,996 |
3,4 | Federal Home Loan Banks | 1.950% | 9/27/18 | 600,000 | 600,000 |
3,4 | Federal Home Loan Banks | 1.930% | 10/26/18 | 1,000,000 | 1,000,000 |
3,5 | Federal Home Loan Banks | 1.993% | 11/8/18 | 100,000 | 99,999 |
3,4 | Federal Home Loan Banks | 1.952% | 11/20/18 | 1,000,000 | 1,000,000 |
3,4 | Federal Home Loan Banks | 1.989% | 11/21/18 | 500,000 | 500,000 |
3,4 | Federal Home Loan Banks | 1.986% | 11/23/18 | 230,000 | 230,000 |
3,4 | Federal Home Loan Banks | 1.972% | 11/28/18 | 600,000 | 600,000 |
3,4 | Federal Home Loan Banks | 1.942% | 12/3/18 | 789,900 | 789,900 |
3,4 | Federal Home Loan Banks | 2.005% | 3/28/19 | 250,000 | 250,000 |
3,4 | Federal Home Loan Banks | 1.962% | 4/1/19 | 250,000 | 250,000 |
3,4 | Federal Home Loan Banks | 1.962% | 4/1/19 | 450,000 | 450,000 |
3,4 | Federal Home Loan Banks | 1.962% | 4/1/19 | 250,000 | 250,000 |
3,4 | Federal Home Loan Banks | 1.950% | 4/26/19 | 1,000,000 | 1,000,000 |
3,4 | Federal Home Loan Banks | 1.957% | 5/1/19 | 250,000 | 250,000 |
3,6 | Federal Home Loan Banks | 2.152% | 5/24/19 | 380,000 | 380,378 |
3,4 | Federal Home Loan Banks | 1.997% | 7/19/19 | 750,000 | 750,000 |
3,4 | Federal Home Loan Banks | 1.960% | 7/26/19 | 88,000 | 88,000 |
3,4 | Federal Home Loan Banks | 1.960% | 7/26/19 | 375,000 | 375,000 |
3,4 | Federal Home Loan Banks | 1.960% | 7/26/19 | 450,000 | 450,000 |
3,4 | Federal Home Loan Banks | 1.977% | 8/1/19 | 250,000 | 250,000 |
3,4 | Federal Home Loan Banks | 1.982% | 11/1/19 | 500,000 | 500,000 |
3,4 | Federal Home Loan Banks | 1.982% | 11/4/19 | 250,000 | 250,000 |
3,4 | Federal Home Loan Banks | 1.979% | 11/7/19 | 250,000 | 250,000 |
3,4 | Federal Home Loan Banks | 1.979% | 11/7/19 | 250,000 | 250,000 |
2,4 | Federal Home Loan Mortgage Corp. | 1.959% | 12/7/18 | 1,500,000 | 1,500,000 |
2,4 | Federal Home Loan Mortgage Corp. | 1.935% | 1/30/19 | 1,000,000 | 1,000,000 |
2,4 | Federal Home Loan Mortgage Corp. | 1.965% | 6/28/19 | 250,000 | 250,042 |
2,4 | Federal Home Loan Mortgage Corp. | 1.980% | 7/5/19 | 250,000 | 250,050 |
2,4 | Federal Home Loan Mortgage Corp. | 1.983% | 8/8/19 | 1,000,000 | 1,000,000 |
2,4 | Federal Home Loan Mortgage Corp. | 1.967% | 8/12/19 | 1,000,000 | 1,000,000 |
2 | Freddie Mac Discount Notes | 1.923%–1.929% | 9/4/18 | 35,000 | 34,994 |
2 | Freddie Mac Discount Notes | 1.936% | 9/5/18 | 50,000 | 49,989 |
2 | Freddie Mac Discount Notes | 1.928% | 9/10/18 | 100,000 | 99,952 |
2 | Freddie Mac Discount Notes | 1.959%–2.010% | 10/2/18 | 240,000 | 239,597 |
2 | Freddie Mac Discount Notes | 2.030% | 10/11/18 | 34,000 | 33,924 |
2 | Freddie Mac Discount Notes | 1.991%–2.010% | 10/18/18 | 341,667 | 340,779 |
2 | Freddie Mac Discount Notes | 2.061% | 11/5/18 | 200,000 | 199,260 |
2 | Freddie Mac Discount Notes | 2.081% | 11/20/18 | 75,000 | 74,655 |
30
Federal Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value • | |||
Yield1 | Date | ($000) | ($000) | ||
2 Freddie Mac Discount Notes | 2.121% | 11/29/18 | 89,375 | 88,909 | |
United States Treasury Bill | 1.919% | 9/6/18 | 2,091,384 | 2,090,829 | |
United States Treasury Bill | 1.913% | 9/27/18 | 419,856 | 419,281 | |
United States Treasury Bill | 1.950% | 10/4/18 | 1,450,000 | 1,447,421 | |
United States Treasury Bill | 1.955% | 10/11/18 | 5,000,000 | 4,989,195 | |
United States Treasury Bill | 1.990% | 10/18/18 | 5,000,000 | 4,987,075 | |
United States Treasury Bill | 1.980%–2.005% | 10/25/18 | 4,000,000 | 3,988,135 | |
United States Treasury Bill | 2.002%–2.010% | 11/1/18 | 5,400,000 | 5,381,771 | |
United States Treasury Bill | 2.020%–2.026% | 11/8/18 | 5,000,000 | 4,981,035 | |
United States Treasury Bill | 2.041%–2.056% | 11/15/18 | 4,500,000 | 4,480,953 | |
United States Treasury Bill | 2.046%–2.099% | 11/23/18 | 5,500,000 | 5,474,053 | |
United States Treasury Bill | 2.091%–2.092% | 11/29/18 | 5,250,000 | 5,223,001 | |
United States Treasury Bill | 2.097% | 12/13/18 | 2,450,000 | 2,435,455 | |
United States Treasury Bill | 2.163% | 1/24/19 | 750,000 | 743,535 | |
United States Treasury Bill | 2.184% | 1/31/19 | 2,000,000 | 1,981,760 | |
United States Treasury Bill | 2.204% | 2/7/19 | 2,500,000 | 2,475,929 | |
United States Treasury Bill | 2.204% | 2/14/19 | 3,000,000 | 2,969,843 | |
United States Treasury Bill | 2.209% | 2/21/19 | 2,000,000 | 1,979,000 | |
5 United States Treasury Floating Rate Note | 2.261% | 10/31/18 | 600,000 | 600,001 | |
Total U.S. Government and Agency Obligations (Cost $83,739,764) | 83,739,764 | ||||
Repurchase Agreements (16.4%) | |||||
Bank of Montreal | |||||
(Dated 7/24/18, Repurchase Value | |||||
$250,597,000, collateralized by | |||||
Treasury Inflation Indexed Note/Bond | |||||
0.125%–3.875%, 1/15/22–2/15/48, | |||||
U.S. Treasury Bill 0.000%, 9/27/18, | |||||
and U.S. Treasury Note/Bond | |||||
1.000%–4.250%, 1/31/19–8/15/47, | |||||
with a value of $255,000,000) | 1.910% | 9/7/18 | 250,000 | 250,000 | |
Bank of Montreal | |||||
(Dated 8/10/18, Repurchase Value | |||||
$500,829,000, collateralized by | |||||
Treasury Inflation Indexed Note/Bond | |||||
0.125%–3.875%, 1/15/20–2/15/41, U.S. | |||||
Treasury Bill 0.000%, 9/27/18–8/15/19, | |||||
and U.S. Treasury Note/Bond | |||||
0.750%–5.000%, 11/30/18–8/15/48, | |||||
with a value of $510,000,000) | 1.990% | 10/9/18 | 500,000 | 500,000 | |
Bank of Montreal | |||||
(Dated 8/14/18, Repurchase Value | |||||
$500,810,000, collateralized by | |||||
Treasury Inflation Indexed Note/Bond | |||||
0.125%–0.750%, 4/15/20–7/15/28, U.S. | |||||
Treasury Bill 0.000%, 9/27/18–5/23/19, | |||||
and U.S. Treasury Note/Bond | |||||
1.000%–4.250%, 6/30/19–8/15/48, | |||||
with a value of $510,000,000) | 2.010% | 10/12/18 | 500,000 | 500,000 |
31
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value • | ||
Yield1 | Date | ($000) | ($000) | |
Bank of Nova Scotia | ||||
(Dated 8/31/18, Repurchase Value | ||||
$1,300,282,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.125%–3.875%, 4/15/19–2/15/45, U.S. | ||||
Treasury Bill 0.000%, 9/6/18–4/15/19, | ||||
and U.S. Treasury Note/Bond | ||||
0.750%–3.750%, 9/30/18–8/15/48, | ||||
with a value of $1,326,000,000) | 1.950% | 9/4/18 | 1,300,000 | 1,300,000 |
Canadian Imperial Bank of Commerce | ||||
(Dated 8/28/18, Repurchase Value | ||||
$200,076,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.125%, 4/15/19, and U.S. Treasury | ||||
Note/Bond 1.625%–4.375%, | ||||
1/31/22–11/15/46, with a value of | ||||
$204,000,000) | 1.950% | 9/4/18 | 200,000 | 200,000 |
Canadian Imperial Bank of Commerce | ||||
(Dated 8/31/18, Repurchase Value | ||||
$2,050,446,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.125%–1.750%, 4/15/20–1/15/28, | ||||
and U.S. Treasury Note/Bond | ||||
1.375%–3.625%, 4/30/20–11/15/46, | ||||
with a value of $2,091,000,000) | 1.960% | 9/4/18 | 2,050,000 | 2,050,000 |
Canadian Imperial Bank of Commerce | ||||
(Dated 8/30/18, Repurchase Value | ||||
$1,000,381,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.125%, 4/15/20, and U.S. Treasury | ||||
Note/Bond 1.375%–4.375%, | ||||
10/31/19–5/15/47, with a value of | ||||
$1,020,000,000) | 1.960% | 9/6/18 | 1,000,000 | 1,000,000 |
Credit Agricole Corporate & Investment | ||||
Bank NY Branch (Dated 8/28/18, | ||||
Repurchase Value $1,000,379,000, | ||||
collateralized by Treasury Inflation | ||||
Indexed Note/Bond 0.125%–1.750%, | ||||
1/15/23–1/15/28, U. S. Treasury Bill | ||||
0.000%, 9/20/18–2/7/19, and U.S. | ||||
Treasury Note/Bond 1.375%–3.125%, | ||||
9/30/20–5/15/46, with a value of | ||||
$1,020,000,000) | 1.950% | 9/4/18 | 1,000,000 | 1,000,000 |
Credit Agricole Corporate & Investment | ||||
Bank NY Branch (Dated 8/31/18, | ||||
Repurchase Value $1,000,218,000, | ||||
collateralized by U. S. Treasury Note/Bond | ||||
2.000%–2.625%, 11/15/20–2/15/25, | ||||
with a value of $1,020,000,000) | 1.960% | 9/4/18 | 1,000,000 | 1,000,000 |
32
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value • | ||
Yield1 | Date | ($000) | ($000) | |
Credit Agricole Corporate & Investment | ||||
Bank NY Branch (Dated 8/30/18, | ||||
Repurchase Value $1,000,381,000, | ||||
collateralized by Treasury Inflation Indexed | ||||
Note/Bond 0.125%, 1/15/22, U.S. Treasury | ||||
Bill 0.000%, 10/25/18–1/31/19, and U.S. | ||||
Treasury Note/Bond 0.750%– 6.250%, | ||||
9/30/18–8/15/46, with a value of | ||||
$1,020,000,000) | 1.960% | 9/6/18 | 1,000,000 | 1,000,000 |
Credit Agricole Corporate & Investment | ||||
Bank NY Branch (Dated 8/31/18, Repurchase | ||||
Value $1,000,379,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.375%–3.875%, 7/15/23–4/15/29, and | ||||
U. S. Treasury Note/Bond 1.125%–3.000%, | ||||
3/31/19–2/15/48, with a value of | ||||
$1,020,000,000) | 1.950% | 9/7/18 | 1,000,000 | 1,000,000 |
JP Morgan Securities LLC | ||||
(Dated 8/31/18, Repurchase Value | ||||
$550,119,000, collateralized by U. S. | ||||
Treasury Note/Bond 0.875%–2.625%, | ||||
1/31/19–3/31/25, with a value of | ||||
$561,000,000) | 1.950% | 9/4/18 | 550,000 | 550,000 |
Mizuho Securities (USA) Inc. | ||||
(Dated 8/31/18, Repurchase Value | ||||
$500,109,000, collateralized by U. S. | ||||
Treasury Bill 0.000%, 5/23/19–7/18/19, | ||||
and U.S. Treasury Note/Bond | ||||
1.000%–2.875%, 11/30/19–11/15/46, | ||||
with a value of $510,000,000) | 1.960% | 9/4/18 | 500,000 | 500,000 |
RBC Dominion Securities Inc. | ||||
(Dated 8/20/18, Repurchase Value | ||||
$100,080,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.125%–1.375%, 4/15/19–2/15/44, | ||||
and U.S. Treasury Note/Bond | ||||
1.000%–5.500%, 7/31/19–2/15/46, | ||||
with a value of $102,000,000) | 1.920% | 9/4/18 | 100,000 | 100,000 |
RBC Capital Markets LLC | ||||
(Dated 8/27/18, Repurchase Value | ||||
$750,325,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.125%–2.375%, 4/15/20–1/15/25, | ||||
and U.S. Treasury Note/Bond | ||||
1.625%–4.375%, 6/15/21–5/15/46, | ||||
with a value of $765,000,000) | 1.950% | 9/4/18 | 750,000 | 750,000 |
RBC Capital Markets LLC | ||||
(Dated 8/28/18, Repurchase Value | ||||
$1,350,585,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.125%–3.875%, 4/15/19–4/15/29, | ||||
and U.S. Treasury Note/Bond | ||||
1.750%–3.125%, 1/31/22–2/15/48, | ||||
with a value of $1,377,000,000) | 1.950% | 9/5/18 | 1,350,000 | 1,350,000 |
33
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value • | ||
Yield1 | Date | ($000) | ($000) | |
RBC Capital Markets LLC | ||||
(Dated 8/31/18, Repurchase Value | ||||
$2,450,929,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.125%–2.375%, 4/15/19–2/15/48, | ||||
and U.S. Treasury Note/Bond | ||||
1.000%–4.375%, 8/31/19–8/15/47, | ||||
with a value of $2,499,000,000) | 1.950% | 9/7/18 | 2,450,000 | 2,450,000 |
RBC Dominion Securities Inc. | ||||
(Dated 8/31/18, Repurchase Value | ||||
$350,133,000, collateralized by | ||||
Treasury Inflation Indexed Note/Bond | ||||
0.125%–1.000%, 4/15/19–2/15/48, | ||||
and U.S. Treasury Note/Bond | ||||
0.875%–5.500%, 7/31/19–2/15/47, | ||||
with a value of $357,000,000) | 1.950% | 9/7/18 | 350,000 | 350,000 |
TD Securities (USA) LLC | ||||
(Dated 8/28/18, Repurchase Value | ||||
$100,038,000, collateralized by U. S. | ||||
Treasury Note/Bond 1.250%–2.125%, | ||||
4/30/19– 6/30/22, with a value of | ||||
$102,000,000) | 1.950% | 9/4/18 | 100,000 | 100,000 |
TD Securities (USA) LLC | ||||
(Dated 8/28/18, Repurchase Value | ||||
$275,105,000, collateralized by Federal | ||||
National Mortgage Assn. 7.125%, | ||||
1/15/30, and U.S. Treasury Note/Bond | ||||
1.500%–3.625%, 10/31/19–2/15/28, | ||||
with a value of $280,745,000) | 1.960% | 9/4/18 | 275,000 | 275,000 |
TD Securities (USA) LLC | ||||
(Dated 8/30/18, Repurchase Value | ||||
$200,076,000, collateralized by U. S. | ||||
Treasury Note/Bond 1.625%–2.875%, | ||||
6/30/19–8/15/28, with a value of | ||||
$204,000,000) | 1.960% | 9/6/18 | 200,000 | 200,000 |
Total Repurchase Agreements (Cost $16,425,000) | 16,425,000 | |||
Total Investments (99.9%) (Cost $100,164,764) | 100,164,764 |
34
Federal Money Market Fund | |
Amount | |
($000) | |
Other Assets and Liabilities (0.1%) | |
Other Assets | |
Investment in Vanguard | 5,054 |
Receivables for Accrued Income | 18,822 |
Receivables for Capital Shares Issued | 222,486 |
Other Assets | 25,657 |
Total Other Assets | 272,019 |
Liabilities | |
Payables for Investment Securities Purchased | (24,576) |
Payables for Capital Shares Redeemed | (117,655) |
Payables for Distributions | (2,342) |
Payables to Vanguard | (5,402) |
Total Liabilities | (149,975) |
Net Assets (100%) | |
Applicable to 100,289,016,434 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 100,286,808 |
Net Asset Value Per Share | $1.00 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 100,289,525 |
Undistributed Net Investment Income | 1 |
Accumulated Net Realized Losses | (2,718) |
Net Assets | 100,286,808 |
• 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 based upon 1-month USD LIBOR plus spread.
5 Adjustable-rate security based upon 3-month U.S. Treasury Bill Auction High Money Market Yield plus spread.
6 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
See accompanying Notes, which are an integral part of the Financial Statements.
35
Federal Money Market Fund | �� |
Statement of Operations | |
Year Ended | |
August 31, 2018 | |
($000) | |
Investment Income | |
Income | |
Interest | 1,379,957 |
Total Income | 1,379,957 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,759 |
Management and Administrative | 73,952 |
Marketing and Distribution | 19,447 |
Custodian Fees | 754 |
Auditing Fees | 33 |
Shareholders’ Reports and Proxy | 1,466 |
Trustees’ Fees and Expenses | 109 |
Total Expenses | 98,520 |
Net Investment Income | 1,281,437 |
Realized Net Gain (Loss) on Investment Securities Sold | (2,178) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,279,259 |
See accompanying Notes, which are an integral part of the Financial Statements.
36
Federal Money Market Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,281,437 | 402,841 |
Realized Net Gain (Loss) | (2,178) | (596) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,279,259 | 402,245 |
Distributions | ||
Net Investment Income | (1,281,485) | (402,787) |
Realized Capital Gain | — | — |
Total Distributions | (1,281,485) | (402,787) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 80,892,899 | 88,362,924 |
Issued in Lieu of Cash Distributions | 1,259,244 | 395,681 |
Redeemed | (61,314,694) | (48,110,472) |
Net Increase (Decrease) from Capital Share Transactions | 20,837,449 | 40,648,133 |
Total Increase (Decrease) | 20,835,223 | 40,647,591 |
Net Assets | ||
Beginning of Period | 79,451,585 | 38,803,994 |
End of Period1 | 100,286,808 | 79,451,585 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,000 and $49,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
37
Federal Money Market Fund | |||||
Financial Highlights | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | . 0141 | .0061 | .0022 | .0001 | .0001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .014 | .006 | .0022 | .0001 | .0001 |
Distributions | |||||
Dividends from Net Investment Income | (.014) | (.006) | (.0022) | (.0001) | (.0001) |
Distributions from Realized Capital Gains | — | — | — | — | (.0000)2 |
Total Distributions | (.014) | (.006) | (.0022) | (.0001) | (.0001) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return 3 | 1.42% | 0.57% | 0.23% | 0.01% | 0.02% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $100,287 | $79,452 | $38,804 | $3,325 | $3,108 |
Ratio of Total Expenses to Average Net Assets4 | 0.11% | 0.11% | 0.11% | 0.10% | 0.09% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.43% | 0.60% | 0.27% | 0.01% | 0.01% |
1 Calculated based on average shares outstanding.
2 Distribution was less than $.0001 per share.
3 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.
4 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. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets
before an expense reduction was 0.11% for 2016, 0.11% for 2015, and 0.11% for 2014. For the years ended August 31, 2018 and 2017,
there were no expense reductions.
See accompanying Notes, which are an integral part of the Financial Statements.
38
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, 2015–2018), 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. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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
39
Federal Money Market Fund
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, 2018, 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.
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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $5,054,000, representing 0.01% of the fund’s net assets and 2.02% 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
At August 31, 2018, 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.
40
Federal Money Market Fund
D. Permanent differences, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
As of period end, the tax components of accumulated net earnings (losses) are detailed in the table asfollows:
Amount | |
($000) | |
Undistributed ordinary income | 2,400 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (2,775) |
Net unrealized gains (losses) | — |
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 100,164,764 |
Gross unrealized appreciation | — |
Gross unrealized depreciation | — |
Net unrealized appreciation (depreciation) | — |
E. Management has determined that no events or transactions occurred subsequent to August 31, 2018, that would require recognition or disclosure in these financial statements.
41
Treasury Money Market Fund
Fund Profile
As of August 31, 2018
Financial Attributes | |
Ticker Symbol | VUSXX |
Expense Ratio1 | 0.09% |
7-Day SEC Yield | 1.95% |
Average Weighted | |
Maturity | 56 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 22, 2017, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, 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, 2008, Through August 31, 2018
Initial Investment of $50,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Treasury Money Market Fund | 1.43% | 0.43% | 0.29% | $51,482 |
iMoneyNet Money Fund Report’s | ||||
• • • • • • •• 100% Treasury Funds Average | 0.92 | 0.22 | 0.13 | 50,644 |
FTSE Three-Month U.S. Treasury Bill | ||||
Index | 1.49 | 0.44 | 0.31 | 51,670 |
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, 2008, Through August 31, 2018 | ||
iMoneyNet | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
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 |
2017 | 0.54 | 0.19 |
2018 | 1.43 | 0.92 |
7-day SEC yield (8/31/2018): 1.95% | ||
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 1.26% | 0.37% | 0.29% |
44
Treasury Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2018
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 (99.7%) | ||||||
United States Treasury Bill | 1.905%–1.922% | 9/6/18 | 1,587,232 | 1,586,811 | ||
United States Treasury Bill | 1.865%–1.906% | 9/13/18 | 49,172 | 49,141 | ||
United States Treasury Bill | 1.904%–1.929% | 9/20/18 | 1,196,787 | 1,195,579 | ||
United States Treasury Bill | 1.909%–1.933% | 9/27/18 | 1,494,883 | 1,492,822 | ||
United States Treasury Bill | 1.950%–1.963% | 10/4/18 | 1,137,858 | 1,135,834 | ||
United States Treasury Bill | 1.944%–1.955% | 10/11/18 | 887,371 | 885,453 | ||
United States Treasury Bill | 1.971%–1.990% | 10/18/18 | 1,078,000 | 1,075,225 | ||
United States Treasury Bill | 1.980% | 10/25/18 | 1,262,000 | 1,258,271 | ||
United States Treasury Bill | 2.010% | 11/1/18 | 900,000 | 896,950 | ||
United States Treasury Bill | 2.020%–2.027% | 11/8/18 | 2,096,673 | 2,088,724 | ||
United States Treasury Bill | 2.031%–2.042% | 11/15/18 | 1,293,963 | 1,288,495 | ||
United States Treasury Bill | 2.046%–2.047% | 11/23/18 | 1,476,117 | 1,469,191 | ||
United States Treasury Bill | 2.091%–2.092% | 11/29/18 | 1,277,000 | 1,270,432 | ||
United States Treasury Bill | 2.097% | 12/13/18 | 433,000 | 430,429 | ||
United States Treasury Bill | 2.163% | 1/17/19 | 300,000 | 297,539 | ||
United States Treasury Bill | 2.180%–2.184% | 1/31/19 | 500,523 | 495,960 | ||
United States Treasury Bill | 2.204% | 2/7/19 | 300,000 | 297,112 | ||
United States Treasury Bill | 2.204% | 2/14/19 | 250,000 | 247,487 | ||
2 | United States Treasury Floating Rate Note | 2.261% | 10/31/18 | 899,825 | 899,826 | |
2 | United States Treasury Floating Rate Note | 2.091% | 1/31/20 | 500,000 | 500,000 | |
Total U.S. Government and Agency Obligations (Cost $18,861,281) | 18,861,281 | |||||
Total Investments (99.7%) (Cost $18,861,281) | 18,861,281 |
45
Treasury Money Market Fund | |
Amount | |
($000) | |
Other Assets and Liabilities (0.3%) | |
Other Assets | |
Investment in Vanguard | 926 |
Receivables for Accrued Income | 2,669 |
Receivables for Capital Shares Issued | 93,712 |
Other Assets | 3,992 |
Total Other Assets | 101,299 |
Liabilities | |
Payables for Capital Shares Redeemed | (48,881) |
Payables for Distributions | (1,574) |
Payables to Vanguard | (829) |
Total Liabilities | (51,284) |
Net Assets (100%) | |
Applicable to 18,909,167,407 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 18,911,296 |
Net Asset Value Per Share | $1.00 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 18,912,207 |
Undistributed Net Investment Income | 1 |
Accumulated Net Realized Losses | (912) |
Net Assets | 18,911,296 |
• 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 based upon 3-month U.S. Treasury Bill Auction High Money Market Yield plus spread.
See accompanying Notes, which are an integral part of the Financial Statements.
46
Treasury Money Market Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2018 | |
($000) | |
Investment Income | |
Income | |
Interest | 252,217 |
Total Income | 252,217 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 510 |
Management and Administrative | 10,467 |
Marketing and Distribution | 3,574 |
Custodian Fees | 162 |
Auditing Fees | 29 |
Shareholders’ Reports and Proxy | 134 |
Trustees’ Fees and Expenses | 11 |
Total Expenses | 14,887 |
Net Investment Income | 237,330 |
Realized Net Gain (Loss) on Investment Securities Sold | (480) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 236,850 |
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, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 237,330 | 80,882 |
Realized Net Gain (Loss) | (480) | (407) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 236,850 | 80,475 |
Distributions | ||
Net Investment Income | (237,338) | (80,873) |
Realized Capital Gain | — | — |
Total Distributions | (237,338) | (80,873) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 11,971,071 | 9,585,836 |
Issued in Lieu of Cash Distributions | 227,052 | 78,567 |
Redeemed | (8,925,092) | (6,828,339) |
Net Increase (Decrease) from Capital Share Transactions | 3,273,031 | 2,836,064 |
Total Increase (Decrease) | 3,272,543 | 2,835,666 |
Net Assets | ||
Beginning of Period | 15,638,753 | 12,803,087 |
End of Period1 | 18,911,296 | 15,638,753 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,000 and $9,000. |
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 | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | . 0141 | .0051 | .0017 | .0001 | .0001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .014 | .005 | .0017 | .0001 | .0001 |
Distributions | |||||
Dividends from Net Investment Income | (.014) | (.005) | (.0017) | (.0001) | (.0001) |
Distributions from Realized Capital Gains | — | — | — | — | (.0000)2 |
Total Distributions | (.014) | (.005) | (.0017) | (.0001) | (.0001) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return 3 | 1.43% | 0.54% | 0.17% | 0.01% | 0.01% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $18,911 | $15,639 | $12,803 | $9,388 | $10,365 |
Ratio of Total Expenses to Average Net Assets4 | 0.09% | 0.09% | 0.09% | 0.04% | 0.05% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.43% | 0.55% | 0.18% | 0.01% | 0.01% |
1 Calculated based on average shares outstanding.
2 Distribution was less than $.0001 per share.
3 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.
4 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. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets
before an expense reduction was 0.09% for 2016, 0.09% for 2015, and 0.09% for 2014. For the years ended August 31, 2018 and 2017,
there were no expense reductions.
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, 2015–2018), 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. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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, 2018, 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);
50
Treasury Money Market Fund
the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $926,000, representing 0.00% of the fund’s net assets and 0.37% 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
At August 31, 2018, 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. Permanent differences, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. As of period end, the tax components of accumulated net earnings (losses) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed ordinary income | 1,586 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (923) |
Net unrealized gains (losses) | — |
51
Treasury Money Market Fund
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 18,861,281 |
Gross unrealized appreciation | — |
Gross unrealized depreciation | — |
Net unrealized appreciation (depreciation) | — |
E. Management has determined that no events or transactions occurred subsequent to August 31, 2018, that would require recognition or disclosure in these financial statements.
52
Report of Independent Registered Public Accounting Firm
To the Boards of Trustees of Vanguard Money Market Reserves and Vanguard Admiral Funds and Shareholders of Vanguard Prime Money Market Fund, Vanguard Federal Money Market Fund and Vanguard Treasury Money Market Fund
Opinions on the Financial Statements
We have audited the accompanying statements of net assets of Vanguard Prime Money Market Fund and Vanguard Federal Money Market Fund (constituting Vanguard Money Market Reserves) and Vanguard Treasury Money Market Fund (one of the funds constituting Vanguard Admiral Funds) (hereafter collectively referred to as the “Funds”) as of August 31, 2018, the related statements of operations for the year ended August 31, 2018, the statements of changes in net assets for each of the two years in the period ended August 31, 2018, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2018, 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 ended August 31, 2018 and each of the financial highlights for each of the five years in the period ended August 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2018 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2018
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
53
Special 2018 tax information (unaudited) for Vanguard Prime Money Market Fund
This information for the fiscal year ended August 31, 2018, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 64.2% of income dividends are interest-related dividends.
Special 2018 tax information (unaudited) for Vanguard Federal Money Market Fund
This information for the fiscal year ended August 31, 2018, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
Special 2018 tax information (unaudited) for Vanguard Treasury Money Market Fund
This information for the fiscal year ended August 31, 2018, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends
54
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.
55
Six Months Ended August 31, 2018 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2018 | 8/31/2018 | Period | |
Based on Actual Fund Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,009.59 | $0.81 |
Admiral Shares | 1,000.00 | 1,009.89 | 0.51 |
Federal Money Market Fund | $1,000.00 | $1,008.57 | $0.56 |
Treasury Money Market Fund | $1,000.00 | $1,008.70 | $0.46 |
Based on Hypothetical 5% Yearly Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,024.40 | $0.82 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
Federal Money Market Fund | $1,000.00 | $1,024.65 | $0.56 |
Treasury Money Market Fund | $1,000.00 | $1,024.75 | $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 (184/365).
56
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Prime Money Market Fund, Vanguard Federal Money Market Fund, and Vanguard Treasury Money Market Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. 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 that directed 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 four 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 compared with a relevant 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.
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.
57
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.
58
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.
59
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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 208 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. 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 University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) 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.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 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) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 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 co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 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) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Mortimer J. Buckley | James M. Norris |
Gregory Davis | Thomas M. Rampulla |
John James | Karin A. Risi |
Martha G. King | Anne E. Robinson |
John T. Marcante | Michael Rollings |
Chris D. McIsaac |
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
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | Source for Bloomberg Barclays indexes: Bloomberg |
Direct Investor Account Services > 800-662-2739 | Index Services Limited. Copyright 2018, Bloomberg. All |
rights reserved. | |
Institutional Investor Services > 800-523-1036 | |
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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 | |
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© 2018 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q300 102018 |
Annual Report | August 31, 2018
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
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
CEO’s Perspective. | 4 |
S&P Mid-Cap 400 Index Fund. | 6 |
S&P Mid-Cap 400 Value Index Fund. | 26 |
S&P Mid-Cap 400 Growth Index Fund. | 44 |
Your Fund’s After-Tax Returns. | 64 |
About Your Fund’s Expenses. | 65 |
Trustees Approve Advisory Arrangements. | 67 |
Glossary. | 69 |
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.
Your Fund’s Performance at a Glance
• Mid-capitalization growth stocks largely outperformed their value counterparts and mid-cap stocks trailed both small- and large-caps for the 12 months ended August 31, 2018. These trends were reflected in the performance of the Vanguard S&P Mid-Cap 400 Index Funds.
• Results ranged from more than 17% for Vanguard S&P Mid-Cap 400 Value Index Fund to about 22% for Vanguard S&P Mid-Cap 400 Growth Index Fund. Vanguard S&P Mid-Cap 400 Index Fund, which includes both value and growth stocks, returned about 20%.
• Each fund closely tracked its target index, and only the Growth Index Fund failed to outpace its mid-cap peers.
• Information technology stocks were the biggest contributors for the Index Fund and the Growth Index Fund; they were among the top performers for the Value Index Fund. Energy, industrial, and health care stocks did particularly well.
Total Returns: Fiscal Year Ended August 31, 2018 | |
Total | |
Returns | |
Vanguard S&P Mid-Cap 400 Index Fund | |
ETF Shares | |
Market Price | 19.86% |
Net Asset Value | 19.82 |
Institutional Shares | 19.92 |
S&P MidCap 400 Index | 20.00 |
Mid-Cap Core Funds Average | 16.41 |
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 | 17.71% |
Net Asset Value | 17.60 |
Institutional Shares | 17.75 |
S&P MidCap 400 Value Index | 17.81 |
Mid-Cap Value Funds Average | 12.50 |
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 | 21.82% |
Net Asset Value | 21.83 |
Institutional Shares | 21.97 |
S&P MidCap 400 Growth Index | 22.04 |
Mid-Cap Growth Funds Average | 25.16 |
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, 2018 | |
Average | |
Annual Return | |
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 14.87% |
S&P MidCap 400 Index | 15.03 |
Mid-Cap Core Funds Average | 12.99 |
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) | 14.23% |
S&P MidCap 400 Value Index | 14.45 |
Mid-Cap Value Funds Average | 12.61 |
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) | 15.25% |
S&P MidCap 400 Growth Index | 15.45 |
Mid-Cap Growth Funds Average | 14.11 |
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% | 1.15% |
S&P Mid-Cap 400 Value Index Fund | 0.20 | 0.08 | 1.15 |
S&P Mid-Cap 400 Growth Index Fund | 0.20 | 0.08 | 1.21 |
The fund expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal
year. For the fiscal year ended August 31, 2018, 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 2017.
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
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
4
We have been enjoying one of the longest bull markets in history, but it won’t continue forever. Prepare yourself now for how you will react when volatility comes back. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline
is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Mortimer J. Buckley
President and Chief Executive Officer
September 13, 2018
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2018 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.82% | 15.84% | 14.36% |
Russell 2000 Index (Small-caps) | 25.45 | 16.11 | 13.00 |
Russell 3000 Index (Broad U.S. market) | 20.25 | 15.86 | 14.25 |
FTSE All-World ex US Index (International) | 3.51 | 8.31 | 5.82 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -1.05% | 1.76% | 2.49% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | 0.49 | 2.71 | 4.12 |
FTSE Three-Month U. S. Treasury Bill Index | 1.49 | 0.74 | 0.44 |
CPI | |||
Consumer Price Index | 2.70% | 1.90% | 1.52% |
5
S&P Mid-Cap 400 Index Fund
Fund Profile
As of August 31, 2018
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOO | VSPMX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 1.40% | 1.47% |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
MidCap | Market | |
400 Index | FA Index | |
R-Squared | 1.00 | 0.82 |
Beta | 1.00 | 1.00 |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
MidCap | Market | ||
Fund | 400 Index | FA Index | |
Number of Stocks | 401 | 400 | 3,745 |
Median Market Cap | $5.4B | $5.4B | $71.0B |
Price/Earnings Ratio | 19.8x | 19.7x | 21.0x |
Price/Book Ratio | 2.4x | 2.4x | 3.2x |
Return on Equity | 11.0% | 11.0% | 15.0% |
Earnings Growth Rate | 8.5% | 8.6% | 8.4% |
Dividend Yield | 1.5% | 1.5% | 1.7% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 12% | — | — |
Short-Term Reserves | -0.1% | — | — |
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) | ||
WellCare Health Plans | Managed Health | |
Inc. | Care | 0.8% |
Domino's Pizza Inc. | Restaurants | 0.7 |
Jack Henry & Associates Data Processing & | ||
Inc. | Outsourced Services | 0.7 |
Keysight Technologies | Electronic Equipment | |
Inc. | & Instruments | 0.7 |
Fortinet Inc. | Systems Software | 0.7 |
IDEX Corp. | Industrial Machinery | 0.6 |
PTC Inc. | Application Software | 0.6 |
Teleflex Inc. | Health Care | |
Equipment | 0.6 | |
Steel Dynamics Inc. | Steel | 0.6 |
Trimble Inc. | Electronic Equipment | |
& Instruments | 0.6 | |
Top Ten | 6.6% |
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 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, the expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
6
S&P Mid-Cap 400 Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P U.S. Total | |||
MidCap Market | |||
Fund | 400 Index | FA Index | |
Consumer Discretionary | 13.3% | 13.3% | 13.1% |
Consumer Staples | 3.4 | 3.4 | 6.0 |
Energy | 5.1 | 5.1 | 5.6 |
Financials | 16.3 | 16.3 | 14.2 |
Health Care | 10.0 | 10.0 | 14.3 |
Industrials | 14.8 | 14.8 | 10.3 |
Information Technology | 16.8 | 16.8 | 25.3 |
Materials | 6.8 | 6.8 | 2.9 |
Real Estate | 8.9 | 8.9 | 3.7 |
Telecommunication | |||
Services | 0.1 | 0.1 | 1.8 |
Utilities | 4.5 | 4.5 | 2.8 |
Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
7
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, 2018
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
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 | 19.82% | 13.15% | 14.87% | $30,241 |
S&P Mid-Cap 400 Index Fund*ETF | ||||
Shares Market Price | 19.86 | 13.16 | 14.88 | 30,248 |
S&P MidCap 400 Index | 20.00 | 13.30 | 15.03 | 30,571 |
Mid-Cap Core Funds Average | 16.41 | 10.85 | 12.99 | 26,495 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.26 | 14.21 | 15.39 | 31,344 |
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 | 19.92% | 13.23% | 12.26% | $11,803,547 |
S&P MidCap 400 Index | 20.00 | 13.30 | 12.33 | 11,857,761 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 20.26 | 14.21 | 13.43 | 12,744,777 |
"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.
8
S&P Mid-Cap 400 Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2018 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Mid-Cap 400 Index Fund ETF Shares Market | |||
Price | 19.86% | 85.51% | 202.48% |
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset | |||
Value | 19.82 | 85.43 | 202.41 |
S&P MidCap 400 Index | 20.00 | 86.68 | 205.71 |
"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, 2018
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 13.41% | 12.57% | 14.51% | |
Net Asset Value | 13.35 | 12.54 | 14.50 | |
Institutional Shares | 3/28/20111 | 13.44 | 12.62 | 11.81 |
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.
