Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)
February 28 2013 - 2:08PM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY
Investment Company Act file number:
811-04526
Name of Registrant:
Vanguard Quantitative Funds
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Date of fiscal year end: September 3
0
Date of reporting period: December 31, 2012
Item 1:
Schedule of Investments
|
|
|
|
|
|
Growth and Income Fund
|
|
|
|
|
|
|
|
|
|
Schedule of Investments
|
|
|
|
As of December 31, 2012
|
|
|
|
|
|
|
|
|
Market
|
|
|
|
|
Value
|
|
|
|
Shares
|
($000)
|
|
Common Stocks (97.9%)
1
|
|
|
|
Consumer Discretionary (12.3%)
|
|
|
|
|
Home Depot Inc.
|
655,752
|
40,558
|
|
|
Comcast Corp. Class A
|
1,044,934
|
39,060
|
|
|
Wyndham Worldwide Corp.
|
484,274
|
25,768
|
|
*
|
Amazon.com Inc.
|
94,710
|
23,785
|
|
|
Time Warner Cable Inc.
|
236,200
|
22,956
|
|
|
Viacom Inc. Class B
|
411,836
|
21,720
|
|
*
|
DIRECTV
|
382,556
|
19,189
|
|
|
TJX Cos. Inc.
|
426,270
|
18,095
|
|
|
Walt Disney Co.
|
349,325
|
17,393
|
|
|
McDonald's Corp.
|
170,220
|
15,015
|
|
|
News Corp. Class A
|
578,556
|
14,776
|
|
|
CBS Corp. Class B
|
351,833
|
13,387
|
|
*
|
priceline.com Inc.
|
19,453
|
12,084
|
|
|
Gap Inc.
|
368,546
|
11,440
|
|
*
|
O'Reilly Automotive Inc.
|
120,400
|
10,766
|
|
*
|
Goodyear Tire & Rubber Co.
|
758,070
|
10,469
|
|
|
Macy's Inc.
|
258,780
|
10,098
|
|
|
NIKE Inc. Class B
|
187,020
|
9,650
|
|
|
Whirlpool Corp.
|
84,000
|
8,547
|
|
|
Newell Rubbermaid Inc.
|
379,300
|
8,447
|
|
|
Harley-Davidson Inc.
|
172,800
|
8,440
|
|
|
Time Warner Inc.
|
173,705
|
8,308
|
|
|
Lowe's Cos. Inc.
|
225,730
|
8,018
|
|
|
Marriott International Inc. Class A
|
208,420
|
7,768
|
|
|
Starbucks Corp.
|
137,557
|
7,376
|
|
|
H&R Block Inc.
|
385,060
|
7,151
|
|
|
Ford Motor Co.
|
475,489
|
6,158
|
|
*
|
AutoZone Inc.
|
16,164
|
5,729
|
|
|
Expedia Inc.
|
91,410
|
5,617
|
|
|
Coach Inc.
|
99,880
|
5,544
|
|
|
Cablevision Systems Corp. Class A
|
344,254
|
5,143
|
|
|
Gannett Co. Inc.
|
269,800
|
4,859
|
|
|
Omnicom Group Inc.
|
95,890
|
4,791
|
|
*
|
TripAdvisor Inc.
|
114,100
|
4,788
|
|
|
Target Corp.
|
75,100
|
4,444
|
|
|
Mattel Inc.
|
120,050
|
4,396
|
|
|
Yum! Brands Inc.
|
56,990
|
3,784
|
|
|
Washington Post Co. Class B
|
10,206
|
3,727
|
|
|
Wynn Resorts Ltd.
|
32,515
|
3,658
|
|
*
|
NVR Inc.
|
3,800
|
3,496
|
|
|
Starwood Hotels & Resorts Worldwide Inc.
|
53,790
|
3,085
|
|
|
Limited Brands Inc.
|
63,720
|
2,999
|
|
|
Carnival Corp.
|
74,620
|
2,744
|
|
*
|
Discovery Communications Inc. Class A
|
42,910
|
2,724
|
|
|
Ross Stores Inc.
|
45,940
|
2,488
|
|
*
|
Fossil Inc.
|
26,400
|
2,458
|
|
|
Nordstrom Inc.
|
40,930
|
2,190
|
|
|
Ralph Lauren Corp. Class A
|
13,413
|
2,011
|
|
|
Scripps Networks Interactive Inc. Class A
|
33,980
|
1,968
|
|
|
|
|
|
* AutoNation Inc.
|
48,140
|
1,911
|
|
* Apollo Group Inc. Class A
|
91,290
|
1,910
|
|
Darden Restaurants Inc.
|
38,360
|
1,729
|
|
Harman International Industries Inc.
|
37,460
|
1,672
|
|
* Discovery Communications Inc.
|
28,300
|
1,656
|
|
D.R. Horton Inc.
|
78,300
|
1,549
|
|
Genuine Parts Co.
|
24,256
|
1,542
|
|
Ameristar Casinos Inc.
|
52,400
|
1,375
|
|
McGraw-Hill Cos. Inc.
|
24,683
|
1,349
|
|
PetSmart Inc.
|
19,660
|
1,344
|
|
Domino's Pizza Inc.
|
30,300
|
1,320
|
|
International Game Technology
|
89,900
|
1,274
|
|
Family Dollar Stores Inc.
|
18,700
|
1,186
|
|
* PulteGroup Inc.
|
63,550
|
1,154
|
|
Las Vegas Sands Corp.
|
24,526
|
1,132
|
|
Best Buy Co. Inc.
|
89,700
|
1,063
|
|
Hasbro Inc.
|
25,537
|
917
|
|
* Liberty Media Corp. - Liberty Capital Class A
|
7,900
|
916
|
|
* Charter Communications Inc. Class A
|
11,900
|
907
|
|
GameStop Corp. Class A
|
35,850
|
899
|
|
* Dollar Tree Inc.
|
21,400
|
868
|
|
Kohl's Corp.