9
S&P Mid-Cap 400 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2018
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 (13.3%) | |||
Domino’s Pizza Inc. | 54,631 | 16,311 | |
* | NVR Inc. | 4,353 | 11,616 |
Service Corp. | |||
International | 236,920 | 9,941 | |
* | Live Nation | ||
Entertainment Inc. | 175,433 | 8,715 | |
Pool Corp. | 52,295 | 8,590 | |
* | Five Below Inc. | 71,864 | 8,370 |
Gentex Corp. | 353,872 | 8,274 | |
Polaris Industries Inc. | 75,880 | 8,229 | |
Dunkin’ Brands Group Inc. | 107,202 | 7,814 | |
Brunswick Corp. | 112,623 | 7,480 | |
Wyndham Hotels & | |||
Resorts Inc. | 128,864 | 7,313 | |
Williams-Sonoma Inc. | 98,931 | 6,948 | |
Six Flags Entertainment | |||
Corp. | 100,388 | 6,781 | |
Toll Brothers Inc. | 182,441 | 6,610 | |
Carter’s Inc. | 60,652 | 6,425 | |
Thor Industries Inc. | 63,323 | 6,044 | |
Texas Roadhouse Inc. | |||
Class A | 84,893 | 5,853 | |
Wyndham Destinations | |||
Inc. | 128,945 | 5,699 | |
American Eagle Outfitters | |||
Inc. | 216,791 | 5,628 | |
* | Ollie’s Bargain Outlet | ||
Holdings Inc. | 64,441 | 5,613 | |
Adient plc | 120,649 | 5,223 | |
* | Skechers U. S. A. Inc. | ||
Class A | 175,468 | 5,173 | |
Cinemark Holdings Inc. | 137,313 | 5,124 | |
Cable One Inc. | 6,069 | 5,084 | |
Signet Jewelers Ltd. | 76,245 | 4,895 | |
* | Urban Outfitters Inc. | 103,901 | 4,829 |
* | Deckers Outdoor Corp. | 39,337 | 4,793 |
ILG Inc. | 136,537 | 4,660 | |
Cracker Barrel Old | |||
Country Store Inc. | 31,017 | 4,624 | |
World Wrestling | |||
Entertainment Inc. | |||
Class A | 51,677 | 4,517 | |
* | Visteon Corp. | 38,179 | 4,215 |
Churchill Downs Inc. | 14,694 | 4,153 | |
Wendy’s Co. | 231,821 | 4,092 | |
* | Helen of Troy Ltd. | 34,392 | 4,091 |
Delphi Technologies plc | 114,725 | 4,042 | |
Aaron’s Inc. | 79,994 | 3,977 | |
Boyd Gaming Corp. | 106,156 | 3,866 | |
New York Times Co. | |||
Class A | 165,342 | 3,852 | |
Dick’s Sporting Goods Inc. | 100,686 | 3,770 | |
John Wiley & Sons Inc. | |||
Class A | 57,991 | 3,743 | |
* | Eldorado Resorts Inc. | 77,847 | 3,741 |
* | AMC Networks Inc. | ||
Class A | 59,408 | 3,731 | |
* | Adtalem Global Education | ||
Inc. | 77,824 | 3,724 | |
Dana Inc. | 187,995 | 3,679 | |
* | AutoNation Inc. | 76,307 | 3,461 |
Jack in the Box Inc. | 36,744 | 3,330 | |
* | Murphy USA Inc. | 39,939 | 3,314 |
*,^ | Tempur Sealy International | ||
Inc. | 59,746 | 3,309 | |
Bed Bath & Beyond Inc. | 180,975 | 3,247 | |
TEGNA Inc. | 278,723 | 3,244 | |
Graham Holdings Co. | |||
Class B | 5,685 | 3,199 | |
Cheesecake Factory Inc. | 55,069 | 2,928 | |
* | TRI Pointe Group Inc. | 196,306 | 2,844 |
KB Home | 109,125 | 2,712 | |
Meredith Corp. | 51,379 | 2,654 | |
Brinker International Inc. | 56,666 | 2,509 | |
* | Michaels Cos. Inc. | 143,508 | 2,438 |
10
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Sally Beauty Holdings Inc. | 157,765 | 2,430 |
Big Lots Inc. | 54,503 | 2,346 | |
* | Sotheby’s | 47,545 | 2,283 |
Tupperware Brands Corp. | 66,051 | 2,148 | |
* | Scientific Games Corp. | 69,176 | 2,096 |
^ | Dillard’s Inc. Class A | 25,612 | 2,013 |
Marriott Vacations | |||
Worldwide Corp. | 11,984 | 1,426 | |
Papa John’s International | |||
Inc. | 30,370 | 1,401 | |
International Speedway | |||
Corp. Class A | 31,550 | 1,393 | |
318,577 | |||
Consumer Staples (3.4%) | |||
Lamb Weston Holdings | |||
Inc. | 188,946 | 12,773 | |
Ingredion Inc. | 93,349 | 9,435 | |
* | Post Holdings Inc. | 86,949 | 8,457 |
Nu Skin Enterprises Inc. | |||
Class A | 71,853 | 5,719 | |
Casey’s General Stores Inc. | 48,498 | 5,537 | |
Energizer Holdings Inc. | 77,114 | 4,904 | |
Flowers Foods Inc. | 239,698 | 4,830 | |
* | Sprouts Farmers Market | ||
Inc. | 158,428 | 4,194 | |
* | Edgewell Personal Care | ||
Co. | 69,773 | 3,940 | |
Lancaster Colony Corp. | 25,210 | 3,939 | |
* | Hain Celestial Group Inc. | 134,300 | 3,836 |
* | TreeHouse Foods Inc. | 72,786 | 3,792 |
* | Boston Beer Co. Inc. | ||
Class A | 11,305 | 3,427 | |
Sanderson Farms Inc. | 25,968 | 2,746 | |
* | United Natural Foods Inc. | 65,134 | 2,313 |
Tootsie Roll Industries Inc. | 25,026 | 721 | |
80,563 | |||
Energy (5.1%) | |||
* | Energen Corp. | 125,890 | 9,763 |
* | WPX Energy Inc. | 510,149 | 9,728 |
PBF Energy Inc. Class A | 152,769 | 7,932 | |
* | Transocean Ltd. | 566,745 | 6,863 |
Core Laboratories NV | 56,988 | 6,528 | |
Murphy Oil Corp. | 210,185 | 6,480 | |
* | Chesapeake Energy Corp. | 1,178,232 | 5,220 |
Patterson-UTI Energy Inc. | 286,608 | 4,910 | |
Range Resources Corp. | 293,073 | 4,812 | |
* | Oasis Petroleum Inc. | 344,412 | 4,636 |
* | Apergy Corp. | 100,003 | 4,522 |
McDermott International | |||
Inc. | 232,329 | 4,493 | |
* | Matador Resources Co. | 133,700 | 4,377 |
CNX Resources Corp. | 253,429 | 4,040 | |
SM Energy Co. | 132,769 | 3,995 | |
Ensco plc Class A | 564,803 | 3,863 |
* | Southwestern Energy Co. | 659,702 | 3,707 |
* | Oceaneering International | ||
Inc. | 127,306 | 3,599 | |
* | Callon Petroleum Co. | 289,694 | 3,274 |
* | QEP Resources Inc. | 307,171 | 3,062 |
Nabors Industries Ltd. | 455,377 | 2,810 | |
* | Dril-Quip Inc. | 49,282 | 2,595 |
World Fuel Services Corp. | 87,490 | 2,452 | |
* | Gulfport Energy Corp. | 201,964 | 2,375 |
* | Rowan Cos. plc Class A | 147,572 | 2,072 |
* | Superior Energy Services | ||
Inc. | 199,303 | 1,794 | |
*,^ | Diamond Offshore Drilling | ||
Inc. | 83,452 | 1,454 | |
121,356 | |||
Financials (16.3%) | |||
Alleghany Corp. | 19,758 | 12,483 | |
Reinsurance Group of | |||
America Inc. Class A | 83,372 | 11,910 | |
East West Bancorp Inc. | 187,225 | 11,868 | |
FactSet Research Systems | |||
Inc. | 50,230 | 11,522 | |
SEI Investments Co. | 169,530 | 10,694 | |
American Financial Group | |||
Inc. | 89,633 | 9,982 | |
WR Berkley Corp. | 124,187 | 9,719 | |
MarketAxess Holdings Inc. | 48,587 | 9,223 | |
Brown & Brown Inc. | 296,227 | 9,029 | |
Commerce Bancshares Inc. | 121,195 | 8,612 | |
Cullen/Frost Bankers Inc. | 75,015 | 8,318 | |
First American Financial | |||
Corp. | 144,130 | 8,195 | |
PacWest Bancorp | 161,701 | 8,164 | |
Eaton Vance Corp. | 154,035 | 8,122 | |
Signature Bank | 69,367 | 8,029 | |
First Horizon National | |||
Corp. | 422,785 | 7,788 | |
Webster Financial Corp. | 119,001 | 7,780 | |
Synovus Financial Corp. | 153,303 | 7,674 | |
Old Republic International | |||
Corp. | 324,093 | 7,188 | |
Primerica Inc. | 56,934 | 6,960 | |
RenaissanceRe Holdings | |||
Ltd. | 52,000 | 6,914 | |
New York Community | |||
Bancorp Inc. | 633,668 | 6,825 | |
Prosperity Bancshares Inc. | 90,259 | 6,755 | |
Hanover Insurance Group | |||
Inc. | 54,964 | 6,733 | |
Sterling Bancorp | 291,353 | 6,657 | |
* | SLM Corp. | 562,365 | 6,591 |
Janus Henderson Group | |||
plc | 233,072 | 6,584 | |
Kemper Corp. | 80,238 | 6,527 |
11
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Wintrust Financial Corp. | 72,726 | 6,440 | |
* | Bank OZK | 156,926 | 6,349 |
Pinnacle Financial | |||
Partners Inc. | 95,581 | 6,170 | |
Umpqua Holdings Corp. | 284,485 | 6,088 | |
Interactive Brokers Group | |||
Inc. | 97,016 | 6,031 | |
Associated Banc-Corp | 218,470 | 5,953 | |
* | Texas Capital Bancshares | ||
Inc. | 64,190 | 5,706 | |
Hancock Whitney Corp. | 110,208 | 5,681 | |
FNB Corp. | 418,521 | 5,629 | |
Evercore Inc. Class A | 52,619 | 5,586 | |
TCF Financial Corp. | 217,379 | 5,511 | |
United Bankshares Inc. | 135,868 | 5,353 | |
Chemical Financial Corp. | 92,202 | 5,267 | |
MB Financial Inc. | 108,649 | 5,265 | |
Stifel Financial Corp. | 92,471 | 5,166 | |
Home BancShares Inc. | 203,849 | 4,772 | |
CNO Financial Group Inc. | 216,261 | 4,673 | |
Navient Corp. | 341,906 | 4,664 | |
Bank of Hawaii Corp. | 54,618 | 4,540 | |
UMB Financial Corp. | 56,916 | 4,282 | |
Cathay General Bancorp | 98,690 | 4,175 | |
Fulton Financial Corp. | 227,123 | 4,134 | |
Valley National Bancorp | 342,467 | 4,127 | |
Washington Federal Inc. | 109,135 | 3,721 | |
BancorpSouth Bank | 106,015 | 3,689 | |
Legg Mason Inc. | 110,433 | 3,446 | |
International Bancshares | |||
Corp. | 70,076 | 3,283 | |
Aspen Insurance Holdings | |||
Ltd. | 77,080 | 3,172 | |
Trustmark Corp. | 87,589 | 3,108 | |
* | Genworth Financial Inc. | ||
Class A | 645,040 | 2,999 | |
Federated Investors Inc. | |||
Class B | 123,213 | 2,854 | |
*,^ | LendingTree Inc. | 10,169 | 2,576 |
Mercury General Corp. | 47,192 | 2,544 | |
389,800 | |||
Health Care (10.0%) | |||
* | WellCare Health Plans Inc. | 63,679 | 19,267 |
Teleflex Inc. | 58,848 | 14,561 | |
STERIS plc | 109,335 | 12,510 | |
West Pharmaceutical | |||
Services Inc. | 95,072 | 11,128 | |
Encompass Health Corp. | 127,688 | 10,418 | |
Bio-Techne Corp. | 48,547 | 9,329 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 26,171 | 8,513 | |
* | Molina Healthcare Inc. | 61,373 | 8,469 |
Hill-Rom Holdings Inc. | 85,636 | 8,330 | |
* | PRA Health Sciences Inc. | 74,511 | 7,868 |
* | Catalent Inc. | 185,170 | 7,740 |
* | Charles River Laboratories | ||
International Inc. | 61,908 | 7,646 | |
* | Haemonetics Corp. | 67,454 | 7,531 |
* | Masimo Corp. | 61,557 | 7,257 |
* | LivaNova plc | 56,326 | 7,072 |
* | United Therapeutics Corp. | 56,263 | 6,920 |
* | Exelixis Inc. | 364,413 | 6,847 |
Chemed Corp. | 20,595 | 6,663 | |
* | Medidata Solutions Inc. | 76,526 | 6,503 |
* | ICU Medical Inc. | 19,689 | 6,025 |
* | MEDNAX Inc. | 122,101 | 5,782 |
* | Integra LifeSciences | ||
Holdings Corp. | 91,149 | 5,421 | |
* | Globus Medical Inc. | 94,691 | 5,044 |
* | NuVasive Inc. | 66,233 | 4,649 |
Cantel Medical Corp. | 45,808 | 4,443 | |
* | Acadia Healthcare Co. Inc. | 106,037 | 4,404 |
* | Avanos Medical Inc. | 60,752 | 4,380 |
* | Syneos Health Inc. | 78,351 | 3,906 |
* | Mallinckrodt plc | 107,361 | 3,700 |
* | Tenet Healthcare Corp. | 105,487 | 3,557 |
* | Allscripts Healthcare | ||
Solutions Inc. | 229,964 | 3,360 | |
* | LifePoint Health Inc. | 50,109 | 3,227 |
* | Prestige Consumer | ||
Healthcare Inc. | 68,581 | 2,640 | |
Patterson Cos. Inc. | 105,171 | 2,372 | |
* | Akorn Inc. | 121,385 | 1,905 |
239,387 | |||
Industrials (14.7%) | |||
IDEX Corp. | 99,130 | 15,188 | |
Old Dominion Freight | |||
Line Inc. | 88,155 | 13,435 | |
Wabtec Corp. | 110,732 | 11,995 | |
* | Teledyne Technologies Inc. | 46,206 | 10,963 |
Lennox International Inc. | 47,964 | 10,687 | |
Graco Inc. | 216,580 | 10,181 | |
Carlisle Cos. Inc. | 78,746 | 9,986 | |
Nordson Corp. | 66,053 | 9,183 | |
Hubbell Inc. Class B | 70,893 | 8,958 | |
Donaldson Co. Inc. | 167,814 | 8,491 | |
Toro Co. | 136,994 | 8,328 | |
Acuity Brands Inc. | 52,978 | 8,097 | |
ManpowerGroup Inc. | 85,065 | 7,973 | |
* | JetBlue Airways Corp. | 408,928 | 7,802 |
Curtiss-Wright Corp. | 57,121 | 7,651 | |
Lincoln Electric Holdings | |||
Inc. | 79,714 | 7,506 | |
Rollins Inc. | 124,057 | 7,453 | |
Watsco Inc. | 41,408 | 7,246 | |
* | AECOM | 207,192 | 6,970 |
Trinity Industries Inc. | 192,899 | 6,914 | |
Dun & Bradstreet Corp. | 47,916 | 6,848 |
12
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Genesee & Wyoming Inc. | ||
Class A | 77,726 | 6,831 | |
Oshkosh Corp. | 95,515 | 6,711 | |
ITT Inc. | 112,941 | 6,676 | |
Landstar System Inc. | 54,356 | 6,294 | |
* | Kirby Corp. | 69,424 | 6,061 |
EMCOR Group Inc. | 75,532 | 6,050 | |
Crane Co. | 65,571 | 5,985 | |
nVent Electric plc | 209,798 | 5,893 | |
Woodward Inc. | 71,537 | 5,763 | |
Knight-Swift Transportation | |||
Holdings Inc. | 165,889 | 5,662 | |
Ryder System Inc. | 68,612 | 5,272 | |
AGCO Corp. | 85,310 | 5,090 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 59,264 | 5,066 | |
Brink’s Co. | 65,776 | 4,940 | |
* | KLX Inc. | 65,553 | 4,840 |
Regal Beloit Corp. | 56,832 | 4,757 | |
* | Clean Harbors Inc. | 66,076 | 4,532 |
EnerSys | 54,417 | 4,516 | |
MSA Safety Inc. | 44,063 | 4,454 | |
Kennametal Inc. | 105,490 | 4,308 | |
Timken Co. | 88,242 | 4,293 | |
GATX Corp. | 48,719 | 4,114 | |
Valmont Industries Inc. | 29,142 | 4,092 | |
Healthcare Services | |||
Group Inc. | 95,255 | 3,925 | |
KBR Inc. | 181,720 | 3,813 | |
Deluxe Corp. | 61,830 | 3,662 | |
Terex Corp. | 93,298 | 3,615 | |
* | Dycom Industries Inc. | 40,311 | 3,383 |
Herman Miller Inc. | 77,062 | 2,951 | |
* | Esterline Technologies | ||
Corp. | 33,458 | 2,876 | |
* | Avis Budget Group Inc. | 92,403 | 2,875 |
Granite Construction Inc. | 58,754 | 2,684 | |
HNI Corp. | 56,261 | 2,481 | |
* | NOW Inc. | 139,753 | 2,402 |
Werner Enterprises Inc. | 57,924 | 2,146 | |
Pitney Bowes Inc. | 242,429 | 1,760 | |
352,628 | |||
Information Technology (16.7%) | |||
Jack Henry & Associates | |||
Inc. | 99,875 | 15,824 | |
* | Keysight Technologies Inc. | 241,499 | 15,671 |
* | Fortinet Inc. | 186,787 | 15,645 |
* | PTC Inc. | 149,090 | 14,900 |
* | Trimble Inc. | 322,034 | 13,558 |
Leidos Holdings Inc. | 184,359 | 13,047 | |
Cognex Corp. | 223,475 | 12,023 | |
* | Zebra Technologies Corp. | 68,998 | 11,850 |
* | Ultimate Software Group | ||
Inc. | 37,577 | 11,636 |
* | Tyler Technologies Inc. | 46,007 | 11,361 |
Teradyne Inc. | 247,205 | 10,182 | |
CDK Global Inc. | 159,850 | 9,962 | |
* | WEX Inc. | 51,771 | 9,848 |
* | Fair Isaac Corp. | 38,556 | 8,906 |
* | Arrow Electronics Inc. | 113,217 | 8,778 |
Sabre Corp. | 326,610 | 8,528 | |
Cypress Semiconductor | |||
Corp. | 463,223 | 7,972 | |
Monolithic Power | |||
Systems Inc. | 50,153 | 7,516 | |
Avnet Inc. | 152,450 | 7,379 | |
Littelfuse Inc. | 32,260 | 7,212 | |
* | Integrated Device | ||
Technology Inc. | 167,033 | 7,097 | |
National Instruments Corp. | 139,011 | 6,638 | |
MKS Instruments Inc. | 70,654 | 6,564 | |
Blackbaud Inc. | 62,702 | 6,557 | |
Jabil Inc. | 221,337 | 6,543 | |
* | Teradata Corp. | 156,237 | 6,479 |
* | Cree Inc. | 129,869 | 6,248 |
* | Coherent Inc. | 32,141 | 6,126 |
* | ARRIS International plc | 226,231 | 5,862 |
* | Ciena Corp. | 185,309 | 5,852 |
LogMeIn Inc. | 67,466 | 5,799 | |
MAXIMUS Inc. | 84,300 | 5,606 | |
Versum Materials Inc. | 140,769 | 5,601 | |
* | Lumentum Holdings Inc. | 81,276 | 5,519 |
* | First Solar Inc. | 105,587 | 5,499 |
* | Silicon Laboratories Inc. | 55,863 | 5,475 |
* | CoreLogic Inc. | 105,486 | 5,363 |
j2 Global Inc. | 63,457 | 5,240 | |
* | Manhattan Associates Inc. | 86,350 | 5,007 |
Science Applications | |||
International Corp. | 54,610 | 4,927 | |
* | Acxiom Corp. | 99,573 | 4,549 |
* | ViaSat Inc. | 70,787 | 4,447 |
* | NCR Corp. | 152,881 | 4,343 |
Perspecta Inc. | 184,330 | 4,287 | |
* | ACI Worldwide Inc. | 150,455 | 4,274 |
Vishay Intertechnology | |||
Inc. | 170,719 | 4,063 | |
Belden Inc. | 52,530 | 3,820 | |
* | CommVault Systems Inc. | 54,654 | 3,807 |
InterDigital Inc. | 44,890 | 3,708 | |
SYNNEX Corp. | 37,834 | 3,669 | |
* | Cirrus Logic Inc. | 78,799 | 3,463 |
* | Tech Data Corp. | 45,035 | 3,276 |
Convergys Corp. | 118,224 | 2,924 | |
Plantronics Inc. | 42,474 | 2,855 | |
* | NetScout Systems Inc. | 103,710 | 2,593 |
* | Cars.com Inc. | 92,886 | 2,499 |
* | Synaptics Inc. | 44,727 | 2,158 |
400,535 |
13
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Materials (6.8%) | |||
Steel Dynamics Inc. | 304,850 | 13,941 | |
RPM International Inc. | 172,790 | 11,663 | |
Chemours Co. | 229,899 | 10,024 | |
AptarGroup Inc. | 80,606 | 8,440 | |
Reliance Steel & | |||
Aluminum Co. | 93,468 | 8,215 | |
Sonoco Products Co. | 128,635 | 7,209 | |
Ashland Global Holdings | |||
Inc. | 80,628 | 6,789 | |
United States Steel Corp. | 228,444 | 6,780 | |
Olin Corp. | 216,066 | 6,640 | |
Royal Gold Inc. | 84,568 | 6,449 | |
Bemis Co. Inc. | 117,547 | 5,793 | |
Eagle Materials Inc. | 61,990 | 5,723 | |
Louisiana-Pacific Corp. | 187,584 | 5,470 | |
Valvoline Inc. | 252,837 | 5,441 | |
Cabot Corp. | 79,881 | 5,186 | |
NewMarket Corp. | 11,879 | 4,764 | |
* | Allegheny Technologies | ||
Inc. | 162,369 | 4,389 | |
PolyOne Corp. | 103,332 | 4,367 | |
Domtar Corp. | 81,183 | 4,132 | |
Sensient Technologies | |||
Corp. | 54,703 | 3,885 | |
Scotts Miracle-Gro Co. | 50,079 | 3,742 | |
* | Owens-Illinois Inc. | 208,961 | 3,692 |
Carpenter Technology | |||
Corp. | 60,644 | 3,619 | |
Commercial Metals Co. | 151,200 | 3,266 | |
Minerals Technologies Inc. | 45,699 | 3,069 | |
Compass Minerals | |||
International Inc. | 43,737 | 2,736 | |
Silgan Holdings Inc. | 95,751 | 2,609 | |
Worthington Industries Inc. | 55,637 | 2,591 | |
Greif Inc. Class A | 33,499 | 1,848 | |
162,472 | |||
Real Estate (8.9%) | |||
Camden Property Trust | 119,874 | 11,395 | |
Kilroy Realty Corp. | 127,722 | 9,342 | |
National Retail Properties | |||
Inc. | 198,784 | 9,162 | |
Jones Lang LaSalle Inc. | 58,777 | 8,965 | |
CyrusOne Inc. | 128,066 | 8,575 | |
* | Omega Healthcare | ||
Investors Inc. | 256,620 | 8,481 | |
Lamar Advertising Co. | |||
Class A | 108,597 | 8,367 | |
Liberty Property Trust | 190,962 | 8,355 | |
Douglas Emmett Inc. | 206,374 | 8,061 | |
American Campus | |||
Communities Inc. | 176,622 | 7,406 | |
Medical Properties Trust | |||
Inc. | 471,290 | 7,093 |
Highwoods Properties Inc. | 133,638 | 6,647 | |
Hospitality Properties | |||
Trust | 212,377 | 6,157 | |
Senior Housing Properties | |||
Trust | 307,077 | 5,868 | |
Life Storage Inc. | 60,097 | 5,866 | |
EPR Properties | 83,559 | 5,864 | |
Rayonier Inc. | 167,188 | 5,823 | |
CoreSite Realty Corp. | 46,826 | 5,454 | |
Sabra Health Care REIT | |||
Inc. | 230,397 | 5,433 | |
First Industrial Realty | |||
Trust Inc. | 161,997 | 5,258 | |
Taubman Centers Inc. | 78,813 | 5,092 | |
Cousins Properties Inc. | 543,023 | 5,077 | |
Healthcare Realty Trust | |||
Inc. | 161,757 | 5,008 | |
LaSalle Hotel Properties | 142,634 | 5,008 | |
Weingarten Realty | |||
Investors | 154,015 | 4,764 | |
JBG SMITH Properties | 120,404 | 4,510 | |
Uniti Group Inc. | 213,430 | 4,444 | |
Education Realty Trust Inc. | 104,121 | 4,309 | |
Corporate Office | |||
Properties Trust | 131,976 | 4,062 | |
GEO Group Inc. | 158,968 | 4,033 | |
CoreCivic Inc. | 153,192 | 3,966 | |
PotlatchDeltic Corp. | 77,851 | 3,760 | |
Urban Edge Properties | 136,934 | 3,130 | |
^ | Tanger Factory Outlet | ||
Centers Inc. | 121,954 | 2,934 | |
Mack-Cali Realty Corp. | 116,478 | 2,544 | |
Alexander & Baldwin Inc. | 87,429 | 2,052 | |
212,265 | |||
Telecommunication Services (0.1%) | |||
Telephone & Data | |||
Systems Inc. | 119,973 | 3,604 | |
Utilities (4.5%) | |||
Atmos Energy Corp. | 143,898 | 13,272 | |
UGI Corp. | 224,099 | 12,113 | |
OGE Energy Corp. | 258,199 | 9,509 | |
Aqua America Inc. | 230,002 | 8,551 | |
Vectren Corp. | 107,372 | 7,645 | |
MDU Resources Group | |||
Inc. | 252,442 | 7,041 | |
IDACORP Inc. | 65,149 | 6,375 | |
National Fuel Gas Co. | 107,980 | 5,996 | |
ONE Gas Inc. | 68,057 | 5,344 | |
New Jersey Resources | |||
Corp. | 113,726 | 5,186 | |
ALLETE Inc. | 66,285 | 4,977 | |
Hawaiian Electric | |||
Industries Inc. | 140,749 | 4,964 |
S&P Mid-Cap 400 Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
Southwest Gas Holdings | ||
Inc. | 62,619 | 4,842 |
Black Hills Corp. | 69,292 | 4,078 |
PNM Resources Inc. | 102,975 | 4,011 |
NorthWestern Corp. | 63,982 | 3,836 |
107,740 | ||
Total Common Stocks | ||
(Cost $2,004,843) | 2,388,927 | |
Temporary Cash Investments (0.3%)1 | ||
Money Market Fund (0.3%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, 2.153% | 56,429 | 5,644 |
Face | ||
Amount | ||
($000) | ||
U. S. Government and Agency Obligations (0.0%) | ||
4 United States Treasury | ||
Bill, 2.034%, 11/15/18 | 500 | 498 |
Total Temporary Cash Investments | ||
(Cost $6,140) | 6,142 | |
Total Investments (100.1%) | ||
(Cost $2,010,983) | 2,395,069 | |
Amount | ||
($000) | ||
Other Assets and Liabilities (-0.1%) | ||
Other Assets | ||
Investment in Vanguard | 118 | |
Receivables for Accrued Income | 2,361 | |
Receivables for Capital Shares Issued | 583 | |
Variation Margin Receivable— | ||
Futures Contracts | 23 | |
Other Assets | 1 | |
Total Other Assets | 3,086 | |
Liabilities | ||
Payables for Investment Securities | ||
Purchased | (1,434) | |
Collateral for Securities on Loan | (3,109) | |
Payables for Capital Shares Redeemed | (402) | |
Payables to Vanguard | (369) | |
Variation Margin Payable— | ||
Futures Contracts | (11) | |
Total Liabilities | (5,325) | |
Net Assets (100%) | 2,392,830 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,034,971 |
Undistributed Net Investment Income | 6,392 |
Accumulated Net Realized Losses | (32,742) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 384,086 |
Futures Contracts | 123 |
Net Assets | 2,392,830 |
ETF Shares—Net Assets | |
Applicable to 7,050,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 972,981 |
Net Asset Value Per Share— | |
ETF Shares | $138.01 |
Institutional Shares—Net Assets | |
Applicable to 5,158,218 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,419,849 |
Net Asset Value Per Share— | |
Institutional Shares | $275.26 |
• 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 $3,023,000.
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 0.0%, 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 $3,109,000 of collateral received for securities
on loan.
4 Securities with a value of $498,000 have been segregated
as initial margin for open futures contracts.
15
S&P Mid-Cap 400 Index Fund
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | September 2018 | 29 | 5,932 | 123 |
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P Mid-Cap 400 Index Fund
Statement of Operations | |
Year Ended | |
August31,2018 | |
($000) | |
Investment Income | |
Income | |
Dividends | 32,156 |
Interest1 | 135 |
Securities Lending—Net | 245 |
Total Income | 32,536 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 319 |
Management and Administrative—ETF Shares | 1,010 |
Management and Administrative—Institutional Shares | 723 |
Marketing and Distribution—ETF Shares | 51 |
Marketing and Distribution—Institutional Shares | 34 |
Custodian Fees | 42 |
Auditing Fees | 33 |
Shareholders’ Reports and Proxy—ETF Shares | 60 |
Shareholders’ Reports and Proxy—Institutional Shares | 24 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,297 |
Net Investment Income | 30,239 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 103,933 |
Futures Contracts | 1,154 |
Realized Net Gain (Loss) | 105,087 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 244,261 |
Futures Contracts | 50 |
Change in Unrealized Appreciation (Depreciation) | 244,311 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 379,637 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $123,000, ($1,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $112,575,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 30,239 | 23,046 |
Realized Net Gain (Loss) | 105,087 | 91,321 |
Change in Unrealized Appreciation (Depreciation) | 244,311 | 68,439 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 379,637 | 182,806 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (11,281) | (8,335) |
Institutional Shares | (17,636) | (14,448) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (28,917) | (22,783) |
Capital Share Transactions | ||
ETF Shares | 106,083 | 181,495 |
Institutional Shares | 90,717 | 170,668 |
Net Increase (Decrease) from Capital Share Transactions | 196,800 | 352,163 |
Total Increase (Decrease) | 547,520 | 512,186 |
Net Assets | ||
Beginning of Period | 1,845,310 | 1,333,124 |
End of Period1 | 2,392,830 | 1,845,310 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $6,392,000 and $5,070,000.
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P Mid-Cap 400 Index Fund
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $116.74 | $105.51 | $95.87 | $97.19 | $79.72 |
Investment Operations | |||||
Net Investment Income | 1.7781 | 1.5101 | 1.393 | 1.330 | 1.016 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 21.199 | 11.294 | 10.091 | (1.425) | 17.285 |
Total from Investment Operations | 22.977 | 12.804 | 11.484 | (.095) | 18.301 |
Distributions | |||||
Dividends from Net Investment Income | (1.707) | (1.574) | (1.844) | (1.225) | (.831) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.707) | (1.574) | (1.844) | (1.225) | (.831) |
Net Asset Value, End of Period | $138.01 | $116.74 | $105.51 | $95.87 | $97.19 |
Total Return | 19.82% | 12.22% | 12.19% | -0.12% | 23.06% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $973 | $727 | $485 | $379 | $345 |
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 | 1.38% | 1.34% | 1.56% | 1.45% | 1.28% |
Portfolio Turnover Rate2 | 12% | 13% | 11% | 12% | 14% |
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.
19
S&P Mid-Cap 400 Index Fund
Financial Highlights | |||||
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $232.82 | $210.40 | $191.51 | $194.13 | $159.20 |
Investment Operations | |||||
Net Investment Income | 3.7111 | 3.1761 | 3.171 | 2.794 | 2.135 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 42.301 | 22.516 | 19.869 | (2.844) | 34.537 |
Total from Investment Operations | 46.012 | 25.692 | 23.040 | (. 050) | 36.672 |
Distributions | |||||
Dividends from Net Investment Income | (3.572) | (3.272) | (4.150) | (2.570) | (1.742) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.572) | (3.272) | (4.150) | (2.570) | (1.742) |
Net Asset Value, End of Period | $275.26 | $232.82 | $210.40 | $191.51 | $194.13 |
Total Return | 19.92% | 12.31% | 12.26% | -0.04% | 23.16% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,420 | $1,119 | $848 | $665 | $523 |
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 | 1.45% | 1.41% | 1.63% | 1.52% | 1.35% |
Portfolio Turnover Rate2 | 12% | 13% | 11% | 12% | 14% |
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
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 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, 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 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. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2018, 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 the notional amounts at each quarter-end during the period.
21
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, 2015–2018), 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. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market 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 event 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, 2018, 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
22
S&P Mid-Cap 400 Index Fund
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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $118,000, representing 0.01% of the fund’s net assets and 0.05% 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 2,388,927 | — | — |
Temporary Cash Investments | 5,644 | 498 | — |
Futures Contracts—Assets1 | 23 | — | — |
Futures Contracts—Liabilities1 | (11) | — | — |
Total | 2,394,583 | 498 | — |
1 Represents variation margin on the last day of the reporting period. |
23
S&P Mid-Cap 400 Index Fund
D. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, the following permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
Amount | |
($000) | |
Paid-in capital | 112,575 |
Undistributed (Overdistributed) net investment income | — |
Accumulated net realized gains (losses) | (112,575) |
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax components of accumulated net earnings (losses) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed ordinary income | 6,636 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (32,619) |
Net unrealized gains (losses) | 384,086 |
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 2,010,983 |
Gross unrealized appreciation | 471,444 |
Gross unrealized depreciation | (87,358) |
Net unrealized appreciation (depreciation) | 384,086 |
E. During the year ended August 31, 2018, the fund purchased $726,072,000 of investment securities and sold $520,442,000 of investment securities, other than temporary cash investments. Purchases and sales include $307,139,000 and $267,153,000, 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, 2018, such purchases and sales were $73,994,000 and $42,838,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
24
S&P Mid-Cap 400 Index Fund
F. Capital share transactions for each class of shares were: | ||||
Year Ended August 31, | ||||
2018 | 2017 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 403,161 | 3,125 | 530,214 | 4,625 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (297,078) | (2,300) | (348,719) | (3,000) |
Net Increase (Decrease)—ETF Shares | 106,083 | 825 | 181,495 | 1,625 |
Institutional Shares | ||||
Issued | 252,609 | 985 | 301,445 | 1,345 |
Issued in Lieu of Cash Distributions | 17,178 | 68 | 14,259 | 64 |
Redeemed | (179,070) | (699) | (145,036) | (634) |
Net Increase (Decrease)—Institutional Shares | 90,717 | 354 | 170,668 | 775 |
G. Management has determined that no events or transactions occurred subsequent to August 31, 2018, 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, 2018 | ||
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOV | VMFVX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.68% | 1.80% |
Volatility Measures | ||
DJ | ||
S&P MidCap | U.S. Total | |
400 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.72 |
Beta | 1.00 | 1.05 |
Portfolio Characteristics | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 293 | 292 | 3,745 |
Median Market Cap | $4.8B | $4.8B | $71.0B |
Price/Earnings Ratio | 21.7x | 21.6x | 21.0x |
Price/Book Ratio | 1.7x | 1.7x | 3.2x |
Return on Equity | 9.3% | 9.4% | 15.0% |
Earnings Growth Rate | 5.8% | 6.0% | 8.4% |
Dividend Yield | 1.8% | 1.8% | 1.7% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 36% | — | — |
Short-Term Reserves | -0.1% | — | — |
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) | ||
Steel Dynamics Inc. | Steel | 1.2% |
Atmos Energy Corp. | Gas Utilities | 1.1 |
Leidos Holdings Inc. | IT Consulting & | |
Other Services | 1.1 | |
Alleghany Corp. | Reinsurance | 1.1 |
UGI Corp. | Gas Utilities | 1.0 |
Reinsurance Group of | ||
America Inc. | Reinsurance | 1.0 |
American Financial | ||
Group Inc. | Multi-line Insurance | 0.9 |
Energen Corp. | Oil & Gas Exploration | |
& Production | 0.8 | |
WPX Energy Inc. | Oil & Gas Exploration | |
& Production | 0.8 | |
WR Berkley Corp. | Property & Casualty | |
Insurance | 0.8 | |
Top Ten | 9.8% |
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 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, 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)
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Value | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary | 9.2% | 9.2% | 13.1% |
Consumer Staples | 3.9 | 3.9 | 6.0 |
Energy | 9.9 | 9.9 | 5.6 |
Financials | 18.6 | 18.6 | 14.2 |
Health Care | 5.3 | 5.3 | 14.3 |
Industrials | 15.1 | 15.1 | 10.3 |
Information Technology | 10.2 | 10.2 | 25.3 |
Materials | 9.4 | 9.4 | 2.9 |
Real Estate | 10.8 | 10.8 | 3.7 |
Telecommunication | |||
Services | 0.3 | 0.3 | 1.8 |
Utilities | 7.3 | 7.3 | 2.8 |
Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
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, 2018
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
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 | 17.60% | 12.32% | 14.23% | $28,914 |
S&P Mid-Cap 400 Value Index | ||||
Fund*ETF Shares Market Price | 17.71 | 12.32 | 14.24 | 28,928 |
S&P MidCap 400 Value Index | 17.81 | 12.52 | 14.45 | 29,353 |
Mid-Cap Value Funds Average | 12.50 | 10.28 | 12.61 | 25,795 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.26 | 14.21 | 15.39 | 31,344 |
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 | 17.75% | 12.45% | 13.29% | $13,277,744 |
S&P MidCap 400 Value Index | 17.81 | 12.52 | 13.37 | 13,347,800 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 20.26 | 14.21 | 14.29 | 14,222,924 |
"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, 2018 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Mid-Cap 400 Value Index Fund ETF Shares | |||
Market Price | 17.71% | 78.74% | 189.28% |
S&P Mid-Cap 400 Value Index Fund ETF Shares Net | |||
Asset Value | 17.60 | 78.73 | 189.14 |
S&P MidCap 400 Value Index | 17.81 | 80.37 | 193.53 |
"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, 2018
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 11.07% | 11.77% | 13.89% | |
Net Asset Value | 10.98 | 11.75 | 13.88 | |
Institutional Shares | 11/2/2010 | 11.12 | 11.89 | 12.92 |
29
S&P Mid-Cap 400 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2018
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 (9.2%) | |||
Williams-Sonoma Inc. | 82,713 | 5,809 | |
Cinemark Holdings Inc. | 114,802 | 4,284 | |
Signet Jewelers Ltd. | 63,745 | 4,092 | |
* | Urban Outfitters Inc. | 86,867 | 4,038 |
Adient plc | 80,696 | 3,493 | |
Brunswick Corp. | 51,786 | 3,440 | |
Aaron’s Inc. | 66,878 | 3,325 | |
Dick’s Sporting Goods Inc. | 84,179 | 3,152 | |
* | Adtalem Global Education | ||
Inc. | 65,063 | 3,113 | |
* | AutoNation Inc. | 63,795 | 2,893 |
* | Murphy USA Inc. | 33,390 | 2,771 |
Bed Bath & Beyond Inc. | 151,305 | 2,714 | |
TEGNA Inc. | 233,026 | 2,712 | |
Graham Holdings Co. | |||
Class B | 4,754 | 2,675 | |
Gentex Corp. | 112,427 | 2,629 | |
Cheesecake Factory Inc. | 46,041 | 2,448 | |
Cracker Barrel Old Country | |||
Store Inc. | 15,560 | 2,320 | |
Brinker International Inc. | 47,376 | 2,098 | |
* | Michaels Cos. Inc. | 119,978 | 2,038 |
* | Sally Beauty Holdings Inc. | 131,903 | 2,031 |
* | Deckers Outdoor Corp. | 16,442 | 2,003 |
Big Lots Inc. | 45,569 | 1,962 | |
John Wiley & Sons Inc. | |||
Class A | 30,060 | 1,940 | |
American Eagle Outfitters | |||
Inc. | 74,308 | 1,929 | |
* | Helen of Troy Ltd. | 15,239 | 1,813 |
^ | Dillard’s Inc. Class A | 21,414 | 1,683 |
Wendy’s Co. | 94,970 | 1,676 | |
Carter’s Inc. | 15,718 | 1,665 | |
Texas Roadhouse Inc. | |||
Class A | 24,130 | 1,664 | |
Cable One Inc. | 1,928 | 1,615 |
*,^ | Tempur Sealy International | ||
Inc. | 28,972 | 1,605 | |
International Speedway | |||
Corp. Class A | 26,378 | 1,165 | |
* | AMC Networks Inc. | ||
Class A | 18,379 | 1,154 | |
Dana Inc. | 56,589 | 1,107 | |
Tupperware Brands Corp. | 31,479 | 1,024 | |
Meredith Corp. | 19,332 | 999 | |
Jack in the Box Inc. | 10,752 | 975 | |
Papa John’s International | |||
Inc. | 15,238 | 703 | |
Cooper Tire & Rubber Co. | 15 | — | |
88,757 | |||
Consumer Staples (3.9%) | |||
* | Post Holdings Inc. | 72,694 | 7,070 |
Casey’s General Stores Inc. | 40,549 | 4,629 | |
Ingredion Inc. | 42,146 | 4,260 | |
* | Edgewell Personal Care Co. | 58,336 | 3,294 |
* | TreeHouse Foods Inc. | 60,854 | 3,171 |
Nu Skin Enterprises Inc. | |||
Class A | 33,040 | 2,630 | |
Energizer Holdings Inc. | 36,104 | 2,296 | |
Flowers Foods Inc. | 110,218 | 2,221 | |
* | United Natural Foods Inc. | 54,457 | 1,934 |
* | Hain Celestial Group Inc. | 67,371 | 1,924 |
Lancaster Colony Corp. | 10,116 | 1,581 | |
* | Boston Beer Co. Inc. | ||
Class A | 5,009 | 1,518 | |
Sanderson Farms Inc. | 6,948 | 735 | |
Tootsie Roll Industries Inc. | 11,290 | 325 | |
37,588 | |||
Energy (9.8%) | |||
* | Energen Corp. | 105,252 | 8,162 |
* | WPX Energy Inc. | 426,510 | 8,134 |
PBF Energy Inc. Class A | 127,723 | 6,631 | |
* | Transocean Ltd. | 473,841 | 5,738 |
Murphy Oil Corp. | 175,725 | 5,418 | |
* | Chesapeake Energy Corp. | 985,068 | 4,364 |
30
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Patterson-UTI Energy Inc. | 239,624 | 4,105 | |
Range Resources Corp. | 245,027 | 4,023 | |
* | Oasis Petroleum Inc. | 287,944 | 3,876 |
McDermott International | |||
Inc. | 194,244 | 3,757 | |
CNX Resources Corp. | 211,879 | 3,377 | |
SM Energy Co. | 111,002 | 3,340 | |
Ensco plc Class A | 472,212 | 3,230 | |
Core Laboratories NV | 27,634 | 3,166 | |
* | Southwestern Energy Co. | 551,548 | 3,100 |
* | Oceaneering International | ||
Inc. | 106,441 | 3,009 | |
* | Callon Petroleum Co. | 242,200 | 2,737 |
* | QEP Resources Inc. | 256,808 | 2,560 |
Nabors Industries Ltd. | 380,726 | 2,349 | |
* | Dril-Quip Inc. | 41,205 | 2,169 |
* | Matador Resources Co. | 63,714 | 2,086 |
World Fuel Services Corp. | 73,146 | 2,050 | |
* | Gulfport Energy Corp. | 168,853 | 1,986 |
* | Rowan Cos. plc Class A | 123,381 | 1,732 |
* | Apergy Corp. | 36,786 | 1,663 |
* | Superior Energy Services | ||
Inc. | 166,631 | 1,500 | |
*,^ | Diamond Offshore Drilling | ||
Inc. | 69,774 | 1,216 | |
95,478 | |||
Financials (18.5%) | |||
Alleghany Corp. | 16,518 | 10,436 | |
Reinsurance Group of | |||
America Inc. Class A | 69,704 | 9,957 | |
American Financial Group | |||
Inc. | 74,939 | 8,345 | |
WR Berkley Corp. | 103,831 | 8,126 | |
PacWest Bancorp | 135,190 | 6,826 | |
First Horizon National | |||
Corp. | 353,477 | 6,511 | |
Old Republic International | |||
Corp. | 270,962 | 6,010 | |
New York Community | |||
Bancorp Inc. | 529,793 | 5,706 | |
Prosperity Bancshares Inc. | 75,460 | 5,647 | |
Hanover Insurance Group | |||
Inc. | 45,953 | 5,629 | |
Umpqua Holdings Corp. | 237,848 | 5,090 | |
Associated Banc-Corp | 182,659 | 4,977 | |
FNB Corp. | 349,903 | 4,706 | |
TCF Financial Corp. | 181,740 | 4,607 | |
United Bankshares Inc. | 113,592 | 4,475 | |
Chemical Financial Corp. | 77,085 | 4,403 | |
Stifel Financial Corp. | 77,308 | 4,319 | |
Signature Bank | 37,119 | 4,296 | |
Navient Corp. | 285,861 | 3,899 | |
UMB Financial Corp. | 47,587 | 3,580 | |
Fulton Financial Corp. | 189,893 | 3,456 | |
Commerce Bancshares Inc. | 48,631 | 3,456 |
Valley National Bancorp | 286,320 | 3,450 | |
Cullen/Frost Bankers Inc. | 30,103 | 3,338 | |
First American Financial | |||
Corp. | 53,020 | 3,015 | |
Legg Mason Inc. | 92,328 | 2,881 | |
RenaissanceRe Holdings | |||
Ltd. | 20,868 | 2,775 | |
International Bancshares | |||
Corp. | 58,581 | 2,744 | |
Webster Financial Corp. | 41,786 | 2,732 | |
Brown & Brown Inc. | 89,147 | 2,717 | |
Hancock Whitney Corp. | 51,600 | 2,660 | |
Aspen Insurance Holdings | |||
Ltd. | 64,444 | 2,652 | |
Trustmark Corp. | 73,232 | 2,598 | |
* | Genworth Financial Inc. | ||
Class A | 539,292 | 2,508 | |
Wintrust Financial Corp. | 27,362 | 2,423 | |
MB Financial Inc. | 44,513 | 2,157 | |
Mercury General Corp. | 39,455 | 2,127 | |
Pinnacle Financial Partners | |||
Inc. | 32,764 | 2,115 | |
Home BancShares Inc. | 88,625 | 2,075 | |
Bank of Hawaii Corp. | 23,749 | 1,974 | |
Sterling Bancorp | 82,828 | 1,893 | |
Washington Federal Inc. | 53,832 | 1,836 | |
* | SLM Corp. | 150,463 | 1,763 |
BancorpSouth Bank | 47,865 | 1,666 | |
Cathay General Bancorp | 30,535 | 1,292 | |
179,848 | |||
Health Care (5.3%) | |||
* | WellCare Health Plans Inc. | 20,231 | 6,121 |
* | MEDNAX Inc. | 102,084 | 4,834 |
STERIS plc | 35,647 | 4,079 | |
* | Acadia Healthcare Co. Inc. | 88,652 | 3,682 |
* | Avanos Medical Inc. | 50,792 | 3,662 |
* | Molina Healthcare Inc. | 26,168 | 3,611 |
West Pharmaceutical | |||
Services Inc. | 30,203 | 3,535 | |
* | Syneos Health Inc. | 65,507 | 3,265 |
* | Mallinckrodt plc | 89,761 | 3,093 |
* | LifePoint Health Inc. | 41,893 | 2,698 |
* | Haemonetics Corp. | 20,863 | 2,329 |
Patterson Cos. Inc. | 87,930 | 1,983 | |
* | United Therapeutics Corp. | 14,582 | 1,793 |
* | Tenet Healthcare Corp. | 52,033 | 1,755 |
* | Integra LifeSciences | ||
Holdings Corp. | 28,956 | 1,722 | |
* | NuVasive Inc. | 22,149 | 1,555 |
* | Allscripts Healthcare | ||
Solutions Inc. | 92,290 | 1,348 | |
* | Prestige Consumer | ||
Healthcare Inc. | 18,925 | 729 | |
51,794 |
31
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Industrials (15.1%) | |||
Acuity Brands Inc. | 44,292 | 6,770 | |
ManpowerGroup Inc. | 71,120 | 6,666 | |
* | JetBlue Airways Corp. | 341,898 | 6,524 |
Wabtec Corp. | 54,621 | 5,917 | |
* | AECOM | 173,220 | 5,827 |
Trinity Industries Inc. | 161,277 | 5,780 | |
* | Genesee & Wyoming Inc. | ||
Class A | 64,982 | 5,711 | |
* | Kirby Corp. | 58,041 | 5,067 |
EMCOR Group Inc. | 63,150 | 5,058 | |
nVent Electric plc | 175,401 | 4,927 | |
Ryder System Inc. | 57,364 | 4,408 | |
Carlisle Cos. Inc. | 34,234 | 4,341 | |
AGCO Corp. | 71,324 | 4,255 | |
Regal Beloit Corp. | 47,514 | 3,977 | |
* | Clean Harbors Inc. | 55,242 | 3,789 |
EnerSys | 45,495 | 3,776 | |
Hubbell Inc. Class B | 27,264 | 3,445 | |
GATX Corp. | 40,730 | 3,440 | |
KBR Inc. | 151,927 | 3,188 | |
Watsco Inc. | 18,003 | 3,150 | |
Oshkosh Corp. | 41,527 | 2,918 | |
Lincoln Electric Holdings | |||
Inc. | 30,661 | 2,887 | |
Crane Co. | 30,700 | 2,802 | |
Donaldson Co. Inc. | 54,720 | 2,769 | |
Curtiss-Wright Corp. | 20,532 | 2,750 | |
Dun & Bradstreet Corp. | 19,229 | 2,748 | |
ITT Inc. | 44,380 | 2,623 | |
* | Esterline Technologies | ||
Corp. | 27,973 | 2,404 | |
* | Avis Budget Group Inc. | 77,254 | 2,403 |
Knight-Swift Transportation | |||
Holdings Inc. | 69,347 | 2,367 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 27,252 | 2,330 | |
Woodward Inc. | 28,109 | 2,265 | |
Kennametal Inc. | 51,157 | 2,089 | |
HNI Corp. | 47,036 | 2,074 | |
Valmont Industries Inc. | 14,376 | 2,018 | |
* | NOW Inc. | 116,836 | 2,008 |
Terex Corp. | 45,244 | 1,753 | |
Timken Co. | 35,415 | 1,723 | |
Landstar System Inc. | 14,086 | 1,631 | |
Deluxe Corp. | 26,367 | 1,562 | |
Pitney Bowes Inc. | 202,676 | 1,472 | |
MSA Safety Inc. | 12,525 | 1,266 | |
Granite Construction Inc. | 22,598 | 1,032 | |
Werner Enterprises Inc. | 22,762 | 843 | |
146,753 | |||
Information Technology (10.2%) | |||
Leidos Holdings Inc. | 154,133 | 10,908 | |
* | Arrow Electronics Inc. | 94,650 | 7,338 |
* | Keysight Technologies Inc. | 102,966 | 6,682 |
Avnet Inc. | 127,450 | 6,169 | |
* | PTC Inc. | 51,100 | 5,107 |
* | ARRIS International plc | 189,140 | 4,901 |
* | Ciena Corp. | 154,934 | 4,893 |
Science Applications | |||
International Corp. | 45,656 | 4,119 | |
Sabre Corp. | 155,646 | 4,064 | |
* | NCR Corp. | 127,812 | 3,631 |
SYNNEX Corp. | 31,629 | 3,067 | |
* | Cree Inc. | 58,624 | 2,820 |
* | Tech Data Corp. | 37,649 | 2,739 |
Cypress Semiconductor | |||
Corp. | 147,114 | 2,532 | |
Convergys Corp. | 98,842 | 2,444 | |
* | First Solar Inc. | 45,118 | 2,350 |
*,^ | ViaSat Inc. | 37,282 | 2,342 |
* | Lumentum Holdings Inc. | 33,975 | 2,307 |
* | NetScout Systems Inc. | 86,709 | 2,168 |
* | Acxiom Corp. | 46,618 | 2,130 |
* | Teradata Corp. | 48,330 | 2,004 |
* | Synaptics Inc. | 37,390 | 1,804 |
Belden Inc. | 24,593 | 1,788 | |
* | ACI Worldwide Inc. | 61,629 | 1,751 |
Vishay Intertechnology Inc. | 72,788 | 1,732 | |
Perspecta Inc. | 73,979 | 1,721 | |
* | Manhattan Associates Inc. | 28,155 | 1,633 |
* | CommVault Systems Inc. | 22,386 | 1,559 |
Plantronics Inc. | 16,329 | 1,098 | |
* | Cars.com Inc. | 35,720 | 961 |
98,762 | |||
Materials (9.4%) | |||
Steel Dynamics Inc. | 254,873 | 11,655 | |
Reliance Steel & | |||
Aluminum Co. | 78,144 | 6,868 | |
Sonoco Products Co. | 107,549 | 6,027 | |
Ashland Global Holdings | |||
Inc. | 67,410 | 5,676 | |
United States Steel Corp. | 190,993 | 5,669 | |
RPM International Inc. | 82,342 | 5,558 | |
Bemis Co. Inc. | 98,278 | 4,843 | |
Cabot Corp. | 66,784 | 4,336 | |
* | Allegheny Technologies | ||
Inc. | 135,745 | 3,669 | |
AptarGroup Inc. | 34,367 | 3,599 | |
Domtar Corp. | 67,873 | 3,455 | |
* | Owens-Illinois Inc. | 174,703 | 3,087 |
Carpenter Technology | |||
Corp. | 50,700 | 3,025 | |
Commercial Metals Co. | 126,409 | 2,730 | |
Minerals Technologies Inc. | 38,206 | 2,566 | |
Olin Corp. | 75,872 | 2,332 | |
Compass Minerals | |||
International Inc. | 36,568 | 2,287 | |
NewMarket Corp. | 5,562 | 2,231 | |
Worthington Industries Inc. | 46,515 | 2,167 |
32
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Valvoline Inc. | 84,555 | 1,820 | |
Sensient Technologies | |||
Corp. | 25,155 | 1,786 | |
Greif Inc. Class A | 28,005 | 1,545 | |
Scotts Miracle-Gro Co. | 19,679 | 1,470 | |
PolyOne Corp. | 31,100 | 1,314 | |
Silgan Holdings Inc. | 46,433 | 1,265 | |
90,980 | |||
Real Estate (10.8%) | |||
* | Omega Healthcare | ||
Investors Inc. | 214,550 | 7,091 | |
American Campus | |||
Communities Inc. | 147,668 | 6,192 | |
Hospitality Properties | |||
Trust | 177,557 | 5,147 | |
Senior Housing Properties | |||
Trust | 256,734 | 4,906 | |
EPR Properties | 69,859 | 4,903 | |
Sabra Health Care REIT | |||
Inc. | 192,620 | 4,542 | |
National Retail Properties | |||
Inc. | 98,052 | 4,519 | |
Camden Property Trust | 47,104 | 4,478 | |
LaSalle Hotel Properties | 119,249 | 4,187 | |
CyrusOne Inc. | 61,031 | 4,087 | |
JBG SMITH Properties | 100,667 | 3,771 | |
Education Realty Trust Inc. | 87,050 | 3,602 | |
Liberty Property Trust | 81,425 | 3,562 | |
CoreCivic Inc. | 128,075 | 3,316 | |
Kilroy Realty Corp. | 42,714 | 3,124 | |
Highwoods Properties Inc. | 61,452 | 3,057 | |
Jones Lang LaSalle Inc. | 18,180 | 2,773 | |
Medical Properties Trust | |||
Inc. | 177,308 | 2,668 | |
Douglas Emmett Inc. | 63,837 | 2,493 | |
Weingarten Realty | |||
Investors | 78,553 | 2,430 | |
Taubman Centers Inc. | 36,900 | 2,384 | |
Life Storage Inc. | 24,115 | 2,354 | |
Mack-Cali Realty Corp. | 97,383 | 2,127 | |
Healthcare Realty Trust Inc. | 66,266 | 2,052 | |
Cousins Properties Inc. | 213,383 | 1,995 | |
Uniti Group Inc. | 94,578 | 1,969 | |
Corporate Office | |||
Properties Trust | 62,896 | 1,936 | |
Rayonier Inc. | 54,510 | 1,899 | |
Alexander & Baldwin Inc. | 73,092 | 1,715 | |
GEO Group Inc. | 61,140 | 1,551 | |
Tanger Factory Outlet | |||
Centers Inc. | 59,138 | 1,423 | |
Urban Edge Properties | 51,527 | 1,178 | |
PotlatchDeltic Corp. | 22,782 | 1,100 | |
104,531 |
Telecommunication Services (0.3%) | ||
Telephone & Data | ||
Systems Inc. | 100,303 | 3,013 |
Frontier Communications | ||
Corp. | 2 | — |
3,013 | ||
Utilities (7.3%) | ||
Atmos Energy Corp. | 120,185 | 11,085 |
UGI Corp. | 187,235 | 10,120 |
OGE Energy Corp. | 215,837 | 7,949 |
MDU Resources Group | ||
Inc. | 211,034 | 5,886 |
National Fuel Gas Co. | 91,269 | 5,068 |
New Jersey Resources | ||
Corp. | 94,969 | 4,331 |
Hawaiian Electric | ||
Industries Inc. | 117,640 | 4,149 |
Black Hills Corp. | 57,922 | 3,409 |
NorthWestern Corp. | 53,477 | 3,206 |
Aqua America Inc. | 75,027 | 2,790 |
ONE Gas Inc. | 33,080 | 2,598 |
IDACORP Inc. | 25,604 | 2,505 |
Vectren Corp. | 32,322 | 2,301 |
Southwest Gas Holdings | ||
Inc. | 27,238 | 2,106 |
ALLETE Inc. | 26,605 | 1,997 |
PNM Resources Inc. | 34,448 | 1,342 |
70,842 | ||
Total Common Stocks | ||
(Cost $864,881) | 968,346 | |
Temporary Cash Investments (0.3%)1 | ||
Money Market Fund (0.3%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, 2.153% | 25,776 | 2,578 |
Face | ||
Amount | ||
($000) | ||
U. S. Government and Agency Obligations (0.0%) | ||
4 United States Treasury | ||
Bill, 2.078%, 11/15/18 | 250 | 249 |
Total Temporary Cash Investments | ||
(Cost $2,826) | 2,827 | |
Total Investments (100.1%) | ||
(Cost $867,707) | 971,173 |
33
S&P Mid-Cap 400 Value Index Fund
Amount | |
($000) | |
Other Assets and Liabilities (-0.1%) | |
Other Assets | |
Investment in Vanguard | 49 |
Receivables for Investment Securities Sold | 1,090 |
Receivables for Accrued Income | 1,104 |
Receivables for Capital Shares Issued | 133 |
Variation Margin Receivable— | |
Futures Contracts | 4 |
Total Other Assets | 2,380 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (1,203) |
Collateral for Securities on Loan | (1,902) |
Payables for Capital Shares Redeemed | (6) |
Payables to Vanguard | (171) |
Total Liabilities | (3,282) |
Net Assets (100%) | 970,271 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 902,465 |
Undistributed Net Investment Income | 9,081 |
Accumulated Net Realized Losses | (44,781) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 103,466 |
Futures Contracts | 40 |
Net Assets | 970,271 |
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 5,650,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 734,822 |
Net Asset Value Per Share— | |
ETF Shares | $130.06 |
Institutional Shares—Net Assets | |
Applicable to 902,449 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 235,449 |
Net Asset Value Per Share— | |
Institutional Shares | $260.90 |
• 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 $1,841,000.
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 0.1%, 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 $1,902,000 of collateral received for securities on loan.
4 Securities with a value of $249,000 have been segregated as
initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | September 2018 | 9 | 1,841 | 40 |
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 | |
August31,2018 | |
($000) | |
Investment Income | |
Income | |
Dividends | 16,241 |
Interest1 | 28 |
Securities Lending—Net | 166 |
Total Income | 16,435 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 129 |
Management and Administrative—ETF Shares | 1,133 |
Management and Administrative—Institutional Shares | 96 |
Marketing and Distribution—ETF Shares | 39 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 35 |
Auditing Fees | 33 |
Shareholders’ Reports and Proxy—ETF Shares | 33 |
Shareholders’ Reports and Proxy—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,503 |
Net Investment Income | 14,932 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 56,247 |
Futures Contracts | 149 |
Realized Net Gain (Loss) | 56,396 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 66,886 |
Futures Contracts | 16 |
Change in Unrealized Appreciation (Depreciation) | 66,902 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 138,230 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $20,000, ($1,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $72,118,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
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, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 14,932 | 12,227 |
Realized Net Gain (Loss) | 56,396 | 56,629 |
Change in Unrealized Appreciation (Depreciation) | 66,902 | 3,657 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 138,230 | 72,513 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (10,667) | (7,918) |
Institutional Shares | (2,513) | (2,032) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (13,180) | (9,950) |
Capital Share Transactions | ||
ETF Shares | 5,142 | 122,285 |
Institutional Shares | 48,891 | (775) |
Net Increase (Decrease) from Capital Share Transactions | 54,033 | 121,510 |
Total Increase (Decrease) | 179,083 | 184,073 |
Net Assets | ||
Beginning of Period | 791,188 | 607,115 |
End of Period1 | 970,271 | 791,188 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $9,081,000 and $7,329,000.
See accompanying Notes, which are an integral part of the Financial Statements.
36
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $112.31 | $101.70 | $91.40 | $96.78 | $77.93 |
Investment Operations | |||||
Net Investment Income | 2.0901 | 1.7671 | 1.8911 | 1.600 | 1.5001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 17.548 | 10.344 | 9.880 | (5.563) | 18.094 |
Total from Investment Operations | 19.638 | 12.111 | 11.771 | (3.963) | 19.594 |
Distributions | |||||
Dividends from Net Investment Income | (1.888) | (1.501) | (1.471) | (1.417) | (.744) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.888) | (1.501) | (1.471) | (1.417) | (.744) |
Net Asset Value, End of Period | $130.06 | $112.31 | $101.70 | $91.40 | $96.78 |
Total Return | 17.60% | 11.91% | 13.13% | -4.17% | 25.26% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $735 | $632 | $460 | $103 | $87 |
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 | 1.72% | 1.61% | 1.97% | 1.75% | 1.66% |
Portfolio Turnover Rate2 | 36% | 39% | 26% | 47% | 35% |
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
S&P Mid-Cap 400 Value Index Fund
Financial Highlights | |||||
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $225.05 | $203.65 | $182.92 | $193.66 | $155.83 |
Investment Operations | |||||
Net Investment Income | 4.4541 | 3.8661 | 3.7741 | 3.420 | 3.1911 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 35.198 | 20.656 | 20.020 | (11.127) | 36.207 |
Total from Investment Operations | 39.652 | 24.522 | 23.794 | (7.707) | 39.398 |
Distributions | |||||
Dividends from Net Investment Income | (3.802) | (3.122) | (3.064) | (3.033) | (1.568) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.802) | (3.122) | (3.064) | (3.033) | (1.568) |
Net Asset Value, End of Period | $260.90 | $225.05 | $203.65 | $182.92 | $193.66 |
Total Return | 17.75% | 12.05% | 13.25% | -4.05% | 25.42% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $235 | $159 | $147 | $143 | $137 |
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 | 1.84% | 1.73% | 2.09% | 1.87% | 1.78% |
Portfolio Turnover Rate2 | 36% | 39% | 26% | 47% | 35% |
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 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, 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 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. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2018, 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 the notional amounts 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, 2015–2018), 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. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market 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 event 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, 2018, 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
40
S&P Mid-Cap 400 Value Index Fund
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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $49,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 968,346 | — | — |
Temporary Cash Investments | 2,578 | 249 | — |
Futures Contracts—Assets1 | 4 | — | — |
Total | 970,928 | 249 | — |
1 Represents variation margin on the last day of the reporting period. |
41
S&P Mid-Cap 400 Value Index Fund
D. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, the following permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
Amount | |
($000) | |
Paid-in capital | 72,118 |
Undistributed (Overdistributed) net investment income | — |
Accumulated net realized gains (losses) | (72,118) |
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax components of accumulated net earnings (losses) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed ordinary income | 9,172 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (44,742) |
Net unrealized gains (losses) | 103,466 |
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and | |
derivatives based on cost for U.S. federal income tax purposes were as follows: | |
Amount | |
($000) | |
Tax cost | 867,707 |
Gross unrealized appreciation | 136,513 |
Gross unrealized depreciation | (33,047) |
Net unrealized appreciation (depreciation) | 103,466 |
E. During the year ended August 31, 2018, the fund purchased $597,344,000 of investment securities and sold $539,354,000 of investment securities, other than temporary cash investments. Purchases and sales include $220,454,000 and $232,950,000, 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, 2018, such purchases and sales were $208,123,000 and $140,585,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
42
S&P Mid-Cap 400 Value Index Fund
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2018 | 2017 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 242,257 | 1,975 | 397,751 | 3,550 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (237,115) | (1,950) | (275,466) | (2,450) |
Net Increase (Decrease)—ETF Shares | 5,142 | 25 | 122,285 | 1,100 |
Institutional Shares | ||||
Issued | 72,997 | 295 | 45,048 | 200 |
Issued in Lieu of Cash Distributions | 1,572 | 6 | 1,071 | 5 |
Redeemed | (25,678) | (107) | (46,894) | (218) |
Net Increase (Decrease)—Institutional Shares | 48,891 | 194 | (775) | (13) |
G. Management has determined that no events or transactions occurred subsequent to August 31, 2018, 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, 2018 | ||
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOG | VMFGX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.00% | 1.12% |
Portfolio Characteristics | |||
S&P | |||
MidCap | DJ | ||
400 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 249 | 247 | 3,745 |
Median Market Cap | $6.2B | $6.2B | $71.0B |
Price/Earnings Ratio | 27.3x | 27.2x | 21.0x |
Price/Book Ratio | 3.7x | 3.7x | 3.2x |
Return on Equity | 13.4% | 13.4% | 15.0% |
Earnings Growth Rate | 11.1% | 11.1% | 8.4% |
Dividend Yield | 1.1% | 1.1% | 1.7% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 43% | — | — |
Short-Term Reserves | -0.3% | — | — |
Volatility Measures | ||
S&P | DJ | |
MidCap | U.S. Total | |
400 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.85 |
Beta | 1.00 | 0.95 |
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) | ||
Domino's Pizza Inc. | Restaurants | 1.3% |
Jack Henry & Associates Data Processing & | ||
Inc. | Outsourced Services | 1.3 |
Fortinet Inc. | Systems Software | 1.3 |
IDEX Corp. | Industrial Machinery | 1.2 |
Teleflex Inc. | Health Care | |
Equipment | 1.2 | |
Trimble Inc. | Electronic Equipment | |
& Instruments | 1.1 | |
Old Dominion Freight | ||
Line Inc. | Trucking | 1.1 |
Lamb Weston Holdings | Packaged Foods & | |
Inc. | Meats | 1.0 |
Cognex Corp. | Electronic Equipment | |
& Instruments | 1.0 | |
WellCare Health Plans | Managed Health | |
Inc. | Care | 1.0 |
Top Ten | 11.5% |
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 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, 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)
S&P | |||
MidCap | DJ | ||
400 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary | 17.1% | 17.1% | 13.1% |
Consumer Staples | 2.9 | 2.9 | 6.0 |
Energy | 0.6 | 0.6 | 5.6 |
Financials | 14.2 | 14.2 | 14.2 |
Health Care | 14.4 | 14.4 | 14.3 |
Industrials | 14.4 | 14.4 | 10.3 |
Information Technology | 23.0 | 23.0 | 25.3 |
Materials | 4.4 | 4.4 | 2.9 |
Real Estate | 7.1 | 7.1 | 3.7 |
Telecommunication | |||
Services | 0.0 | 0.0 | 1.8 |
Utilities | 1.9 | 1.9 | 2.8 |
Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
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, 2018
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
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 | 21.83% | 13.59% | 15.25% | $31,032 |
S&P Mid-Cap 400 Growth Index | ||||
Fund*ETF Shares Market Price | 21.82 | 13.58 | 15.24 | 31,022 |
S&P MidCap 400 Growth Index | 22.04 | 13.80 | 15.45 | 31,469 |
Mid-Cap Growth Funds Average | 25.16 | 12.73 | 14.11 | 28,681 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.26 | 14.21 | 15.39 | 31,344 |
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 | 21.97% | 13.73% | 12.44% | $11,948,266 |
S&P MidCap 400 Growth Index | 22.04 | 13.80 | 12.51 | 11,997,516 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 20.26 | 14.21 | 13.43 | 12,744,777 |
"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, 2018
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | |||
Market Price | 21.82% | 89.05% | 210.22% |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | |||
Net Asset Value | 21.83 | 89.14 | 210.32 |
S&P MidCap 400 Growth Index | 22.04 | 90.83 | 214.69 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 15.54% | 12.96% | 14.85% | |
Net Asset Value | 15.51 | 12.94 | 14.85 | |
Institutional Shares | 3/28/20111 | 15.64 | 13.07 | 11.96 |
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, 2018
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 (17.1%) | |||
Domino’s Pizza Inc. | 48,827 | 14,578 | |
* | NVR Inc. | 3,891 | 10,383 |
Service Corp. International | 211,718 | 8,884 | |
* | Live Nation Entertainment | ||
Inc. | 156,782 | 7,789 | |
Pool Corp. | 46,735 | 7,677 | |
* | Five Below Inc. | 64,227 | 7,481 |
Polaris Industries Inc. | 67,812 | 7,354 | |
Dunkin’ Brands Group Inc. | 95,825 | 6,985 | |
Wyndham Hotels & | |||
Resorts Inc. | 115,162 | 6,535 | |
Six Flags Entertainment | |||
Corp. | 89,732 | 6,061 | |
Toll Brothers Inc. | 163,048 | 5,907 | |
Thor Industries Inc. | 56,591 | 5,401 | |
Wyndham Destinations | |||
Inc. | 115,242 | 5,094 | |
* | Ollie’s Bargain Outlet | ||
Holdings Inc. | 57,600 | 5,017 | |
* | Skechers U. S. A. Inc. | ||
Class A | 156,817 | 4,623 | |
Gentex Corp. | 196,067 | 4,584 | |
World Wrestling | |||
Entertainment Inc. | |||
Class A | 46,190 | 4,037 | |
Carter’s Inc. | 37,401 | 3,962 | |
* | Visteon Corp. | 34,117 | 3,766 |
Churchill Downs Inc. | 13,136 | 3,712 | |
Delphi Technologies plc | 102,526 | 3,612 | |
Boyd Gaming Corp. | 94,891 | 3,456 | |
Texas Roadhouse Inc. | |||
Class A | 50,088 | 3,454 | |
New York Times Co. | |||
Class A | 147,781 | 3,443 | |
* | Eldorado Resorts Inc. | 69,137 | 3,322 |
Brunswick Corp. | 45,293 | 3,008 |
ILG Inc. | 88,100 | 3,007 | |
American Eagle Outfitters | |||
Inc. | 114,321 | 2,968 | |
Cable One Inc. | 3,362 | 2,817 | |
* | TRI Pointe Group Inc. | 175,451 | 2,542 |
KB Home | 97,526 | 2,424 | |
* | Deckers Outdoor Corp. | 17,581 | 2,142 |
Dana Inc. | 107,511 | 2,104 | |
* | AMC Networks Inc. | ||
Class A | 33,447 | 2,101 | |
* | Sotheby’s | 42,485 | 2,040 |
Jack in the Box Inc. | 21,350 | 1,935 | |
* | Scientific Games Corp. | 61,827 | 1,873 |
Wendy’s Co. | 105,703 | 1,866 | |
* | Helen of Troy Ltd. | 14,447 | 1,719 |
Cracker Barrel Old Country | |||
Store Inc. | 11,093 | 1,654 | |
Marriott Vacations | |||
Worldwide Corp. | 12,934 | 1,539 | |
Meredith Corp. | 25,254 | 1,304 | |
John Wiley & Sons Inc. | |||
Class A | 19,694 | 1,271 | |
*,^ | Tempur Sealy International | ||
Inc. | 22,425 | 1,242 | |
Adient plc | 21,560 | 933 | |
Tupperware Brands Corp. | 25,382 | 825 | |
Papa John’s International | |||
Inc. | 10,860 | 501 | |
188,932 | |||
Consumer Staples (2.9%) | |||
Lamb Weston Holdings | |||
Inc. | 168,859 | 11,415 | |
Ingredion Inc. | 38,372 | 3,878 | |
* | Sprouts Farmers Market | ||
Inc. | 141,597 | 3,748 | |
Nu Skin Enterprises Inc. | |||
Class A | 28,897 | 2,300 | |
Flowers Foods Inc. | 96,399 | 1,943 |
48
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Energizer Holdings Inc. | 30,324 | 1,928 | |
Lancaster Colony Corp. | 11,715 | 1,831 | |
Sanderson Farms Inc. | 15,779 | 1,669 | |
* | Boston Beer Co. Inc. | ||
Class A | 4,750 | 1,440 | |
* | Hain Celestial Group Inc. | 48,000 | 1,371 |
Tootsie Roll Industries Inc. | 10,277 | 296 | |
31,819 | |||
Energy (0.6%) | |||
Core Laboratories NV | 21,390 | 2,450 | |
* | Apergy Corp. | 50,055 | 2,264 |
* | Matador Resources Co. | 51,384 | 1,682 |
6,396 | |||
Financials (14.2%) | |||
East West Bancorp Inc. | 167,321 | 10,606 | |
FactSet Research | |||
Systems Inc. | 44,890 | 10,297 | |
SEI Investments Co. | 151,511 | 9,557 | |
MarketAxess Holdings Inc. | 43,425 | 8,243 | |
Eaton Vance Corp. | 137,643 | 7,258 | |
Synovus Financial Corp. | 136,999 | 6,858 | |
Primerica Inc. | 50,886 | 6,221 | |
Janus Henderson Group | |||
plc | 208,279 | 5,884 | |
Kemper Corp. | 71,713 | 5,834 | |
* | Bank OZK | 140,226 | 5,674 |
Interactive Brokers Group | |||
Inc. | 86,709 | 5,390 | |
Brown & Brown Inc. | 169,446 | 5,165 | |
* | Texas Capital Bancshares | ||
Inc. | 57,364 | 5,100 | |
Evercore Inc. Class A | 47,029 | 4,992 | |
CNO Financial Group Inc. | 193,250 | 4,176 | |
First American Financial | |||
Corp. | 72,131 | 4,101 | |
Webster Financial Corp. | 61,689 | 4,033 | |
* | SLM Corp. | 341,751 | 4,005 |
Commerce Bancshares Inc. | 56,325 | 4,002 | |
Sterling Bancorp | 171,855 | 3,927 | |
Cullen/Frost Bankers Inc. | 34,862 | 3,866 | |
Pinnacle Financial Partners | |||
Inc. | 50,402 | 3,253 | |
RenaissanceRe Holdings | |||
Ltd. | 24,165 | 3,213 | |
Wintrust Financial Corp. | 35,750 | 3,166 | |
Signature Bank | 22,316 | 2,583 | |
Federated Investors Inc. | |||
Class B | 110,102 | 2,550 | |
MB Financial Inc. | 49,519 | 2,400 | |
Cathay General Bancorp | 55,558 | 2,350 | |
*,^ | LendingTree Inc. | 9,087 | 2,302 |
Hancock Whitney Corp. | 43,336 | 2,234 | |
Home BancShares Inc. | 87,446 | 2,047 |
Bank of Hawaii Corp. | 23,417 | 1,947 | |
BancorpSouth Bank | 43,579 | 1,517 | |
Washington Federal Inc. | 39,989 | 1,364 | |
156,115 | |||
Health Care (14.4%) | |||
Teleflex Inc. | 52,592 | 13,013 | |
* | WellCare Health Plans Inc. | 35,284 | 10,676 |
Encompass Health Corp. | 114,114 | 9,311 | |
Bio-Techne Corp. | 43,388 | 8,338 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 23,389 | 7,608 | |
Hill-Rom Holdings Inc. | 76,535 | 7,445 | |
* | PRA Health Sciences Inc. | 66,593 | 7,032 |
* | Catalent Inc. | 165,486 | 6,917 |
* | Charles River Laboratories | ||
International Inc. | 55,326 | 6,833 | |
STERIS plc | 59,605 | 6,820 | |
* | Masimo Corp. | 55,014 | 6,486 |
* | LivaNova plc | 50,340 | 6,320 |
West Pharmaceutical | |||
Services Inc. | 52,678 | 6,166 | |
* | Exelixis Inc. | 325,670 | 6,119 |
Chemed Corp. | 18,405 | 5,955 | |
* | Medidata Solutions Inc. | 68,389 | 5,812 |
* | ICU Medical Inc. | 17,597 | 5,385 |
* | Globus Medical Inc. | 84,632 | 4,508 |
* | United Therapeutics Corp. | 34,695 | 4,267 |
* | Haemonetics Corp. | 37,982 | 4,240 |
Cantel Medical Corp. | 40,940 | 3,971 | |
* | Molina Healthcare Inc. | 26,877 | 3,709 |
* | Integra LifeSciences | ||
Holdings Corp. | 50,506 | 3,004 | |
* | NuVasive Inc. | 35,516 | 2,493 |
* | Akorn Inc. | 108,482 | 1,702 |
* | Prestige Consumer | ||
Healthcare Inc. | 41,062 | 1,581 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 106,867 | 1,561 | |
* | Tenet Healthcare Corp. | 38,656 | 1,303 |
* | Community Health | ||
Systems Inc. Rights | 29,782 | 1 | |
158,576 | |||
Industrials (14.4%) | |||
IDEX Corp. | 88,590 | 13,573 | |
Old Dominion Freight | |||
Line Inc. | 78,785 | 12,007 | |
* | Teledyne Technologies Inc. | 41,298 | 9,798 |
Lennox International Inc. | 42,864 | 9,550 | |
Graco Inc. | 193,542 | 9,098 | |
Nordson Corp. | 59,032 | 8,207 | |
Toro Co. | 122,424 | 7,442 | |
Rollins Inc. | 110,859 | 6,660 | |
Donaldson Co. Inc. | 91,475 | 4,629 |
49
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Brink’s Co. | 58,783 | 4,415 | |
Wabtec Corp. | 40,575 | 4,395 | |
* | KLX Inc. | 58,592 | 4,326 |
Hubbell Inc. Class B | 34,210 | 4,323 | |
Carlisle Cos. Inc. | 33,781 | 4,284 | |
Curtiss-Wright Corp. | 29,101 | 3,898 | |
Landstar System Inc. | 33,519 | 3,881 | |
Lincoln Electric Holdings | |||
Inc. | 38,462 | 3,622 | |
Healthcare Services Group | |||
Inc. | 85,118 | 3,508 | |
Dun & Bradstreet Corp. | 22,268 | 3,183 | |
ITT Inc. | 53,495 | 3,162 | |
Watsco Inc. | 17,761 | 3,108 | |
* | Dycom Industries Inc. | 36,024 | 3,023 |
Oshkosh Corp. | 40,972 | 2,879 | |
Woodward Inc. | 33,885 | 2,730 | |
Herman Miller Inc. | 68,853 | 2,637 | |
MSA Safety Inc. | 25,990 | 2,627 | |
Knight-Swift Transportation | |||
Holdings Inc. | 74,127 | 2,530 | |
Crane Co. | 25,784 | 2,354 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 23,831 | 2,037 | |
Timken Co. | 41,005 | 1,995 | |
Kennametal Inc. | 39,593 | 1,617 | |
Deluxe Corp. | 27,068 | 1,603 | |
Valmont Industries Inc. | 10,676 | 1,499 | |
Terex Corp. | 35,018 | 1,357 | |
Granite Construction Inc. | 28,353 | 1,295 | |
Werner Enterprises Inc. | 27,435 | 1,016 | |
158,268 | |||
Information Technology (22.9%) | |||
Jack Henry & Associates | |||
Inc. | 89,256 | 14,142 | |
* | Fortinet Inc. | 166,941 | 13,983 |
* | Trimble Inc. | 287,788 | 12,116 |
Cognex Corp. | 199,713 | 10,745 | |
* | Zebra Technologies Corp. | 61,662 | 10,590 |
* | Ultimate Software Group | ||
Inc. | 33,585 | 10,400 | |
* | Tyler Technologies Inc. | 41,118 | 10,154 |
Teradyne Inc. | 220,923 | 9,100 | |
CDK Global Inc. | 142,854 | 8,903 | |
* | WEX Inc. | 46,269 | 8,801 |
* | Fair Isaac Corp. | 34,459 | 7,959 |
* | PTC Inc. | 78,616 | 7,857 |
* | Keysight Technologies Inc. | 105,755 | 6,862 |
Monolithic Power Systems | |||
Inc. | 44,820 | 6,717 | |
Littelfuse Inc. | 28,831 | 6,446 | |
* | Integrated Device | ||
Technology Inc. | 149,274 | 6,343 |
National Instruments Corp. | 124,235 | 5,932 | |
MKS Instruments Inc. | 63,145 | 5,866 | |
Blackbaud Inc. | 56,037 | 5,860 | |
Jabil Inc. | 197,804 | 5,847 | |
* | Coherent Inc. | 28,722 | 5,474 |
LogMeIn Inc. | 60,293 | 5,182 | |
MAXIMUS Inc. | 75,337 | 5,010 | |
Versum Materials Inc. | 125,796 | 5,005 | |
* | Silicon Laboratories Inc. | 49,923 | 4,893 |
* | CoreLogic Inc. | 94,269 | 4,793 |
j2 Global Inc. | 56,712 | 4,683 | |
Cypress Semiconductor | |||
Corp. | 256,672 | 4,417 | |
* | Teradata Corp. | 87,963 | 3,648 |
InterDigital Inc. | 40,122 | 3,314 | |
Sabre Corp. | 125,510 | 3,277 | |
* | Cirrus Logic Inc. | 70,415 | 3,095 |
* | Manhattan Associates Inc. | 47,070 | 2,730 |
* | Cree Inc. | 53,390 | 2,569 |
* | Lumentum Holdings Inc. | 36,319 | 2,466 |
* | First Solar Inc. | 46,236 | 2,408 |
Perspecta Inc. | 85,645 | 1,992 | |
* | ACI Worldwide Inc. | 68,569 | 1,948 |
* | Acxiom Corp. | 39,159 | 1,789 |
Vishay Intertechnology Inc. | 74,762 | 1,779 | |
* | CommVault Systems Inc. | 24,911 | 1,735 |
Belden Inc. | 20,654 | 1,502 | |
* | ViaSat Inc. | 23,406 | 1,470 |
Plantronics Inc. | 20,505 | 1,378 | |
* | Cars.com Inc. | 44,826 | 1,206 |
252,386 | |||
Materials (4.3%) | |||
Chemours Co. | 205,443 | 8,957 | |
Royal Gold Inc. | 75,581 | 5,764 | |
Eagle Materials Inc. | 55,397 | 5,115 | |
Louisiana-Pacific Corp. | 167,651 | 4,889 | |
RPM International Inc. | 66,403 | 4,482 | |
AptarGroup Inc. | 35,298 | 3,696 | |
Olin Corp. | 111,993 | 3,442 | |
Valvoline Inc. | 135,566 | 2,917 | |
PolyOne Corp. | 59,103 | 2,498 | |
NewMarket Corp. | 4,671 | 1,873 | |
Scotts Miracle-Gro Co. | 23,718 | 1,772 | |
Sensient Technologies | |||
Corp. | 21,997 | 1,562 | |
Silgan Holdings Inc. | 35,926 | 979 | |
47,946 | |||
Real Estate (7.1%) | |||
Lamar Advertising Co. | |||
Class A | 97,047 | 7,477 | |
Camden Property Trust | 56,775 | 5,397 | |
Jones Lang LaSalle Inc. | 33,096 | 5,048 | |
Kilroy Realty Corp. | 68,482 | 5,009 |
50
S&P Mid-Cap 400 Growth Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
CoreSite Realty Corp. | 41,846 | 4,874 |
First Industrial Realty | ||
Trust Inc. | 144,768 | 4,699 |
Douglas Emmett Inc. | 116,198 | 4,539 |
Liberty Property Trust | 83,616 | 3,658 |
Medical Properties Trust | ||
Inc. | 231,672 | 3,487 |
National Retail Properties | ||
Inc. | 72,838 | 3,357 |
CyrusOne Inc. | 49,218 | 3,296 |
Rayonier Inc. | 91,148 | 3,175 |
Life Storage Inc. | 27,934 | 2,726 |
Highwoods Properties Inc. | 53,737 | 2,673 |
Cousins Properties Inc. | 257,193 | 2,405 |
Healthcare Realty Trust Inc. | 73,729 | 2,283 |
PotlatchDeltic Corp. | 45,221 | 2,184 |
Taubman Centers Inc. | 30,989 | 2,002 |
GEO Group Inc. | 76,714 | 1,946 |
Uniti Group Inc. | 89,638 | 1,866 |
Weingarten Realty | ||
Investors | 53,667 | 1,660 |
Corporate Office | ||
Properties Trust | 50,711 | 1,561 |
Urban Edge Properties | 67,298 | 1,538 |
Tanger Factory Outlet | ||
Centers Inc. | 45,776 | 1,101 |
77,961 | ||
Utilities (1.9%) | ||
Aqua America Inc. | 125,312 | 4,659 |
Vectren Corp. | 61,393 | 4,371 |
IDACORP Inc. | 30,839 | 3,018 |
ALLETE Inc. | 30,784 | 2,311 |
PNM Resources Inc. | 55,186 | 2,150 |
Southwest Gas Holdings | ||
Inc. | 26,803 | 2,072 |
ONE Gas Inc. | 25,444 | 1,998 |
20,579 | ||
Total Common Stocks | ||
(Cost $989,718) | 1,098,978 | |
Temporary Cash Investments (0.1%)1 | ||
Money Market Fund (0.1%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, 2.153% | 13,616 | 1,362 |
Face | Market | ||
Amount | Value • | ||
($000) | ($000) | ||
U. S. Government and Agency Obligations (0.0%) | |||
4 | United States Treasury | ||
Bill, 1.934%, 10/11/18 | 50 | 50 | |
4 | United States Treasury | ||
Bill, 2.034%, 11/15/18 | 150 | 149 | |
199 | |||
Total Temporary Cash Investments | |||
(Cost $1,561) | 1,561 | ||
Total Investments (99.9%) | |||
(Cost $991,279) | 1,100,539 | ||
Amount | |||
($000) | |||
Other Assets and Liabilities (0.1%) | |||
Other Assets | |||
Investment in Vanguard | 58 | ||
Receivables for Investment Securities Sold 2,611 | |||
Receivables for Accrued Income | 963 | ||
Receivables for Capital Shares Issued | 2 | ||
Variation Margin Receivable— | |||
Futures Contracts | 4 | ||
Total Other Assets | 3,638 | ||
Liabilities | |||
Payables for Investment Securities | |||
Purchased | (1,551) | ||
Collateral for Securities on Loan | (725) | ||
Payables for Capital Shares Redeemed | (1) | ||
Payables to Vanguard | (233) | ||
Variation Margin Payable— | |||
Futures Contracts | (2) | ||
Total Liabilities | (2,512) | ||
Net Assets (100%) | 1,101,665 |
51
S&P Mid-Cap 400 Growth Index Fund
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,034,004 |
Undistributed Net Investment Income | 4,975 |
Accumulated Net Realized Losses | (46,596) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 109,260 |
Futures Contracts | 22 |
Net Assets | 1,101,665 |
ETF Shares—Net Assets | |
Applicable to 5,675,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 831,133 |
Net Asset Value Per Share— | |
ETF Shares | $146.46 |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 926,268 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 270,532 |
Net Asset Value Per Share— | |
Institutional Shares | $292.07 |
• 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 $707,000.
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 -0.2%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds
and certain trusts and accounts managed by Vanguard. Rate
shown is the 7-day yield.
3 Includes $725,000 of collateral received for securities on loan.
4 Securities with a value of $199,000 have been segregated as
initial margin for open futures contracts.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2018 | 14 | 2,031 | (2) |
E-mini S&P Mid-Cap 400 Index | September 2018 | 8 | 1,636 | 24 |
22 |
See accompanying Notes, which are an integral part of the Financial Statements.
52
S&P Mid-Cap 400 Growth Index Fund
Statement of Operations | |
Year Ended | |
August31,2018 | |
($000) | |
Investment Income | |
Income | |
Dividends | 12,272 |
Interest1 | 34 |
Securities Lending—Net | 27 |
Total Income | 12,333 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 161 |
Management and Administrative—ETF Shares | 1,413 |
Management and Administrative—Institutional Shares | 136 |
Marketing and Distribution—ETF Shares | 47 |
Marketing and Distribution—Institutional Shares | 7 |
Custodian Fees | 51 |
Auditing Fees | 33 |
Shareholders’ Reports and Proxy—ETF Shares | 36 |
Shareholders’ Reports and Proxy—Institutional Shares | 2 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,887 |
Expenses Paid Indirectly | (20) |
Net Expenses | 1,867 |
Net Investment Income | 10,466 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 192,482 |
Futures Contracts | 211 |
Realized Net Gain (Loss) | 192,693 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 15,195 |
Futures Contracts | 18 |
Change in Unrealized Appreciation (Depreciation) | 15,213 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 218,372 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $29,000, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $199,225,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
53
S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 10,466 | 8,810 |
Realized Net Gain (Loss) | 192,693 | 71,370 |
Change in Unrealized Appreciation (Depreciation) | 15,213 | 11,967 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 218,372 | 92,147 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (8,531) | (5,674) |
Institutional Shares | (1,904) | (2,068) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (10,435) | (7,742) |
Capital Share Transactions | ||
ETF Shares | (11,997) | 109,562 |
Institutional Shares | (99,600) | 128,195 |
Net Increase (Decrease) from Capital Share Transactions | (111,597) | 237,757 |
Total Increase (Decrease) | 96,340 | 322,162 |
Net Assets | ||
Beginning of Period | 1,005,325 | 683,163 |
End of Period1 | 1,101,665 | 1,005,325 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $4,975,000 and $4,944,000.
See accompanying Notes, which are an integral part of the Financial Statements.
54
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $121.33 | $109.76 | $99.88 | $97.18 | $80.96 |
Investment Operations | |||||
Net Investment Income | 1.2681 | 1.1521 | .954 | 1.036 | .571 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 25.098 | 11.576 | 9.960 | 2.456 | 16.256 |
Total from Investment Operations | 26.366 | 12.728 | 10.914 | 3.492 | 16.827 |
Distributions | |||||
Dividends from Net Investment Income | (1.236) | (1.158) | (1.034) | (.792) | (.607) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.236) | (1.158) | (1.034) | (.792) | (.607) |
Net Asset Value, End of Period | $146.46 | $121.33 | $109.76 | $99.88 | $97.18 |
Total Return | 21.83% | 11.67% | 11.04% | 3.60% | 20.84% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $831 | $686 | $513 | $377 | $292 |
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 | 0.94% | 0.99% | 1.08% | 1.08% | 0.81% |
Portfolio Turnover Rate2 | 43% | 40% | 38% | 47% | 38% |
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.