|
18,290
|
786
|
|
* Bed Bath & Beyond Inc.
|
14,000
|
783
|
|
* Fifth & Pacific Cos. Inc.
|
39,660
|
494
|
|
* Orbitz Worldwide Inc.
|
180,221
|
490
|
|
Abercrombie & Fitch Co.
|
10,160
|
487
|
|
* Liberty Global Inc. Class A
|
7,300
|
460
|
|
* Pinnacle Entertainment Inc.
|
27,894
|
442
|
|
* Christopher & Banks Corp.
|
65,100
|
355
|
|
Hillenbrand Inc.
|
15,368
|
347
|
|
Lennar Corp. Class A
|
7,860
|
304
|
|
* Biglari Holdings Inc.
|
746
|
291
|
|
* Boyd Gaming Corp.
|
43,300
|
287
|
|
Gildan Activewear Inc. Class A
|
7,000
|
256
|
|
Leggett & Platt Inc.
|
9,140
|
249
|
|
Lear Corp.
|
5,200
|
244
|
|
* Sally Beauty Holdings Inc.
|
10,300
|
243
|
|
* Delphi Automotive plc
|
6,200
|
237
|
|
* Ascent Capital Group Inc. Class A
|
3,600
|
223
|
|
Interpublic Group of Cos. Inc.
|
18,535
|
204
|
|
Tractor Supply Co.
|
2,200
|
194
|
|
* Penn National Gaming Inc.
|
3,900
|
191
|
|
* Office Depot Inc.
|
52,300
|
172
|
|
Blyth Inc.
|
10,300
|
160
|
|
* Sears Holdings Corp.
|
3,800
|
157
|
|
Churchill Downs Inc.
|
2,360
|
157
|
|
* Career Education Corp.
|
42,759
|
150
|
|
* Pandora Media Inc.
|
15,000
|
138
|
|
Service Corp. International
|
9,900
|
137
|
|
Williams-Sonoma Inc.
|
3,000
|
131
|
|
Sears Canada Inc.
|
9,422
|
95
|
|
Movado Group Inc.
|
3,000
|
92
|
|
Strayer Education Inc.
|
1,500
|
84
|
|
* Red Robin Gourmet Burgers Inc.
|
2,300
|
81
|
|
Ulta Salon Cosmetics & Fragrance Inc.
|
800
|
79
|
|
* Corinthian Colleges Inc.
|
31,500
|
77
|
|
* Zale Corp.
|
15,651
|
64
|
|
|
|
|
|
Signet Jewelers Ltd.
|
1,200
|
64
|
|
* Carmike Cinemas Inc.
|
4,100
|
61
|
|
* Dollar General Corp.
|
1,390
|
61
|
|
* New York & Co. Inc.
|
15,823
|
60
|
|
* ITT Educational Services Inc.
|
3,000
|
52
|
|
* Wet Seal Inc. Class A
|
15,077
|
42
|
|
Harte-Hanks Inc.
|
7,043
|
42
|
|
* American Apparel Inc.
|
38,397
|
39
|
|
Hooker Furniture Corp.
|
2,584
|
38
|
|
PVH Corp.
|
300
|
33
|
|
Universal Technical Institute Inc.
|
2,389
|
24
|
|
Ambassadors Group Inc.
|
5,104
|
22
|
|
* Bridgepoint Education Inc.
|
2,100
|
22
|
|
* Liberty Ventures Class A
|
300
|
20
|
|
* Exide Technologies
|
5,743
|
20
|
|
* Isle of Capri Casinos Inc.
|
3,462
|
19
|
|
DISH Network Corp. Class A
|
500
|
18
|
|
* Jamba Inc.
|
7,966
|
18
|
|
* Lee Enterprises Inc.
|
14,075
|
16
|
|
* Cumulus Media Inc. Class A
|
5,900
|
16
|
|
* Build-A-Bear Workshop Inc.
|
3,780
|
14
|
|
* Sears Hometown and Outlet Stores Inc.
|
354
|
11
|
|
AH Belo Corp. Class A
|
1,900
|
9
|
|
* General Motors Co.
|
289
|
8
|
|
* Barnes & Noble Inc.
|
500
|
8
|
|
Sirius XM Radio Inc.
|
2,400
|
7
|
|
* Tuesday Morning Corp.
|
1,100
|
7
|
|
* Education Management Corp.
|
1,300
|
6
|
|
* Furniture Brands International Inc.
|
4,200
|
4
|
|
* Valuevision Media Inc. Class A
|
2,463
|
4
|
|
* Reading International Inc. Class A
|
700
|
4
|
|
* Pacific Sunwear of California Inc.
|
2,500
|
4
|
|
* LodgeNet Interactive Corp.
|
75,900
|
4
|
|
* Live Nation Entertainment Inc.
|
400
|
4
|
|
* Kirkland's Inc.
|
350
|
4
|
|
Texas Roadhouse Inc. Class A
|
219
|
4
|
|
RadioShack Corp.
|
1,600
|
3
|
|
* Beazer Homes USA Inc.
|
200
|
3
|
|
Lincoln Educational Services Corp.
|
600
|
3
|
|
* Express Inc.
|
200
|
3
|
|
Pep Boys-Manny Moe & Jack
|
300
|
3
|
|
Regal Entertainment Group Class A
|
209
|
3
|
|
* Capella Education Co.
|
100
|
3
|
|
* Imax Corp.
|
114
|
3
|
|
* School Specialty Inc.
|
2,300
|
2
|
|
* Vitacost.com Inc.
|
317
|
2
|
|
* MTR Gaming Group Inc.
|
500
|
2
|
|
* Coldwater Creek Inc.
|
350
|
2
|
|
* Overstock.com Inc.
|
108
|
2
|
|
|
|
526,902
|
|
Consumer Staples (9.8%)
|
|
|
|
Philip Morris International Inc.
|
874,849
|
73,172
|
|
Procter & Gamble Co.
|
983,168
|
66,747
|
|
Wal-Mart Stores Inc.