55
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights | |||||
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $241.68 | $218.61 | $198.85 | $193.45 | $161.12 |
Investment Operations | |||||
Net Investment Income | 2.8941 | 2.6041 | 2.094 | 2.271 | 1.316 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 49.971 | 23.011 | 19.906 | 4.900 | 32.386 |
Total from Investment Operations | 52.865 | 25.615 | 22.000 | 7.171 | 33.702 |
Distributions | |||||
Dividends from Net Investment Income | (2.475) | (2.545) | (2.240) | (1.771) | (1.372) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.475) | (2.545) | (2.240) | (1.771) | (1.372) |
Net Asset Value, End of Period | $292.07 | $241.68 | $218.61 | $198.85 | $193.45 |
Total Return | 21.97% | 11.80% | 11.18% | 3.72% | 20.99% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $271 | $320 | $170 | $96 | $90 |
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 | 1.06% | 1.11% | 1.20% | 1.20% | 0.93% |
Portfolio Turnover Rate2 | 43% | 40% | 38% | 47% | 38% |
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.
56
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 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, 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 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. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2018, 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 the notional amounts at each quarter-end during the period.
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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, 2015–2018), 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. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market 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 event 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, 2018, 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.
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S&P Mid-Cap 400 Growth 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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $58,000, 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. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2018, custodian fee offset arrangements reduced the fund’s expenses by $20,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,098,978 | — | — |
Temporary Cash Investments | 1,362 | 199 | — |
Futures Contracts—Assets1 | 4 | — | — |
Futures Contracts—Liabilities1 | (2) | — | — |
Total | 1,100,342 | 199 | — |
1 Represents variation margin on the last day of the reporting period. |
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S&P Mid-Cap 400 Growth Index Fund
E. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, the following permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
Amount | |
($000) | |
Paid-in capital | 199,225 |
Undistributed (Overdistributed) net investment income | — |
Accumulated net realized gains (losses) | (199,225) |
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax components of accumulated net earnings (losses) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed ordinary income | 5,116 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (46,574) |
Net unrealized gains (losses) | 109,260 |
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 991,279 |
Gross unrealized appreciation | 146,442 |
Gross unrealized depreciation | (37,182) |
Net unrealized appreciation (depreciation) | 109,260 |
F. During the year ended August 31, 2018, the fund purchased $1,225,536,000 of investment securities and sold $1,335,424,000 of investment securities, other than temporary cash investments. Purchases and sales include $644,112,000 and $881,197,000, 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, 2018, such purchases and sales were $173,658,000 and $182,460,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
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S&P Mid-Cap 400 Growth Index Fund
G. Capital share transactions for each class of shares were: | ||||
Year Ended August 31, | ||||
2018 | 2017 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 786,398 | 5,825 | 361,088 | 3,075 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (798,395) | (5,800) | (251,526) | (2,100) |
Net Increase (Decrease)—ETF Shares | (11,997) | 25 | 109,562 | 975 |
Institutional Shares | ||||
Issued | 75,872 | 277 | 162,354 | 692 |
Issued in Lieu of Cash Distributions | 1,315 | 5 | 430 | 2 |
Redeemed | (176,787) | (679) | (34,589) | (148) |
Net Increase (Decrease)—Institutional Shares | (99,600) | (397) | 128,195 | 546 |
H. Management has determined that no events or transactions occurred subsequent to August 31, 2018, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and 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
Opinions on the Financial Statements
We have audited the accompanying statements of net assets 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 (three of the funds constituting Vanguard Admiral Funds, hereafter collectively referred to as the “Funds”) as of August 31, 2018, the related statements of operations for the year ended August 31, 2018, the statements of changes in net assets for each of the two years in the period ended August 31, 2018, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2018, 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 ended August 31, 2018 and each of the financial highlights for each of the five years in the period ended August 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2018 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 18, 2018
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Special 2018 tax information (unaudited) for Vanguard S&P Mid-Cap 400 Index Funds
This information for the fiscal year ended August 31, 2018, 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 | 24,383 |
S&P Mid-Cap 400 Value Index Fund | 11,047 |
S&P Mid-Cap 400 Growth Index Fund | 9,128 |
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 | 79.7% |
S&P Mid-Cap 400 Value Index Fund | 80.3 |
S&P Mid-Cap 400 Growth Index Fund | 89.1 |
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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 2018. (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, 2018
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Mid-Cap 400 Index Fund ETF Shares | |||
Returns Before Taxes | 19.82% | 13.15% | 14.87% |
Returns After Taxes on Distributions | 19.39 | 12.72 | 14.55 |
Returns After Taxes on Distributions and Sale of | |||
Fund Shares | 11.92 | 10.40 | 12.29 |
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Mid-Cap 400 Value Index Fund ETF Shares | |||
Returns Before Taxes | 17.60% | 12.32% | 14.23% |
Returns After Taxes on Distributions | 17.12 | 11.91 | 13.88 |
Returns After Taxes on Distributions and Sale of | |||
Fund Shares | 10.63 | 9.74 | 11.72 |
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | |||
Returns Before Taxes | 21.83% | 13.59% | 15.25% |
Returns After Taxes on Distributions | 21.54 | 13.31 | 15.03 |
Returns After Taxes on Distributions and Sale of | |||
Fund Shares | 13.06 | 10.82 | 12.65 |
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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, 2018 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2018 | 8/31/2018 | Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,198.23 | $0.83 |
Institutional Shares | 1,000.00 | 1,199.20 | 0.44 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,176.01 | $1.10 |
Institutional Shares | 1,000.00 | 1,177.45 | 0.44 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,218.32 | $1.12 |
Institutional Shares | 1,000.00 | 1,219.72 | 0.45 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
Institutional Shares | 1,000.00 | 1,024.80 | 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, 0.15% 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. 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 (184/365).
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Trustees Approve Advisory Arrangements
The board of trustees 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 has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. 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 that directed 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 the investment management services provided to the funds since their inception in 2010 and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four 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 each fund’s performance since its inception, including any periods of outperformance or underperformance compared with 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 on the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory 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.
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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.
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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 Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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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 208 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. 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 University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) 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.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 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) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 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 co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 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) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team | |
Mortimer J. Buckley | James M. Norris |
Gregory Davis | Thomas M. Rampulla |
John James | Karin A. Risi |
Martha G. King | Anne E. Robinson |
John T. Marcante | Michael Rollings |
Chris D. McIsaac |
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
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
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Q18420 102018 |
Annual Report | August 31, 2018
Vanguard S&P 500 Value and Growth Index Funds
Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
CEO’s Perspective. | 4 |
S&P 500 Value Index Fund. | 6 |
S&P 500 Growth Index Fund. | 25 |
Your Fund’s After-Tax Returns. | 45 |
About Your Fund’s Expenses. | 46 |
Trustees Approve Advisory Arrangements. | 48 |
Glossary. | 50 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
Your Fund’s Performance at a Glance
• Large-capitalization growth stocks outpaced their value counterparts for the 12 months ended August 31, 2018. Vanguard S&P 500 Growth Index Fund returned more than 25% and Vanguard S&P 500 Value Index Fund returned about 13%.
• Both funds tracked their target indexes. The Value Index Fund trailed the average return of its peers, and the Growth Index Fund slightly surpassed its peer average.
• The broad U.S. stock market advanced about 20% as corporate earnings remained strong and the U.S. economy continued to indicate growth. However, stocks endured a stretch of volatility in the first quarter of 2018 before rebounding.
• Information technology stocks, which compose more than 40% of the Growth Index Fund, accounted for more than half its return. Consumer staples stocks were the fund’s only negative performer.
• For the Value Index Fund, financial stocks contributed the most to returns. | |
Only utilities stocks declined. | |
Total Returns: Fiscal Year Ended August 31, 2018 | |
Total | |
Returns | |
Vanguard S&P 500 Value Index Fund | |
ETF Shares | |
Market Price | 13.10% |
Net Asset Value | 13.08 |
Institutional Shares | 13.18 |
S&P 500 Value Index | 13.24 |
Large-Cap Value Funds Average | 14.09 |
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 | 25.48% |
Net Asset Value | 25.48 |
S&P 500 Growth Index | 25.69 |
Large-Cap Growth Funds Average | 25.16 |
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, 2018 | |
Average | |
Annual Return | |
S&P 500 Value Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 13.05% |
S&P 500 Value Index | 13.22 |
Large-Cap Value Funds Average | 12.32 |
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) | 17.18% |
S&P 500 Growth Index | 17.36 |
Large-Cap Growth Funds Average | 15.50 |
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% | 1.04% |
S&P 500 Growth Index Fund | 0.15 | — | 1.10 |
The fund expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, 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 2017.
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
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
4
We have been enjoying one of the longest bull markets in history, but it won’t continue forever. Prepare yourself now for how you will react when volatility comes back. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline
is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Mortimer J. Buckley
President and Chief Executive Officer September 13, 2018
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2018 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.82% | 15.84% | 14.36% |
Russell 2000 Index (Small-caps) | 25.45 | 16.11 | 13.00 |
Russell 3000 Index (Broad U.S. market) | 20.25 | 15.86 | 14.25 |
FTSE All-World ex US Index (International) | 3.51 | 8.31 | 5.82 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -1.05% | 1.76% | 2.49% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | 0.49 | 2.71 | 4.12 |
FTSE Three-Month U. S. Treasury Bill Index | 1.49 | 0.74 | 0.44 |
CPI | |||
Consumer Price Index | 2.70% | 1.90% | 1.52% |
5
S&P 500 Value Index Fund
Fund Profile
As of August 31, 2018
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VOOV | VSPVX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 2.48% | 2.55% |
Portfolio Characteristics | |||
DJ | |||
S&P 500 | U.S. Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 384 | 383 | 3,745 |
Median Market Cap | $82.5B | $82.5B | $71.0B |
Price/Earnings Ratio | 16.4x | 16.4x | 21.0x |
Price/Book Ratio | 2.2x | 2.2x | 3.2x |
Return on Equity | 12.6% | 12.6% | 15.0% |
Earnings Growth | |||
Rate | 5.5% | 5.5% | 8.4% |
Dividend Yield | 2.5% | 2.5% | 1.7% |
Foreign Holdings | 0.1% | 0.0% | 0.0% |
Turnover Rate | 20% | — | — |
Short-Term | |||
Reserves | -0.2% | — | — |
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.87 |
Beta | 1.00 | 0.95 |
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) | ||
Berkshire Hathaway Inc. | Multi-Sector | |
Holdings | 3.6% | |
JPMorgan Chase & Co. | Diversified Banks | 3.5 |
Exxon Mobil Corp. | Integrated Oil & Gas | 3.0 |
Wells Fargo & Co. | Diversified Banks | 2.3 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 2.1 | |
Chevron Corp. | Integrated Oil & Gas | 2.0 |
Verizon Communications Integrated | ||
Inc. | Telecommunication | |
Services | 2.0 | |
Citigroup Inc. | Diversified Banks | 1.6 |
Johnson & Johnson | Pharmaceuticals | 1.5 |
DowDuPont Inc. | Diversified | |
Chemicals | 1.5 | |
Top Ten | 23.1% |
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 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, the expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
6
S&P 500 Value Index Fund
Sector Diversification (% of equity exposure)
DJ | |||
S&P 500 | U.S. Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary | 8.5% | 8.5% | 13.1% |
Consumer Staples | 9.9 | 9.9 | 6.0 |
Energy | 12.6 | 12.6 | 5.6 |
Financials | 24.1 | 24.1 | 14.2 |
Health Care | 11.6 | 11.6 | 14.3 |
Industrials | 9.7 | 9.7 | 10.3 |
Information Technology | 7.0 | 6.9 | 25.3 |
Materials | 4.0 | 4.0 | 2.9 |
Real Estate | 2.9 | 2.9 | 3.7 |
Telecommunication | |||
Services | 4.3 | 4.3 | 1.8 |
Utilities | 5.4 | 5.5 | 2.8 |
Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
7
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, 2018
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
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 | 13.08% | 11.18% | 13.05% | $26,615 |
S&P 500 Value Index Fund*ETF Shares | ||||
Market Price | 13.10 | 11.19 | 13.05 | 26,615 |
S&P 500 Value Index | 13.24 | 11.33 | 13.22 | 26,929 |
Large-Cap Value Funds Average | 14.09 | 10.66 | 12.32 | 25,280 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.26 | 14.21 | 15.39 | 31,344 |
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 | 13.18% | 8.71% | $6,694,346 |
S&P 500 Value Index | 13.24 | 8.77 | 6,708,510 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 20.26 | 11.61 | 7,340,896 |
"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.
8
S&P 500 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2018 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P 500 Value Index Fund ETF Shares Market Price | 13.10% | 69.92% | 166.15% |
S&P 500 Value Index Fund ETF Shares Net Asset Value | 13.08 | 69.87 | 166.15 |
S&P 500 Value Index | 13.24 | 71.06 | 169.29 |
"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, 2018
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 7.41% | 10.29% | 12.59% | |
Net Asset Value | 7.44 | 10.29 | 12.59 | |
Institutional Shares | 3/3/2015 | 7.53 | — | 7.44 |
9
S&P 500 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2018
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 (99.6%)1 | |||
Consumer Discretionary (8.4%) | |||
Walt Disney Co. | 67,860 | 7,602 | |
Comcast Corp. Class A | 197,738 | 7,314 | |
Twenty-First Century | |||
Fox Inc. Class A | 90,781 | 4,121 | |
Target Corp. | 45,913 | 4,017 | |
General Motors Co. | 109,242 | 3,938 | |
TJX Cos. Inc. | 29,702 | 3,266 | |
Ford Motor Co. | 337,076 | 3,195 | |
NIKE Inc. Class B | 36,453 | 2,996 | |
Lowe’s Cos. Inc. | 22,653 | 2,464 | |
Starbucks Corp. | 42,784 | 2,287 | |
Twenty-First Century | |||
Fox Inc. | 37,813 | 1,698 | |
Best Buy Co. Inc. | 21,121 | 1,680 | |
Omnicom Group Inc. | 19,574 | 1,357 | |
Yum! Brands Inc. | 15,309 | 1,330 | |
Genuine Parts Co. | 12,637 | 1,262 | |
Dollar General Corp. | 11,383 | 1,226 | |
Carnival Corp. | 19,229 | 1,182 | |
Kohl’s Corp. | 14,488 | 1,146 | |
Hilton Worldwide Holdings | |||
Inc. | 14,436 | 1,121 | |
* | O’Reilly Automotive Inc. | 3,245 | 1,088 |
Ross Stores Inc. | 11,087 | 1,062 | |
Advance Auto Parts Inc. | 6,375 | 1,046 | |
* | AutoZone Inc. | 1,309 | 1,004 |
VF Corp. | 10,714 | 987 | |
Macy’s Inc. | 26,384 | 964 | |
PVH Corp. | 6,636 | 950 | |
Newell Brands Inc. | 41,827 | 908 | |
Viacom Inc. Class B | 30,398 | 890 | |
CBS Corp. Class B | 16,175 | 858 | |
Interpublic Group of Cos. | |||
Inc. | 33,201 | 775 | |
Tapestry Inc. | 15,120 | 766 |
* | Discovery | ||
Communications Inc. | 29,438 | 755 | |
MGM Resorts International | 24,167 | 701 | |
* | DISH Network Corp. | ||
Class A | 19,717 | 697 | |
Whirlpool Corp. | 5,557 | 695 | |
Ralph Lauren Corp. | |||
Class A | 4,795 | 637 | |
Nordstrom Inc. | 10,115 | 636 | |
Tiffany & Co. | 5,089 | 624 | |
Harley-Davidson Inc. | 14,333 | 611 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 1,285 | 611 | |
Royal Caribbean Cruises | |||
Ltd. | 4,960 | 608 | |
* | CarMax Inc. | 7,668 | 598 |
Gap Inc. | 18,686 | 567 | |
Expedia Group Inc. | 4,268 | 557 | |
L Brands Inc. | 20,889 | 552 | |
Tractor Supply Co. | 6,201 | 547 | |
News Corp. Class A | 40,038 | 523 | |
Leggett & Platt Inc. | 11,304 | 514 | |
Foot Locker Inc. | 10,172 | 501 | |
Darden Restaurants Inc. | 4,264 | 495 | |
Lennar Corp. Class A | 9,364 | 484 | |
Goodyear Tire & Rubber | |||
Co. | 20,653 | 469 | |
Hasbro Inc. | 4,504 | 447 | |
* | Ulta Beauty Inc. | 1,526 | 397 |
* | LKQ Corp. | 11,202 | 387 |
*,^ | Discovery Communications | ||
Inc. Class A | 13,421 | 374 | |
* | Mohawk Industries Inc. | 1,911 | 366 |
* | Mattel Inc. | 21,627 | 334 |
* | Under Armour Inc. Class A | 16,011 | 327 |
Garmin Ltd. | 4,789 | 326 | |
* | TripAdvisor Inc. | 5,814 | 316 |
Hanesbrands Inc. | 18,000 | 316 | |
* | Under Armour Inc. | 16,226 | 308 |
10
S&P 500 Value Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
BorgWarner Inc. | 5,612 | 246 |
H&R Block Inc. | 6,486 | 176 |
News Corp. Class B | 3,654 | 50 |
Lennar Corp. Class B | 364 | 15 |
81,267 | ||
Consumer Staples (9.8%) | ||
Walmart Inc. | 124,589 | 11,943 |
Procter & Gamble Co. | 136,429 | 11,317 |
Costco Wholesale Corp. | 37,772 | 8,806 |
Coca-Cola Co. | 181,397 | 8,085 |
PepsiCo Inc. | 62,273 | 6,975 |
Mondelez International Inc. | ||
Class A | 127,031 | 5,427 |
Philip Morris International | ||
Inc. | 66,935 | 5,214 |
Walgreens Boots Alliance | ||
Inc. | 73,445 | 5,035 |
Altria Group Inc. | 71,717 | 4,197 |
Sysco Corp. | 41,278 | 3,088 |
Kraft Heinz Co. | 51,447 | 2,998 |
Colgate-Palmolive Co. | 39,815 | 2,644 |
Archer-Daniels-Midland Co. | 48,156 | 2,427 |
Kroger Co. | 70,001 | 2,205 |
Kimberly-Clark Corp. | 16,847 | 1,947 |
Tyson Foods Inc. Class A | 25,629 | 1,610 |
General Mills Inc. | 33,188 | 1,527 |
Conagra Brands Inc. | 33,890 | 1,245 |
Molson Coors Brewing Co. | ||
Class B | 15,936 | 1,064 |
JM Smucker Co. | 9,783 | 1,011 |
Kellogg Co. | 13,764 | 988 |
Hormel Foods Corp. | 23,258 | 911 |
Clorox Co. | 4,796 | 695 |
McCormick & Co. Inc. | 5,327 | 665 |
Campbell Soup Co. | 16,570 | 654 |
Church & Dwight Co. Inc. | 9,904 | 560 |
Hershey Co. | 5,535 | 556 |
Coty Inc. Class A | 40,720 | 503 |
Brown-Forman Corp. | ||
Class B | 7,444 | 389 |
94,686 | ||
Energy (12.6%) | ||
Exxon Mobil Corp. | 364,613 | 29,231 |
Chevron Corp. | 164,569 | 19,495 |
Schlumberger Ltd. | 119,286 | 7,534 |
ConocoPhillips | 100,765 | 7,399 |
Occidental Petroleum | ||
Corp. | 65,947 | 5,267 |
Valero Energy Corp. | 37,110 | 4,375 |
Phillips 66 | 36,143 | 4,283 |
EOG Resources Inc. | 32,403 | 3,831 |
Marathon Petroleum Corp. | 39,776 | 3,273 |
Williams Cos. Inc. | 102,099 | 3,021 |
Halliburton Co. | 75,438 | 3,009 |
Kinder Morgan Inc. | 163,386 | 2,892 | |
Anadarko Petroleum Corp. | 44,359 | 2,857 | |
Pioneer Natural Resources | |||
Co. | 14,677 | 2,564 | |
ONEOK Inc. | 35,401 | 2,333 | |
* | Concho Resources Inc. | 16,370 | 2,245 |
Devon Energy Corp. | 45,075 | 1,935 | |
Andeavor | 11,973 | 1,829 | |
Marathon Oil Corp. | 73,476 | 1,581 | |
National Oilwell Varco Inc. | 32,900 | 1,549 | |
Apache Corp. | 32,911 | 1,443 | |
Noble Energy Inc. | 41,720 | 1,240 | |
Baker Hughes a GE Co. | 35,861 | 1,182 | |
TechnipFMC plc | 37,377 | 1,145 | |
HollyFrontier Corp. | 15,204 | 1,133 | |
EQT Corp. | 21,721 | 1,108 | |
Hess Corp. | 15,560 | 1,048 | |
Helmerich & Payne Inc. | 9,377 | 615 | |
Cabot Oil & Gas Corp. | 20,996 | 500 | |
Cimarex Energy Co. | 5,588 | 472 | |
* | Newfield Exploration Co. | 17,200 | 469 |
120,858 | |||
Financials (24.0%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 165,755 | 34,596 | |
JPMorgan Chase & Co. | 293,215 | 33,597 | |
Wells Fargo & Co. | 377,682 | 22,087 | |
Citigroup Inc. | 219,597 | 15,644 | |
Bank of America Corp. | 422,274 | 13,061 | |
US Bancorp | 134,375 | 7,271 | |
Goldman Sachs Group Inc. | 30,252 | 7,194 | |
PNC Financial Services | |||
Group Inc. | 40,433 | 5,804 | |
Morgan Stanley | 117,388 | 5,732 | |
Chubb Ltd. | 40,114 | 5,425 | |
Bank of New York Mellon | |||
Corp. | 87,038 | 4,539 | |
Capital One Financial Corp. | 41,891 | 4,151 | |
American International | |||
Group Inc. | 77,307 | 4,110 | |
MetLife Inc. | 87,542 | 4,017 | |
Prudential Financial Inc. | 36,170 | 3,554 | |
BB&T Corp. | 67,151 | 3,469 | |
Aflac Inc. | 66,670 | 3,083 | |
Travelers Cos. Inc. | 23,275 | 3,063 | |
SunTrust Banks Inc. | 40,030 | 2,945 | |
State Street Corp. | 31,468 | 2,735 | |
American Express Co. | 24,599 | 2,607 | |
Discover Financial Services | 30,054 | 2,348 | |
M&T Bank Corp. | 12,508 | 2,216 | |
BlackRock Inc. | 4,355 | 2,086 | |
Synchrony Financial | 61,099 | 1,935 | |
KeyCorp | 91,429 | 1,926 | |
Regions Financial Corp. | 96,724 | 1,882 |
11
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Fifth Third Bancorp | 59,034 | 1,737 | |
Citizens Financial Group | |||
Inc. | 41,744 | 1,718 | |
CME Group Inc. | 9,677 | 1,691 | |
Allstate Corp. | 16,043 | 1,613 | |
Marsh & McLennan Cos. | |||
Inc. | 18,789 | 1,590 | |
Hartford Financial Services | |||
Group Inc. | 30,843 | 1,554 | |
Huntington Bancshares | |||
Inc. | 95,160 | 1,543 | |
XL Group Ltd. | 22,243 | 1,277 | |
Aon plc | 8,634 | 1,257 | |
Lincoln National Corp. | 18,835 | 1,235 | |
Loews Corp. | 22,549 | 1,134 | |
Cincinnati Financial Corp. | 12,864 | 986 | |
Willis Towers Watson plc | 6,585 | 970 | |
Zions Bancorporation | 16,975 | 905 | |
Northern Trust Corp. | 8,378 | 900 | |
Franklin Resources Inc. | 27,448 | 871 | |
Invesco Ltd. | 35,374 | 853 | |
Everest Re Group Ltd. | 3,529 | 787 | |
Comerica Inc. | 7,255 | 707 | |
Unum Group | 19,049 | 703 | |
Principal Financial Group | |||
Inc. | 12,386 | 684 | |
Jefferies Financial Group | |||
Inc. | 26,110 | 606 | |
Arthur J Gallagher & Co. | 7,692 | 555 | |
People’s United Financial | |||
Inc. | 29,957 | 554 | |
Ameriprise Financial Inc. | 3,861 | 548 | |
Raymond James Financial | |||
Inc. | 5,813 | 541 | |
Nasdaq Inc. | 5,234 | 500 | |
Assurant Inc. | 4,564 | 469 | |
Torchmark Corp. | 5,275 | 464 | |
* | Brighthouse Financial Inc. | 10,315 | 428 |
Affiliated Managers Group | |||
Inc. | 2,573 | 376 | |
230,833 | |||
Health Care (11.6%) | |||
Johnson & Johnson | 106,253 | 14,311 | |
Pfizer Inc. | 272,029 | 11,295 | |
Merck & Co. Inc. | 145,962 | 10,012 | |
CVS Health Corp. | 87,552 | 6,587 | |
Medtronic plc | 66,475 | 6,409 | |
Allergan plc | 29,200 | 5,598 | |
Danaher Corp. | 52,941 | 5,482 | |
Amgen Inc. | 23,516 | 4,699 | |
* | Express Scripts Holding | ||
Co. | 48,375 | 4,258 | |
Humana Inc. | 11,857 | 3,951 | |
Eli Lilly & Co. | 32,081 | 3,389 |
Bristol-Myers Squibb Co. | 52,083 | 3,154 | |
Gilead Sciences Inc. | 39,192 | 2,968 | |
Aetna Inc. | 14,085 | 2,821 | |
Anthem Inc. | 10,329 | 2,734 | |
Thermo Fisher Scientific | |||
Inc. | 9,701 | 2,320 | |
McKesson Corp. | 17,400 | 2,240 | |
* | Biogen Inc. | 5,633 | 1,991 |
* | Mylan NV | 44,392 | 1,737 |
HCA Healthcare Inc. | 11,070 | 1,485 | |
Cardinal Health Inc. | 26,756 | 1,396 | |
Baxter International Inc. | 18,668 | 1,388 | |
Quest Diagnostics Inc. | 11,696 | 1,286 | |
AmerisourceBergen Corp. | |||
Class A | 14,008 | 1,260 | |
* | Alexion Pharmaceuticals | ||
Inc. | 9,198 | 1,124 | |
* | Henry Schein Inc. | 13,264 | 1,030 |
Universal Health Services | |||
Inc. Class B | 7,505 | 977 | |
Zimmer Biomet Holdings | |||
Inc. | 7,702 | 952 | |
* | DaVita Inc. | 12,022 | 833 |
Dentsply Sirona Inc. | 19,587 | 782 | |
* | IQVIA Holdings Inc. | 5,854 | 744 |
* | Laboratory Corp. of | ||
America Holdings | 3,700 | 640 | |
Perrigo Co. plc | 7,097 | 543 | |
* | Envision Healthcare Corp. | 10,431 | 473 |
* | Varian Medical Systems | ||
Inc. | 3,704 | 415 | |
PerkinElmer Inc. | 3,620 | 335 | |
111,619 | |||
Industrials (9.7%) | |||
General Electric Co. | 747,971 | 9,679 | |
United Technologies Corp. | 64,077 | 8,439 | |
Union Pacific Corp. | 32,060 | 4,829 | |
Honeywell International | |||
Inc. | 26,373 | 4,195 | |
United Parcel Service Inc. | |||
Class B | 30,286 | 3,722 | |
Caterpillar Inc. | 24,716 | 3,432 | |
Delta Air Lines Inc. | 55,577 | 3,250 | |
Eaton Corp. plc | 37,660 | 3,131 | |
Johnson Controls | |||
International plc | 79,763 | 3,013 | |
Lockheed Martin Corp. | 8,129 | 2,605 | |
Emerson Electric Co. | 32,015 | 2,456 | |
Norfolk Southern Corp. | 13,383 | 2,326 | |
General Dynamics Corp. | 11,895 | 2,300 | |
FedEx Corp. | 9,104 | 2,221 | |
PACCAR Inc. | 30,298 | 2,073 | |
Raytheon Co. | 9,648 | 1,924 | |
Cummins Inc. | 13,339 | 1,891 |
12
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Deere & Co. | 12,567 | 1,807 | |
* | United Continental | ||
Holdings Inc. | 20,296 | 1,774 | |
* | IHS Markit Ltd. | 30,667 | 1,687 |
WW Grainger Inc. | 4,390 | 1,554 | |
Textron Inc. | 22,050 | 1,522 | |
L3 Technologies Inc. | 6,758 | 1,444 | |
Northrop Grumman Corp. | 4,806 | 1,435 | |
Ingersoll-Rand plc | 12,386 | 1,255 | |
CH Robinson Worldwide | |||
Inc. | 11,991 | 1,152 | |
Southwest Airlines Co. | 15,159 | 929 | |
Parker-Hannifin Corp. | 5,038 | 885 | |
Snap-on Inc. | 4,874 | 862 | |
Arconic Inc. | 36,591 | 819 | |
Republic Services Inc. | |||
Class A | 10,370 | 761 | |
Jacobs Engineering Group | |||
Inc. | 10,379 | 754 | |
Fortive Corp. | 8,981 | 754 | |
Nielsen Holdings plc | 28,837 | 750 | |
Alaska Air Group Inc. | 10,615 | 716 | |
Fluor Corp. | 12,107 | 695 | |
American Airlines Group | |||
Inc. | 16,506 | 668 | |
Fastenal Co. | 10,900 | 636 | |
Stanley Black & Decker Inc. | 4,518 | 635 | |
Harris Corp. | 3,783 | 615 | |
Pentair plc | 13,980 | 608 | |
Rockwell Automation Inc. | 3,353 | 607 | |
Flowserve Corp. | 11,267 | 587 | |
* | Verisk Analytics Inc. | ||
Class A | 4,816 | 573 | |
Equifax Inc. | 4,247 | 569 | |
Kansas City Southern | 4,683 | 543 | |
Dover Corp. | 5,861 | 503 | |
Expeditors International of | |||
Washington Inc. | 6,770 | 496 | |
* | Stericycle Inc. | 7,370 | 455 |
* | Quanta Services Inc. | 12,884 | 446 |
JB Hunt Transport Services | |||
Inc. | 3,170 | 383 | |
Xylem Inc. | 4,803 | 365 | |
Masco Corp. | 9,091 | 345 | |
Robert Half International | |||
Inc. | 4,363 | 341 | |
Huntington Ingalls | |||
Industries Inc. | 1,226 | 300 | |
Allegion plc | 2,862 | 250 | |
92,966 | |||
Information Technology (6.9%) | |||
International Business | |||
Machines Corp. | 73,521 | 10,769 | |
Cisco Systems Inc. | 218,704 | 10,447 |
Intel Corp. | 172,565 | 8,357 | |
Oracle Corp. | 125,754 | 6,109 | |
QUALCOMM Inc. | 78,992 | 5,428 | |
HP Inc. | 141,353 | 3,484 | |
Accenture plc Class A | 20,491 | 3,464 | |
Hewlett Packard | |||
Enterprise Co. | 131,503 | 2,174 | |
Western Digital Corp. | 25,770 | 1,630 | |
Seagate Technology plc | 24,721 | 1,324 | |
* | Advanced Micro Devices | ||
Inc. | 46,832 | 1,179 | |
CA Inc. | 26,909 | 1,179 | |
Fidelity National | |||
Information Services Inc. | 10,832 | 1,172 | |
* | Autodesk Inc. | 7,359 | 1,136 |
DXC Technology Co. | 11,772 | 1,072 | |
Juniper Networks Inc. | 30,068 | 855 | |
TE Connectivity Ltd. | 8,443 | 774 | |
Paychex Inc. | 9,638 | 706 | |
* | Akamai Technologies Inc. | 8,817 | 663 |
Xilinx Inc. | 8,511 | 662 | |
Symantec Corp. | 29,439 | 594 | |
* | Citrix Systems Inc. | 4,879 | 556 |
Xerox Corp. | 18,423 | 513 | |
* | Take-Two Interactive | ||
Software Inc. | 3,448 | 461 | |
Western Union Co. | 24,203 | 458 | |
* | F5 Networks Inc. | 2,211 | 418 |
Alliance Data Systems | |||
Corp. | 1,619 | 386 | |
FLIR Systems Inc. | 3,781 | 237 | |
66,207 | |||
Materials (4.0%) | |||
DowDuPont Inc. | 199,863 | 14,016 | |
LyondellBasell Industries | |||
NV Class A | 27,687 | 3,123 | |
Air Products & Chemicals | |||
Inc. | 12,081 | 2,009 | |
Praxair Inc. | 11,879 | 1,879 | |
International Paper Co. | 35,661 | 1,824 | |
Ecolab Inc. | 12,076 | 1,817 | |
Nucor Corp. | 27,394 | 1,712 | |
Freeport-McMoRan Inc. | 116,035 | 1,630 | |
Newmont Mining Corp. | 45,943 | 1,426 | |
Ball Corp. | 30,076 | 1,260 | |
PPG Industries Inc. | 11,165 | 1,234 | |
WestRock Co. | 22,085 | 1,216 | |
Eastman Chemical Co. | 12,294 | 1,193 | |
Mosaic Co. | 30,204 | 944 | |
Vulcan Materials Co. | 5,578 | 618 | |
Martin Marietta Materials | |||
Inc. | 3,090 | 614 | |
CF Industries Holdings Inc. | 11,455 | 595 | |
Albemarle Corp. | 3,911 | 374 |
13
S&P 500 Value Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
International Flavors & | ||
Fragrances Inc. | 2,651 | 345 |
Sealed Air Corp. | 8,605 | 345 |
Packaging Corp. of America | 2,844 | 313 |
38,487 | ||
Real Estate (2.9%) | ||
Simon Property Group Inc. | 13,602 | 2,490 |
Weyerhaeuser Co. | 65,193 | 2,263 |
Equity Residential | 31,710 | 2,148 |
Welltower Inc. | 32,035 | 2,137 |
Ventas Inc. | 30,685 | 1,837 |
Realty Income Corp. | 24,491 | 1,434 |
Host Hotels & Resorts Inc. | 63,843 | 1,375 |
Crown Castle International | ||
Corp. | 11,432 | 1,304 |
AvalonBay Communities | ||
Inc. | 6,665 | 1,222 |
Public Storage | 5,678 | 1,207 |
HCP Inc. | 40,458 | 1,094 |
Mid-America Apartment | ||
Communities Inc. | 9,799 | 1,015 |
Boston Properties Inc. | 7,444 | 971 |
Digital Realty Trust Inc. | 7,095 | 882 |
Duke Realty Corp. | 30,747 | 876 |
Regency Centers Corp. | 12,693 | 838 |
SL Green Realty Corp. | 7,615 | 795 |
Essex Property Trust Inc. | 2,730 | 672 |
Kimco Realty Corp. | 36,591 | 626 |
Macerich Co. | 9,349 | 549 |
Alexandria Real Estate | ||
Equities Inc. | 4,080 | 524 |
Iron Mountain Inc. | 13,330 | 481 |
Federal Realty Investment | ||
Trust | 3,342 | 436 |
Vornado Realty Trust | 5,216 | 402 |
Apartment Investment & | ||
Management Co. | 7,588 | 332 |
UDR Inc. | 7,835 | 313 |
28,223 | ||
Telecommunication Services (4.3%) | ||
AT&T Inc. | 625,365 | 19,974 |
Verizon Communications | ||
Inc. | 355,835 | 19,347 |
CenturyLink Inc. | 84,547 | 1,806 |
41,127 | ||
Utilities (5.4%) | ||
Duke Energy Corp. | 60,370 | 4,904 |
Southern Co. | 87,120 | 3,814 |
Exelon Corp. | 83,137 | 3,634 |
NextEra Energy Inc. | 19,894 | 3,384 |
American Electric Power | ||
Co. Inc. | 42,416 | 3,043 |
Sempra Energy | 22,747 | 2,640 | |
Dominion Energy Inc. | 34,842 | 2,466 | |
Public Service Enterprise | |||
Group Inc. | 43,509 | 2,278 | |
Consolidated Edison Inc. | 26,759 | 2,112 | |
Xcel Energy Inc. | 43,822 | 2,106 | |
PG&E Corp. | 44,474 | 2,054 | |
Edison International | 28,059 | 1,844 | |
PPL Corp. | 60,202 | 1,790 | |
DTE Energy Co. | 15,629 | 1,737 | |
Eversource Energy | 27,290 | 1,704 | |
Evergy Inc. | 23,357 | 1,333 | |
Ameren Corp. | 20,983 | 1,327 | |
Entergy Corp. | 15,572 | 1,302 | |
CMS Energy Corp. | 24,331 | 1,198 | |
WEC Energy Group Inc. | 15,761 | 1,065 | |
CenterPoint Energy Inc. | 37,158 | 1,033 | |
Alliant Energy Corp. | 19,935 | 854 | |
FirstEnergy Corp. | 22,778 | 851 | |
NiSource Inc. | 29,054 | 786 | |
AES Corp. | 56,959 | 767 | |
Pinnacle West Capital | |||
Corp. | 9,640 | 757 | |
American Water Works | |||
Co. Inc. | 6,900 | 604 | |
SCANA Corp. | 12,283 | 471 | |
NRG Energy Inc. | 11,850 | 419 | |
52,277 | |||
Total Common Stocks | |||
(Cost $856,204) | 958,550 | ||
Temporary Cash Investments (0.1%)1 | |||
Money Market Fund (0.1%) | |||
2,3 | Vanguard Market Liquidity | ||
Fund, 2.153% | 3,697 | 370 | |
Face | |||
Amount | |||
($000) | |||
U. S. Government and Agency Obligations (0.0%) | |||
4 | United States Treasury | ||
Bill, 1.941%, 9/27/18 | 100 | 100 | |
4 | United States Treasury | ||
Bill, 2.034%, 11/15/18 | 150 | 149 | |
249 | |||
Total Temporary Cash Investments | |||
(Cost $619) | 619 | ||
Total Investments (99.7%) | |||
(Cost $856,823) | 959,169 |
14
S&P 500 Value Index Fund | |
Amount | |
($000) | |
Other Assets and Liabilities (0.3%) | |
Other Assets | |
Investment in Vanguard | 47 |
Receivables for Accrued Income | 2,417 |
Variation Margin Receivable— | |
Futures Contracts | — |
Other Assets | 267 |
Total Other Assets | 2,731 |
Liabilities | |
Payables for Investment Securities Purchased (3) | |
Collateral for Securities on Loan | (64) |
Payables to Vanguard | (163) |
Total Liabilities | (230) |
Net Assets (100%) | 961,670 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 869,626 |
Undistributed Net Investment Income | 4,795 |
Accumulated Net Realized Losses | (15,174) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 102,346 |
Futures Contracts | 77 |
Net Assets | 961,670 |
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 7,800,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 873,085 |
Net Asset Value Per Share— | |
ETF Shares | $111.93 |
Institutional Shares—Net Assets | |
Applicable to 360,850 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 88,585 |
Net Asset Value Per Share— | |
Institutional Shares | $245.49 |
• 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 $61,000.
1 The fund invests a portion of its cash reserves in equity
markets through the use of index futures contracts. After
giving effect to futures investments, the fund’s effective
common stock and temporary cash investment positions
represent 99.9% and -0.2%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds
and certain trusts and accounts managed by Vanguard. Rate
shown is the 7-day yield.
3 Includes $64,000 of collateral received for securities on loan.
4 Securities with a value of $249,000 have been segregated as
initial margin for open futures contracts.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2018 | 17 | 2,467 | 77 |
See accompanying Notes, which are an integral part of the Financial Statements.
15
S&P 500 Value Index Fund | |
Statement of Operations | |
Year Ended | |
August31,2018 | |
($000) | |
Investment Income | |
Income | |
Dividends | 21,763 |
Interest1 | 47 |
Total Income | 21,810 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 129 |
Management and Administrative—ETF Shares | 961 |
Management and Administrative—Institutional Shares | 23 |
Marketing and Distribution—ETF Shares | 48 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 52 |
Auditing Fees | 33 |
Shareholders’ Reports and Proxy—ETF Shares | 37 |
Shareholders’ Reports and Proxy—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,285 |
Expenses Paid Indirectly | (20) |
Net Expenses | 1,265 |
Net Investment Income | 20,545 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 45,118 |
Futures Contracts | 400 |
Realized Net Gain (Loss) | 45,518 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 37,967 |
Futures Contracts | 80 |
Change in Unrealized Appreciation (Depreciation) | 38,047 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 104,110 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund
were $41,000, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $49,787,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P 500 Value Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 20,545 | 15,972 |
Realized Net Gain (Loss) | 45,518 | 26,418 |
Change in Unrealized Appreciation (Depreciation) | 38,047 | 24,609 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 104,110 | 66,999 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (19,005) | (14,252) |
Institutional Shares | (803) | (117) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (19,808) | (14,369) |
Capital Share Transactions | ||
ETF Shares | 24,724 | 227,736 |
Institutional Shares | 81,379 | (3,373) |
Net Increase (Decrease) from Capital Share Transactions | 106,103 | 224,363 |
Total Increase (Decrease) | 190,405 | 276,993 |
Net Assets | ||
Beginning of Period | 771,265 | 494,272 |
End of Period1 | 961,670 | 771,265 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $4,795,000 and $4,058,000.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P 500 Value Index Fund | |||||
Financial Highlights | |||||
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $101.33 | $92.41 | $83.75 | $88.54 | $73.72 |
Investment Operations | |||||
Net Investment Income | 2.5581 | 2.4221 | 2.125 | 1.932 | 1.702 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 10.535 | 8.726 | 8.605 | (4.838) | 14.824 |
Total from Investment Operations | 13.093 | 11.148 | 10.730 | (2.906) | 16.526 |
Distributions | |||||
Dividends from Net Investment Income | (2.493) | (2.228) | (2.070) | (1.884) | (1.706) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.493) | (2.228) | (2.070) | (1.884) | (1.706) |
Net Asset Value, End of Period | $111.93 | $101.33 | $92.41 | $83.75 | $88.54 |
Total Return | 13.08% | 12.19% | 13.03% | -3.41% | 22.64% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $873 | $768 | $487 | $274 | $204 |
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 | 2.38% | 2.46% | 2.64% | 2.37% | 2.31% |
Portfolio Turnover Rate2 | 20% | 16% | 22% | 23% | 25% |
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.
18
S&P 500 Value Index Fund | ||||
Financial Highlights | ||||
Institutional Shares | ||||
March 3, | ||||
20151 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $222.23 | $202.64 | $183.75 | $199.34 |
Investment Operations | ||||
Net Investment Income | 6.077 2 | 5.202 2 | 4.765 | 2.352 |
Net Realized and Unrealized Gain (Loss) on Investments | 22.813 | 19.393 | 18.875 | (15.830) |
Total from Investment Operations | 28.890 | 24.595 | 23.640 | (13.478) |
Distributions | ||||
Dividends from Net Investment Income | (5.630) | (5.005) | (4.750) | (2.112) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (5.630) | (5.005) | (4.750) | (2.112) |
Net Asset Value, End of Period | $245.49 | $222.23 | $202.64 | $183.75 |
Total Return | 13.18% | 12.27% | 13.09% | -6.84% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $89 | $4 | $7 | $11 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 2.45% | 2.53% | 2.71% | 2.44%3 |
Portfolio Turnover Rate 4 | 20% | 16% | 22% | 23% |
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
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 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2018, 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 the notional amounts 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, 2015–2018), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
20
S&P 500 Value Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market 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 event 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, 2018, 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.
21
S&P 500 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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $47,000, 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. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2018, custodian fee offset arrangements reduced the fund’s expenses by $20,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 958,550 | — | — |
Temporary Cash Investments | 370 | 249 | — |
Futures Contracts—Assets1 | — | — | — |
Total | 958,920 | 249 | — |
1 Represents variation margin on the last day of the reporting period. |
22
S&P 500 Value Index Fund
E. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, the following permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
Amount | |
($000) | |
Paid-in capital | 49,787 |
Undistributed (Overdistributed) net investment income | — |
Accumulated net realized gains (losses) | (49,787) |
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax components of accumulated net earnings (losses) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed ordinary income | 4,892 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (15,097) |
Net unrealized gains (losses) | 102,346 |
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 856,823 |
Gross unrealized appreciation | 130,960 |
Gross unrealized depreciation | (28,614) |
Net unrealized appreciation (depreciation) | 102,346 |
F. During the year ended August 31, 2018, the fund purchased $495,952,000 of investment securities and sold $389,792,000 of investment securities, other than temporary cash investments. Purchases and sales include $220,650,000 and $216,450,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
23
S&P 500 Value Index Fund
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, 2018, such purchases and sales were $112,662,000 and $68,834,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were: | ||||
Year Ended August 31, | ||||
2018 | 2017 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 243,004 | 2,225 | 347,607 | 3,525 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (218,280) | (2,000) | (119,871) | (1,225) |
Net Increase (Decrease)—ETF Shares | 24,724 | 225 | 227,736 | 2,300 |
Institutional Shares | ||||
Issued | 82,685 | 349 | 1,590 | 7 |
Issued in Lieu of Cash Distributions | 732 | 3 | 117 | 1 |
Redeemed | (2,038) | (8) | (5,080) | (25) |
Net Increase (Decrease)—Institutional Shares | 81,379 | 344 | (3,373) | (17) |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2018, that would require recognition or disclosure in these financial statements.
24
S&P 500 Growth Index Fund
Fund Profile
As of August 31, 2018
Portfolio Characteristics | |||
DJ | |||
S&P 500 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 297 | 296 | 3,745 |
Median Market Cap | $131.6B | $145.3B | $71.0B |
Price/Earnings Ratio | 28.0x | 28.1x | 21.0x |
Price/Book Ratio | 6.1x | 6.1x | 3.2x |
Return on Equity | 19.8% | 19.8% | 15.0% |
Earnings Growth | |||
Rate | 9.7% | 9.7% | 8.4% |
Dividend Yield | 1.2% | 1.2% | 1.7% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 18% | — | — |
Ticker Symbol | VOOG | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 1.24% | — | — |
Short-Term Reserves | 0.6% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P 500 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary | 16.7% | 16.6% | 13.1% |
Consumer Staples | 4.1 | 4.1 | 6.0 |
Energy | 0.3 | 0.3 | 5.6 |
Financials | 5.4 | 5.3 | 14.2 |
Health Care | 17.2 | 17.1 | 14.3 |
Industrials | 9.6 | 9.5 | 10.3 |
Information Technology | 42.2 | 42.7 | 25.3 |
Materials | 1.2 | 1.2 | 2.9 |
Real Estate | 2.6 | 2.5 | 3.7 |
Telecommunication | |||
Services | 0.0 | 0.0 | 1.8 |
Utilities | 0.7 | 0.7 | 2.8 |
Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Growth | Market | |
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) | ||
Apple Inc. | Technology | |
Hardware, Storage & | ||
Peripherals | 8.3% | |
Microsoft Corp. | Systems Software | 6.4 |
Amazon.com Inc. | Internet & Direct | |
Marketing Retail | 6.0 | |
Alphabet Inc. | Internet Software & | |
Services | 4.7 | |
Facebook Inc. | Internet Software & | |
Services | 3.1 | |
Visa Inc. | Data Processing & | |
Outsourced Services | 1.9 | |
UnitedHealth Group Inc. | Managed Health | |
Care | 1.9 | |
Home Depot Inc. | Home Improvement | |
Retail | 1.7 | |
Mastercard Inc. | Data Processing & | |
Outsourced Services | 1.5 | |
Johnson & Johnson | Pharmaceuticals | 1.4 |
Top Ten | 36.9% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratio shown is from the prospectus dated December 22, 2017, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, the expense ratio was 0.15%.
25
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, 2018
Initial Investment of $10,000
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.
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
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 | 25.48% | 17.08% | 17.18% | $35,439 |
S&P 500 Growth Index Fund*ETF | ||||
Shares Market Price | 25.48 | 17.09 | 17.18 | 35,442 |
S&P 500 Growth Index | 25.69 | 17.26 | 17.36 | 35,885 |
Large-Cap Growth Funds Average | 25.16 | 15.69 | 15.50 | 31,590 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.26 | 14.21 | 15.39 | 31,344 |
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2018 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P 500 Growth Index Fund ETF Shares Market Price | 25.48% | 120.05% | 254.42% |
S&P 500 Growth Index Fund ETF Shares Net Asset Value | 25.48 | 120.02 | 254.39 |
S&P 500 Growth Index | 25.69 | 121.71 | 258.85 |
"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.
26
S&P 500 Growth Index Fund
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2018
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 20.41% | 15.82% | 16.37% | |
Net Asset Value | 20.42 | 15.81 | 16.37 |
27
S&P 500 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2018
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 (99.0%)1 | |||
Consumer Discretionary (16.6%) | |||
* | Amazon.com Inc. | 69,413 | 139,708 |
Home Depot Inc. | 198,820 | 39,917 | |
* | Netflix Inc. | 74,926 | 27,549 |
McDonald’s Corp. | 135,335 | 21,955 | |
* | Booking Holdings Inc. | 8,302 | 16,202 |
Comcast Corp. Class A | 395,759 | 14,639 | |
Walt Disney Co. | 120,433 | 13,491 | |
NIKE Inc. Class B | 148,139 | 12,177 | |
Lowe’s Cos. Inc. | 96,347 | 10,478 | |
* | Charter Communications | ||
Inc. Class A | 31,924 | 9,909 | |
Starbucks Corp. | 152,263 | 8,138 | |
Marriott International Inc. | |||
Class A | 51,174 | 6,472 | |
TJX Cos. Inc. | 48,668 | 5,352 | |
Ross Stores Inc. | 43,109 | 4,129 | |
Aptiv plc | 45,671 | 4,020 | |
* | Dollar Tree Inc. | 41,026 | 3,303 |
VF Corp. | 34,973 | 3,222 | |
DR Horton Inc. | 59,297 | 2,639 | |
* | O’Reilly Automotive Inc. | 7,620 | 2,556 |
Royal Caribbean Cruises | |||
Ltd. | 19,262 | 2,361 | |
Dollar General Corp. | 21,020 | 2,265 | |
Yum! Brands Inc. | 25,060 | 2,178 | |
Wynn Resorts Ltd. | 14,592 | 2,165 | |
Carnival Corp. | 31,475 | 1,935 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 35,248 | 1,890 | |
* | Michael Kors Holdings Ltd. | 25,821 | 1,875 |
* | Ulta Beauty Inc. | 6,801 | 1,768 |
Expedia Group Inc. | 12,285 | 1,603 | |
* | AutoZone Inc. | 1,971 | 1,512 |
Hilton Worldwide Holdings | |||
Inc. | 19,254 | 1,495 | |
Darden Restaurants Inc. | 12,797 | 1,485 |
Lennar Corp. Class A | 27,801 | 1,437 | |
CBS Corp. Class B | 26,470 | 1,403 | |
* | Mohawk Industries Inc. | 7,099 | 1,360 |
PulteGroup Inc. | 45,251 | 1,265 | |
* | CarMax Inc. | 15,336 | 1,197 |
MGM Resorts International | 37,986 | 1,101 | |
* | LKQ Corp. | 30,948 | 1,068 |
Hasbro Inc. | 10,576 | 1,050 | |
BorgWarner Inc. | 22,797 | 998 | |
Tapestry Inc. | 19,337 | 980 | |
Tiffany & Co. | 7,376 | 905 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 1,646 | 782 | |
Tractor Supply Co. | 8,624 | 761 | |
Garmin Ltd. | 9,575 | 652 | |
H&R Block Inc. | 23,055 | 624 | |
Hanesbrands Inc. | 26,065 | 457 | |
* | TripAdvisor Inc. | 6,828 | 371 |
* | Mattel Inc. | 16,023 | 247 |
Lennar Corp. Class B | 8 | — | |
385,046 | |||
Consumer Staples (4.1%) | |||
PepsiCo Inc. | 119,743 | 13,412 | |
Procter & Gamble Co. | 160,346 | 13,301 | |
Coca-Cola Co. | 297,014 | 13,238 | |
Altria Group Inc. | 182,695 | 10,691 | |
Philip Morris International | |||
Inc. | 133,975 | 10,435 | |
Constellation Brands Inc. | |||
Class A | 28,966 | 6,031 | |
Estee Lauder Cos. Inc. | |||
Class A | 38,626 | 5,412 | |
Colgate-Palmolive Co. | 70,714 | 4,696 | |
* | Monster Beverage Corp. | 70,856 | 4,315 |
Kimberly-Clark Corp. | 26,476 | 3,059 | |
Clorox Co. | 12,720 | 1,844 | |
General Mills Inc. | 35,748 | 1,645 |
28
S&P 500 Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Brown-Forman Corp. | |||
Class B | 30,238 | 1,579 | |
Hershey Co. | 12,996 | 1,306 | |
McCormick & Co. Inc. | 10,235 | 1,278 | |
Church & Dwight Co. Inc. | 22,341 | 1,264 | |
Kellogg Co. | 15,484 | 1,112 | |
94,618 | |||
Energy (0.3%) | |||
EOG Resources Inc. | 34,951 | 4,132 | |
Hess Corp. | 13,986 | 942 | |
Cabot Oil & Gas Corp. | 35,779 | 853 | |
Cimarex Energy Co. | 5,258 | 444 | |
6,371 | |||
Financials (5.3%) | |||
Bank of America Corp. | 780,051 | 24,127 | |
Charles Schwab Corp. | 206,966 | 10,512 | |
S&P Global Inc. | 43,319 | 8,969 | |
American Express Co. | 73,867 | 7,829 | |
Intercontinental Exchange | |||
Inc. | 99,856 | 7,612 | |
CME Group Inc. | 39,334 | 6,873 | |
Progressive Corp. | 100,417 | 6,781 | |
BlackRock Inc. | 12,541 | 6,008 | |
Moody’s Corp. | 28,791 | 5,125 | |
T. Rowe Price Group Inc. | 41,758 | 4,839 | |
Marsh & McLennan Cos. | |||
Inc. | 49,886 | 4,222 | |
Aon plc | 24,887 | 3,623 | |
* | SVB Financial Group | 9,131 | 2,947 |
Allstate Corp. | 28,465 | 2,863 | |
MSCI Inc. Class A | 15,334 | 2,764 | |
* | E*TRADE Financial Corp. | 45,470 | 2,676 |
Ameriprise Financial Inc. | 17,223 | 2,445 | |
Northern Trust Corp. | 19,679 | 2,115 | |
Cboe Global Markets Inc. | 19,378 | 1,953 | |
Comerica Inc. | 15,109 | 1,473 | |
Willis Towers Watson plc | 9,536 | 1,404 | |
Principal Financial Group | |||
Inc. | 21,106 | 1,165 | |
Arthur J Gallagher & Co. | 16,012 | 1,155 | |
Raymond James Financial | |||
Inc. | 10,731 | 998 | |
Nasdaq Inc. | 9,662 | 922 | |
Torchmark Corp. | 7,637 | 672 | |
Affiliated Managers Group | |||
Inc. | 4,208 | 615 | |
122,687 | |||
Health Care (17.0%) | |||
UnitedHealth Group Inc. | 165,625 | 44,464 | |
Johnson & Johnson | 249,639 | 33,624 | |
AbbVie Inc. | 261,208 | 25,071 | |
Abbott Laboratories | 302,170 | 20,197 | |
Pfizer Inc. | 463,769 | 19,256 |
Amgen Inc. | 67,730 | 13,533 | |
Becton Dickinson and Co. | 46,060 | 12,062 | |
Thermo Fisher Scientific | |||
Inc. | 49,926 | 11,937 | |
Merck & Co. Inc. | 171,573 | 11,768 | |
* | Celgene Corp. | 121,841 | 11,508 |
Gilead Sciences Inc. | 145,677 | 11,032 | |
* | Intuitive Surgical Inc. | 19,525 | 10,934 |
Bristol-Myers Squibb Co. | 177,497 | 10,747 | |
Eli Lilly & Co. | 100,435 | 10,611 | |
Medtronic plc | 100,377 | 9,677 | |
Stryker Corp. | 55,395 | 9,386 | |
* | Illumina Inc. | 25,340 | 8,991 |
* | Biogen Inc. | 25,099 | 8,872 |
* | Boston Scientific Corp. | 237,864 | 8,458 |
* | Vertex Pharmaceuticals | ||
Inc. | 43,932 | 8,101 | |
Cigna Corp. | 41,943 | 7,900 | |
Zoetis Inc. | 83,417 | 7,558 | |
Anthem Inc. | 23,325 | 6,175 | |
Aetna Inc. | 28,203 | 5,648 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 13,327 | 5,421 | |
* | Edwards Lifesciences | ||
Corp. | 36,347 | 5,243 | |
* | Centene Corp. | 35,387 | 5,183 |
* | Align Technology Inc. | 12,439 | 4,808 |
* | IDEXX Laboratories Inc. | 14,969 | 3,803 |
Agilent Technologies Inc. | 55,117 | 3,723 | |
* | Cerner Corp. | 54,393 | 3,542 |
Baxter International Inc. | 47,525 | 3,534 | |
HCA Healthcare Inc. | 25,993 | 3,486 | |
* | ABIOMED Inc. | 7,274 | 2,957 |
ResMed Inc. | 24,590 | 2,740 | |
* | Waters Corp. | 13,496 | 2,557 |
* | Mettler-Toledo | ||
International Inc. | 4,369 | 2,553 | |
* | Alexion Pharmaceuticals | ||
Inc. | 19,932 | 2,436 | |
Zimmer Biomet Holdings | |||
Inc. | 19,607 | 2,424 | |
* | Incyte Corp. | 30,311 | 2,240 |
Cooper Cos. Inc. | 8,440 | 2,159 | |
* | IQVIA Holdings Inc. | 16,035 | 2,038 |
* | Hologic Inc. | 47,031 | 1,870 |
* | Nektar Therapeutics | ||
Class A | 27,754 | 1,845 | |
* | Laboratory Corp. of | ||
America Holdings | 10,216 | 1,766 | |
PerkinElmer Inc. | 11,815 | 1,092 | |
* | Varian Medical Systems | ||
Inc. | 8,352 | 936 | |
Perrigo Co. plc | 7,990 | 611 | |
396,477 |
29
S&P 500 Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Industrials (9.5%) | |||
Boeing Co. | 94,385 | 32,354 | |
3M Co. | 102,329 | 21,583 | |
Honeywell International | |||
Inc. | 75,959 | 12,082 | |
CSX Corp. | 150,879 | 11,189 | |
Union Pacific Corp. | 69,520 | 10,471 | |
Lockheed Martin Corp. | 26,547 | 8,506 | |
Caterpillar Inc. | 53,599 | 7,442 | |
Illinois Tool Works Inc. | 52,565 | 7,300 | |
United Parcel Service Inc. | |||
Class B | 58,256 | 7,159 | |
Waste Management Inc. | 68,593 | 6,235 | |
Northrop Grumman Corp. | 20,447 | 6,103 | |
Raytheon Co. | 30,217 | 6,027 | |
FedEx Corp. | 24,161 | 5,894 | |
Roper Technologies Inc. | 17,787 | 5,307 | |
General Dynamics Corp. | 23,799 | 4,603 | |
Deere & Co. | 30,761 | 4,423 | |
Rockwell Collins Inc. | 28,289 | 3,846 | |
Norfolk Southern Corp. | 21,898 | 3,807 | |
Southwest Airlines Co. | 61,567 | 3,774 | |
Emerson Electric Co. | 44,504 | 3,415 | |
Cintas Corp. | 14,915 | 3,182 | |
AMETEK Inc. | 39,893 | 3,070 | |
* | TransDigm Group Inc. | 8,411 | 2,944 |
Fortive Corp. | 34,879 | 2,929 | |
Rockwell Automation Inc. | 14,924 | 2,701 | |
Stanley Black & Decker | |||
Inc. | 17,545 | 2,466 | |
Parker-Hannifin Corp. | 12,828 | 2,253 | |
* | United Rentals Inc. | 14,406 | 2,245 |
* | Copart Inc. | 34,829 | 2,240 |
Harris Corp. | 12,886 | 2,094 | |
* | Verisk Analytics Inc. | ||
Class A | 17,125 | 2,039 | |
Ingersoll-Rand plc | 17,946 | 1,818 | |
Equifax Inc. | 12,227 | 1,638 | |
Xylem Inc. | 21,385 | 1,623 | |
Fastenal Co. | 27,747 | 1,619 | |
American Airlines Group | |||
Inc. | 38,758 | 1,569 | |
AO Smith Corp. | 24,997 | 1,452 | |
Masco Corp. | 35,300 | 1,340 | |
Fortune Brands Home & | |||
Security Inc. | 25,140 | 1,332 | |
Republic Services Inc. | |||
Class A | 17,670 | 1,296 | |
Dover Corp. | 14,920 | 1,281 | |
Huntington Ingalls | |||
Industries Inc. | 5,214 | 1,275 |
Expeditors International | |||
of Washington Inc. | 16,548 | 1,213 | |
JB Hunt Transport | |||
Services Inc. | 8,403 | 1,015 | |
Robert Half International | |||
Inc. | 12,556 | 982 | |
Kansas City Southern | 8,305 | 963 | |
Allegion plc | 10,632 | 927 | |
221,026 | |||
Information Technology (41.8%) | |||
Apple Inc. | 847,173 | 192,842 | |
Microsoft Corp. | 1,324,265 | 148,755 | |
* | Facebook Inc. Class A | 413,425 | 72,651 |
* | Alphabet Inc. Class A | 51,488 | 63,423 |
* | Alphabet Inc. Class C | 37,323 | 45,466 |
Visa Inc. Class A | 307,848 | 45,220 | |
Mastercard Inc. Class A | 158,027 | 34,064 | |
NVIDIA Corp. | 104,619 | 29,364 | |
* | Adobe Systems Inc. | 84,884 | 22,368 |
Intel Corp. | 457,817 | 22,172 | |
Texas Instruments Inc. | 168,723 | 18,964 | |
* | salesforce.com Inc. | 121,572 | 18,562 |
Cisco Systems Inc. | 372,845 | 17,811 | |
* | PayPal Holdings Inc. | 192,378 | 17,762 |
Broadcom Inc. | 69,196 | 15,156 | |
Oracle Corp. | 261,973 | 12,727 | |
Accenture plc Class A | 69,829 | 11,806 | |
Automatic Data | |||
Processing Inc. | 75,928 | 11,142 | |
* | Micron Technology Inc. | 199,898 | 10,499 |
Activision Blizzard Inc. | 131,214 | 9,461 | |
Intuit Inc. | 42,023 | 9,223 | |
Cognizant Technology | |||
Solutions Corp. Class A | 101,002 | 7,922 | |
Applied Materials Inc. | 173,771 | 7,476 | |
Analog Devices Inc. | 63,949 | 6,321 | |
* | Electronic Arts Inc. | 52,893 | 5,999 |
QUALCOMM Inc. | 85,039 | 5,843 | |
* | Fiserv Inc. | 70,607 | 5,653 |
* | eBay Inc. | 159,395 | 5,517 |
Amphenol Corp. Class A | 51,934 | 4,912 | |
Lam Research Corp. | 28,288 | 4,896 | |
Corning Inc. | 143,236 | 4,800 | |
* | Red Hat Inc. | 30,644 | 4,527 |
NetApp Inc. | 46,158 | 4,007 | |
TE Connectivity Ltd. | 43,487 | 3,987 | |
* | Twitter Inc. | 112,919 | 3,972 |
Fidelity National | |||
Information Services Inc. | 35,356 | 3,824 | |
Motorola Solutions Inc. | 27,980 | 3,592 | |
* | Autodesk Inc. | 23,022 | 3,553 |
Microchip Technology Inc. | 40,489 | 3,483 |
30
S&P 500 Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Global Payments Inc. | 27,488 | 3,424 | |
* | FleetCor Technologies Inc. | 15,449 | 3,302 |
KLA-Tencor Corp. | 26,854 | 3,121 | |
Skyworks Solutions Inc. | 31,372 | 2,864 | |
Total System Services Inc. | 28,585 | 2,777 | |
Broadridge Financial | |||
Solutions Inc. | 20,320 | 2,746 | |
* | ANSYS Inc. | 14,478 | 2,693 |
* | VeriSign Inc. | 16,537 | 2,623 |
Paychex Inc. | 35,806 | 2,623 | |
* | Synopsys Inc. | 25,673 | 2,622 |
* | Arista Networks Inc. | 8,228 | 2,460 |
* | Gartner Inc. | 15,721 | 2,354 |
DXC Technology Co. | 25,519 | 2,325 | |
* | Cadence Design Systems | ||
Inc. | 48,567 | 2,285 | |
Xilinx Inc. | 26,627 | 2,072 | |
* | Qorvo Inc. | 21,789 | 1,745 |
* | Take-Two Interactive | ||
Software Inc. | 12,810 | 1,711 | |
* | Citrix Systems Inc. | 12,419 | 1,416 |
* | Advanced Micro Devices | ||
Inc. | 48,257 | 1,215 | |
Alliance Data Systems | |||
Corp. | 5,070 | 1,210 | |
* | F5 Networks Inc. | 6,101 | 1,154 |
* | IPG Photonics Corp. | 6,474 | 1,136 |
FLIR Systems Inc. | 16,071 | 1,008 | |
Symantec Corp. | 48,181 | 971 | |
* | Akamai Technologies Inc. | 11,757 | 883 |
Western Union Co. | 30,957 | 586 | |
973,048 | |||
Materials (1.2%) | |||
Sherwin-Williams Co. | 14,192 | 6,466 | |
Praxair Inc. | 25,776 | 4,078 | |
Ecolab Inc. | 20,576 | 3,096 | |
PPG Industries Inc. | 20,614 | 2,279 | |
Air Products & Chemicals | |||
Inc. | 13,591 | 2,260 | |
FMC Corp. | 23,178 | 1,981 | |
Avery Dennison Corp. | 15,167 | 1,595 | |
Vulcan Materials Co. | 11,616 | 1,287 | |
Packaging Corp. of America | 10,565 | 1,161 | |
International Flavors & | |||
Fragrances Inc. | 8,293 | 1,080 | |
Albemarle Corp. | 11,255 | 1,075 | |
Martin Marietta Materials | |||
Inc. | 4,664 | 927 | |
CF Industries Holdings Inc. | 17,284 | 898 | |
Sealed Air Corp. | 10,544 | 423 | |
28,606 | |||
Real Estate (2.5%) | |||
American Tower Corp. | 76,140 | 11,354 | |
Prologis Inc. | 108,359 | 7,280 |
Equinix Inc. | 13,696 | 5,973 | |
Crown Castle International | |||
Corp. | 48,643 | 5,547 | |
Simon Property Group Inc. | 26,146 | 4,785 | |
* | SBA Communications | ||
Corp. Class A | 19,845 | 3,081 | |
Public Storage | 14,459 | 3,074 | |
Digital Realty Trust Inc. | 21,284 | 2,645 | |
* | CBRE Group Inc. Class A | 52,092 | 2,543 |
Extra Space Storage Inc. | 21,724 | 2,003 | |
AvalonBay Communities | |||
Inc. | 10,478 | 1,920 | |
Boston Properties Inc. | 11,701 | 1,526 | |
Vornado Realty Trust | 19,377 | 1,492 | |
Essex Property Trust Inc. | 5,915 | 1,457 | |
Alexandria Real Estate | |||
Equities Inc. | 9,576 | 1,229 | |
UDR Inc. | 30,428 | 1,216 | |
Iron Mountain Inc. | 21,815 | 788 | |
Federal Realty Investment | |||
Trust | 5,927 | 774 | |
Apartment Investment & | |||
Management Co. | 11,917 | 522 | |
59,209 | |||
Utilities (0.7%) | |||
NextEra Energy Inc. | 41,460 | 7,052 | |
Dominion Energy Inc. | 42,718 | 3,023 | |
WEC Energy Group Inc. | 22,832 | 1,543 | |
American Water Works | |||
Co. Inc. | 16,872 | 1,477 | |
FirstEnergy Corp. | 31,664 | 1,184 | |
NRG Energy Inc. | 27,827 | 985 | |
15,264 | |||
Total Common Stocks | |||
(Cost $1,584,267) | 2,302,352 | ||
Temporary Cash Investments (0.9%)1 | |||
Money Market Fund (0.9%) | |||
2 | Vanguard Market Liquidity | ||
Fund, 2.153% | 210,534 | 21,058 |
Face | ||
Amount | ||
($000) | ||
U. S. Government and Agency Obligations (0.0%) | ||
3 United States Treasury | ||
Bill, 2.034%, 11/15/18 | 400 | 398 |
Total Temporary Cash | ||
Investments (Cost $21,452) | 21,456 | |
Total Investments (99.9%) | ||
(Cost $1,605,719) | 2,323,808 |
31
S&P 500 Growth Index Fund | ||
Amount | ||
($000) | ||
Other Assets and Liabilities (0.1%) | ||
Other Assets | ||
Investment in Vanguard | 113 | |
Receivables for Accrued Income | 3,474 | |
Receivables for Capital Shares Issued | 19 | |
Variation Margin Receivable— | ||
Futures Contracts | — | |
Total Other Assets | 3,606 | |
Liabilities | ||
Payables for Investment Securities Purchased | (40) | |
Payables to Vanguard | (355) | |
Unrealized Depreciation—Swap Contracts | (149) | |
Other Liabilities | (310) | |
Total Liabilities | (854) | |
Net Assets (100%) | 2,326,560 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,634,437 |
Undistributed Net Investment Income | 8,881 |
Accumulated Net Realized Losses | (35,014) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 718,089 |
Futures Contracts | 316 |
Swap Contracts | (149) |
Net Assets | 2,326,560 |
ETF Shares—Net Assets | |
Applicable to 14,700,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,326,560 |
Net Asset Value Per Share— | |
ETF Shares | $158.27 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity
markets through the use of index futures contracts and
swap contracts. After giving effect to futures and swap
investments, the fund’s effective common stock and
temporary cash investment positions represent 100.0%
and -0.1%, 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 Securities with a value of $398,000 have been segregated as
initial margin for open futures contracts.
32
S&P 500 Growth Index Fund
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2018 | 44 | 6,385 | 316 |
Total Return Swaps | |||||
Floating | Value and | ||||
Interest | Unrealized | ||||
Notional | Rate | Appreciation | |||
Termination | Amount | Received | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | (Paid)1 | ($000) |
Alphabet Inc. Class C | 11/6/2018 | GSI | 18,392 | (2.280%) | (149) |
GSI—Goldman Sachs International. | |||||
1 Payment received/paid monthly. |
See accompanying Notes, which are an integral part of the Financial Statements.
33
S&P 500 Growth Index Fund | |
Statement of Operations | |
Year Ended | |
August31,2018 | |
($000) | |
Investment Income | |
Income | |
Dividends | 28,283 |
Interest1 | 187 |
Securities Lending—Net | 15 |
Total Income | 28,485 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 296 |
Management and Administrative—ETF Shares | 2,391 |
Marketing and Distribution—ETF Shares | 103 |
Custodian Fees | 53 |
Auditing Fees | 35 |
Shareholders’ Reports and Proxy—ETF Shares | 102 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,981 |
Expenses Paid Indirectly | (22) |
Net Expenses | 2,959 |
Net Investment Income | 25,526 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 52,568 |
Futures Contracts | 679 |
Swap Contracts | 2,930 |
Realized Net Gain (Loss) | 56,177 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 367,227 |
Futures Contracts | 254 |
Swap Contracts | (149) |
Change in Unrealized Appreciation (Depreciation) | 367,332 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 449,035 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $173,000, $1,000, and $3,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $62,721,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
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, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 25,526 | 21,296 |
Realized Net Gain (Loss) | 56,177 | 17,599 |
Change in Unrealized Appreciation (Depreciation) | 367,332 | 205,577 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 449,035 | 244,472 |
Distributions | ||
Net Investment Income | (24,577) | (19,314) |
Realized Capital Gain | — | — |
Total Distributions | (24,577) | (19,314) |
Capital Share Transactions | ||
Issued | 397,973 | 455,621 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (160,259) | (47,587) |
Net Increase (Decrease) from Capital Share Transactions | 237,714 | 408,034 |
Total Increase (Decrease) | 662,172 | 633,192 |
Net Assets | ||
Beginning of Period | 1,664,388 | 1,031,196 |
End of Period1 | 2,326,560 | 1,664,388 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $8,881,000 and $5,002,000.
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 | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $127.78 | $109.12 | $99.21 | $96.99 | $77.29 |
Investment Operations | |||||
Net Investment Income | 1.8331 | 1.8411 | 1.565 | 1.523 | 1.257 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 30.442 | 18.527 | 9.857 | 2.193 | 19.715 |
Total from Investment Operations | 32.275 | 20.368 | 11.422 | 3.716 | 20.972 |
Distributions | |||||
Dividends from Net Investment Income | (1.785) | (1.708) | (1.512) | (1.496) | (1.272) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.785) | (1.708) | (1.512) | (1.496) | (1.272) |
Net Asset Value, End of Period | $158.27 | $127.78 | $109.12 | $99.21 | $96.99 |
Total Return | 25.48% | 18.85% | 11.62% | 3.80% | 27.33% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,327 | $1,664 | $1,031 | $570 | $325 |
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 | 1.29% | 1.57% | 1.59% | 1.62% | 1.56% |
Portfolio Turnover Rate2 | 18% | 19% | 20% | 21% | 23% |
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.
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, 2018.
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 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2018, 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 the notional amounts at each quarter-end during the period.
37
S&P 500 Growth Index Fund
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2015–2018), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
6. 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
38
S&P 500 Growth Index Fund
settled before the opening of the market 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 event 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.
7. 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, 2018, or at any time during the period then ended.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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. All other costs of operations payable to Vanguard are generally settled twice a month.
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S&P 500 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, 2018, the fund had contributed to Vanguard capital in the amount of $113,000, representing 0.01% of the fund’s net assets and 0.05% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2018, custodian fee offset arrangements reduced the fund’s expenses by $22,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 2,302,352 | — | — |
Temporary Cash Investments | 21,058 | 398 | — |
Futures Contracts—Assets1 | — | — | — |
Swap Contracts—Liabilities | — | (149) | — |
Total | 2,323,410 | 249 | — |
1 Represents variation margin on the last day of the reporting period. |
E. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, the following permanent differences primarily attributable to the accounting for in-kind redemptions and swap agreements were reclassified to the following accounts:
Amount | |
($000) | |
Paid-in capital | 62,721 |
Undistributed (Overdistributed) net investment income | 2,930 |
Accumulated net realized gains (losses) | (65,651) |
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S&P 500 Growth Index Fund
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts and swap agreements. As of period end, the tax components of accumulated net earnings (losses) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed ordinary income | 8,920 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (34,698) |
Net unrealized gains (losses) | 718,089 |
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 1,605,719 |
Gross unrealized appreciation | 730,963 |
Gross unrealized depreciation | (12,874) |
Net unrealized appreciation (depreciation) | 718,089 |
F. During the year ended August 31, 2018, the fund purchased $719,527,000 of investment securities and sold $494,985,000 of investment securities, other than temporary cash investments. Purchases and sales include $366,924,000 and $151,006,000, 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, 2018, such purchases and sales were $129,944,000 and $158,464,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
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S&P 500 Growth Index Fund
G. Capital shares issued and redeemed were: | ||
Year Ended August 31, | ||
2018 | 2017 | |
Shares | Shares | |
(000) | (000) | |
Issued | 2,825 | 3,975 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (1,150) | (400) |
Net Increase (Decrease) in Shares Outstanding | 1,675 | 3,575 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2018, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and Shareholders of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of net assets of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund (two of the funds constituting Vanguard Admiral Funds, hereafter collectively referred to as the “Funds”) as of August 31, 2018, the related statements of operations for the year ended August 31, 2018, the statements of changes in net assets for each of the two years in the period ended August 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2018, 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 ended August 31, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2018 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2018
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Special 2018 tax information (unaudited) for Vanguard S&P 500 Index Funds
This information for the fiscal year ended August 31, 2018, 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 | 19,808 |
S&P 500 Growth Index | 23,556 |
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 | 94.3% |
S&P 500 Growth Index | 89.4 |
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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 2018. (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 500 Value and Growth Index Funds
Periods Ended August 31, 2018
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P 500 Value Index Fund ETF Shares | |||
Returns Before Taxes | 13.08% | 11.18% | 13.05% |
Returns After Taxes on Distributions | 12.45 | 10.59 | 12.53 |
Returns After Taxes on Distributions and Sale of | |||
Fund Shares | 8.14 | 8.80 | 10.69 |
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P 500 Growth Index Fund ETF Shares | |||
Returns Before Taxes | 25.48% | 17.08% | 17.18% |
Returns After Taxes on Distributions | 25.08 | 16.68 | 16.82 |
Returns After Taxes on Distributions and Sale of | |||
Fund Shares | 15.28 | 13.75 | 14.34 |
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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, 2018 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2018 | 8/31/2018 | Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,046.69 | $0.77 |
Institutional Shares | 1,000.00 | 1,047.22 | 0.41 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,106.82 | $0.80 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
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, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.15%. 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 (184/365).
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Trustees Approve Advisory Arrangements
The board of trustees of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. 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 that directed 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 investment management services provided to the funds since their inception in 2010, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four 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 each fund’s performance since its inception, including any periods of outperformance or underperformance compared with 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 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.
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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.
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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 Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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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 208 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. 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 University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) 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.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 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) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 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 co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 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) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Mortimer J. Buckley | James M. Norris |
Gregory Davis | Thomas M. Rampulla |
John James | Karin A. Risi |
Martha G. King | Anne E. Robinson |
John T. Marcante | Michael Rollings |
Chris D. McIsaac |
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
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
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Q18400 102018 |
Annual Report | August 31, 2018
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
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
CEO’s Perspective. | 4 |
S&P Small-Cap 600 Index Fund. | 6 |
S&P Small-Cap 600 Value Index Fund. | 30 |
S&P Small-Cap 600 Growth Index Fund. | 52 |
Your Fund’s After-Tax Returns. | 71 |
About Your Fund’s Expenses. | 72 |
Trustees Approve Advisory Arrangements. | 74 |
Glossary. | 76 |
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.
Your Fund’s Performance at a Glance
• Small-capitalization growth stocks outpaced their value counterparts for the 12 months ended August 31, 2018, and small-cap stocks generally surpassed large- and mid-caps. The performance of the Vanguard S&P Small-Cap 600 Index Funds reflected these trends.
• Results ranged from about 28% for the Vanguard S&P Small-Cap 600 Value Index Fund to about 37% for the S&P Small-Cap 600 Growth Index Fund. Vanguard S&P Small-Cap 600 Index Fund, which includes both value and growth stocks, returned more than 32%.
• All three funds closely tracked their target indexes and exceeded their peer-group averages.
• Health care stocks were the top contributors for the Index Fund and the Growth Index Fund, while consumer discretionary stocks added the most to the Value Index Fund’s returns. In all three funds, industrials and financials performed well, and telecommunication services stocks were the only detractors.
Total Returns: Fiscal Year Ended August 31, 2018 | |
Total | |
Returns | |
Vanguard S&P Small-Cap 600 Index Fund | |
ETF Shares | |
Market Price | 32.30% |
Net Asset Value | 32.32 |
Institutional Shares | 32.39 |
S&P SmallCap 600 Index | 32.46 |
Small-Cap Core Funds Average | 21.09 |
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 | 27.79% |
Net Asset Value | 27.84 |
Institutional Shares | 28.01 |
S&P SmallCap 600 Value Index | 28.03 |
Small-Cap Value Funds Average | 19.05 |
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 | 36.96% |
Net Asset Value | 36.92 |
S&P SmallCap 600 Growth Index | 37.15 |
Small-Cap Growth Funds Average | 34.70 |
Small-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, 2018 | |
Average | |
Annual Return | |
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value (Returns since inception: 9/7/2010) | 17.34% |
S&P SmallCap 600 Index | 17.47 |
Small-Cap Core Funds Average | 13.47 |
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) | 16.16% |
S&P SmallCap 600 Value Index | 16.35 |
Small-Cap Value Funds Average | 12.91 |
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) | 18.39% |
S&P SmallCap 600 Growth Index | 18.61 |
Small-Cap Growth Funds Average | 15.58 |
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% | 1.20% |
S&P Small-Cap 600 Value Index Fund | 0.20 | 0.08 | 1.30 |
S&P Small-Cap 600 Growth Index Fund | 0.20 | — | 1.31 |
The fund expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, 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 2017.
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
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
4
We have been enjoying one of the longest bull markets in history, but it won’t continue forever. Prepare yourself now for how you will react when volatility comes back. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline
is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Mortimer J. Buckley
President and Chief Executive Officer
September 13, 2018
Market Barometer | |||
Average Annual | Total Returns | ||
Periods Ended | August 31, 2018 | ||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.82% | 15.84% | 14.36% |
Russell 2000 Index (Small-caps) | 25.45 | 16.11 | 13.00 |
Russell 3000 Index (Broad U.S. market) | 20.25 | 15.86 | 14.25 |
FTSE All-World ex US Index (International) | 3.51 | 8.31 | 5.82 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -1.05% | 1.76% | 2.49% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | 0.49 | 2.71 | 4.12 |
FTSE Three-Month U. S. Treasury Bill Index | 1.49 | 0.74 | 0.44 |
CPI | |||
Consumer Price Index | 2.70% | 1.90% | 1.52% |
5
S&P Small-Cap 600 Index Fund
Fund Profile | ||
As of August 31, 2018 | ||
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VIOO | VSMSX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 1.20% | 1.27% |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
SmallCap | Market | |
600 Index | FA Index | |
R-Squared | 1.00 | 0.63 |
Beta | 1.00 | 1.10 |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund | 600 Index | FA Index | |
Number of Stocks | 603 | 601 | 3,745 |
Median Market Cap | $2.0B | $2.0B | $71.0B |
Price/Earnings Ratio | 22.4x | 22.4x | 21.0x |
Price/Book Ratio | 2.3x | 2.3x | 3.2x |
Return on Equity | 9.0% | 9.0% | 15.0% |
Earnings Growth | |||
Rate | 8.1% | 8.8% | 8.4% |
Dividend Yield | 1.3% | 1.3% | 1.7% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 13% | — | — |
Short-Term Reserves | 0.0% | — | — |
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) | ||
Ligand Pharmaceuticals | ||
Inc. | Biotechnology | 0.6% |
Trex Co. Inc. | Building Products | 0.6 |
HealthEquity Inc. | Managed Health | |
Care | 0.6 | |
Neogen Corp. | Health Care Supplies | 0.6 |
CACI International Inc. | IT Consulting & | |
Other Services | 0.6 | |
Inogen Inc. | Health Care | |
Equipment | 0.5 | |
ASGN Inc. | Human Resource & | |
Employment | ||
Services | 0.5 | |
Insperity Inc. | Human Resource & | |
Employment | ||
Services | 0.5 | |
Ingevity Corp. | Specialty Chemicals | 0.5 |
Stamps.com Inc. | Internet Software & | |
Services | 0.5 | |
Top Ten | 5.5% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, the expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
6
S&P Small-Cap 600 Index Fund
Sector Diversification (% of equity exposure)
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund | 600 Index | FA Index | |
Consumer Discretionary | 14.2% | 14.5% | 13.1% |
Consumer Staples | 3.2 | 3.1 | 6.0 |
Energy | 3.9 | 3.9 | 5.6 |
Financials | 17.0 | 17.0 | 14.2 |
Health Care | 12.6 | 12.6 | 14.3 |
Industrials | 19.7 | 19.6 | 10.3 |
Information Technology | 15.5 | 15.3 | 25.3 |
Materials | 4.8 | 4.8 | 2.9 |
Real Estate | 5.9 | 5.9 | 3.7 |
Telecommunication | |||
Services | 1.1 | 1.2 | 1.8 |
Utilities | 2.1 | 2.1 | 2.8 |
Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
7
S&P Small-Cap 600 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2018
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
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 | 32.32% | 15.35% | 17.34% | $35,819 |
S&P Small-Cap 600 Index Fund*ETF | ||||
Shares Market Price | 32.30 | 15.33 | 17.33 | 35,815 |
S&P SmallCap 600 Index | 32.46 | 15.44 | 17.47 | 36,153 |
Small-Cap Core Funds Average | 21.09 | 11.19 | 13.47 | 27,419 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.26 | 14.21 | 15.39 | 31,344 |
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.
See Financial Highlights for dividend and capital gains information.
8
S&P Small-Cap 600 Index Fund
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
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 | 32.39% | 15.42% | 14.28% | $13,458,109 |
S&P SmallCap 600 Index | 32.46 | 15.44 | 14.34 | 13,504,332 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 20.26 | 14.21 | 13.14 | 12,494,801 |
"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.