|
638,089
|
43,537
|
|
Coca-Cola Co.
|
830,034
|
30,089
|
|
PepsiCo Inc.
|
415,881
|
28,459
|
|
Costco Wholesale Corp.
|
246,200
|
24,317
|
|
|
|
|
|
Kraft Foods Group Inc.
|
360,636
|
16,398
|
|
CVS Caremark Corp.
|
334,500
|
16,173
|
|
Kroger Co.
|
446,160
|
11,609
|
|
Mondelez International Inc. Class A
|
403,110
|
10,267
|
|
Altria Group Inc.
|
311,488
|
9,787
|
|
* Dean Foods Co.
|
582,700
|
9,620
|
|
Reynolds American Inc.
|
227,652
|
9,432
|
|
Kimberly-Clark Corp.
|
92,431
|
7,804
|
|
JM Smucker Co.
|
89,900
|
7,753
|
|
Campbell Soup Co.
|
212,300
|
7,407
|
|
Walgreen Co.
|
198,500
|
7,347
|
|
* Constellation Brands Inc. Class A
|
190,900
|
6,756
|
|
Colgate-Palmolive Co.
|
50,032
|
5,230
|
|
Estee Lauder Cos. Inc. Class A
|
64,900
|
3,885
|
|
HJ Heinz Co.
|
66,142
|
3,815
|
|
Hershey Co.
|
52,590
|
3,798
|
|
General Mills Inc.
|
86,650
|
3,502
|
|
Sysco Corp.
|
87,939
|
2,784
|
|
Tyson Foods Inc. Class A
|
128,902
|
2,501
|
|
Dr Pepper Snapple Group Inc.
|
50,791
|
2,244
|
|
Clorox Co.
|
16,440
|
1,204
|
|
Beam Inc.
|
9,800
|
599
|
|
Lorillard Inc.
|
4,609
|
538
|
|
Hormel Foods Corp.
|
16,204
|
506
|
|
Avon Products Inc.
|
31,300
|
449
|
|
Molson Coors Brewing Co. Class B
|
10,450
|
447
|
|
Whole Foods Market Inc.
|
4,490
|
410
|
|
Sanderson Farms Inc.
|
6,790
|
323
|
|
Ingredion Inc.
|
3,881
|
250
|
|
* Hain Celestial Group Inc.
|
3,000
|
163
|
|
* Green Mountain Coffee Roasters Inc.
|
3,600
|
149
|
|
Brown-Forman Corp. Class B
|
1,400
|
89
|
|
* Rite Aid Corp.
|
45,600
|
62
|
|
Mead Johnson Nutrition Co.
|
400
|
26
|
|
B&G Foods Inc.
|
600
|
17
|
|
Kellogg Co.
|
200
|
11
|
|
Hillshire Brands Co.
|
300
|
8
|
|
* Post Holdings Inc.
|
193
|
7
|
|
Cott Corp.
|
750
|
6
|
|
* Monster Beverage Corp.
|
100
|
5
|
|
Vector Group Ltd.
|
300
|
4
|
|
* Synutra International Inc.
|
800
|
4
|
|
Roundy's Inc.
|
300
|
1
|
|
SUPERVALU Inc.
|
500
|
1
|
|
|
|
419,712
|
|
Energy (10.4%)
|
|
|
|
Exxon Mobil Corp.
|
1,590,004
|
137,615
|
|
Chevron Corp.
|
739,242
|
79,942
|
|
ConocoPhillips
|
553,754
|
32,112
|
|
Occidental Petroleum Corp.
|
405,605
|
31,073
|
|
Schlumberger Ltd.
|
405,189
|
28,076
|
|
Phillips 66
|
356,312
|
18,920
|
|
Marathon Petroleum Corp.
|
297,450
|
18,739
|
|
EOG Resources Inc.
|
118,300
|
14,289
|
|
Anadarko Petroleum Corp.
|
186,256
|
13,841
|
|
Valero Energy Corp.
|
296,960
|
10,132
|
|
Ensco plc Class A
|
156,500
|
9,277
|
|
|
|
|
|
|
|
Spectra Energy Corp.
|
247,140
|
6,767
|
|
|
National Oilwell Varco Inc.
|
95,891
|
6,554
|
|
|
Williams Cos. Inc.
|
175,440
|
5,744
|
|
|
Marathon Oil Corp.
|
157,891
|
4,841
|
|
|
Halliburton Co.
|
134,504
|
4,666
|
|
|
Devon Energy Corp.
|
86,591
|
4,506
|
|
|
Tesoro Corp.
|
93,650
|
4,125
|
|
|
Kinder Morgan Inc.
|
94,870
|
3,352
|
|
|
Cabot Oil & Gas Corp.
|
29,710
|
1,478
|
|
*
|
Cameron International Corp.
|
24,700
|
1,395
|
|
*
|
WPX Energy Inc.
|
90,300
|
1,344
|
|
|
Murphy Oil Corp.
|
22,198
|
1,322
|
|
*
|
Denbury Resources Inc.
|
59,174
|
959
|
|
|
Apache Corp.
|
11,850
|
930
|
|
|
Nexen Inc.
|
27,800
|
749
|
|
*
|
Hercules Offshore Inc.
|
98,200
|
607
|
|
*
|
SemGroup Corp. Class A
|
14,100
|
551
|
|
|
Helmerich & Payne Inc.
|
5,700
|
319
|
|
*
|
Cheniere Energy Inc.
|
16,800
|
315
|
|
*
|
FMC Technologies Inc.
|
7,321
|
314
|
|
|
Noble Energy Inc.
|
2,700
|
275
|
|
*
|
Renewable Energy Group Inc.
|
21,288
|
125
|
|
*
|
TETRA Technologies Inc.
|
16,300
|
124
|
|
*
|
Cal Dive International Inc.
|
50,579
|
87
|
|
*
|
Lone Pine Resources Inc.
|
70,828
|
87
|
|
|
Talisman Energy Inc.
|
7,100
|
80
|
|
|
Baker Hughes Inc.
|
1,769
|
72
|
|
|
W&T Offshore Inc.
|
3,700
|
59
|
|
*
|
Ocean Rig UDW Inc.
|
2,990
|
45
|
|
|
Hess Corp.
|
700
|
37
|
|
*
|
Southwestern Energy Co.
|
1,100
|
37
|
|
|
DHT Holdings Inc.
|
7,000
|
29
|
|
*,^
Overseas Shipholding Group Inc.
|
26,800
|
23
|
|
*
|
SandRidge Energy Inc.
|
2,500
|
16
|
|
*
|
EPL Oil & Gas Inc.
|
600
|
13
|
|
|
Oceaneering International Inc.
|
200
|
11
|
|
*
|
Midstates Petroleum Co. Inc.
|
1,400
|
10
|
|
*
|
Uranium Resources Inc.
|
29,700
|
9
|
|
*
|
Geospace Technologies Corp.
|
100
|
9
|
|
*
|
Hyperdynamics Corp.
|
12,700
|
8
|
|
*
|
Willbros Group Inc.
|
1,400
|
7
|
|
*
|
Nabors Industries Ltd.
|
500
|
7
|
|
*
|
Newfield Exploration Co.
|
265
|
7
|
|
|
Encana Corp.
|
300
|
6
|
|
*
|
Exterran Holdings Inc.
|
239
|
5
|
|
*
|
Halcon Resources Corp.
|
700
|
5
|
|
*
|
ZaZa Energy Corp.
|
1,764
|
4
|
|
*
|
Gevo Inc.
|
1,200
|
2
|
|
*
|
James River Coal Co.
|
500
|
2
|
|
*
|
Kosmos Energy Ltd.
|
100
|
1
|
|
|
|
|
446,056
|
|
Exchange-Traded Fund (0.2%)
|
|
|
|
|
SPDR S&P 500 ETF Trust
|
54,400
|
7,753
|
|
|
|
Financials (16.5%)
|
|
|
|
|
JPMorgan Chase & Co.
|
1,652,521
|
72,661
|
|
|
Wells Fargo & Co.
|
2,050,217
|
70,076
|
|
|
|
|
|
* American International Group Inc.
|
1,227,180
|
43,319
|
|
Bank of America Corp.
|
3,465,310
|
40,198
|
|
* Berkshire Hathaway Inc. Class B
|
357,765
|
32,092
|
|
American Express Co.
|
558,211
|
32,086
|
|
US Bancorp
|
929,093
|
29,675
|
|
Goldman Sachs Group Inc.
|
187,730
|
23,947
|
|
Citigroup Inc.
|
509,190
|
20,144
|
|
Simon Property Group Inc.
|
106,180
|
16,786
|
|
Discover Financial Services
|
419,550
|
16,174
|
|
Fifth Third Bancorp
|
894,020
|
13,580
|
|
SLM Corp.
|
709,706
|
12,157
|
|
Equity Residential
|
213,239
|
12,084
|
|
Aflac Inc.
|
216,810
|
11,517
|
|
Allstate Corp.
|
278,040
|
11,169
|
|
Marsh & McLennan Cos. Inc.
|
321,125
|
11,069
|
|
Prologis Inc.
|
296,280
|
10,811
|
|
State Street Corp.
|
214,601
|
10,088
|
|
HCP Inc.
|
223,045
|
10,077
|
|
CME Group Inc.
|
178,620
|
9,058
|
|
Kimco Realty Corp.
|
413,630
|
7,991
|
|
AvalonBay Communities Inc.
|
57,891
|
7,849
|
|
Public Storage
|
53,279
|
7,723
|
|
PNC Financial Services Group Inc.
|
130,342
|
7,600
|
|
Torchmark Corp.
|
146,760
|
7,583
|
|
Invesco Ltd.
|
287,841
|
7,510
|
|
Prudential Financial Inc.
|
134,880
|
7,193
|
|
BlackRock Inc.
|
32,420
|
6,702
|
|
Health Care REIT Inc.
|
107,780
|
6,606
|
|
NYSE Euronext
|
199,525
|
6,293
|
|
Travelers Cos. Inc.
|
87,416
|
6,278
|
|
Aon plc
|
106,890
|
5,943
|
|
American Tower Corporation
|
74,335
|
5,744
|
|
* Genworth Financial Inc. Class A
|
761,500
|
5,719
|
|
Capital One Financial Corp.
|
97,800
|
5,666
|
|
Ventas Inc.
|
85,870
|
5,558
|
|
Bank of New York Mellon Corp.
|
203,755
|
5,237
|
|
Weyerhaeuser Co.
|
183,700
|
5,111
|
|
Progressive Corp.
|
231,323
|
4,881
|
|
Ameriprise Financial Inc.
|
76,344
|
4,781
|
|
Loews Corp.
|
102,914
|
4,194
|
|
Assurant Inc.
|
118,167
|
4,100
|
|
Plum Creek Timber Co. Inc.
|
78,386
|
3,478
|
|
Chubb Corp.
|
45,601
|
3,435
|
|
* IntercontinentalExchange Inc.
|
27,340
|
3,385
|
|
NASDAQ OMX Group Inc.
|
129,892
|
3,249
|
|
T. Rowe Price Group Inc.
|
49,431
|
3,219
|
|
Boston Properties Inc.
|
29,980
|
3,172
|
|
ACE Ltd.
|
36,030
|
2,875
|
|
BB&T Corp.
|
93,920
|
2,734
|
|
Unum Group
|
117,400
|
2,444
|
|
People's United Financial Inc.
|
178,492
|
2,158
|
|
Granite Real Estate Inc.
|
54,700
|
2,079
|
|
Equity Lifestyle Properties Inc.
|
29,908
|
2,013
|
|
M&T Bank Corp.
|
16,959
|
1,670
|
|
Vornado Realty Trust
|
19,961
|
1,598
|
|
SunTrust Banks Inc.