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2018 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Index Fund ETF Shares Market | |||
Price | 32.30% | 104.08% | 258.15% |
S&P Small-Cap 600 Index Fund ETF Shares Net | |||
Asset Value | 32.32 | 104.17 | 258.19 |
S&P SmallCap 600 Index | 32.46 | 105.05 | 261.53 |
"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, 2018
9
S&P Small-Cap 600 Index Fund
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 20.54% | 14.52% | 16.58% | |
Net Asset Value | 20.43 | 14.50 | 16.57 | |
Institutional Shares | 4/1/2011 | 20.50 | 14.58 | 13.41 |
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
Statement of Net Assets
As of August 31, 2018
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 (99.7%)1 | |||
Consumer Discretionary (14.2%) | |||
Wolverine World Wide | |||
Inc. | 230,998 | 9,051 | |
*,^ | iRobot Corp. | 67,750 | 7,690 |
Steven Madden Ltd. | 128,514 | 7,473 | |
* | RH | 46,768 | 7,436 |
* | Penn National Gaming | ||
Inc. | 205,981 | 7,098 | |
Strategic Education Inc. | 50,937 | 7,069 | |
* | Shutterfly Inc. | 80,789 | 6,276 |
* | Fox Factory Holding | ||
Corp. | 91,898 | 6,070 | |
DSW Inc. Class A | 176,685 | 5,877 | |
* | Dorman Products Inc. | 72,241 | 5,850 |
Children’s Place Inc. | 40,715 | 5,731 | |
LCI Industries | 61,410 | 5,708 | |
Monro Inc. | 80,210 | 5,691 | |
* | Dave & Buster’s | ||
Entertainment Inc. | 96,603 | 5,619 | |
* | Cooper-Standard | ||
Holdings Inc. | 39,697 | 5,495 | |
* | TopBuild Corp. | 87,031 | 5,420 |
Callaway Golf Co. | 230,884 | 5,266 | |
* | Cavco Industries Inc. | 20,799 | 5,104 |
Lithia Motors Inc. | |||
Class A | 58,486 | 5,053 | |
Wingstop Inc. | 71,392 | 4,780 | |
* | G-III Apparel Group Ltd. | 101,753 | 4,628 |
* | Gentherm Inc. | 89,832 | 4,420 |
* | American Axle & | ||
Manufacturing | |||
Holdings Inc. | 242,841 | 4,301 | |
Caleres Inc. | 105,180 | 4,258 | |
Office Depot Inc. | 1,249,373 | 4,185 | |
Core-Mark Holding Co. | |||
Inc. | 112,663 | 4,030 | |
* | Meritage Homes Corp. | 93,046 | 4,015 |
Oxford Industries Inc. | 41,236 | 3,839 |
La-Z-Boy Inc. | 115,038 | 3,825 | |
Group 1 Automotive | |||
Inc. | 48,100 | 3,708 | |
Dine Brands Global Inc. | 43,436 | 3,623 | |
Abercrombie & Fitch | |||
Co. | 165,312 | 3,582 | |
Cooper Tire & Rubber | |||
Co. | 123,677 | 3,568 | |
Guess? Inc. | 141,908 | 3,477 | |
MDC Holdings Inc. | 109,453 | 3,470 | |
* | Crocs Inc. | 166,284 | 3,435 |
* | Belmond Ltd. Class A | 204,522 | 3,426 |
* | Asbury Automotive | ||
Group Inc. | 44,999 | 3,352 | |
BJ’s Restaurants Inc. | 44,043 | 3,334 | |
GameStop Corp. | |||
Class A | 248,707 | 3,300 | |
Sonic Corp. | 90,656 | 3,251 | |
* | Shake Shack Inc. | ||
Class A | 49,845 | 3,013 | |
Chico’s FAS Inc. | 314,846 | 2,871 | |
* | Sleep Number Corp. | 85,099 | 2,868 |
Tailored Brands Inc. | 120,952 | 2,847 | |
Gannett Co. Inc. | 275,743 | 2,835 | |
Scholastic Corp. | 66,782 | 2,808 | |
Sturm Ruger & Co. Inc. | 42,460 | 2,779 | |
Nutrisystem Inc. | 72,324 | 2,676 | |
Winnebago Industries | |||
Inc. | 70,315 | 2,598 | |
* | Vista Outdoor Inc. | 139,846 | 2,583 |
* | Career Education Corp. | 161,724 | 2,580 |
*,^ | LGI Homes Inc. | 44,120 | 2,541 |
Standard Motor | |||
Products Inc. | 49,199 | 2,498 | |
* | Genesco Inc. | 48,463 | 2,464 |
* | Fossil Group Inc. | 106,720 | 2,419 |
* | Installed Building | ||
Products Inc. | 50,829 | 2,366 |
11
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
New Media Investment | |||
Group Inc. | 146,840 | 2,335 | |
Ruth’s Hospitality Group | |||
Inc. | 70,527 | 2,172 | |
* | Express Inc. | 183,260 | 2,056 |
EW Scripps Co. Class A | 134,445 | 1,972 | |
* | Ascena Retail Group Inc. | 429,434 | 1,967 |
Marcus Corp. | 47,609 | 1,933 | |
* | Fiesta Restaurant Group | ||
Inc. | 66,583 | 1,914 | |
* | Rent-A-Center Inc. | 129,693 | 1,912 |
PetMed Express Inc. | 50,221 | 1,843 | |
* | Regis Corp. | 84,591 | 1,809 |
* | M/I Homes Inc. | 69,641 | 1,804 |
Buckle Inc. | 69,297 | 1,784 | |
Movado Group Inc. | 38,247 | 1,629 | |
* | Universal Electronics Inc. | 34,558 | 1,493 |
* | Zumiez Inc. | 44,684 | 1,392 |
* | American Public | ||
Education Inc. | 39,742 | 1,381 | |
*,^ | JC Penney Co. Inc. | 767,279 | 1,358 |
Ethan Allen Interiors Inc. | 60,780 | 1,352 | |
* | William Lyon Homes | ||
Class A | 68,107 | 1,333 | |
* | Unifi Inc. | 41,445 | 1,318 |
* | Monarch Casino & | ||
Resort Inc. | 27,890 | 1,312 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 31,543 | 1,303 | |
Sonic Automotive Inc. | |||
Class A | 59,046 | 1,270 | |
* | Motorcar Parts of | ||
America Inc. | 46,667 | 1,239 | |
* | MarineMax Inc. | 54,418 | 1,224 |
Superior Industries | |||
International Inc. | 56,329 | 1,222 | |
* | Lumber Liquidators | ||
Holdings Inc. | 69,437 | 1,210 | |
Cato Corp. Class A | 55,807 | 1,197 | |
* | Chuy’s Holdings Inc. | 41,171 | 1,192 |
Shoe Carnival Inc. | 26,225 | 1,166 | |
* | Nautilus Inc. | 74,641 | 1,094 |
Haverty Furniture Cos. | |||
Inc. | 47,133 | 1,042 | |
* | Hibbett Sports Inc. | 46,420 | 954 |
* | Perry Ellis International | ||
Inc. | 31,334 | 863 | |
* | Vitamin Shoppe Inc. | 59,397 | 760 |
Barnes & Noble Inc. | 138,596 | 728 | |
* | Vera Bradley Inc. | 46,139 | 676 |
Tile Shop Holdings Inc. | 84,258 | 645 | |
* | El Pollo Loco Holdings | ||
Inc. | 53,132 | 632 | |
* | Barnes & Noble | ||
Education Inc. | 91,671 | 548 |
* | Francesca’s Holdings | ||
Corp. | 84,287 | 529 | |
* | Kirkland’s Inc. | 39,292 | 357 |
Big 5 Sporting Goods | |||
Corp. | 49,122 | 280 | |
* | FTD Cos. Inc. | 41,371 | 148 |
World Wrestling | |||
Entertainment Inc. | |||
Class A | 20 | 2 | |
301,880 | |||
Consumer Staples (3.1%) | |||
* | Darling Ingredients Inc. | 401,475 | 7,941 |
WD-40 Co. | 33,989 | 6,031 | |
Medifast Inc. | 25,875 | 5,919 | |
J&J Snack Foods Corp. | 36,540 | 5,317 | |
B&G Foods Inc. | 162,248 | 5,184 | |
Calavo Growers Inc. | 38,548 | 4,080 | |
Universal Corp. | 60,743 | 3,633 | |
Cal-Maine Foods Inc. | 72,683 | 3,594 | |
* | Central Garden & Pet | ||
Co. Class A | 96,793 | 3,517 | |
* | SUPERVALU Inc. | 93,813 | 3,029 |
Inter Parfums Inc. | 42,103 | 2,749 | |
Andersons Inc. | 64,797 | 2,647 | |
MGP Ingredients Inc. | 30,837 | 2,378 | |
* | Avon Products Inc. | 1,076,666 | 2,153 |
Coca-Cola Bottling Co. | |||
Consolidated | 11,330 | 1,921 | |
SpartanNash Co. | 87,460 | 1,867 | |
Dean Foods Co. | 223,530 | 1,703 | |
John B Sanfilippo & | |||
Son Inc. | 21,373 | 1,562 | |
* | Central Garden & Pet | ||
Co. | 25,432 | 1,010 | |
* | Seneca Foods Corp. | ||
Class A | 16,566 | 535 | |
66,770 | |||
Energy (3.9%) | |||
* | PDC Energy Inc. | 161,189 | 8,493 |
* | SRC Energy Inc. | 590,084 | 5,494 |
* | Denbury Resources Inc. | 978,040 | 5,448 |
* | Carrizo Oil & Gas Inc. | 211,995 | 5,134 |
* | Oil States International | ||
Inc. | 146,385 | 4,955 | |
US Silica Holdings Inc. | 190,035 | 4,027 | |
Archrock Inc. | 314,770 | 3,982 | |
* | Noble Corp. plc | 602,758 | 3,677 |
* | Unit Corp. | 131,952 | 3,469 |
* | C&J Energy Services | ||
Inc. | 155,353 | 3,255 | |
* | Helix Energy Solutions | ||
Group Inc. | 339,155 | 3,174 | |
* | Penn Virginia Corp. | 33,000 | 2,935 |
* | ProPetro Holding Corp. | 174,719 | 2,659 |
12
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | CONSOL Energy Inc. | 61,372 | 2,633 |
* | Newpark Resources Inc. | 227,238 | 2,386 |
* | Renewable Energy | ||
Group Inc. | 80,206 | 2,162 | |
* | SEACOR Holdings Inc. | 41,872 | 2,154 |
* | Exterran Corp. | 78,607 | 2,153 |
Green Plains Inc. | 95,001 | 1,686 | |
* | Ring Energy Inc. | 132,738 | 1,566 |
* | Bonanza Creek Energy | ||
Inc. | 49,864 | 1,546 | |
* | TETRA Technologies | ||
Inc. | 304,289 | 1,397 | |
* | Matrix Service Co. | 65,003 | 1,359 |
* | HighPoint Resources | ||
Corp. | 241,724 | 1,332 | |
* | Par Pacific Holdings Inc. | 61,241 | 1,244 |
* | REX American | ||
Resources Corp. | 13,713 | 1,105 | |
* | Bristow Group Inc. | 78,393 | 859 |
* | Pioneer Energy | ||
Services Corp. | 190,341 | 609 | |
* | Era Group Inc. | 49,727 | 594 |
* | CARBO Ceramics Inc. | 53,932 | 466 |
* | Geospace Technologies | ||
Corp. | 32,440 | 458 | |
* | Cloud Peak Energy Inc. | 184,205 | 435 |
Gulf Island Fabrication | |||
Inc. | 33,358 | 315 | |
83,161 | |||
Financials (17.0%) | |||
^ | First Financial | ||
Bankshares Inc. | 165,248 | 9,981 | |
* | Green Dot Corp. | ||
Class A | 113,951 | 9,762 | |
Selective Insurance | |||
Group Inc. | 143,329 | 9,202 | |
FirstCash Inc. | 110,747 | 9,004 | |
Glacier Bancorp Inc. | 194,242 | 8,873 | |
Community Bank | |||
System Inc. | 124,720 | 8,248 | |
American Equity | |||
Investment Life | |||
Holding Co. | 219,631 | 8,146 | |
First Financial Bancorp | 242,707 | 7,621 | |
Columbia Banking | |||
System Inc. | 178,987 | 7,562 | |
RLI Corp. | 97,514 | 7,506 | |
First Midwest Bancorp | |||
Inc. | 251,173 | 6,827 | |
Old National Bancorp | 334,772 | 6,796 | |
ProAssurance Corp. | 130,782 | 6,323 | |
Great Western Bancorp | |||
Inc. | 143,483 | 6,247 |
Simmons First National | |||
Corp. Class A | 195,844 | 6,189 | |
Independent Bank Corp. | 67,414 | 6,141 | |
CVB Financial Corp. | 249,345 | 5,997 | |
Hope Bancorp Inc. | 313,572 | 5,491 | |
United Community | |||
Banks Inc. | 180,497 | 5,476 | |
Apollo Commercial Real | |||
Estate Finance Inc. | 273,310 | 5,310 | |
Banner Corp. | 79,058 | 5,086 | |
* | BofI Holding Inc. | 134,207 | 4,998 |
ServisFirst Bancshares | |||
Inc. | 112,878 | 4,865 | |
Ameris Bancorp | 97,161 | 4,824 | |
LegacyTexas Financial | |||
Group Inc. | 103,683 | 4,797 | |
Horace Mann Educators | |||
Corp. | 99,757 | 4,619 | |
Northwest Bancshares | |||
Inc. | 250,735 | 4,568 | |
Invesco Mortgage | |||
Capital Inc. | 272,261 | 4,419 | |
NBT Bancorp Inc. | 107,075 | 4,334 | |
Westamerica | |||
Bancorporation | 64,795 | 4,149 | |
* | Blucora Inc. | 114,403 | 4,141 |
First Commonwealth | |||
Financial Corp. | 245,902 | 4,119 | |
*,^ | PRA Group Inc. | 110,554 | 4,041 |
Waddell & Reed | |||
Financial Inc. Class A | 200,143 | 4,007 | |
S&T Bancorp Inc. | 85,126 | 3,972 | |
* | First BanCorp | 443,803 | 3,883 |
Navigators Group Inc. | 55,137 | 3,860 | |
Berkshire Hills Bancorp | |||
Inc. | 89,650 | 3,788 | |
Provident Financial | |||
Services Inc. | 148,985 | 3,759 | |
Walker & Dunlop Inc. | 68,899 | 3,755 | |
* | Pacific Premier Bancorp | ||
Inc. | 93,971 | 3,717 | |
Employers Holdings Inc. | 80,117 | 3,673 | |
* | Seacoast Banking Corp. | ||
of Florida | 114,541 | 3,622 | |
Safety Insurance Group | |||
Inc. | 37,313 | 3,608 | |
Brookline Bancorp Inc. | 195,471 | 3,548 | |
Universal Insurance | |||
Holdings Inc. | 79,508 | 3,546 | |
Redwood Trust Inc. | 201,812 | 3,427 | |
* | NMI Holdings Inc. | ||
Class A | 142,140 | 3,070 | |
City Holding Co. | 37,483 | 3,039 | |
AMERISAFE Inc. | 47,035 | 3,001 |
13
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
James River Group | |||
Holdings Ltd. | 72,874 | 2,984 | |
PennyMac Mortgage | |||
Investment Trust | 148,698 | 2,971 | |
Boston Private Financial | |||
Holdings Inc. | 205,088 | 2,964 | |
* | Enova International Inc. | 82,712 | 2,746 |
* | Third Point Reinsurance | ||
Ltd. | 202,088 | 2,708 | |
Piper Jaffray Cos. | 34,900 | 2,687 | |
National Bank Holdings | |||
Corp. Class A | 66,095 | 2,654 | |
Tompkins Financial Corp. | 30,091 | 2,644 | |
Stewart Information | |||
Services Corp. | 57,917 | 2,594 | |
Heritage Financial Corp. | 70,826 | 2,571 | |
United Fire Group Inc. | 51,727 | 2,562 | |
* | Encore Capital Group | ||
Inc. | 62,398 | 2,418 | |
Southside Bancshares | |||
Inc. | 67,815 | 2,414 | |
ARMOUR Residential | |||
REIT Inc. | 102,330 | 2,407 | |
* | Triumph Bancorp Inc. | 56,190 | 2,385 |
WisdomTree | |||
Investments Inc. | 284,570 | 2,339 | |
* | Ambac Financial Group | ||
Inc. | 110,035 | 2,325 | |
Virtus Investment | |||
Partners Inc. | 17,644 | 2,276 | |
TrustCo Bank Corp. NY | 234,441 | 2,169 | |
* | INTL. FCStone Inc. | 38,307 | 2,136 |
^ | New York Mortgage | ||
Trust Inc. | 333,317 | 2,133 | |
Banc of California Inc. | 103,844 | 2,093 | |
Hanmi Financial Corp. | 79,932 | 2,086 | |
Preferred Bank | 33,495 | 2,050 | |
Central Pacific Financial | |||
Corp. | 71,949 | 2,038 | |
Granite Point Mortgage | |||
Trust Inc. | 105,662 | 2,022 | |
* | HomeStreet Inc. | 65,999 | 1,944 |
Meta Financial Group | |||
Inc. | 22,402 | 1,940 | |
Capstead Mortgage | |||
Corp. | 225,735 | 1,896 | |
Northfield Bancorp Inc. | 113,302 | 1,845 | |
* | Customers Bancorp Inc. | 72,314 | 1,786 |
Investment Technology | |||
Group Inc. | 80,585 | 1,763 | |
* | World Acceptance Corp. | 14,798 | 1,755 |
OFG Bancorp | 106,914 | 1,732 | |
* | Donnelley Financial | ||
Solutions Inc. | 82,710 | 1,728 | |
Oritani Financial Corp. | 96,993 | 1,571 |
Green Bancorp Inc. | 64,768 | 1,554 | |
Greenhill & Co. Inc. | 53,626 | 1,475 | |
* | EZCORP Inc. Class A | 125,200 | 1,390 |
Dime Community | |||
Bancshares Inc. | 74,723 | 1,356 | |
Fidelity Southern Corp. | 54,549 | 1,326 | |
* | eHealth Inc. | 40,806 | 1,191 |
Opus Bank | 41,956 | 1,189 | |
* | Franklin Financial | ||
Network Inc. | 29,317 | 1,133 | |
United Insurance | |||
Holdings Corp. | 50,128 | 1,044 | |
HCI Group Inc. | 18,630 | 755 | |
Maiden Holdings Ltd. | 166,913 | 634 | |
361,320 | |||
Health Care (12.5%) | |||
* | Ligand Pharmaceuticals | ||
Inc. | 51,995 | 13,503 | |
* | HealthEquity Inc. | 128,088 | 12,067 |
* | Neogen Corp. | 125,842 | 11,759 |
* | Inogen Inc. | 42,507 | 11,260 |
* | Amedisys Inc. | 70,622 | 8,828 |
* | Myriad Genetics Inc. | 170,750 | 8,502 |
* | Endo International plc | 491,062 | 8,422 |
* | Merit Medical Systems | ||
Inc. | 131,467 | 7,737 | |
* | LHC Group Inc. | 71,377 | 7,061 |
* | AMN Healthcare | ||
Services Inc. | 116,897 | 6,815 | |
* | Omnicell Inc. | 94,723 | 6,512 |
* | HMS Holdings Corp. | 203,086 | 6,509 |
* | Medicines Co. | 158,290 | 6,270 |
* | Supernus | ||
Pharmaceuticals Inc. | 126,288 | 5,594 | |
* | Integer Holdings Corp. | 69,538 | 5,556 |
* | Cambrex Corp. | 80,545 | 5,429 |
* | Emergent BioSolutions | ||
Inc. | 86,354 | 5,354 | |
* | Select Medical | ||
Holdings Corp. | 261,876 | 5,185 | |
* | Repligen Corp. | 91,544 | 5,024 |
* | Momenta | ||
Pharmaceuticals Inc. | 189,088 | 5,011 | |
* | REGENXBIO Inc. | 70,946 | 4,998 |
* | Spectrum | ||
Pharmaceuticals Inc. | 228,160 | 4,912 | |
CONMED Corp. | 60,942 | 4,902 | |
* | BioTelemetry Inc. | 75,863 | 4,688 |
Ensign Group Inc. | 118,795 | 4,641 | |
* | Magellan Health Inc. | 59,986 | 4,409 |
US Physical Therapy | |||
Inc. | 30,920 | 3,873 | |
* | Corcept Therapeutics | ||
Inc. | 233,016 | 3,500 |
14
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Acorda Therapeutics | ||
Inc. | 115,116 | 3,315 | |
* | Enanta | ||
Pharmaceuticals Inc. | 35,183 | 3,199 | |
* | Natus Medical Inc. | 81,842 | 3,053 |
* | Tabula Rasa | ||
HealthCare Inc. | 33,155 | 2,907 | |
* | Varex Imaging Corp. | 92,488 | 2,904 |
* | Tivity Health Inc. | 83,939 | 2,887 |
* | CryoLife Inc. | 82,170 | 2,851 |
Luminex Corp. | 100,910 | 2,847 | |
* | Quality Systems Inc. | 115,818 | 2,651 |
Owens & Minor Inc. | 151,176 | 2,567 | |
* | Surmodics Inc. | 32,420 | 2,553 |
* | Orthofix Medical Inc. | 45,945 | 2,461 |
* | Innoviva Inc. | 168,556 | 2,447 |
* | Tactile Systems | ||
Technology Inc. | 36,131 | 2,445 | |
* | Diplomat Pharmacy Inc. | 117,598 | 2,430 |
* | OraSure Technologies | ||
Inc. | 148,929 | 2,384 | |
Phibro Animal Health | |||
Corp. Class A | 48,236 | 2,277 | |
* | AMAG | ||
Pharmaceuticals Inc. | 83,821 | 2,045 | |
* | AngioDynamics Inc. | 90,428 | 2,027 |
HealthStream Inc. | 63,074 | 2,001 | |
* | Providence Service | ||
Corp. | 26,629 | 1,788 | |
* | Heska Corp. | 16,361 | 1,751 |
* | Amphastar | ||
Pharmaceuticals Inc. | 87,656 | 1,664 | |
Meridian Bioscience Inc. | 102,777 | 1,614 | |
* | Progenics | ||
Pharmaceuticals Inc. | 202,052 | 1,582 | |
* | Anika Therapeutics Inc. | 35,782 | 1,481 |
* | Eagle Pharmaceuticals | ||
Inc. | 20,296 | 1,403 | |
* | CorVel Corp. | 23,383 | 1,390 |
LeMaitre Vascular Inc. | 37,050 | 1,390 | |
*,^ | MiMedx Group Inc. | 246,866 | 1,308 |
* | ANI Pharmaceuticals | ||
Inc. | 22,219 | 1,293 | |
Invacare Corp. | 80,342 | 1,221 | |
* | Lantheus Holdings Inc. | 73,710 | 1,187 |
* | Cutera Inc. | 33,199 | 1,129 |
*,^ | Community Health | ||
Systems Inc. | 284,037 | 1,102 | |
* | Assertio Therapeutics | ||
Inc. | 154,342 | 985 | |
* | Cytokinetics Inc. | 122,983 | 972 |
* | Cross Country | ||
Healthcare Inc. | 88,636 | 887 |
Computer Programs & | |||
Systems Inc. | 27,824 | 760 | |
*,^ | Lannett Co. Inc. | 74,537 | 399 |
* | Quorum Health Corp. | 69,945 | 318 |
Aceto Corp. | 73,768 | 245 | |
266,441 | |||
Industrials (19.6%) | |||
* | Trex Co. Inc. | 143,727 | 12,174 |
* | ASGN Inc. | 119,884 | 11,100 |
Insperity Inc. | 91,151 | 10,924 | |
* | Axon Enterprise Inc. | 140,162 | 9,567 |
* | Proto Labs Inc. | 61,099 | 9,498 |
Tetra Tech Inc. | 135,864 | 9,483 | |
Korn/Ferry International | 137,844 | 9,253 | |
John Bean | |||
Technologies Corp. | 77,423 | 9,159 | |
SkyWest Inc. | 126,596 | 8,267 | |
Barnes Group Inc. | 118,118 | 8,039 | |
Hillenbrand Inc. | 152,666 | 7,809 | |
Simpson | |||
Manufacturing Co. Inc. | 100,654 | 7,727 | |
Applied Industrial | |||
Technologies Inc. | 96,887 | 7,465 | |
* | FTI Consulting Inc. | 92,081 | 7,018 |
UniFirst Corp. | 37,667 | 6,976 | |
Exponent Inc. | 126,772 | 6,637 | |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 184,432 | 6,475 | |
* | Mercury Systems Inc. | 117,516 | 6,406 |
Moog Inc. Class A | 79,060 | 6,239 | |
* | Chart Industries Inc. | 75,498 | 5,704 |
Universal Forest | |||
Products Inc. | 149,925 | 5,616 | |
Watts Water | |||
Technologies Inc. | |||
Class A | 67,859 | 5,595 | |
* | Harsco Corp. | 196,971 | 5,564 |
Albany International | |||
Corp. | 70,677 | 5,453 | |
Comfort Systems USA | |||
Inc. | 90,605 | 5,201 | |
* | WageWorks Inc. | 96,594 | 5,168 |
Hawaiian Holdings Inc. | 123,650 | 5,132 | |
ABM Industries Inc. | 160,161 | 5,080 | |
* | SPX FLOW Inc. | 103,684 | 4,971 |
* | Saia Inc. | 62,536 | 4,956 |
Brady Corp. Class A | 117,860 | 4,767 | |
Mobile Mini Inc. | 108,861 | 4,670 | |
Forward Air Corp. | 71,947 | 4,623 | |
Cubic Corp. | 61,009 | 4,618 | |
Franklin Electric Co. Inc. | 94,051 | 4,599 | |
* | Aerovironment Inc. | 51,805 | 4,557 |
Mueller Industries Inc. | 140,210 | 4,483 |
15
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Kaman Corp. | 68,295 | 4,454 | |
Actuant Corp. Class A | 148,076 | 4,361 | |
* | Hub Group Inc. Class A | 82,432 | 4,357 |
ESCO Technologies Inc. | 63,304 | 4,283 | |
Raven Industries Inc. | 87,793 | 4,249 | |
Matthews International | |||
Corp. Class A | 80,798 | 4,193 | |
Allegiant Travel Co. | |||
Class A | 30,744 | 4,189 | |
Greenbrier Cos. Inc. | 69,084 | 4,007 | |
AAON Inc. | 98,547 | 3,981 | |
US Ecology Inc. | 53,557 | 3,896 | |
Matson Inc. | 103,934 | 3,883 | |
EnPro Industries Inc. | 51,187 | 3,843 | |
Federal Signal Corp. | 146,775 | 3,821 | |
* | Atlas Air Worldwide | ||
Holdings Inc. | 62,412 | 3,801 | |
* | Patrick Industries Inc. | 57,347 | 3,670 |
AAR Corp. | 78,590 | 3,668 | |
* | SPX Corp. | 104,859 | 3,564 |
* | Gibraltar Industries Inc. | 77,342 | 3,511 |
AZZ Inc. | 63,677 | 3,423 | |
Interface Inc. Class A | 144,786 | 3,410 | |
Apogee Enterprises Inc. | 68,721 | 3,382 | |
Standex International | |||
Corp. | 31,205 | 3,367 | |
Tennant Co. | 43,927 | 3,363 | |
Viad Corp. | 50,073 | 3,085 | |
ArcBest Corp. | 62,485 | 3,006 | |
* | PGT Innovations Inc. | 122,186 | 2,969 |
* | American Woodmark | ||
Corp. | 34,656 | 2,944 | |
* | TrueBlue Inc. | 99,114 | 2,904 |
* | Navigant Consulting Inc. | 110,413 | 2,638 |
Wabash National Corp. | 142,081 | 2,592 | |
Encore Wire Corp. | 50,949 | 2,560 | |
Triumph Group Inc. | 121,417 | 2,525 | |
Lindsay Corp. | 26,364 | 2,525 | |
* | Vicor Corp. | 39,835 | 2,488 |
Heartland Express Inc. | 120,120 | 2,456 | |
Astec Industries Inc. | 46,665 | 2,270 | |
Alamo Group Inc. | 23,224 | 2,213 | |
CIRCOR International | |||
Inc. | 48,327 | 2,192 | |
* | Echo Global Logistics | ||
Inc. | 65,415 | 2,172 | |
Briggs & Stratton Corp. | 104,075 | 2,098 | |
Multi-Color Corp. | 33,883 | 2,092 | |
Marten Transport Ltd. | 94,325 | 2,080 | |
Heidrick & Struggles | |||
International Inc. | 46,152 | 2,040 | |
* | Aegion Corp. Class A | 79,099 | 1,974 |
Kelly Services Inc. | |||
Class A | 75,295 | 1,898 |
* | Lydall Inc. | 42,550 | 1,821 |
* | DXP Enterprises Inc. | 38,555 | 1,769 |
*,^ | Team Inc. | 73,221 | 1,706 |
Insteel Industries Inc. | 44,086 | 1,691 | |
National Presto | |||
Industries Inc. | 12,194 | 1,617 | |
* | Engility Holdings Inc. | 43,535 | 1,511 |
Griffon Corp. | 82,783 | 1,511 | |
Quanex Building | |||
Products Corp. | 86,067 | 1,412 | |
* | MYR Group Inc. | 40,120 | 1,395 |
Essendant Inc. | 91,737 | 1,324 | |
* | Veritiv Corp. | 27,440 | 1,310 |
Resources Connection | |||
Inc. | 72,634 | 1,202 | |
Forrester Research Inc. | 24,053 | 1,183 | |
LSC Communications | |||
Inc. | 81,426 | 996 | |
Titan International Inc. | 120,702 | 903 | |
RR Donnelley & Sons | |||
Co. | 170,597 | 863 | |
Powell Industries Inc. | 21,327 | 835 | |
* | Orion Group Holdings | ||
Inc. | 69,307 | 597 | |
417,016 | |||
Information Technology (15.4%) | |||
* | CACI International Inc. | ||
Class A | 60,228 | 11,744 | |
* | Stamps.com Inc. | 40,647 | 10,099 |
* | Semtech Corp. | 161,817 | 9,669 |
* | Qualys Inc. | 79,811 | 7,267 |
Cabot Microelectronics | |||
Corp. | 62,805 | 7,080 | |
Brooks Automation Inc. | 174,477 | 6,876 | |
* | II-VI Inc. | 134,111 | 6,672 |
* | Viavi Solutions Inc. | 552,150 | 6,184 |
* | Rogers Corp. | 44,758 | 6,180 |
*,^ | 3D Systems Corp. | 280,617 | 5,711 |
Travelport Worldwide | |||
Ltd. | 307,448 | 5,709 | |
* | Advanced Energy | ||
Industries Inc. | 95,779 | 5,707 | |
*,^ | Finisar Corp. | 279,381 | 5,699 |
* | Bottomline Technologies | ||
DE Inc. | 85,459 | 5,638 | |
* | ExlService Holdings Inc. | 87,213 | 5,589 |
* | Itron Inc. | 84,086 | 5,583 |
* | NETGEAR Inc. | 77,138 | 5,465 |
Power Integrations Inc. | 72,035 | 5,284 | |
* | 8x8 Inc. | 227,056 | 5,154 |
* | Sanmina Corp. | 167,193 | 5,150 |
* | Anixter International Inc. | 71,018 | 5,120 |
* | Plexus Corp. | 80,362 | 5,086 |
* | Insight Enterprises Inc. | 86,713 | 4,781 |
16
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Progress Software Corp. | 110,867 | 4,538 | |
* | SolarEdge Technologies | ||
Inc. | 92,094 | 4,416 | |
Kulicke & Soffa | |||
Industries Inc. | 168,353 | 4,342 | |
* | Fabrinet | 89,890 | 4,303 |
Ebix Inc. | 53,695 | 4,277 | |
ManTech International | |||
Corp. Class A | 64,316 | 4,265 | |
* | TTM Technologies Inc. | 227,315 | 4,251 |
* | SPS Commerce Inc. | 42,413 | 4,168 |
TiVo Corp. | 299,642 | 4,090 | |
* | Oclaro Inc. | 417,391 | 3,982 |
* | Knowles Corp. | 219,466 | 3,979 |
* | Cardtronics plc Class A | 112,207 | 3,937 |
* | Virtusa Corp. | 67,217 | 3,916 |
Badger Meter Inc. | 70,950 | 3,899 | |
* | Electronics For Imaging | ||
Inc. | 109,036 | 3,793 | |
* | LivePerson Inc. | 136,064 | 3,660 |
* | Diodes Inc. | 94,334 | 3,577 |
Methode Electronics | |||
Inc. | 89,753 | 3,559 | |
EVERTEC Inc. | 147,453 | 3,546 | |
* | ePlus Inc. | 33,366 | 3,458 |
* | Alarm.com Holdings | ||
Inc. | 61,323 | 3,452 | |
* | MicroStrategy Inc. | ||
Class A | 22,950 | 3,420 | |
* | OSI Systems Inc. | 41,443 | 3,228 |
* | Rambus Inc. | 261,591 | 3,197 |
* | KEMET Corp. | 120,897 | 3,124 |
CSG Systems | |||
International Inc. | 82,080 | 3,066 | |
Benchmark Electronics | |||
Inc. | 115,714 | 2,991 | |
CTS Corp. | 80,477 | 2,974 | |
* | Sykes Enterprises Inc. | 97,045 | 2,935 |
* | MaxLinear Inc. | 151,233 | 2,916 |
* | FARO Technologies Inc. | 41,316 | 2,818 |
* | FormFactor Inc. | 178,185 | 2,753 |
NIC Inc. | 162,449 | 2,729 | |
Shutterstock Inc. | 46,936 | 2,583 | |
* | Nanometrics Inc. | 58,114 | 2,546 |
* | ScanSource Inc. | 62,286 | 2,532 |
* | Perficient Inc. | 85,725 | 2,463 |
MTS Systems Corp. | 43,322 | 2,344 | |
* | Rudolph Technologies | ||
Inc. | 77,972 | 2,168 | |
* | Cray Inc. | 98,756 | 2,143 |
Monotype Imaging | |||
Holdings Inc. | 102,866 | 2,119 |
Comtech | |||
Telecommunications | |||
Corp. | 57,571 | 2,064 | |
* | CalAmp Corp. | 86,948 | 2,043 |
ADTRAN Inc. | 117,121 | 2,014 | |
*,^ | Applied Optoelectronics | ||
Inc. | 47,772 | 1,976 | |
Xperi Corp. | 119,162 | 1,871 | |
Cohu Inc. | 70,133 | 1,850 | |
* | Electro Scientific | ||
Industries Inc. | 83,857 | 1,841 | |
* | Photronics Inc. | 171,143 | 1,831 |
* | XO Group Inc. | 59,471 | 1,788 |
* | Extreme Networks Inc. | 283,145 | 1,775 |
* | CEVA Inc. | 54,377 | 1,664 |
* | Unisys Corp. | 89,157 | 1,658 |
* | Control4 Corp. | 49,472 | 1,603 |
* | Axcelis Technologies | ||
Inc. | 78,043 | 1,576 | |
* | Ichor Holdings Ltd. | 59,375 | 1,540 |
* | OneSpan Inc. | 77,623 | 1,455 |
* | Ultra Clean Holdings | ||
Inc. | 94,713 | 1,445 | |
* | Veeco Instruments Inc. | 119,238 | 1,431 |
* | QuinStreet Inc. | 89,304 | 1,355 |
* | Harmonic Inc. | 208,131 | 1,134 |
Park Electrochemical | |||
Corp. | 46,359 | 991 | |
TTEC Holdings Inc. | 34,595 | 906 | |
^ | Diebold Nixdorf Inc. | 186,006 | 884 |
* | Digi International Inc. | 65,594 | 882 |
Daktronics Inc. | 94,839 | 769 | |
* | DSP Group Inc. | 54,825 | 704 |
Bel Fuse Inc. Class B | 23,818 | 682 | |
* | Agilysys Inc. | 37,587 | 604 |
* | PDF Solutions Inc. | 67,397 | 588 |
* | Liquidity Services Inc. | 62,588 | 451 |
* | Kopin Corp. | 149,913 | 348 |
327,627 | |||
Materials (4.8%) | |||
* | Ingevity Corp. | 102,661 | 10,370 |
Balchem Corp. | 78,413 | 8,695 | |
KapStone Paper and | |||
Packaging Corp. | 215,091 | 7,388 | |
HB Fuller Co. | 123,714 | 7,050 | |
Quaker Chemical Corp. | 32,441 | 5,844 | |
Innospec Inc. | 59,782 | 4,639 | |
Kaiser Aluminum Corp. | 40,820 | 4,473 | |
Stepan Co. | 48,797 | 4,353 | |
Boise Cascade Co. | 94,826 | 4,144 | |
Neenah Inc. | 40,962 | 3,738 | |
* | Kraton Corp. | 77,824 | 3,660 |
* | AK Steel Holding Corp. | 768,264 | 3,411 |
Materion Corp. | 49,393 | 3,151 |
17
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Schweitzer-Mauduit | |||
International Inc. | 74,883 | 3,047 | |
Rayonier Advanced | |||
Materials Inc. | 126,206 | 2,638 | |
* | AdvanSix Inc. | 74,342 | 2,516 |
Innophos Holdings Inc. | 47,671 | 2,084 | |
PH Glatfelter Co. | 106,888 | 2,055 | |
*,^ | US Concrete Inc. | 38,625 | 1,862 |
* | Koppers Holdings Inc. | 51,497 | 1,826 |
* | SunCoke Energy Inc. | 157,872 | 1,762 |
* | Century Aluminum Co. | 121,398 | 1,532 |
Myers Industries Inc. | 65,742 | 1,463 | |
American Vanguard | |||
Corp. | 63,809 | 1,397 | |
Tredegar Corp. | 61,909 | 1,359 | |
* | TimkenSteel Corp. | 95,029 | 1,331 |
Haynes International Inc. | 30,631 | 1,207 | |
* | Clearwater Paper Corp. | 40,042 | 1,163 |
Hawkins Inc. | 23,054 | 952 | |
FutureFuel Corp. | 61,596 | 914 | |
Olympic Steel Inc. | 22,454 | 495 | |
* | LSB Industries Inc. | 49,765 | 434 |
* | Flotek Industries Inc. | 139,210 | 347 |
101,300 | |||
Other (0.0%)2 | |||
*,§ | A Schulman Inc. CVR | 71,146 | 136 |
Real Estate (5.9%) | |||
EastGroup Properties | |||
Inc. | 85,123 | 8,280 | |
PS Business Parks Inc. | 50,713 | 6,614 | |
DiamondRock | |||
Hospitality Co. | 489,006 | 5,848 | |
Acadia Realty Trust | 199,075 | 5,678 | |
Retail Opportunity | |||
Investments Corp. | 274,554 | 5,420 | |
Lexington Realty Trust | 526,738 | 4,920 | |
Chesapeake Lodging | |||
Trust | 147,394 | 4,851 | |
LTC Properties Inc. | 96,664 | 4,490 | |
Agree Realty Corp. | 75,509 | 4,309 | |
Four Corners Property | |||
Trust Inc. | 158,105 | 4,259 | |
Government Properties | |||
Income Trust | 247,310 | 4,182 | |
HFF Inc. Class A | 90,568 | 4,113 | |
American Assets Trust | |||
Inc. | 102,018 | 4,030 | |
National Storage | |||
Affiliates Trust | 137,777 | 3,907 | |
Global Net Lease Inc. | 173,826 | 3,770 | |
CareTrust REIT Inc. | 197,512 | 3,644 | |
Kite Realty Group Trust | 204,621 | 3,577 |
Washington Prime | |||
Group Inc. | 453,970 | 3,514 | |
Summit Hotel | |||
Properties Inc. | 255,821 | 3,512 | |
Easterly Government | |||
Properties Inc. | 146,783 | 2,972 | |
Ramco-Gershenson | |||
Properties Trust | 195,819 | 2,734 | |
Chatham Lodging Trust | 112,418 | 2,411 | |
Universal Health Realty | |||
Income Trust | 30,885 | 2,355 | |
Getty Realty Corp. | 80,349 | 2,339 | |
Franklin Street | |||
Properties Corp. | 261,687 | 2,243 | |
Independence Realty | |||
Trust Inc. | 212,536 | 2,195 | |
Hersha Hospitality | |||
Trust Class A | 90,501 | 2,136 | |
RE/MAX Holdings Inc. | |||
Class A | 43,221 | 2,129 | |
CBL & Associates | |||
Properties Inc. | 421,663 | 1,881 | |
Armada Hoffler | |||
Properties Inc. | 119,264 | 1,859 | |
iStar Inc. | 165,605 | 1,853 | |
Saul Centers Inc. | 29,793 | 1,788 | |
Pennsylvania REIT | 171,020 | 1,744 | |
Urstadt Biddle | |||
Properties Inc. Class A | 72,542 | 1,650 | |
Whitestone REIT | 97,766 | 1,334 | |
Community Healthcare | |||
Trust Inc. | 42,041 | 1,305 | |
Cedar Realty Trust Inc. | 190,665 | 852 | |
124,698 | |||
Telecommunication Services (1.2%) | |||
* | Vonage Holdings Corp. | 527,859 | 7,485 |
Cogent Communications | |||
Holdings Inc. | 101,604 | 5,558 | |
* | Iridium Communications | ||
Inc. | 204,720 | 4,146 | |
ATN International Inc. | 26,476 | 1,939 | |
Consolidated | |||
Communications | |||
Holdings Inc. | 158,405 | 1,871 | |
* | Cincinnati Bell Inc. | 121,944 | 1,585 |
^ | Frontier Communications | ||
Corp. | 193,373 | 1,005 | |
Spok Holdings Inc. | 48,940 | 751 | |
24,340 | |||
Utilities (2.1%) | |||
Spire Inc. | 122,758 | 9,152 | |
Avista Corp. | 161,464 | 8,285 | |
South Jersey Industries | |||
Inc. | 208,331 | 6,912 |
18
S&P Small-Cap 600 Index Fund | ||
Market | ||
Value• | ||
Shares | ($000) | |
El Paso Electric Co. | 99,078 | 6,073 |
American States Water | ||
Co. | 89,726 | 5,422 |
California Water | ||
Service Group | 117,373 | 4,830 |
Northwest Natural Gas | ||
Co. | 70,246 | 4,559 |
45,233 | ||
Total Common Stocks | ||
(Cost $1,698,795) | 2,119,922 | |
Temporary Cash Investments (0.7%)1 | ||
Money Market Fund (0.7%) | ||
3,4 Vanguard Market Liquidity | ||
Fund, 2.153% | 155,150 | 15,518 |
Face | ||
Amount | ||
($000) | ||
U. S. Government and Agency Obligations (0.0%) | ||
5 United States Treasury | ||
Bill, 2.034%, 11/15/18 | 300 | 299 |
Total Temporary Cash Investments | ||
(Cost $15,814) | 15,817 | |
Total Investments (100.4%) | ||
(Cost $1,714,609) | 2,135,739 | |
Amount | ||
($000) | ||
Other Assets and Liabilities (-0.4%) | ||
Other Assets | ||
Receivables for Investment | ||
Securities Sold | 1,089 | |
Investment in Vanguard | 102 | |
Receivables for Accrued Income | 1,212 | |
Receivables for Capital Shares Issued | 4,911 | |
Variable Margin Receivable— | ||
Futures Contracts | 13 | |
Other Assets | 445 | |
Total Other Assets | 7,772 | |
Liabilities | ||
Payables for Investment | ||
Securities Purchased | (1,944) | |
Collateral for Securities on Loan | (11,957) | |
Payables for Capital Shares Redeemed | (3,051) | |
Payables to Vanguard | (249) | |
Total Liabilities | (17,201) | |
Net Assets (100%) | 2,126,310 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,708,179 |
Undistributed Net Investment Income | 13,441 |
Accumulated Net Realized Losses | (16,554) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 421,130 |
Futures Contracts | 114 |
Net Assets | 2,126,310 |
ETF Shares—Net Assets | |
Applicable to 6,725,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,107,410 |
Net Asset Value Per Share— | |
ETF Shares | $164.67 |
Institutional Shares—Net Assets | |
Applicable to 3,075,826 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,018,900 |
Net Asset Value Per Share— | |
Institutional Shares | $331.26 |
• 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 $11,338,000.
§ Security value determined using significant unobservable
inputs.
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 99.9% and 0.5%, 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 $11,957,000 of collateral received for securities
on loan.