|
54,800
|
1,554
|
|
Erie Indemnity Co. Class A
|
20,599
|
1,426
|
|
|
|
|
|
* E*TRADE Financial Corp.
|
145,460
|
1,302
|
|
MetLife Inc.
|
38,440
|
1,266
|
|
Apartment Investment & Management Co. Class A
|
40,886
|
1,106
|
|
Cincinnati Financial Corp.
|
26,650
|
1,044
|
|
Northern Trust Corp.
|
20,250
|
1,016
|
|
KeyCorp
|
103,280
|
870
|
|
* Flagstar Bancorp Inc.
|
41,900
|
813
|
|
Federated Investors Inc. Class B
|
36,599
|
740
|
|
Old Republic International Corp.
|
66,169
|
705
|
|
Franklin Resources Inc.
|
5,100
|
641
|
|
Huntington Bancshares Inc.
|
96,100
|
614
|
|
Morgan Stanley
|
27,790
|
531
|
|
Hudson City Bancorp Inc.
|
57,000
|
463
|
|
* Popular Inc.
|
22,100
|
459
|
|
* Ocwen Financial Corp.
|
11,000
|
380
|
|
XL Group plc Class A
|
13,281
|
333
|
|
* NewStar Financial Inc.
|
23,000
|
322
|
|
Newcastle Investment Corp.
|
35,900
|
312
|
|
* Arch Capital Group Ltd.
|
6,900
|
304
|
|
Credicorp Ltd.
|
1,907
|
279
|
|
American Assets Trust Inc.
|
9,864
|
276
|
|
Charles Schwab Corp.
|
18,395
|
264
|
|
Apollo Residential Mortgage Inc.
|
11,900
|
240
|
|
* First BanCorp
|
50,600
|
232
|
|
* Central Pacific Financial Corp.
|
14,600
|
228
|
|
Moody's Corp.
|
4,404
|
222
|
|
Starwood Property Trust Inc.
|
9,500
|
218
|
|
* Alleghany Corp.
|
607
|
204
|
|
Oriental Financial Group Inc.
|
14,725
|
197
|
|
Healthcare Trust of America Inc. Class A
|
19,300
|
191
|
|
Symetra Financial Corp.
|
14,500
|
188
|
|
White Mountains Insurance Group Ltd.
|
300
|
154
|
|
Piedmont Office Realty Trust Inc. Class A
|
7,700
|
139
|
|
Sovran Self Storage Inc.
|
2,200
|
137
|
|
CNO Financial Group Inc.
|
12,400
|
116
|
|
American Campus Communities Inc.
|
2,400
|
111
|
|
* Knight Capital Group Inc. Class A
|
28,479
|
100
|
|
Western Asset Mortgage Capital Corp.
|
4,800
|
95
|
|
Retail Properties of America Inc.
|
5,893
|
71
|
|
* eHealth Inc.
|
2,514
|
69
|
|
ProAssurance Corp.
|
1,490
|
63
|
|
* First Industrial Realty Trust Inc.
|
4,200
|
59
|
|
Brown & Brown Inc.
|
2,086
|
53
|
|
* Altisource Portfolio Solutions SA
|
600
|
52
|
|
* Hilltop Holdings Inc.
|
3,548
|
48
|
|
* Green Dot Corp. Class A
|
3,900
|
48
|
|
Taubman Centers Inc.
|
600
|
47
|
|
* Southwest Bancorp Inc.
|
3,342
|
37
|
|
* Signature Bank
|
500
|
36
|
|
Host Hotels & Resorts Inc.
|
1,800
|
28
|
|
* FelCor Lodging Trust Inc.
|
5,600
|
26
|
|
PS Business Parks Inc.
|
400
|
26
|
|
* United Community Banks Inc.
|
2,748
|
26
|
|
Medley Capital Corp.
|
1,700
|
25
|
|
Rouse Properties Inc.
|
1,200
|
20
|
|
Terreno Realty Corp.
|
1,054
|
16
|
|
Endurance Specialty Holdings Ltd.
|
400
|
16
|
|
|
|
|
|
Willis Group Holdings plc
|
400
|
13
|
|
Washington REIT
|
500
|
13
|
|
PrivateBancorp Inc.
|
700
|
11
|
|
* Phoenix Cos. Inc.
|
426
|
11
|
|
Hospitality Properties Trust
|
400
|
9
|
|
Validus Holdings Ltd.
|
270
|
9
|
|
Trustmark Corp.
|
400
|
9
|
|
Realty Income Corp.
|
200
|
8
|
|
* FBR & Co.
|
2,060
|
8
|
|
RLI Corp.
|
117
|
8
|
|
United Fire Group Inc.
|
300
|
7
|
|
Legg Mason Inc.
|
200
|
5
|
|
Leucadia National Corp.
|
200
|
5
|
|
Prospect Capital Corp.
|
404
|
4
|
|
* Sunstone Hotel Investors Inc.
|
400
|
4
|
|
Parkway Properties Inc.
|
300
|
4
|
|
* TFS Financial Corp.
|
400
|
4
|
|
Capitol Federal Financial Inc.
|
241
|
3
|
|
* Preferred Bank
|
196
|
3
|
|
Sterling Financial Corp.
|
112
|
2
|
|
* Global Indemnity plc
|
100
|
2
|
|
Getty Realty Corp.
|
121
|
2
|
|
New Mountain Finance Corp.
|
100
|
1
|
|
SI Financial Group Inc.
|
100
|
1
|
|
* Altisource Asset Management Corp.
|
10
|
1
|
|
* Altisource Residential Corp.
|
33
|
1
|
|
MidSouth Bancorp Inc.
|
6
|
—
|
|
|
|
703,245
|
|
Health Care (11.0%)
|
|
|
|
Pfizer Inc.
|
3,026,119
|
75,895
|
|
Johnson & Johnson
|
844,663
|
59,211
|
|
Merck & Co. Inc.
|
1,172,994
|
48,022
|
|
Abbott Laboratories
|
631,423
|
41,358
|
|
UnitedHealth Group Inc.
|
565,398
|
30,667
|
|
Eli Lilly & Co.
|
423,352
|
20,880
|
|
Amgen Inc.
|
209,950
|
18,123
|
|
McKesson Corp.
|
180,210
|
17,473
|
|
* Biogen Idec Inc.
|
85,470
|
12,536
|
|
Aetna Inc.
|
222,300
|
10,293
|
|
Covidien plc
|
162,100
|
9,360
|
|
* Celgene Corp.
|
118,460
|
9,325
|
|
* Mylan Inc.
|
318,330
|
8,748
|
|
Zimmer Holdings Inc.
|
124,700
|
8,313
|
|
Cardinal Health Inc.
|
197,990
|
8,153
|
|
Allergan Inc.
|
82,190
|
7,539
|
|
Thermo Fisher Scientific Inc.
|
110,250
|
7,032
|
|
* DaVita HealthCare Partners Inc.
|
62,400
|
6,897
|
|
Bristol-Myers Squibb Co.
|
184,032
|
5,998
|
|
* Gilead Sciences Inc.
|
78,870
|
5,793
|
|
Baxter International Inc.
|
83,468
|
5,564
|
|
Cigna Corp.
|
101,400
|
5,421
|
|
Medtronic Inc.
|
120,103
|
4,927
|
|
Humana Inc.
|
70,800
|
4,859
|
|
* Alexion Pharmaceuticals Inc.
|
50,100
|
4,700
|
|
AmerisourceBergen Corp. Class A
|
101,817
|
4,396
|
|
Becton Dickinson and Co.
|
53,032
|
4,147
|
|
Tenet Healthcare Corp.
|
125,246
|
4,067
|
|
|
|
|
|
|
*
|
Life Technologies Corp.
|
78,000
|
3,828
|
|
|
Stryker Corp.
|
41,093
|
2,253
|
|
*
|
Intuitive Surgical Inc.
|
4,182
|
2,051
|
|
*
|
Hospira Inc.
|
55,100
|
1,721
|
|
*
|
CareFusion Corp.
|
45,300
|
1,295
|
|
*
|
Edwards Lifesciences Corp.
|
10,580
|
954
|
|
*
|
XenoPort Inc.
|
110,509
|
859
|
|
|
Teleflex Inc.
|
9,800
|
699
|
|
*
|
Forest Laboratories Inc.
|
19,297
|
682
|
|
|
Patterson Cos. Inc.
|
16,490
|
564
|
|
*
|
Watson Pharmaceuticals Inc.
|
6,000
|
516
|
|
*
|
Illumina Inc.
|
7,900
|
439
|
|
*
|
Idenix Pharmaceuticals Inc.
|
86,200
|
418
|
|
*
|
Emergent Biosolutions Inc.
|
24,737
|
397
|
|
*
|
Arqule Inc.
|
140,900
|
393
|
|
*
|
Sirona Dental Systems Inc.
|
5,600
|
361
|
|
*
|
Rigel Pharmaceuticals Inc.
|
47,331
|
308
|
|
*
|
PharMerica Corp.
|
19,566
|
279
|
|
*
|
Health Net Inc.
|
10,900
|
265
|
|
*
|
Allscripts Healthcare Solutions Inc.
|
26,300
|
248
|
|
*
|
Cell Therapeutics Inc.
|
174,804
|
227
|
|
*
|
Sequenom Inc.
|
47,451
|
224
|
|
*
|
Pharmacyclics Inc.
|
3,641
|
211
|
|
*
|
Array BioPharma Inc.
|
54,600
|
203
|
|
*
|
AVEO Pharmaceuticals Inc.
|
23,481
|
189
|
|
*
|
Valeant Pharmaceuticals International Inc.
|
2,900
|
173
|
|
*
|
Medivation Inc.
|
3,092
|
158
|
|
*
|
ACADIA Pharmaceuticals Inc.
|
31,500
|
146
|
|
|
WellPoint Inc.
|
2,200
|
134
|
|
*
|
Theravance Inc.
|
5,500
|
122
|
|
*
|
Sunesis Pharmaceuticals Inc.
|
27,800
|
117
|
|
*
|
Arena Pharmaceuticals Inc.
|
12,400
|
112
|
|
*
|
Achillion Pharmaceuticals Inc.
|
13,900
|
111
|
|
|
Pain Therapeutics Inc.
|
40,500
|
110
|
|
*
|
Threshold Pharmaceuticals Inc.
|
24,542
|
103
|
|
*
|
Oncothyreon Inc.
|
51,385
|
99
|
|
*
|
Furiex Pharmaceuticals Inc.
|
4,946
|
95
|
|
*
|
Dendreon Corp.
|
14,275
|
75
|
|
*
|
AMAG Pharmaceuticals Inc.
|
4,500
|
66
|
|
|
Quest Diagnostics Inc.
|
1,100
|
64
|
|
*
|
Progenics Pharmaceuticals Inc.
|
20,700
|
62
|
|
*
|
LCA-Vision Inc.
|
20,797
|
59
|
|
*
|
Accretive Health Inc.
|
4,978
|
58
|
|
*
|
MedAssets Inc.
|
3,400
|
57
|
|
*
|
Insmed Inc.
|
8,431
|
56
|
|
*
|
Bruker Corp.
|
3,433
|
52
|
|
*
|
Team Health Holdings Inc.
|
1,800
|
52
|
|
|
HCA Holdings Inc.
|
1,700
|
51
|
|
*
|
NuVasive Inc.
|
3,204
|
50
|
|
*
|
Neuralstem Inc.
|
41,669
|
46
|
|
*,^
StemCells Inc.
|
27,500
|
45
|
|
*
|
Vivus Inc.
|
3,323
|
45
|
|
*
|
Brookdale Senior Living Inc. Class A
|
1,700
|
43
|
|
*
|
BioDelivery Sciences International Inc.
|
9,802
|
42
|
|
*
|
Nektar Therapeutics
|
5,200
|
39
|
|
*
|
Keryx Biopharmaceuticals Inc.