5 Securities with a value of $299,000 have been segregated
as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
19
S&P Small-Cap 600 Index Fund
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2018 | 46 | 4,003 | 114 |
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Small-Cap 600 Index Fund
Statement of Operations
Year Ended | |
August31,2018 | |
($000) | |
Investment Income | |
Income | |
Dividends | 22,567 |
Interest1 | 73 |
Securities Lending—Net | 912 |
Total Income | 23,552 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 255 |
Management and Administrative—ETF Shares | 942 |
Management and Administrative—Institutional Shares | 471 |
Marketing and Distribution—ETF Shares | 50 |
Marketing and Distribution—Institutional Shares | 26 |
Custodian Fees | 76 |
Auditing Fees | 33 |
Shareholders’ Reports and Proxy—ETF Shares | 67 |
Shareholders’ Reports and Proxy—Institutional Shares | 18 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,939 |
Net Investment Income | 21,613 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 133,770 |
Futures Contracts | 25 |
Realized Net Gain (Loss) | 133,795 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 321,583 |
Futures Contracts | 121 |
Change in Unrealized Appreciation (Depreciation) | 321,704 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 477,112 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $66,000, ($1,000), and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $134,045,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
21
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 21,613 | 13,778 |
Realized Net Gain (Loss) | 133,795 | 29,661 |
Change in Unrealized Appreciation (Depreciation) | 321,704 | 57,649 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 477,112 | 101,088 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (8,287) | (4,355) |
Institutional Shares | (9,557) | (4,245) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (17,844) | (8,600) |
Capital Share Transactions | ||
ETF Shares | 198,555 | 293,444 |
Institutional Shares | 113,603 | 295,662 |
Net Increase (Decrease) from Capital Share Transactions | 312,158 | 589,106 |
Total Increase (Decrease) | 771,426 | 681,594 |
Net Assets | ||
Beginning of Period | 1,354,884 | 673,290 |
End of Period1 | 2,126,310 | 1,354,884 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $13,441,000 and $9,672,000.
See accompanying Notes, which are an integral part of the Financial Statements.
22
S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $125.83 | $112.23 | $100.42 | $99.81 | $84.98 |
Investment Operations | |||||
Net Investment Income | 1.7841 | 1.5731 | 1.3751 | 1.204 | .976 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 38.598 | 13.212 | 11.683 | . 497 | 14.697 |
Total from Investment Operations | 40.382 | 14.785 | 13.058 | 1.701 | 15.673 |
Distributions | |||||
Dividends from Net Investment Income | (1.542) | (1.185) | (1.248) | (1.091) | (.843) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.542) | (1.185) | (1.248) | (1.091) | (.843) |
Net Asset Value, End of Period | $164.67 | $125.83 | $112.23 | $100.42 | $99.81 |
Total Return | 32.32% | 13.18% | 13.17% | 1.69% | 18.47% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,107 | $683 | $342 | $206 | $165 |
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 | 1.23% | 1.27% | 1.36% | 1.27% | 1.10% |
Portfolio Turnover Rate2 | 13% | 22% | 15% | 11% | 16% |
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
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $252.98 | $225.56 | $201.83 | $200.56 | $170.71 |
Investment Operations | |||||
Net Investment Income | 3.7691 | 3.3031 | 2.9251 | 2.545 | 2.049 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 77.632 | 26.605 | 23.454 | 1.019 | 29.565 |
Total from Investment Operations | 81.401 | 29.908 | 26.379 | 3.564 | 31.614 |
Distributions | |||||
Dividends from Net Investment Income | (3.121) | (2.488) | (2.649) | (2.294) | (1.764) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.121) | (2.488) | (2.649) | (2.294) | (1.764) |
Net Asset Value, End of Period | $331.26 | $252.98 | $225.56 | $201.83 | $200.56 |
Total Return | 32.39% | 13.26% | 13.22% | 1.77% | 18.57% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,019 | $672 | $331 | $238 | $179 |
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 | 1.30% | 1.34% | 1.43% | 1.34% | 1.17% |
Portfolio Turnover Rate2 | 13% | 22% | 15% | 11% | 16% |
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.
24
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 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, 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 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. Counter-party 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. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2018, 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 the notional amounts at each quarter-end during the period.
25
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, 2015–2018), 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. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market 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 event 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, 2018, 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.
26
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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $102,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 2,119,786 | — | 136 |
Temporary Cash Investments | 15,518 | 299 | — |
Futures Contracts—Assets1 | 13 | — | — |
Total | 2,135,317 | 299 | 136 |
1 Represents variation margin on the last day of the reporting period. |
27
S&P Small-Cap 600 Index Fund
D. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, the following permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
Amount | |
($000) | |
Paid-in capital | 134,045 |
Undistributed (Overdistributed) net investment income | — |
Accumulated net realized gains (losses) | (134,045) |
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax components of accumulated net earnings (losses) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed ordinary income | 13,582 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (16,451) |
Net unrealized gains (losses) | 421,130 |
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 1,714,609 |
Gross unrealized appreciation | 494,726 |
Gross unrealized depreciation | (73,596) |
Net unrealized appreciation (depreciation) | 421,130 |
E. During the year ended August 31, 2018, the fund purchased $836,847,000 of investment securities and sold $525,165,000 of investment securities, other than temporary cash investments. Purchases and sales include $471,261,000 and $309,432,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
28
S&P Small-Cap 600 Index Fund
F. Capital share transactions for each class of shares were: | ||||
Year Ended August 31, | ||||
2018 | 2017 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 542,381 | 3,700 | 407,916 | 3,300 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (343,826) | (2,400) | (114,472) | (925) |
Net Increase (Decrease)—ETF Shares | 198,555 | 1,300 | 293,444 | 2,375 |
Institutional Shares | ||||
Issued | 243,583 | 861 | 387,035 | 1,558 |
Issued in Lieu of Cash Distributions | 7,621 | 27 | 2,776 | 11 |
Redeemed | (137,601) | (469) | (94,149) | (379) |
Net Increase (Decrease)—Institutional Shares | 113,603 | 419 | 295,662 | 1,190 |
G. Management has determined that no events or transactions occurred subsequent to August 31, 2018, that would require recognition or disclosure in these financial statements.
29
S&P Small-Cap 600 Value Index Fund
Fund Profile
As of August 31, 2018
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VIOV | VSMVX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.59% | 1.71% |
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.59 |
Beta | 1.00 | 1.11 |
Portfolio Characteristics | |||
S&P | DJ | ||
SmallCap | U.S. Total | ||
600 Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 460 | 457 | 3,745 |
Median Market Cap | $1.7B | $1.7B | $71.0B |
Price/Earnings Ratio | 18.9x | 18.9x | 21.0x |
Price/Book Ratio | 1.8x | 1.8x | 3.2x |
Return on Equity | 7.8% | 7.8% | 15.0% |
Earnings Growth | |||
Rate | 3.5% | 3.5% | 8.4% |
Dividend Yield | 1.7% | 1.7% | 1.7% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 34% | — | — |
Short-Term Reserves | 0.1% | — | — |
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) | ||
CACI International Inc. | IT Consulting & | |
Other Services | 1.1% | |
Spire Inc. | Gas Utilities | 0.8 |
Wolverine World Wide | ||
Inc. | Footwear | 0.8 |
PDC Energy Inc. | Oil & Gas Exploration | |
& Production | 0.8 | |
Endo International plc | Pharmaceuticals | 0.8 |
SkyWest Inc. | Airlines | 0.8 |
Community Bank | ||
System Inc. | Regional Banks | 0.8 |
American Equity | ||
Investment Life Holding | Life & Health | |
Co. | Insurance | 0.8 |
KapStone Paper and | ||
Packaging Corp. | Paper Products | 0.7 |
Applied Industrial | Trading Companies & | |
Technologies Inc. | Distributors | 0.7 |
Top Ten | 8.1% |
The holdings listed exclude any temporary cash investments and
equity index products.
1 The expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, the expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
30
S&P Small-Cap 600 Value Index Fund
Sector Diversification (% of equity exposure)
S&P | DJ | ||
SmallCap | U.S. Total | ||
600 Value | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary | 16.3% | 16.4% | 13.1% |
Consumer Staples | 2.7 | 2.7 | 6.0 |
Energy | 7.1 | 7.1 | 5.6 |
Financials | 20.8 | 20.8 | 14.2 |
Health Care | 5.9 | 5.9 | 14.3 |
Industrials | 17.6 | 17.6 | 10.3 |
Information Technology | 14.2 | 14.1 | 25.3 |
Materials | 5.8 | 5.9 | 2.9 |
Real Estate | 6.0 | 6.0 | 3.7 |
Telecommunication | |||
Services | 1.1 | 1.0 | 1.8 |
Utilities | 2.5 | 2.5 | 2.8 |
Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
31
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, 2018
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
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 | 27.84% | 14.05% | 16.16% | $33,043 |
S&P Small-Cap 600 Value Index | ||||
Fund*ETF Shares Market Price | 27.79 | 14.04 | 16.15 | 33,037 |
S&P SmallCap 600 Value Index | 28.03 | 14.23 | 16.35 | 33,486 |
Small-Cap Value Funds Average | 19.05 | 10.46 | 12.91 | 26,352 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.26 | 14.21 | 15.39 | 31,344 |
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.
See Financial Highlights for dividend and capital gains information.
32
S&P Small-Cap 600 Value Index Fund
Average Annual Total Returns | |||
Periods Ended August 31, 2018 | |||
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 | 28.01% | 13.43% | $8,051,597 |
S&P SmallCap 600 Value Index | 28.03 | 13.44 | 8,053,571 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 20.26 | 11.88 | 7,643,624 |
"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.
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2018 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Value Index Fund ETF Shares | |||
Market Price | 27.79% | 92.88% | 230.37% |
S&P Small-Cap 600 Value Index Fund ETF Shares | |||
Net Asset Value | 27.84 | 92.95 | 230.43 |
S&P SmallCap 600 Value Index | 28.03 | 94.46 | 234.86 |
"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, 2018
33
S&P Small-Cap 600 Value Index Fund
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 18.48% | 13.43% | 15.70% | |
Net Asset Value | 18.32 | 13.40 | 15.69 | |
Institutional Shares | 11/19/2014 | 18.47 | — | 12.32 |
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.
34
S&P Small-Cap 600 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2018
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 (99.5%)1 | |||
Consumer Discretionary (16.3%) | |||
Wolverine World Wide | |||
Inc. | 94,030 | 3,684 | |
DSW Inc. Class A | 71,939 | 2,393 | |
Monro Inc. | 32,617 | 2,314 | |
* | Cooper-Standard | ||
Holdings Inc. | 16,148 | 2,235 | |
* | G-III Apparel Group Ltd. | 41,473 | 1,886 |
* | American Axle & | ||
Manufacturing | |||
Holdings Inc. | 98,756 | 1,749 | |
Caleres Inc. | 42,900 | 1,737 | |
Office Depot Inc. | 510,490 | 1,710 | |
Core-Mark Holding Co. | |||
Inc. | 45,924 | 1,643 | |
Oxford Industries Inc. | 16,824 | 1,566 | |
Group 1 Automotive Inc. | 19,556 | 1,507 | |
Abercrombie & Fitch Co. | 67,423 | 1,461 | |
Cooper Tire & Rubber Co. | 50,253 | 1,450 | |
Guess? Inc. | 57,943 | 1,420 | |
* | Belmond Ltd. Class A | 83,593 | 1,400 |
* | Asbury Automotive | ||
Group Inc. | 18,252 | 1,360 | |
GameStop Corp. | |||
Class A | 101,250 | 1,344 | |
Steven Madden Ltd. | 22,489 | 1,308 | |
Chico’s FAS Inc. | 128,493 | 1,172 | |
* | Dorman Products Inc. | 14,463 | 1,171 |
Gannett Co. Inc. | 112,329 | 1,155 | |
Scholastic Corp. | 27,289 | 1,147 | |
Strategic Education Inc. | 7,678 | 1,065 | |
* | Vista Outdoor Inc. | 57,214 | 1,057 |
Standard Motor | |||
Products Inc. | 20,135 | 1,022 | |
* | Gentherm Inc. | 20,508 | 1,009 |
Lithia Motors Inc. | |||
Class A | 11,674 | 1,009 | |
* | Genesco Inc. | 19,722 | 1,003 |
* | Shutterfly Inc. | 12,860 | 999 |
* | Fossil Group Inc. | 43,591 | 988 |
New Media Investment | |||
Group Inc. | 59,958 | 953 | |
* | Express Inc. | 74,597 | 837 |
Marcus Corp. | 19,389 | 787 | |
* | Fiesta Restaurant | ||
Group Inc. | 27,157 | 781 | |
* | Rent-A-Center Inc. | 52,903 | 780 |
* | Ascena Retail Group Inc. | 169,049 | 774 |
* | Meritage Homes Corp. | 17,791 | 768 |
La-Z-Boy Inc. | 23,006 | 765 | |
Dine Brands Global Inc. | 9,000 | 751 | |
* | Regis Corp. | 34,508 | 738 |
* | M/I Homes Inc. | 28,300 | 733 |
Buckle Inc. | 28,169 | 725 | |
Children’s Place Inc. | 5,108 | 719 | |
Callaway Golf Co. | 30,807 | 703 | |
MDC Holdings Inc. | 21,401 | 678 | |
Movado Group Inc. | 15,586 | 664 | |
Sturm Ruger & Co. Inc. | 10,018 | 656 | |
Sonic Corp. | 17,284 | 620 | |
* | Universal Electronics Inc. | 13,997 | 605 |
BJ’s Restaurants Inc. | 7,872 | 596 | |
* | American Public | ||
Education Inc. | 16,346 | 568 | |
Tailored Brands Inc. | 24,128 | 568 | |
* | Zumiez Inc. | 18,127 | 565 |
Ethan Allen Interiors Inc. | 24,776 | 551 | |
*,^ | JC Penney Co. Inc. | 311,338 | 551 |
* | Unifi Inc. | 16,880 | 537 |
* | Red Robin Gourmet | ||
Burgers Inc. | 12,860 | 531 | |
Sonic Automotive Inc. | |||
Class A | 23,973 | 515 | |
Superior Industries | |||
International Inc. | 23,044 | 500 | |
* | MarineMax Inc. | 22,020 | 495 |
Cato Corp. Class A | 22,817 | 489 | |
* | Chuy’s Holdings Inc. | 16,744 | 485 |
35
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Crocs Inc. | 22,965 | 474 |
Shoe Carnival Inc. | 10,660 | 474 | |
Haverty Furniture Cos. | |||
Inc. | 19,271 | 426 | |
* | Hibbett Sports Inc. | 18,805 | 386 |
* | Career Education Corp. | 23,541 | 375 |
EW Scripps Co. Class A | 25,157 | 369 | |
* | Perry Ellis International | ||
Inc. | 12,552 | 345 | |
* | Vitamin Shoppe Inc. | 24,067 | 308 |
Barnes & Noble Inc. | 56,304 | 296 | |
* | Vera Bradley Inc. | 18,692 | 274 |
Tile Shop Holdings Inc. | 34,338 | 263 | |
* | Motorcar Parts of | ||
America Inc. | 9,830 | 261 | |
* | El Pollo Loco Holdings | ||
Inc. | 21,417 | 255 | |
* | William Lyon Homes | ||
Class A | 12,715 | 249 | |
* | Nautilus Inc. | 16,309 | 239 |
* | Barnes & Noble | ||
Education Inc. | 37,262 | 223 | |
* | Francesca’s Holdings | ||
Corp. | 34,364 | 216 | |
* | Lumber Liquidators | ||
Holdings Inc. | 11,875 | 207 | |
* | Kirkland’s Inc. | 15,600 | 142 |
Big 5 Sporting Goods | |||
Corp. | 19,970 | 114 | |
* | FTD Cos. Inc. | 16,981 | 61 |
71,909 | |||
Consumer Staples (2.7%) | |||
* | Darling Ingredients Inc. | 80,135 | 1,585 |
Universal Corp. | 24,731 | 1,479 | |
* | SUPERVALU Inc. | 38,183 | 1,233 |
Andersons Inc. | 26,362 | 1,077 | |
WD-40 Co. | 5,921 | 1,051 | |
* | Avon Products Inc. | 437,627 | 875 |
Cal-Maine Foods Inc. | 17,114 | 846 | |
J&J Snack Foods Corp. | 5,477 | 797 | |
B&G Foods Inc. | 24,412 | 780 | |
SpartanNash Co. | 35,785 | 764 | |
Dean Foods Co. | 90,495 | 689 | |
John B Sanfilippo & | |||
Son Inc. | 8,658 | 633 | |
* | Seneca Foods Corp. | ||
Class A | 6,729 | 217 | |
12,026 | |||
Energy (7.1%) | |||
* | PDC Energy Inc. | 65,642 | 3,459 |
* | SRC Energy Inc. | 240,240 | 2,237 |
* | Denbury Resources Inc. | 398,223 | 2,218 |
* | Carrizo Oil & Gas Inc. | 86,313 | 2,090 |
* | Oil States International | ||
Inc. | 59,630 | 2,018 |
US Silica Holdings Inc. | 77,385 | 1,640 | |
Archrock Inc. | 128,447 | 1,625 | |
* | Noble Corp. plc | 245,298 | 1,496 |
* | Unit Corp. | 53,744 | 1,413 |
* | Helix Energy Solutions | ||
Group Inc. | 138,385 | 1,295 | |
* | C&J Energy Services Inc. | 50,634 | 1,061 |
* | Newpark Resources | ||
Inc. | 88,894 | 933 | |
* | Exterran Corp. | 32,032 | 877 |
* | Renewable Energy | ||
Group Inc. | 32,502 | 876 | |
* | SEACOR Holdings Inc. | 17,006 | 875 |
Green Plains Inc. | 38,536 | 684 | |
* | Bonanza Creek Energy | ||
Inc. | 20,316 | 630 | |
* | TETRA Technologies | ||
Inc. | 124,337 | 571 | |
* | Matrix Service Co. | 26,550 | 555 |
* | HighPoint Resources | ||
Corp. | 98,671 | 544 | |
* | Par Pacific Holdings Inc. | 24,983 | 507 |
* | CONSOL Energy Inc. | 11,241 | 482 |
* | Penn Virginia Corp. | 5,365 | 477 |
* | REX American | ||
Resources Corp. | 5,616 | 453 | |
* | Ring Energy Inc. | 36,063 | 426 |
* | Bristow Group Inc. | 32,017 | 351 |
* | ProPetro Holding Corp. | 20,612 | 314 |
* | Pioneer Energy | ||
Services Corp. | 77,386 | 248 | |
* | Era Group Inc. | 20,389 | 243 |
* | Geospace | ||
Technologies Corp. | 13,495 | 191 | |
* | Cloud Peak Energy Inc. | 75,075 | 177 |
* | CARBO Ceramics Inc. | 15,182 | 131 |
Gulf Island Fabrication | |||
Inc. | 13,561 | 128 | |
31,225 | |||
Financials (20.7%) | |||
Community Bank | |||
System Inc. | 50,570 | 3,344 | |
American Equity | |||
Investment Life | |||
Holding Co. | 89,509 | 3,320 | |
First Midwest Bancorp | |||
Inc. | 102,415 | 2,784 | |
Old National Bancorp | 132,866 | 2,697 | |
Great Western Bancorp | |||
Inc. | 58,474 | 2,546 | |
Simmons First National | |||
Corp. Class A | 77,803 | 2,459 | |
Hope Bancorp Inc. | 127,944 | 2,240 | |
Apollo Commercial Real | |||
Estate Finance Inc. | 111,180 | 2,160 |
36
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Horace Mann Educators | |||
Corp. | 40,608 | 1,880 | |
Northwest Bancshares | |||
Inc. | 101,838 | 1,855 | |
Invesco Mortgage | |||
Capital Inc. | 110,941 | 1,801 | |
NBT Bancorp Inc. | 43,340 | 1,754 | |
RLI Corp. | 22,058 | 1,698 | |
* | Blucora Inc. | 46,649 | 1,689 |
First Financial | |||
Bankshares Inc. | 27,529 | 1,663 | |
First Financial Bancorp | 52,457 | 1,647 | |
* | PRA Group Inc. | 44,956 | 1,643 |
Waddell & Reed | |||
Financial Inc. Class A | 81,538 | 1,632 | |
* | First BanCorp | 180,585 | 1,580 |
Navigators Group Inc. | 22,454 | 1,572 | |
Columbia Banking | |||
System Inc. | 36,378 | 1,537 | |
Provident Financial | |||
Services Inc. | 60,555 | 1,528 | |
Glacier Bancorp Inc. | 33,173 | 1,515 | |
Safety Insurance Group | |||
Inc. | 15,180 | 1,468 | |
Redwood Trust Inc. | 82,266 | 1,397 | |
ProAssurance Corp. | 28,162 | 1,362 | |
Selective Insurance | |||
Group Inc. | 21,018 | 1,349 | |
Independent Bank Corp. | 13,427 | 1,223 | |
Boston Private Financial | |||
Holdings Inc. | 83,742 | 1,210 | |
PennyMac Mortgage | |||
Investment Trust | 60,471 | 1,208 | |
Banner Corp. | 18,326 | 1,179 | |
CVB Financial Corp. | 46,721 | 1,124 | |
* | Enova International Inc. | 33,696 | 1,119 |
Berkshire Hills Bancorp | |||
Inc. | 25,976 | 1,097 | |
Stewart Information | |||
Services Corp. | 23,612 | 1,057 | |
United Community | |||
Banks Inc. | 34,476 | 1,046 | |
United Fire Group Inc. | 21,063 | 1,043 | |
ARMOUR Residential | |||
REIT Inc. | 41,719 | 981 | |
Southside Bancshares | |||
Inc. | 27,413 | 976 | |
Westamerica | |||
Bancorporation | 15,034 | 963 | |
Virtus Investment | |||
Partners Inc. | 7,148 | 922 | |
^ | New York Mortgage | ||
Trust Inc. | 135,873 | 870 | |
* | INTL. FCStone Inc. | 15,590 | 869 |
S&T Bancorp Inc. | 18,004 | 840 | |
Brookline Bancorp Inc. | 45,529 | 826 |
Employers Holdings Inc. | 17,513 | 803 | |
* | HomeStreet Inc. | 26,886 | 792 |
Ameris Bancorp | 15,830 | 786 | |
Capstead Mortgage Corp. | 91,940 | 772 | |
AMERISAFE Inc. | 11,827 | 755 | |
* | Ambac Financial Group | ||
Inc. | 35,026 | 740 | |
Investment Technology | |||
Group Inc. | 32,698 | 715 | |
* | World Acceptance Corp. | 6,026 | 715 |
OFG Bancorp | 43,538 | 705 | |
* | Donnelley Financial | ||
Solutions Inc. | 33,593 | 702 | |
First Commonwealth | |||
Financial Corp. | 40,137 | 672 | |
City Holding Co. | 7,946 | 644 | |
Oritani Financial Corp. | 39,713 | 643 | |
Tompkins Financial Corp. | 6,857 | 603 | |
Greenhill & Co. Inc. | 21,764 | 599 | |
Piper Jaffray Cos. | 7,503 | 578 | |
James River Group | |||
Holdings Ltd. | 13,898 | 569 | |
* | EZCORP Inc. Class A | 50,973 | 566 |
Fidelity Southern Corp. | 21,947 | 533 | |
Universal Insurance | |||
Holdings Inc. | 11,293 | 504 | |
Opus Bank | 17,090 | 484 | |
TrustCo Bank Corp. NY | 51,520 | 477 | |
* | Triumph Bancorp Inc. | 10,773 | 457 |
Granite Point Mortgage | |||
Trust Inc. | 23,191 | 444 | |
WisdomTree | |||
Investments Inc. | 53,046 | 436 | |
United Insurance | |||
Holdings Corp. | 20,291 | 423 | |
* | Encore Capital Group | ||
Inc. | 10,399 | 403 | |
Banc of California Inc. | 19,384 | 391 | |
Hanmi Financial Corp. | 14,812 | 387 | |
* | Customers Bancorp Inc. | 14,967 | 370 |
* | Seacoast Banking Corp. | ||
of Florida | 11,607 | 367 | |
Heritage Financial Corp. | 10,087 | 366 | |
* | Franklin Financial | ||
Network Inc. | 8,978 | 347 | |
Central Pacific Financial | |||
Corp. | 11,864 | 336 | |
Dime Community | |||
Bancshares Inc. | 17,691 | 321 | |
HCI Group Inc. | 7,492 | 303 | |
Northfield Bancorp Inc. | 18,005 | 293 | |
Maiden Holdings Ltd. | 67,543 | 257 | |
* | eHealth Inc. | 7,780 | 227 |
Green Bancorp Inc. | 7,856 | 189 | |
91,347 |
37
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Health Care (5.8%) | |||
* | Endo International plc | 199,900 | 3,428 |
* | Magellan Health Inc. | 24,438 | 1,796 |
* | HMS Holdings Corp. | 48,821 | 1,565 |
* | Acorda Therapeutics Inc. | 46,806 | 1,348 |
* | Medicines Co. | 33,487 | 1,326 |
Owens & Minor Inc. | 61,476 | 1,044 | |
* | REGENXBIO Inc. | 14,749 | 1,039 |
CONMED Corp. | 12,881 | 1,036 | |
* | Diplomat Pharmacy Inc. | 47,954 | 991 |
* | Select Medical Holdings | ||
Corp. | 45,875 | 908 | |
Ensign Group Inc. | 21,809 | 852 | |
* | AMAG Pharmaceuticals | ||
Inc. | 33,995 | 830 | |
* | AngioDynamics Inc. | 36,628 | 821 |
* | Cambrex Corp. | 12,069 | 814 |
* | Spectrum | ||
Pharmaceuticals Inc. | 31,526 | 679 | |
* | CryoLife Inc. | 17,991 | 624 |
* | Natus Medical Inc. | 15,894 | 593 |
US Physical Therapy Inc. | 4,418 | 553 | |
* | Varex Imaging Corp. | 17,266 | 542 |
Luminex Corp. | 18,797 | 530 | |
Invacare Corp. | 32,783 | 498 | |
* | Community Health | ||
Systems Inc. | 115,191 | 447 | |
* | Tactile Systems | ||
Technology Inc. | 6,302 | 427 | |
HealthStream Inc. | 13,027 | 413 | |
* | Progenics | ||
Pharmaceuticals Inc. | 50,993 | 399 | |
Meridian Bioscience Inc. | 24,664 | 387 | |
* | Cross Country | ||
Healthcare Inc. | 36,025 | 361 | |
* | Amphastar | ||
Pharmaceuticals Inc. | 17,751 | 337 | |
* | Anika Therapeutics Inc. | 6,268 | 260 |
* | Cytokinetics Inc. | 30,273 | 239 |
* | Assertio Therapeutics Inc. | 35,902 | 229 |
Computer Programs & | |||
Systems Inc. | 6,291 | 172 | |
* | Quorum Health Corp. | 27,967 | 127 |
Aceto Corp. | 30,996 | 103 | |
*,^ | Lannett Co. Inc. | 11,143 | 60 |
* | Haemonetics Corp. | 334 | 37 |
25,815 | |||
Industrials (17.5%) | |||
SkyWest Inc. | 51,709 | 3,377 | |
Applied Industrial | |||
Technologies Inc. | 38,407 | 2,959 | |
* | FTI Consulting Inc. | 37,470 | 2,856 |
* | Chart Industries Inc. | 30,738 | 2,322 |
Hawaiian Holdings Inc. | 50,413 | 2,092 | |
ABM Industries Inc. | 65,261 | 2,070 |
* | SPX FLOW Inc. | 42,232 | 2,025 |
Mueller Industries Inc. | 57,191 | 1,828 | |
Kaman Corp. | 27,728 | 1,808 | |
* | Hub Group Inc. Class A | 33,466 | 1,769 |
Tetra Tech Inc. | 24,866 | 1,736 | |
Matthews International | |||
Corp. Class A | 31,918 | 1,657 | |
Greenbrier Cos. Inc. | 28,108 | 1,630 | |
Matson Inc. | 42,383 | 1,583 | |
* | Atlas Air Worldwide | ||
Holdings Inc. | 25,388 | 1,546 | |
Hillenbrand Inc. | 29,808 | 1,525 | |
AAR Corp. | 32,008 | 1,494 | |
UniFirst Corp. | 7,971 | 1,476 | |
* | SPX Corp. | 42,690 | 1,451 |
* | Gibraltar Industries Inc. | 31,568 | 1,433 |
AZZ Inc. | 25,872 | 1,391 | |
Moog Inc. Class A | 17,097 | 1,349 | |
Watts Water | |||
Technologies Inc. | |||
Class A | 16,035 | 1,322 | |
ArcBest Corp. | 25,346 | 1,219 | |
* | TrueBlue Inc. | 40,328 | 1,182 |
Actuant Corp. Class A | 37,444 | 1,103 | |
Universal Forest | |||
Products Inc. | 29,374 | 1,100 | |
* | Navigant Consulting Inc. | 44,961 | 1,074 |
Brady Corp. Class A | 26,366 | 1,067 | |
Encore Wire Corp. | 20,741 | 1,042 | |
Triumph Group Inc. | 49,510 | 1,030 | |
Cubic Corp. | 12,723 | 963 | |
Astec Industries Inc. | 19,059 | 927 | |
Franklin Electric Co. Inc. | 18,742 | 916 | |
CIRCOR International Inc. | 19,765 | 897 | |
* | Echo Global Logistics Inc. | 26,546 | 881 |
Briggs & Stratton Corp. | 42,289 | 853 | |
Heidrick & Struggles | |||
International Inc. | 18,839 | 833 | |
Mobile Mini Inc. | 19,106 | 820 | |
Tennant Co. | 10,569 | 809 | |
* | Aegion Corp. Class A | 32,095 | 801 |
Kelly Services Inc. | |||
Class A | 30,458 | 768 | |
Federal Signal Corp. | 28,499 | 742 | |
* | DXP Enterprises Inc. | 15,649 | 718 |
Allegiant Travel Co. | |||
Class A | 5,113 | 697 | |
Insteel Industries Inc. | 18,054 | 692 | |
*,^ | Team Inc. | 29,707 | 692 |
Standex International Corp. | 6,223 | 671 | |
National Presto | |||
Industries Inc. | 4,972 | 659 | |
ESCO Technologies Inc. | 9,492 | 642 | |
* | Saia Inc. | 7,871 | 624 |
Apogee Enterprises Inc. | 12,576 | 619 |
38
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Heartland Express Inc. | 30,067 | 615 | |
AAON Inc. | 15,170 | 613 | |
* | Engility Holdings Inc. | 17,572 | 610 |
US Ecology Inc. | 8,255 | 601 | |
Viad Corp. | 9,722 | 599 | |
* | MYR Group Inc. | 16,341 | 568 |
Lindsay Corp. | 5,643 | 540 | |
Essendant Inc. | 37,305 | 538 | |
* | Veritiv Corp. | 11,141 | 532 |
Wabash National Corp. | 27,604 | 503 | |
Resources Connection Inc. | 29,303 | 485 | |
Multi-Color Corp. | 7,578 | 468 | |
* | Lydall Inc. | 9,800 | 419 |
LSC Communications Inc. | 33,076 | 405 | |
Titan International Inc. | 49,206 | 368 | |
Marten Transport Ltd. | 16,092 | 355 | |
Powell Industries Inc. | 8,631 | 338 | |
Griffon Corp. | 17,154 | 313 | |
RR Donnelley & Sons Co. | 48,108 | 243 | |
* | Orion Group Holdings Inc. | 28,073 | 242 |
Quanex Building | |||
Products Corp. | 13,579 | 223 | |
Forrester Research Inc. | 3,838 | 189 | |
77,507 | |||
Information Technology (14.2%) | |||
* | CACI International Inc. | ||
Class A | 24,523 | 4,782 | |
* | Finisar Corp. | 113,889 | 2,323 |
Travelport Worldwide | |||
Ltd. | 125,067 | 2,323 | |
*,^ | 3D Systems Corp. | 113,116 | 2,302 |
* | NETGEAR Inc. | 31,321 | 2,219 |
* | Sanmina Corp. | 68,127 | 2,098 |
* | Anixter International Inc. | 28,882 | 2,082 |
* | Plexus Corp. | 32,765 | 2,074 |
* | Insight Enterprises Inc. | 35,185 | 1,940 |
* | Fabrinet | 36,670 | 1,755 |
ManTech International | |||
Corp.Class A | 26,178 | 1,736 | |
TiVo Corp. | 122,206 | 1,668 | |
* | Knowles Corp. | 89,423 | 1,621 |
* | Cardtronics plc Class A | 45,691 | 1,603 |
* | Electronics For Imaging | ||
Inc. | 44,453 | 1,547 | |
* | Diodes Inc. | 38,435 | 1,457 |
* | Semtech Corp. | 24,350 | 1,455 |
* | Itron Inc. | 20,926 | 1,389 |
Benchmark Electronics | |||
Inc. | 47,215 | 1,221 | |
* | Sykes Enterprises Inc. | 39,597 | 1,197 |
* | ScanSource Inc. | 25,450 | 1,035 |
* | Perficient Inc. | 34,687 | 997 |
* | 8x8 Inc. | 42,365 | 962 |
MTS Systems Corp. | 17,748 | 960 | |
* | Viavi Solutions Inc. | 85,617 | 959 |
EVERTEC Inc. | 36,610 | 880 | |
* | Cray Inc. | 40,467 | 878 |
Comtech | |||
Telecommunications | |||
Corp. | 23,522 | 843 | |
Power Integrations Inc. | 10,836 | 795 | |
* | SolarEdge | ||
Technologies Inc. | 16,185 | 776 | |
* | LivePerson Inc. | 28,184 | 758 |
* | Photronics Inc. | 69,217 | 741 |
Methode Electronics | |||
Inc. | 18,610 | 738 | |
* | Oclaro Inc. | 76,048 | 726 |
* | MicroStrategy Inc. | ||
Class A | 4,750 | 708 | |
CSG Systems | |||
International Inc. | 17,657 | 659 | |
* | OSI Systems Inc. | 8,413 | 655 |
* | Alarm.com Holdings | ||
Inc. | 11,412 | 642 | |
NIC Inc. | 35,558 | 597 | |
* | Veeco Instruments Inc. | 48,242 | 579 |
Badger Meter Inc. | 10,372 | 570 | |
CTS Corp. | 15,342 | 567 | |
* | OneSpan Inc. | 29,930 | 561 |
* | Unisys Corp. | 26,446 | 492 |
Xperi Corp. | 30,111 | 473 | |
* | Harmonic Inc. | 84,376 | 460 |
* | ePlus Inc. | 4,336 | 449 |
* | Ichor Holdings Ltd. | 15,700 | 407 |
* | FARO Technologies Inc. | 5,875 | 401 |
ADTRAN Inc. | 23,265 | 400 | |
* | Digi International Inc. | 26,871 | 361 |
^ | Diebold Nixdorf Inc. | 75,261 | 358 |
Monotype Imaging | |||
Holdings Inc. | 15,849 | 326 | |
Daktronics Inc. | 39,048 | 317 | |
* | Nanometrics Inc. | 7,080 | 310 |
* | DSP Group Inc. | 22,422 | 288 |
Bel Fuse Inc. Class B | 9,773 | 280 | |
Park Electrochemical | |||
Corp. | 11,675 | 250 | |
* | Liquidity Services Inc. | 25,798 | 186 |
* | Ultra Clean Holdings Inc. | 11,903 | 182 |
* | PDF Solutions Inc. | 16,925 | 148 |
* | Agilysys Inc. | 7,703 | 124 |
* | Kopin Corp. | 22,296 | 52 |
62,642 | |||
Materials (5.8%) | |||
KapStone Paper and | |||
Packaging Corp. | 87,401 | 3,002 | |
Kaiser Aluminum Corp. | 16,644 | 1,824 | |
Stepan Co. | 19,791 | 1,766 | |
Boise Cascade Co. | 38,615 | 1,687 | |
HB Fuller Co. | 27,149 | 1,547 |
39
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Balchem Corp. | 13,071 | 1,449 | |
* | AK Steel Holding Corp. | 313,444 | 1,392 |
Materion Corp. | 20,068 | 1,280 | |
Rayonier Advanced | |||
Materials Inc. | 51,650 | 1,080 | |
Innospec Inc. | 12,319 | 956 | |
Quaker Chemical Corp. | 5,142 | 926 | |
Innophos Holdings Inc. | 19,454 | 850 | |
Neenah Inc. | 9,149 | 835 | |
PH Glatfelter Co. | 43,304 | 833 | |
Schweitzer-Mauduit | |||
International Inc. | 17,653 | 718 | |
* | SunCoke Energy Inc. | 64,043 | 715 |
* | Century Aluminum Co. | 49,452 | 624 |
Tredegar Corp. | 25,249 | 554 | |
* | TimkenSteel Corp. | 38,833 | 544 |
Haynes International Inc. | 12,397 | 488 | |
* | AdvanSix Inc. | 14,199 | 481 |
* | Clearwater Paper Corp. | 16,323 | 474 |
Hawkins Inc. | 9,417 | 389 | |
FutureFuel Corp. | 25,190 | 374 | |
Myers Industries Inc. | 9,619 | 214 | |
Olympic Steel Inc. | 9,067 | 200 | |
* | LSB Industries Inc. | 20,798 | 181 |
American Vanguard | |||
Corp. | 7,802 | 171 | |
* | Flotek Industries Inc. | 56,548 | 141 |
25,695 | |||
Other (0.0%)2 | |||
*,§ | A Schulman Inc. CVR | 29,338 | 56 |
Real Estate (5.9%) | |||
DiamondRock | |||
Hospitality Co. | 198,899 | 2,379 | |
Acadia Realty Trust | 80,930 | 2,308 | |
Government Properties | |||
Income Trust | 98,341 | 1,663 | |
Kite Realty Group Trust | 82,904 | 1,449 | |
Washington Prime | |||
Group Inc. | 184,385 | 1,427 | |
Chesapeake Lodging | |||
Trust | 34,203 | 1,126 | |
Retail Opportunity | |||
Investments Corp. | 56,041 | 1,106 | |
PS Business Parks Inc. | 8,356 | 1,090 | |
Chatham Lodging Trust | 45,606 | 978 | |
Franklin Street | |||
Properties Corp. | 106,428 | 912 | |
American Assets Trust | |||
Inc. | 22,793 | 900 | |
Independence Realty | |||
Trust Inc. | 86,484 | 893 | |
Agree Realty Corp. | 15,460 | 882 | |
Hersha Hospitality Trust | |||
Class A | 36,759 | 868 |
RE/MAX Holdings Inc. | |||
Class A | 17,577 | 866 | |
LTC Properties Inc. | 18,577 | 863 | |
CBL & Associates | |||
Properties Inc. | 171,229 | 764 | |
Global Net Lease Inc. | 33,284 | 722 | |
Pennsylvania REIT | 69,792 | 712 | |
CareTrust REIT Inc. | 32,927 | 607 | |
Summit Hotel | |||
Properties Inc. | 36,483 | 501 | |
Getty Realty Corp. | 15,179 | 442 | |
iStar Inc. | 38,400 | 430 | |
Urstadt Biddle | |||
Properties Inc. Class A | 17,883 | 407 | |
Ramco-Gershenson | |||
Properties Trust | 28,797 | 402 | |
Cedar Realty Trust Inc. | 78,114 | 349 | |
Saul Centers Inc. | 5,750 | 345 | |
Armada Hoffler | |||
Properties Inc. | 20,866 | 325 | |
Whitestone REIT | 22,273 | 304 | |
Community Healthcare | |||
Trust Inc. | 8,951 | 278 | |
26,298 | |||
Telecommunication Services (1.0%) | |||
* | Iridium Communications | ||
Inc. | 83,347 | 1,688 | |
ATN International Inc. | 10,770 | 789 | |
Consolidated | |||
Communications | |||
Holdings Inc. | 64,284 | 759 | |
* | Cincinnati Bell Inc. | 49,544 | 644 |
^ | Frontier Communications | ||
Corp. | 78,631 | 409 | |
Spok Holdings Inc. | 19,687 | 302 | |
4,591 | |||
Utilities (2.5%) | |||
Spire Inc. | 49,985 | 3,726 | |
Avista Corp. | 37,157 | 1,907 | |
South Jersey Industries | |||
Inc. | 47,451 | 1,574 | |
El Paso Electric Co. | 18,918 | 1,160 | |
Northwest Natural Gas | |||
Co. | 15,968 | 1,036 | |
American States Water | |||
Co. | 13,462 | 814 | |
California Water Service | |||
Group | 17,151 | 706 | |
10,923 | |||
Total Common Stocks | |||
(Cost $401,553) | 440,034 |
40
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Temporary Cash Investments (0.9%)1 | |||
Money Market Fund (0.8%) | |||
3,4 | Vanguard Market Liquidity | ||
Fund, 2.153% | 36,751 | 3,676 | |
Face | |||
Amount | |||
($000) | |||
U. S. Government and Agency Obligations (0.1%) | |||
5 | United States Treasury | ||
Bill, 1.934%, 10/11/18 | 100 | 100 | |
5 | United States Treasury | ||
Bill, 2.034%, 11/15/18 | 100 | 99 | |
199 | |||
Total Temporary Cash Investments | |||
(Cost $3,875) | 3,875 | ||
Total Investments (100.4%) | |||
(Cost $405,428) | 443,909 | ||
Amount | |||
($000) | |||
Other Assets and Liabilities (-0.4%) | |||
Other Assets | |||
Investment in Vanguard | 22 | ||
Receivables for Accrued Income | 357 | ||
Receivables for Capital Shares Issued | 8 | ||
Variation Margin Receivable— | |||
Futures Contracts | 8 | ||
Other Assets | 2 | ||
Total Other Assets | 397 | ||
Liabilities | |||
Payables for Investment | |||
Securities Purchased | (568) | ||
Collateral for Securities on Loan | (1,555) | ||
Payables to Vanguard | (65) | ||
Variation Margin Payable— | |||
Futures Contracts | — | ||
Total Liabilities | (2,188) | ||
Net Assets (100%) | 442,118 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 415,639 |
Undistributed Net Investment Income | 1,376 |
Accumulated Net Realized Losses | (13,412) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 38,481 |
Futures Contracts | 34 |
Net Assets | 442,118 |
ETF Shares—Net Assets | |
Applicable to 2,750,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 409,891 |
Net Asset Value Per Share— | |
ETF Shares | $149.05 |
Institutional Shares—Net Assets | |
Applicable to 103,375 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 32,227 |
Net Asset Value Per Share— | |
Institutional Shares | $311.75 |
• 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 $1,422,000.
§ Security value determined using significant unobservable
inputs.
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 0.4%, 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 $1,555,000 of collateral received for securities
on loan.
5 Securities with a value of $199,000 have been segregated
as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
41
S&P Small-Cap 600 Value Index Fund
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2018 | 22 | 1,915 | 34 |
See accompanying Notes, which are an integral part of the Financial Statements.