|
11,800
|
31
|
|
*
|
Providence Service Corp.
|
1,800
|
31
|
|
|
|
|
|
* Celldex Therapeutics Inc.
|
4,400
|
30
|
|
* TranS1 Inc.
|
10,180
|
25
|
|
* Express Scripts Holding Co.
|
437
|
24
|
|
* ABIOMED Inc.
|
1,600
|
22
|
|
* Momenta Pharmaceuticals Inc.
|
1,800
|
21
|
|
* Halozyme Therapeutics Inc.
|
3,000
|
20
|
|
* Nymox Pharmaceutical Corp.
|
2,800
|
19
|
|
* Acorda Therapeutics Inc.
|
700
|
17
|
|
* Molina Healthcare Inc.
|
600
|
16
|
|
* Rockwell Medical Technologies Inc.
|
1,800
|
14
|
|
* Optimer Pharmaceuticals Inc.
|
1,575
|
14
|
|
* Infinity Pharmaceuticals Inc.
|
400
|
14
|
|
* SIGA Technologies Inc.
|
5,129
|
13
|
|
* Boston Scientific Corp.
|
2,300
|
13
|
|
* GTx Inc.
|
3,100
|
13
|
|
* Cutera Inc.
|
1,100
|
10
|
|
* Synta Pharmaceuticals Corp.
|
1,025
|
9
|
|
* Zalicus Inc.
|
13,400
|
9
|
|
Hill-Rom Holdings Inc.
|
300
|
9
|
|
Techne Corp.
|
123
|
8
|
|
* Capital Senior Living Corp.
|
400
|
7
|
|
Enzon Pharmaceuticals Inc.
|
1,600
|
7
|
|
Owens & Minor Inc.
|
200
|
6
|
|
* Staar Surgical Co.
|
900
|
5
|
|
* Merrimack Pharmaceuticals Inc.
|
900
|
5
|
|
* Biosante Pharmaceuticals Inc.
|
4,189
|
5
|
|
* Exelixis Inc.
|
1,100
|
5
|
|
* ViroPharma Inc.
|
200
|
5
|
|
* Myrexis Inc.
|
1,550
|
4
|
|
* Biolase Inc.
|
2,361
|
4
|
|
* Pacific Biosciences of California Inc.
|
2,000
|
3
|
|
* Horizon Pharma Inc.
|
1,300
|
3
|
|
* Ironwood Pharmaceuticals Inc. Class A
|
262
|
3
|
|
* HealthSouth Corp.
|
132
|
3
|
|
* Nanosphere Inc.
|
900
|
3
|
|
* QLT Inc.
|
300
|
2
|
|
* Orexigen Therapeutics Inc.
|
400
|
2
|
|
* Omeros Corp.
|
400
|
2
|
|
* Repros Therapeutics Inc.
|
84
|
1
|
|
* XOMA Corp.
|
500
|
1
|
|
* Durect Corp.
|
1,300
|
1
|
|
* AngioDynamics Inc.
|
105
|
1
|
|
* Ventrus Biosciences Inc.
|
400
|
1
|
|
* Ligand Pharmaceuticals Inc. Class B
|
35
|
1
|
|
* Alimera Sciences Inc.
|
400
|
1
|
|
* Pozen Inc.
|
100
|
1
|
|
|
|
472,187
|
|
Industrials (10.0%)
|
|
|
|
General Electric Co.
|
4,512,850
|
94,725
|
|
Union Pacific Corp.
|
230,738
|
29,008
|
|
United Parcel Service Inc. Class B
|
367,467
|
27,093
|
|
Boeing Co.
|
349,240
|
26,319
|
|
Honeywell International Inc.
|
303,230
|
19,246
|
|
General Dynamics Corp.
|
268,371
|
18,590
|
|
Lockheed Martin Corp.
|
181,834
|
16,781
|
|
Caterpillar Inc.
|
181,550
|
16,263
|
|
Raytheon Co.
|
281,001
|
16,174
|
|
|
|
|
|
Northrop Grumman Corp.
|
226,046
|
15,276
|
|
Ingersoll-Rand plc
|
310,770
|
14,905
|
|
Danaher Corp.
|
190,880
|
10,670
|
|
Equifax Inc.
|
181,000
|
9,796
|
|
3M Co.
|
96,990
|
9,006
|
|
United Technologies Corp.
|
104,210
|
8,546
|
|
Textron Inc.
|
306,900
|
7,608
|
|
Tyco International Ltd.
|
258,392
|
7,558
|
|
Emerson Electric Co.
|
119,509
|
6,329
|
|
ADT Corp.
|
121,040
|
5,627
|
|
Republic Services Inc. Class A
|
189,320
|
5,553
|
|
CSX Corp.
|
251,587
|
4,964
|
|
Illinois Tool Works Inc.
|
79,520
|
4,836
|
|
L-3 Communications Holdings Inc.
|
62,315
|
4,775
|
|
Fastenal Co.
|
84,720
|
3,956
|
|
Precision Castparts Corp.
|
20,027
|
3,794
|
|
Iron Mountain Inc.
|
92,756
|
2,880
|
|
Cintas Corp.
|
67,600
|
2,765
|
|
Waste Management Inc.
|
79,900
|
2,696
|
|
Roper Industries Inc.
|
23,970
|
2,672
|
|
Southwest Airlines Co.
|
256,200
|
2,623
|
|
WW Grainger Inc.
|
11,766
|
2,381
|
|
Expeditors International of Washington Inc.
|
58,832
|
2,327
|
|
Xylem Inc.
|
84,400
|
2,287
|
|
Deere & Co.
|
24,021
|
2,076
|
|
FedEx Corp.
|
22,100
|
2,027
|
|
* Sensata Technologies Holding NV
|
58,900
|
1,913
|
|
Joy Global Inc.
|
27,331
|
1,743
|
|
* Verisk Analytics Inc. Class A
|
24,900
|
1,270
|
|
Rockwell Collins Inc.