42
S&P Small-Cap 600 Value Index Fund
Statement of Operations
Year Ended | |
August31,2018 | |
($000) | |
Investment Income | |
Income | |
Dividends | 5,268 |
Interest1 | 31 |
Securities Lending—Net | 165 |
Total Income | 5,464 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 47 |
Management and Administrative—ETF Shares | 387 |
Management and Administrative—Institutional Shares | 4 |
Marketing and Distribution—ETF Shares | 18 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 103 |
Auditing Fees | 33 |
Shareholders’ Reports and Proxy—ETF Shares | 24 |
Shareholders’ Reports and Proxy—Institutional Shares | — |
Total Expenses | 616 |
Expenses Paid Indirectly | (7) |
Net Expenses | 609 |
Net Investment Income | 4,855 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 35,976 |
Futures Contracts | 285 |
Realized Net Gain (Loss) | 36,261 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 33,801 |
Futures Contracts | 16 |
Change in Unrealized Appreciation (Depreciation) | 33,817 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 74,933 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $27,000, ($1,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $35,568,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
43
S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,855 | 3,095 |
Realized Net Gain (Loss) | 36,261 | 13,319 |
Change in Unrealized Appreciation (Depreciation) | 33,817 | (379) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 74,933 | 16,035 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (3,976) | (2,596) |
Institutional Shares | (197) | (318) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (4,173) | (2,914) |
Capital Share Transactions | ||
ETF Shares | 132,869 | 71,827 |
Institutional Shares | 16,900 | (24,173) |
Net Increase (Decrease) from Capital Share Transactions | 149,769 | 47,654 |
Total Increase (Decrease) | 220,529 | 60,775 |
Net Assets | ||
Beginning of Period | 221,589 | 160,814 |
End of Period1 | 442,118 | 221,589 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,376,000 and $694,000.
See accompanying Notes, which are an integral part of the Financial Statements.
44
S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $118.23 | $106.98 | $94.66 | $98.93 | $82.76 |
Investment Operations | |||||
Net Investment Income | 2.0871 | 1.7491 | 1.352 | 1.337 | 1.3551 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 30.593 | 11.165 | 12.736 | (4.323) | 15.685 |
Total from Investment Operations | 32.680 | 12.914 | 14.088 | (2.986) | 17.040 |
Distributions | |||||
Dividends from Net Investment Income | (1.860) | (1.664) | (1.768) | (1.284) | (.870) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.860) | (1.664) | (1.768) | (1.284) | (.870) |
Net Asset Value, End of Period | $149.05 | $118.23 | $106.98 | $94.66 | $98.93 |
Total Return | 27.84% | 12.11% | 15.14% | -3.09% | 20.64% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $410 | $210 | $126 | $95 | $94 |
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 | 1.54% | 1.49% | 1.49% | 1.43% | 1.43% |
Portfolio Turnover Rate2 | 34% | 46% | 42% | 43% | 32% |
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.
45
S&P Small-Cap 600 Value Index Fund
Financial Highlights
Institutional Shares | ||||
Nov. 19, | ||||
20141 to | ||||
Year Ended August 31, | ||||
For a Share Outstanding | Aug. 31, | |||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $247.26 | $223.74 | $198.02 | $206.40 |
Investment Operations | ||||
Net Investment Income | 4.630 2 | 3.829 2 | 3.057 | 2.201 |
Net Realized and Unrealized Gain (Loss) on Investments | 64.065 | 23.461 | 26.649 | (7.820) |
Total from Investment Operations | 68.695 | 27.290 | 29.706 | (5.619) |
Distributions | ||||
Dividends from Net Investment Income | (4.205) | (3.770) | (3.986) | (2.761) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (4.205) | (3.770) | (3.986) | (2.761) |
Net Asset Value, End of Period | $311.75 | $247.26 | $223.74 | $198.02 |
Total Return | 28.01% | 12.25% | 15.28% | -2.79% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $32 | $12 | $35 | $15 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 1.66% | 1.61% | 1.61% | 1.55%3 |
Portfolio Turnover Rate 4 | 34% | 46% | 42% | 43% |
1 Inception —See Notes to Financial Statements.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
46
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 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, 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 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. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2018, 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 the notional amounts at each quarter-end during the period.
47
S&P Small-Cap 600 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, 2015–2018), 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. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market 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 event 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, 2018, 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.
48
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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $22,000, 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. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2018, custodian fee offset arrangements reduced the fund’s expenses by $7,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 439,978 | — | 56 |
Temporary Cash Investments | 3,676 | 199 | — |
Futures Contracts—Assets1 | 8 | — | — |
Futures Contracts—Liabilities1 | — | — | — |
Total | 443,662 | 199 | 56 |
1 Represents variation margin on the last day of the reporting period. |
49
S&P Small-Cap 600 Value Index Fund
E. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, the following permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
Amount | |
($000) | |
Paid-in capital | 35,568 |
Undistributed (Overdistributed) net investment income | — |
Accumulated net realized gains (losses) | (35,568) |
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax components of accumulated net earnings (losses) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed ordinary income | 1,400 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring)* | (13,378) |
Net unrealized gains (losses) | 38,481 |
* The fund used capital loss carryforwards of $709,000 to offset taxable gains realized during the year ended August 31, 2018, reducing the amount of capital gains that would otherwise be available to distribute to shareholders.
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 405,428 |
Gross unrealized appreciation | 58,160 |
Gross unrealized depreciation | (19,679) |
Net unrealized appreciation (depreciation) | 38,481 |
F. During the year ended August 31, 2018, the fund purchased $385,354,000 of investment securities and sold $234,488,000 of investment securities, other than temporary cash investments. Purchases and sales include $201,266,000 and $127,783,000, 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, 2018, such purchases and sales were $61,766,000 and $49,534,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
50
S&P Small-Cap 600 Value Index Fund
G. Capital share transactions for each class of shares were: | ||||
Year Ended August 31, | ||||
2018 | 2017 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 272,189 | 2,025 | 155,430 | 1,325 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (139,320) | (1,050) | (83,603) | (725) |
Net Increase (Decrease)—ETF Shares | 132,869 | 975 | 71,827 | 600 |
Institutional Shares | ||||
Issued | 19,113 | 64 | 1,384 | 6 |
Issued in Lieu of Cash Distributions | 197 | 1 | 318 | 1 |
Redeemed | (2,410) | (9) | (25,875) | (116) |
Net Increase (Decrease) —Institutional Shares | 16,900 | 56 | (24,173) | (109) |
H. Management has determined that no events or transactions occurred subsequent to August 31, 2018, that would require recognition or disclosure in these financial statements.
51
S&P Small-Cap 600 Growth Index Fund
Fund Profile
As of August 31, 2018
Portfolio Characteristics | |||
S&P | |||
SmallCap | DJ | ||
600 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 334 | 334 | 3,745 |
Median Market Cap | $2.3B | $2.3B | $71.0B |
Price/Earnings Ratio | 27.0x | 26.9x | 21.0x |
Price/Book Ratio | 3.5x | 3.5x | 3.2x |
Return on Equity | 10.3% | 10.4% | 15.0% |
Earnings Growth | |||
Rate | 13.5% | 13.9% | 8.4% |
Dividend Yield | 0.8% | 0.8% | 1.7% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 37% | — | — |
Ticker Symbol | VIOG | — | — |
Expense Ratio1 | 0.20% | — | — |
30-Day SEC Yield | 0.75% | — | — |
Short-Term | |||
Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
S&P | |||
SmallCap | DJ | ||
600 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary | 12.1% | 12.7% | 13.1% |
Consumer Staples | 3.6 | 3.6 | 6.0 |
Energy | 0.6 | 0.6 | 5.6 |
Financials | 13.1 | 13.0 | 14.2 |
Health Care | 19.6 | 19.5 | 14.3 |
Industrials | 21.8 | 21.7 | 10.3 |
Information Technology | 16.7 | 16.6 | 25.3 |
Materials | 3.7 | 3.7 | 2.9 |
Real Estate | 5.8 | 5.7 | 3.7 |
Telecommunication | |||
Services | 1.2 | 1.2 | 1.8 |
Utilities | 1.8 | 1.7 | 2.8 |
Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.64 |
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) | ||
Ligand Pharmaceuticals | ||
Inc. | Biotechnology | 1.3% |
Trex Co. Inc. | Building Products | 1.2 |
HealthEquity Inc. | Managed Health | |
Care | 1.2 | |
Neogen Corp. | Health Care Supplies | 1.1 |
Inogen Inc. | Health Care | |
Equipment | 1.1 | |
ASGN Inc. | Human Resource & | |
Employment | ||
Services | 1.1 | |
Insperity Inc. | Human Resource & | |
Employment | ||
Services | 1.1 | |
Ingevity Corp. | Specialty Chemicals | 1.0 |
Stamps.com Inc. | Internet Software & | |
Services | 1.0 | |
Green Dot Corp. | Consumer Finance | 0.9 |
Top Ten | 11.0% |
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 22, 2017, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2018, the expense ratio was 0.20%.
52
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, 2018
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2018 | ||||
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 | 36.92% | 16.40% | 18.39% | $38,469 |
S&P Small-Cap 600 Growth Index | ||||
Fund*ETF Shares Market Price | 36.96 | 16.39 | 18.39 | 38,476 |
S&P SmallCap 600 Growth Index | 37.15 | 16.62 | 18.61 | 39,036 |
Small-Cap Growth Funds Average | 34.70 | 13.68 | 15.58 | 31,757 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.26 | 14.21 | 15.39 | 31,344 |
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.
See Financial Highlights for dividend and capital gains information.
53
S&P Small-Cap 600 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2018 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Growth Index Fund ETF Shares | |||
Market Price | 36.96% | 113.60% | 284.76% |
S&P Small-Cap 600 Growth Index Fund ETF Shares | |||
Net Asset Value | 36.92 | 113.66 | 284.69 |
S&P SmallCap 600 Growth Index | 37.15 | 115.67 | 290.36 |
"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, 2018
Average Annual Total Returns: Periods Ended June 30, 2018
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 | 22.41% | 15.36% | 17.31% | |
Net Asset Value | 22.31 | 15.33 | 17.30 |
54
S&P Small-Cap 600 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2018
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 (12.1%) | |||
*,^ | iRobot Corp. | 35,794 | 4,063 |
* | RH | 24,655 | 3,920 |
* | Penn National Gaming | ||
Inc. | 108,167 | 3,727 | |
* | Fox Factory Holding | ||
Corp. | 48,498 | 3,203 | |
LCI Industries | 32,457 | 3,017 | |
* | Dave & Buster’s | ||
Entertainment Inc. | 51,031 | 2,969 | |
* | TopBuild Corp. | 45,900 | 2,859 |
* | Cavco Industries Inc. | 10,945 | 2,686 |
Wingstop Inc. | 37,600 | 2,517 | |
Strategic Education Inc. | 16,921 | 2,348 | |
Steven Madden Ltd. | 38,610 | 2,245 | |
Children’s Place Inc. | 14,780 | 2,080 | |
* | Shutterfly Inc. | 26,041 | 2,023 |
Callaway Golf Co. | 81,441 | 1,858 | |
* | Shake Shack Inc. | ||
Class A | 26,327 | 1,592 | |
* | Dorman Products Inc. | 19,474 | 1,577 |
* | Sleep Number Corp. | 44,915 | 1,514 |
Nutrisystem Inc. | 38,245 | 1,415 | |
Winnebago Industries | |||
Inc. | 37,086 | 1,370 | |
Lithia Motors Inc. | |||
Class A | 15,719 | 1,358 | |
*,^ | LGI Homes Inc. | 23,289 | 1,341 |
* | Installed Building | ||
Products Inc. | 26,848 | 1,250 | |
* | Crocs Inc. | 58,013 | 1,199 |
Ruth’s Hospitality | |||
Group Inc. | 37,042 | 1,141 | |
* | Meritage Homes Corp. | 26,061 | 1,125 |
La-Z-Boy Inc. | 30,899 | 1,027 | |
* | Gentherm Inc. | 20,840 | 1,025 |
BJ’s Restaurants Inc. | 13,036 | 987 | |
PetMed Express Inc. | 26,520 | 973 | |
MDC Holdings Inc. | 30,100 | 954 | |
Dine Brands Global Inc. | 11,248 | 938 | |
Sonic Corp. | 25,349 | 909 | |
* | Career Education Corp. | 54,487 | 869 |
Tailored Brands Inc. | 32,648 | 769 | |
* | Monarch Casino & | ||
Resort Inc. | 14,660 | 690 | |
Sturm Ruger & Co. Inc. | 9,431 | 617 | |
EW Scripps Co. | |||
Class A | 38,268 | 561 | |
* | William Lyon Homes | ||
Class A | 19,345 | 379 | |
* | Lumber Liquidators | ||
Holdings Inc. | 21,305 | 371 | |
* | Motorcar Parts of | ||
America Inc. | 11,790 | 313 | |
* | Nautilus Inc. | 17,957 | 263 |
66,042 | |||
Consumer Staples (3.6%) | |||
Medifast Inc. | 13,666 | 3,126 | |
Calavo Growers Inc. | 20,326 | 2,152 | |
* | Darling Ingredients Inc. | 108,106 | 2,138 |
* | Central Garden & Pet | ||
Co. Class A | 51,201 | 1,860 | |
WD-40 Co. | 10,208 | 1,811 | |
J&J Snack Foods Corp. | 12,135 | 1,766 | |
B&G Foods Inc. | 54,005 | 1,726 | |
Inter Parfums Inc. | 22,150 | 1,446 | |
MGP Ingredients Inc. | 16,264 | 1,254 | |
Coca-Cola Bottling Co. | |||
Consolidated | 5,975 | 1,013 | |
Cal-Maine Foods Inc. | 16,115 | 797 | |
* | Central Garden & Pet | ||
Co. | 13,286 | 528 | |
19,617 |
55
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Energy (0.6%) | |||
* | ProPetro Holding Corp. | 65,548 | 998 |
* | Penn Virginia Corp. | 10,467 | 931 |
* | CONSOL Energy Inc. | 17,860 | 766 |
* | C&J Energy Services | ||
Inc. | 16,434 | 344 | |
* | Ring Energy Inc. | 23,019 | 272 |
* | CARBO Ceramics Inc. | 8,958 | 77 |
3,388 | |||
Financials (13.1%) | |||
* | Green Dot Corp. | ||
Class A | 60,162 | 5,154 | |
FirstCash Inc. | 58,466 | 4,753 | |
Selective Insurance | |||
Group Inc. | 48,402 | 3,107 | |
First Financial | |||
Bankshares Inc. | 51,366 | 3,103 | |
Glacier Bancorp Inc. | 59,314 | 2,709 | |
* | BofI Holding Inc. | 70,865 | 2,639 |
LegacyTexas Financial | |||
Group Inc. | 54,677 | 2,530 | |
ServisFirst Bancshares | |||
Inc. | 58,157 | 2,507 | |
Columbia Banking | |||
System Inc. | 47,142 | 1,992 | |
Walker & Dunlop Inc. | 36,351 | 1,981 | |
* | Pacific Premier | ||
Bancorp Inc. | 49,716 | 1,966 | |
First Financial Bancorp | 57,924 | 1,819 | |
CVB Financial Corp. | 71,179 | 1,712 | |
RLI Corp. | 21,573 | 1,660 | |
Independent Bank | |||
Corp. | 18,108 | 1,650 | |
* | NMI Holdings Inc. | ||
Class A | 75,132 | 1,623 | |
ProAssurance Corp. | 32,418 | 1,567 | |
Ameris Bancorp | 30,827 | 1,531 | |
United Community | |||
Banks Inc. | 50,207 | 1,523 | |
* | Seacoast Banking Corp. | ||
of Florida | 45,364 | 1,434 | |
* | Third Point Reinsurance | ||
Ltd. | 106,607 | 1,429 | |
National Bank Holdings | |||
Corp. Class A | 34,984 | 1,405 | |
First Commonwealth | |||
Financial Corp. | 77,523 | 1,299 | |
Universal Insurance | |||
Holdings Inc. | 27,287 | 1,217 | |
Banner Corp. | 17,907 | 1,152 | |
Preferred Bank | 17,748 | 1,086 | |
Meta Financial Group | |||
Inc. | 11,769 | 1,019 | |
S&T Bancorp Inc. | 21,627 | 1,009 |
Westamerica | |||
Bancorporation | 14,736 | 944 | |
Employers Holdings | |||
Inc. | 19,440 | 891 | |
Heritage Financial | |||
Corp. | 24,378 | 885 | |
James River Group | |||
Holdings Ltd. | 20,375 | 834 | |
Brookline Bancorp Inc. | 44,463 | 807 | |
City Holding Co. | 9,536 | 773 | |
* | Encore Capital Group | ||
Inc. | 19,431 | 753 | |
* | Triumph Bancorp Inc. | 15,758 | 669 |
Piper Jaffray Cos. | 8,644 | 666 | |
WisdomTree | |||
Investments Inc. | 80,878 | 665 | |
Central Pacific | |||
Financial Corp. | 23,231 | 658 | |
Tompkins Financial | |||
Corp. | 7,012 | 616 | |
AMERISAFE Inc. | 9,428 | 602 | |
Northfield Bancorp Inc. | 36,643 | 597 | |
Banc of California Inc. | 29,521 | 595 | |
Hanmi Financial Corp. | 22,593 | 590 | |
Berkshire Hills Bancorp | |||
Inc. | 13,739 | 580 | |
Green Bancorp Inc. | 23,848 | 572 | |
TrustCo Bank Corp. NY | 57,088 | 528 | |
Granite Point Mortgage | |||
Trust Inc. | 25,716 | 492 | |
* | Customers Bancorp Inc. | 18,668 | 461 |
* | eHealth Inc. | 11,407 | 333 |
Dime Community | |||
Bancshares Inc. | 16,648 | 302 | |
* | Ambac Financial Group | ||
Inc. | 12,834 | 271 | |
* | Franklin Financial | ||
Network Inc. | 3,883 | 150 | |
71,810 | |||
Health Care (19.6%) | |||
* | Ligand | ||
Pharmaceuticals Inc. | 27,446 | 7,127 | |
* | HealthEquity Inc. | 67,612 | 6,370 |
* | Neogen Corp. | 66,406 | 6,205 |
* | Inogen Inc. | 22,401 | 5,934 |
* | Amedisys Inc. | 37,296 | 4,662 |
* | Myriad Genetics Inc. | 89,993 | 4,481 |
* | Merit Medical Systems | ||
Inc. | 69,404 | 4,084 | |
* | LHC Group Inc. | 37,619 | 3,722 |
* | AMN Healthcare | ||
Services Inc. | 61,605 | 3,592 | |
* | Omnicell Inc. | 50,048 | 3,441 |
56
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Supernus | ||
Pharmaceuticals Inc. | 66,679 | 2,954 | |
* | Integer Holdings Corp. | 36,680 | 2,931 |
* | Emergent BioSolutions | ||
Inc. | 45,538 | 2,823 | |
* | Repligen Corp. | 48,373 | 2,655 |
* | Momenta | ||
Pharmaceuticals Inc. | 99,883 | 2,647 | |
* | BioTelemetry Inc. | 40,105 | 2,478 |
* | Corcept Therapeutics | ||
Inc. | 123,124 | 1,849 | |
* | Cambrex Corp. | 26,731 | 1,802 |
* | Spectrum | ||
Pharmaceuticals Inc. | 79,568 | 1,713 | |
* | Enanta Pharmaceuticals | ||
Inc. | 18,603 | 1,692 | |
* | Medicines Co. | 40,025 | 1,585 |
* | Select Medical Holdings | ||
Corp. | 78,696 | 1,558 | |
* | Tabula Rasa HealthCare | ||
Inc. | 17,513 | 1,535 | |
* | Tivity Health Inc. | 44,145 | 1,519 |
* | HMS Holdings Corp. | 43,923 | 1,408 |
* | Quality Systems Inc. | 60,824 | 1,392 |
Ensign Group Inc. | 34,473 | 1,347 | |
* | Surmodics Inc. | 17,068 | 1,344 |
US Physical Therapy Inc. | 10,602 | 1,328 | |
* | Orthofix Medical Inc. | 24,282 | 1,300 |
* | REGENXBIO Inc. | 18,353 | 1,293 |
* | Innoviva Inc. | 88,823 | 1,290 |
* | OraSure Technologies | ||
Inc. | 78,605 | 1,258 | |
CONMED Corp. | 15,422 | 1,240 | |
Phibro Animal Health | |||
Corp. Class A | 25,500 | 1,204 | |
* | Providence Service Corp. | 14,083 | 945 |
* | Heska Corp. | 8,641 | 925 |
* | Natus Medical Inc. | 22,403 | 836 |
* | Varex Imaging Corp. | 26,380 | 828 |
Luminex Corp. | 28,737 | 811 | |
* | Eagle Pharmaceuticals | ||
Inc. | 10,714 | 741 | |
* | CorVel Corp. | 12,394 | 737 |
LeMaitre Vascular Inc. | 19,638 | 737 | |
* | Tactile Systems | ||
Technology Inc. | 10,875 | 736 | |
*,^ | MiMedx Group Inc. | 131,499 | 697 |
* | CryoLife Inc. | 19,955 | 692 |
* | ANI Pharmaceuticals Inc. | 11,682 | 680 |
* | Lantheus Holdings Inc. | 38,927 | 627 |
* | Cutera Inc. | 17,550 | 597 |
HealthStream Inc. | 16,298 | 517 | |
* | Anika Therapeutics Inc. | 10,831 | 448 |
* | Amphastar | ||
Pharmaceuticals Inc. | 23,098 | 438 | |
Meridian Bioscience Inc. | 22,337 | 351 | |
* | Progenics | ||
Pharmaceuticals Inc. | 40,503 | 317 | |
* | Assertio Therapeutics | ||
Inc. | 35,208 | 225 | |
* | Cytokinetics Inc. | 26,207 | 207 |
Computer Programs & | |||
Systems Inc. | 6,605 | 180 | |
*,^ | Lannett Co. Inc. | 24,653 | 132 |
107,167 | |||
Industrials (21.8%) | |||
* | Trex Co. Inc. | 75,776 | 6,418 |
* | ASGN Inc. | 63,294 | 5,860 |
Insperity Inc. | 48,129 | 5,768 | |
* | Axon Enterprise Inc. | 74,008 | 5,052 |
* | Proto Labs Inc. | 32,247 | 5,013 |
Korn/Ferry International | 72,768 | 4,885 | |
John Bean Technologies | |||
Corp. | 40,853 | 4,833 | |
Barnes Group Inc. | 62,284 | 4,239 | |
Simpson Manufacturing | |||
Co. Inc. | 53,057 | 4,073 | |
Exponent Inc. | 66,955 | 3,505 | |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 97,193 | 3,412 | |
* | Mercury Systems Inc. | 62,036 | 3,382 |
* | Harsco Corp. | 103,725 | 2,930 |
Albany International | |||
Corp. | 37,331 | 2,880 | |
Tetra Tech Inc. | 39,378 | 2,749 | |
Comfort Systems USA | |||
Inc. | 47,771 | 2,742 | |
* | WageWorks Inc. | 51,025 | 2,730 |
Forward Air Corp. | 37,865 | 2,433 | |
* | Aerovironment Inc. | 27,389 | 2,409 |
Raven Industries Inc. | 46,194 | 2,236 | |
Hillenbrand Inc. | 41,846 | 2,140 | |
EnPro Industries Inc. | 27,041 | 2,030 | |
* | Patrick Industries Inc. | 30,295 | 1,939 |
* | Saia Inc. | 22,810 | 1,808 |
Interface Inc. Class A | 76,582 | 1,804 | |
UniFirst Corp. | 9,529 | 1,765 | |
* | PGT Innovations Inc. | 64,323 | 1,563 |
* | American Woodmark | ||
Corp. | 18,247 | 1,550 | |
Moog Inc. Class A | 19,626 | 1,549 | |
Universal Forest | |||
Products Inc. | 41,171 | 1,542 | |
ESCO Technologies Inc. | 21,010 | 1,421 | |
Mobile Mini Inc. | 32,739 | 1,405 | |
* | Vicor Corp. | 21,096 | 1,317 |
57
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Allegiant Travel Co. | |||
Class A | 9,567 | 1,304 | |
AAON Inc. | 32,167 | 1,300 | |
US Ecology Inc. | 17,503 | 1,273 | |
Watts Water | |||
Technologies Inc. | |||
Class A | 15,040 | 1,240 | |
Franklin Electric Co. Inc. | 25,345 | 1,239 | |
Cubic Corp. | 15,801 | 1,196 | |
Alamo Group Inc. | 12,301 | 1,172 | |
Brady Corp. Class A | 27,918 | 1,129 | |
Federal Signal Corp. | 40,163 | 1,045 | |
Apogee Enterprises Inc. | 19,968 | 983 | |
Standex International | |||
Corp. | 8,423 | 909 | |
Actuant Corp. Class A | 29,682 | 874 | |
Viad Corp. | 13,707 | 844 | |
Tennant Co. | 9,490 | 726 | |
Wabash National Corp. | 38,844 | 709 | |
Marten Transport Ltd. | 28,938 | 638 | |
Lindsay Corp. | 6,506 | 623 | |
Heartland Express Inc. | 24,791 | 507 | |
Multi-Color Corp. | 8,058 | 498 | |
Quanex Building | |||
Products Corp. | 27,536 | 452 | |
* | Lydall Inc. | 9,615 | 412 |
Griffon Corp. | 21,959 | 401 | |
Forrester Research Inc. | 7,765 | 382 | |
RR Donnelley & Sons Co. | 28,160 | 142 | |
119,380 | |||
Information Technology (16.7%) | |||
* | Stamps.com Inc. | 21,459 | 5,332 |
* | Qualys Inc. | 42,151 | 3,838 |
Cabot Microelectronics | |||
Corp. | 33,064 | 3,727 | |
Brooks Automation Inc. | 90,808 | 3,579 | |
* | II-VI Inc. | 70,854 | 3,525 |
* | Rogers Corp. | 23,643 | 3,264 |
* | Semtech Corp. | 53,678 | 3,207 |
* | Advanced Energy | ||
Industries Inc. | 50,629 | 3,016 | |
* | Bottomline Technologies | ||
DE Inc. | 45,087 | 2,974 | |
* | ExlService Holdings Inc. | 44,280 | 2,837 |
Progress Software Corp. | 58,523 | 2,395 | |
Kulicke & Soffa | |||
Industries Inc. | 88,966 | 2,294 | |
Ebix Inc. | 28,357 | 2,259 | |
* | TTM Technologies Inc. | 119,852 | 2,241 |
* | SPS Commerce Inc. | 22,353 | 2,197 |
* | Virtusa Corp. | 35,536 | 2,070 |
* | Viavi Solutions Inc. | 180,537 | 2,022 |
Power Integrations Inc. | 23,990 | 1,760 | |
* | Rambus Inc. | 138,370 | 1,691 |
* | KEMET Corp. | 63,774 | 1,648 |
* | MaxLinear Inc. | 79,801 | 1,539 |
* | 8x8 Inc. | 64,652 | 1,468 |
* | FormFactor Inc. | 94,014 | 1,453 |
* | SolarEdge | ||
Technologies Inc. | 27,744 | 1,330 | |
Badger Meter Inc. | 23,986 | 1,318 | |
Shutterstock Inc. | 23,787 | 1,309 | |
* | ePlus Inc. | 11,992 | 1,243 |
* | Oclaro Inc. | 120,818 | 1,153 |
* | Itron Inc. | 17,319 | 1,150 |
* | Rudolph Technologies | ||
Inc. | 40,945 | 1,138 | |
* | CalAmp Corp. | 46,111 | 1,084 |
* | Applied | ||
Optoelectronics Inc. | 25,203 | 1,042 | |
* | Alarm.com Holdings | ||
Inc. | 17,425 | 981 | |
Cohu Inc. | 37,072 | 978 | |
* | Electro Scientific | ||
Industries Inc. | 44,267 | 972 | |
* | FARO Technologies Inc. | 14,188 | 968 |
* | LivePerson Inc. | 35,237 | 948 |
* | Nanometrics Inc. | 21,530 | 943 |
* | XO Group Inc. | 31,346 | 942 |
* | Extreme Networks Inc. | 149,167 | 935 |
Methode Electronics Inc. | 23,240 | 921 | |
* | MicroStrategy Inc. | ||
Class A | 5,937 | 885 | |
* | CEVA Inc. | 28,604 | 875 |
* | OSI Systems Inc. | 10,936 | 852 |
* | Control4 Corp. | 26,115 | 846 |
* | Axcelis Technologies | ||
Inc. | 41,381 | 836 | |
CTS Corp. | 22,528 | 832 | |
CSG Systems | |||
International Inc. | 20,359 | 760 | |
EVERTEC Inc. | 30,263 | 728 | |
* | QuinStreet Inc. | 47,330 | 718 |
Monotype Imaging | |||
Holdings Inc. | 33,658 | 693 | |
NIC Inc. | 39,384 | 662 | |
ADTRAN Inc. | 31,682 | 545 | |
* | Ultra Clean Holdings | ||
Inc. | 34,393 | 525 | |
TTEC Holdings Inc. | 18,354 | 481 | |
Xperi Corp. | 23,980 | 376 | |
* | Ichor Holdings Ltd. | 10,973 | 285 |
* | Unisys Corp. | 12,685 | 236 |
Park Electrochemical | |||
Corp. | 9,295 | 199 | |
* | Agilysys Inc. | 9,707 | 156 |
* | Kopin Corp. | 51,158 | 119 |
* | PDF Solutions Inc. | 13,420 | 117 |
91,417 |
58
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Materials (3.7%) | |||
* | Ingevity Corp. | 54,184 | 5,473 |
Balchem Corp. | 24,387 | 2,704 | |
* | Kraton Corp. | 41,066 | 1,931 |
Quaker Chemical Corp. | 10,461 | 1,884 | |
HB Fuller Co. | 29,933 | 1,706 | |
Innospec Inc. | 15,392 | 1,194 | |
*,^ | US Concrete Inc. | 20,339 | 980 |
* | Koppers Holdings Inc. | 27,181 | 964 |
Neenah Inc. | 9,737 | 889 | |
* | AdvanSix Inc. | 20,806 | 704 |
Schweitzer-Mauduit | |||
International Inc. | 16,619 | 676 | |
American Vanguard Corp. | 23,678 | 519 | |
Myers Industries Inc. | 22,226 | 495 | |
20,119 | |||
Real Estate (5.8%) | |||
EastGroup Properties Inc. | 44,989 | 4,376 | |
Lexington Realty Trust | 277,979 | 2,596 | |
Four Corners Property | |||
Trust Inc. | 83,546 | 2,251 | |
HFF Inc. Class A | 47,829 | 2,172 | |
National Storage | |||
Affiliates Trust | 72,648 | 2,060 | |
PS Business Parks Inc. | 14,892 | 1,942 | |
Easterly Government | |||
Properties Inc. | 77,734 | 1,574 | |
Retail Opportunity | |||
Investments Corp. | 72,554 | 1,432 | |
LTC Properties Inc. | 27,035 | 1,256 | |
Universal Health Realty | |||
Income Trust | 16,266 | 1,240 | |
Summit Hotel Properties | |||
Inc. | 87,605 | 1,203 | |
Agree Realty Corp. | 19,978 | 1,140 | |
CareTrust REIT Inc. | 61,506 | 1,135 | |
Chesapeake Lodging | |||
Trust | 33,425 | 1,100 | |
Global Net Lease Inc. | 48,662 | 1,056 | |
American Assets Trust | |||
Inc. | 24,064 | 951 | |
Ramco-Gershenson | |||
Properties Trust | 65,920 | 920 | |
Getty Realty Corp. | 22,956 | 668 | |
Armada Hoffler | |||
Properties Inc. | 35,868 | 559 | |
Saul Centers Inc. | 8,291 | 498 | |
iStar Inc. | 37,592 | 421 | |
Urstadt Biddle Properties | |||
Inc. Class A | 15,345 | 349 | |
Community Healthcare | |||
Trust Inc. | 10,676 | 331 | |
Whitestone REIT | 22,531 | 307 | |
31,537 |
Telecommunication Services (1.2%) | ||
* Vonage Holdings Corp. | 278,208 | 3,945 |
Cogent Communications | ||
Holdings Inc. | 53,630 | 2,934 |
6,879 | ||
Utilities (1.8%) | ||
Avista Corp. | 36,354 | 1,865 |
American States Water | ||
Co. | 29,792 | 1,801 |
El Paso Electric Co. | 27,747 | 1,701 |
California Water Service | ||
Group | 39,607 | 1,630 |
South Jersey Industries | ||
Inc. | 48,431 | 1,607 |
Northwest Natural Gas | ||
Co. | 16,305 | 1,058 |
9,662 | ||
Total Common Stocks | ||
(Cost $436,068) | 547,018 | |
Temporary Cash Investments (0.5%)1 | ||
Money Market Fund (0.4%) | ||
2,3 Vanguard Market Liquidity | ||
Fund, 2.153% | 22,053 | 2,206 |
Face | ||
Amount | ||
($000) | ||
U. S. Government and Agency Obligations (0.1%) | ||
United States Treasury | ||
Bill, 1.916%, 9/6/18 | 150 | 150 |
United States Treasury | ||
Bill, 2.194%, 1/24/19 | 500 | 495 |
645 | ||
Total Temporary Cash Investments | ||
(Cost $2,851) | 2,851 | |
Total Investments (100.5%) | ||
(Cost $438,919) | 549,869 |
59
S&P Small-Cap 600 Growth Index Fund
Amount | |
($000) | |
Other Assets and Liabilities (-0.5%) | |
Other Assets | |
Investment in Vanguard | 25 |
Receivables for Investment Securities Sold | 3,600 |
Receivables for Accrued Income | 172 |
Receivables for Capital Shares Issued | 3 |
Variation Margin Receivable— | |
Futures Contracts | 1 |
Other Assets 4 | 150 |
Total Other Assets | 3,951 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (3,492) |
Collateral for Securities on Loan | (2,204) |
Payables to Vanguard | (69) |
Other Liabilities | (825) |
Total Liabilities | (6,590) |
Net Assets (100%) | 547,230 |
At August 31, 2018, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 447,976 |
Undistributed Net Investment Income | 703 |
Accumulated Net Realized Losses | (12,406) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 110,950 |
Futures Contracts | 7 |
Net Assets | 547,230 |
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 3,050,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 547,230 |
Net Asset Value Per Share— | |
ETF Shares | $179.42 |
• 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 $2,082,000.
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 0.5%, 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 $2,204,000 of collateral received for securities
on loan.
4 Cash with a value of $150,000 has been segregated as initial
margin for open futures contracts.
REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2018 | 2 | 174 | 7 |
See accompanying Notes, which are an integral part of the Financial Statements.
60
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
Year Ended | |
August31,2018 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,328 |
Interest1 | 25 |
Securities Lending—Net | 137 |
Total Income | 3,490 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 53 |
Management and Administrative | 493 |
Marketing and Distribution | 21 |
Custodian Fees | 79 |
Auditing Fees | 33 |
Shareholders’ Reports and Proxy | 29 |
Total Expenses | 708 |
Expenses Paid Indirectly | (7) |
Net Expenses | 701 |
Net Investment Income | 2,789 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 22,681 |
Futures Contracts | 533 |
Realized Net Gain (Loss) | 23,214 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 89,600 |
Futures Contracts | (7) |
Change in Unrealized Appreciation (Depreciation) | 89,593 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 115,596 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $18,000, $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $28,751,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
61
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2018 | 2017 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,789 | 2,007 |
Realized Net Gain (Loss) | 23,214 | 10,005 |
Change in Unrealized Appreciation (Depreciation) | 89,593 | 10,949 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 115,596 | 22,961 |
Distributions | ||
Net Investment Income | (2,573) | (1,784) |
Realized Capital Gain | — | — |
Total Distributions | (2,573) | (1,784) |
Capital Share Transactions | ||
Issued | 254,547 | 129,921 |
Issued in Lieu of Distributions | — | — |
Redeemed | (84,535) | (18,805) |
Net Increase (Decrease) from Capital Share Transactions | 170,012 | 111,116 |
Total Increase (Decrease) | 283,035 | 132,293 |
Net Assets | ||
Beginning of Period | 264,195 | 131,902 |
End of Period1 | 547,230 | 264,195 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $703,000 and $486,000.
See accompanying Notes, which are an integral part of the Financial Statements.
62
S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
Net Asset Value, Beginning of Period | $132.10 | $117.25 | $106.99 | $101.36 | $87.79 |
Investment Operations | |||||
Net Investment Income | 1.2221 | 1.2221 | 1.180 | 1.043 | .6681 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 47.288 | 14.762 | 10.685 | 5.345 | 13.432 |
Total from Investment Operations | 48.510 | 15.984 | 11.865 | 6.388 | 14.100 |
Distributions | |||||
Dividends from Net Investment Income | (1.190) | (1.134) | (1.605) | (.758) | (.530) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.190) | (1.134) | (1.605) | (.758) | (.530) |
Net Asset Value, End of Period | $179.42 | $132.10 | $117.25 | $106.99 | $101.36 |
Total Return | 36.92% | 13.67% | 11.24% | 6.32% | 16.07% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $547 | $264 | $132 | $75 | $61 |
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 | 0.80% | 0.95% | 1.15% | 0.98% | 0.66% |
Portfolio Turnover Rate2 | 37% | 48% | 48% | 63% | 44% |
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.
63
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. The fund has not issued any Institutional Shares as of August 31, 2018.
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 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, 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 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. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2018, 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 the notional amounts at each quarter-end during the period.
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S&P Small-Cap 600 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, 2015–2018), 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. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market 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 event 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, 2018, 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.
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S&P Small-Cap 600 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2018, the fund had contributed to Vanguard capital in the amount of $25,000, 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. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2018, custodian fee offset arrangements reduced the fund’s expenses by $7,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 547,018 | — | — |
Temporary Cash Investments | 2,206 | 645 | — |
Futures Contracts—Assets1 | 1 | — | — |
Total | 549,225 | 645 | — |
1 Represents variation margin on the last day of the reporting period. |
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S&P Small-Cap 600 Growth Index Fund
E. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, the following permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
Amount | |
($000) | |
Paid-in capital | 28,750 |
Undistributed (Overdistributed) net investment income | 1 |
Accumulated net realized gains (losses) | (28,751) |
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax components of accumulated net earnings (losses) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed ordinary income | 732 |
Undistributed long-term gains | — |
Capital loss carryforwards (non-expiring) | (12,411) |
Net unrealized gains (losses) | 110,950 |
As of August 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax cost | 438,919 |
Gross unrealized appreciation | 119,832 |
Gross unrealized depreciation | (8,882) |
Net unrealized appreciation (depreciation) | 110,950 |
F. During the year ended August 31, 2018, the fund purchased $371,045,000 of investment securities and sold $197,093,000 of investment securities, other than temporary cash investments. Purchases and sales include $232,048,000 and $65,625,000, 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, 2018, such purchases and sales were $48,425,000 and $69,696,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
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S&P Small-Cap 600 Growth Index Fund
G. Capital shares issued and redeemed were: | ||
Year Ended August 31, | ||
2018 | 2017 | |
Shares | Shares | |
(000) | (000) | |
Issued | 1,600 | 1,025 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (550) | (150) |
Net Increase (Decrease) in Shares Outstanding | 1,050 | 875 |
H. Management has determined that no events or transactions occurred subsequent to August 31, 2018, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and 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
Opinions on the Financial Statements
We have audited the accompanying statements of net assets 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 (three of the funds constituting Vanguard Admiral Funds, hereafter collectively referred to as the “Funds”) as of August 31, 2018, the related statements of operations for the year ended August 31, 2018, the statements of changes in net assets for each of the two years in the period ended August 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2018, 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 ended August 31, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2018 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 18, 2018
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Special 2018 tax information (unaudited) for Vanguard S&P Small-Cap 600 Index Funds
This information for the fiscal year ended August 31, 2018, 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 | 14,223 |
S&P Small-Cap 600 Value Index Fund | 3,511 |
S&P Small-Cap 600 Growth Index Fund | 2,319 |
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 | 78.8% |
S&P Small-Cap 600 Value Index Fund | 79.8 |
S&P Small-Cap 600 Growth Index Fund | 93.8 |
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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 2018. (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, 2018 | |||
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Index Fund ETF Shares | |||
Returns Before Taxes | 32.32% | 15.35% | 17.34% |
Returns After Taxes on Distributions | 31.91 | 15.01 | 17.05 |
Returns After Taxes on Distributions and Sale of | |||
Fund Shares | 19.25 | 12.27 | 14.48 |
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Value Index Fund ETF Shares | |||
Returns Before Taxes | 27.84% | 14.05% | 16.16% |
Returns After Taxes on Distributions | 27.37 | 13.64 | 15.82 |
Returns After Taxes on Distributions and Sale of | |||
Fund Shares | 16.68 | 11.17 | 13.42 |
Since | |||
One | Five | Inception | |
Year | Years | (9/7/2010) | |
S&P Small-Cap 600 Growth Index Fund ETF Shares | |||
Returns Before Taxes | 36.92% | 16.40% | 18.39% |
Returns After Taxes on Distributions | 36.64 | 16.12 | 18.16 |
Returns After Taxes on Distributions and Sale of | |||
Fund Shares | 21.96 | 13.17 | 15.45 |
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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, 2018 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2018 | 8/31/2018 | Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,199.52 | $0.83 |
Institutional Shares | 1,000.00 | 1,199.96 | 0.44 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,165.38 | $1.09 |
Institutional Shares | 1,000.00 | 1,166.16 | 0.44 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,235.68 | $1.13 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
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, 0.15% 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. 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 (184/365).
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Trustees Approve Advisory Arrangements
The board of trustees 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 has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interest of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. 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 that directed 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 the investment management services provided to the funds since their inception in 2010, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four 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 each fund’s performance since its inception, including any periods of outperformance or underperformance compared with 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 on 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 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.
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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.
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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 Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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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 208 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. 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 University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) 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.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 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) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 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 co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 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) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team | |
Mortimer J. Buckley | James M. Norris |
Gregory Davis | Thomas M. Rampulla |
John James | Karin A. Risi |
Martha G. King | Anne E. Robinson |
John T. Marcante | Michael Rollings |
Chris D. McIsaac |
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
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
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You can obtain a free copy of Vanguard’s proxy voting | representation regarding the advisability of investing in |
guidelines by visiting vanguard.com/proxyreporting or by | such product(s) nor do they have any liability for any |
calling Vanguard at 800-662-2739. The guidelines are | errors, omissions, or interruptions of the index. |
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 | |
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find out more about this public service, call the SEC at | |
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copies of this information, for a fee, by sending a | |
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publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2018 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18450 102018 |
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: JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended August 31, 2018: $295,000
Fiscal Year Ended August 31, 2017: $287,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2018: $9,734,277
Fiscal Year Ended August 31, 2017: $8,424,459
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, 2018: $5,581,336
Fiscal Year Ended August 31, 2017: $3,194,093
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, 2018: $347,985
Fiscal Year Ended August 31, 2017: $274,313
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, 2018: $0
Fiscal Year Ended August 31, 2017: $0
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, 2018: $347,985
Fiscal Year Ended August 31, 2017: $274,313
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: JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, 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: Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies.
Not Applicable.
Item 13: 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/ MORTIMER J. BUCKLEY* |
MORTIMER J. BUCKLEY | |
CHIEF EXECUTIVE OFFICER | |
Date: October 19, 2018 |
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/ MORTIMER J. BUCKLEY * |
MORTIMER J. BUCKLEY | |
CHIEF EXECUTIVE OFFICER | |
Date: October 19, 2018 | |
| VANGUARD ADMIRAL FUNDS |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: October 19, 2018 |
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 see file
Number 33-32216, Incorporated by Reference.