|
17,990
|
1,046
|
|
C.H. Robinson Worldwide Inc.
|
13,884
|
878
|
|
Parker Hannifin Corp.
|
8,620
|
733
|
|
* Nielsen Holdings NV
|
23,600
|
722
|
|
Cummins Inc.
|
6,407
|
694
|
|
Covanta Holding Corp.
|
35,055
|
646
|
|
Babcock & Wilcox Co.
|
24,000
|
629
|
|
Norfolk Southern Corp.
|
8,852
|
547
|
|
* EnerNOC Inc.
|
42,900
|
504
|
|
Rockwell Automation Inc.
|
5,507
|
463
|
|
Towers Watson & Co. Class A
|
5,000
|
281
|
|
Chicago Bridge & Iron Co. NV
|
6,000
|
278
|
|
* Engility Holdings Inc.
|
14,297
|
275
|
|
* AerCap Holdings NV
|
13,700
|
188
|
|
* Spirit Aerosystems Holdings Inc. Class A
|
10,700
|
182
|
|
HEICO Corp.
|
4,000
|
179
|
|
Dover Corp.
|
2,600
|
171
|
|
Brink's Co.
|
5,800
|
165
|
|
Huntington Ingalls Industries Inc.
|
2,900
|
126
|
|
* Old Dominion Freight Line Inc.
|
3,500
|
120
|
|
* Nortek Inc.
|
1,800
|
119
|
|
* Stericycle Inc.
|
1,200
|
112
|
|
* FuelCell Energy Inc.
|
117,682
|
108
|
|
Sauer-Danfoss Inc.
|
1,800
|
96
|
|
* USG Corp.
|
3,300
|
93
|
|
* Fuel Tech Inc.
|
20,100
|
84
|
|
Albany International Corp.
|
3,560
|
81
|
|
Corporate Executive Board Co.
|
1,700
|
81
|
|
|
|
|
|
* Swift Transportation Co.
|
7,400
|
67
|
|
Kansas City Southern
|
800
|
67
|
|
Avery Dennison Corp.
|
1,800
|
63
|
|
* Acacia Research Corp.
|
2,200
|
56
|
|
Quad/Graphics Inc.
|
2,500
|
51
|
|
* Atlas Air Worldwide Holdings Inc.
|
1,100
|
49
|
|
Fluor Corp.
|
800
|
47
|
|
* Spirit Airlines Inc.
|
2,340
|
41
|
|
Safe Bulkers Inc.
|
11,400
|
38
|
|
* Odyssey Marine Exploration Inc.
|
11,500
|
34
|
|
* Colfax Corp.
|
800
|
32
|
|
Masco Corp.
|
1,700
|
28
|
|
Geo Group Inc.
|
814
|
23
|
|
* Pendrell Corp.
|
16,900
|
21
|
|
* Federal Signal Corp.
|
2,700
|
21
|
|
* Cenveo Inc.
|
6,854
|
19
|
|
* CRA International Inc.
|
900
|
18
|
|
PACCAR Inc.
|
347
|
16
|
|
AAR Corp.
|
800
|
15
|
|
Apogee Enterprises Inc.
|
600
|
14
|
|
* Xerium Technologies Inc.
|
4,427
|
14
|
|
* Casella Waste Systems Inc. Class A
|
2,633
|
12
|
|
* Star Bulk Carriers Corp.
|
1,809
|
11
|
|
* American Reprographics Co.
|
3,710
|
9
|
|
* Rexnord Corp.
|
362
|
8
|
|
* DigitalGlobe Inc.
|
300
|
7
|
|
US Ecology Inc.
|
290
|
7
|
|
Aircastle Ltd.
|
500
|
6
|
|
Costamare Inc.
|
400
|
6
|
|
American Science & Engineering Inc.
|
82
|
5
|
|
Harsco Corp.
|
200
|
5
|
|
Ryder System Inc.
|
89
|
4
|
|
Knight Transportation Inc.
|
300
|
4
|
|
* Quality Distribution Inc.
|
600
|
4
|
|
H&E Equipment Services Inc.
|
236
|
4
|
|
* Sykes Enterprises Inc.
|
222
|
3
|
|
Robert Half International Inc.
|
100
|
3
|
|
* CPI Aerostructures Inc.
|
300
|
3
|
|
* NCI Building Systems Inc.
|
200
|
3
|
|
* Tecumseh Products Co. Class A
|
568
|
3
|
|
* Delta Air Lines Inc.
|
200
|
2
|
|
Acorn Energy Inc.
|
300
|
2
|
|
|
|
427,504
|
|
Information Technology (18.5%)
|
|
|
|
Apple Inc.
|
341,673
|
182,122
|
|
International Business Machines Corp.
|
396,894
|
76,025
|
|
Microsoft Corp.
|
2,405,424
|
64,297
|
|
* Google Inc. Class A
|
79,279
|
56,238
|
|
Cisco Systems Inc.
|
2,118,673
|
41,632
|
|
Oracle Corp.
|
1,236,832
|
41,211
|
|
Visa Inc. Class A
|
217,376
|
32,950
|
|
QUALCOMM Inc.
|
525,186
|
32,572
|
|
Intel Corp.
|
1,567,237
|
32,332
|
|
Mastercard Inc. Class A
|
42,479
|
20,869
|
|
Accenture plc Class A
|
313,750
|
20,864
|
|
* Yahoo! Inc.
|
650,555
|
12,946
|
|
* eBay Inc.
|
247,939
|
12,650
|
|
|
|
|
|
Texas Instruments Inc.
|
402,052
|
12,440
|
|
Seagate Technology plc
|
401,090
|
12,225
|
|
Fidelity National Information Services Inc.
|
337,712
|
11,756
|
|
Motorola Solutions Inc.
|
199,209
|
11,092
|
|
* LSI Corp.
|
1,439,500
|
10,192
|
|
* Symantec Corp.
|
453,600
|
8,532
|
|
Western Digital Corp.
|
200,400
|
8,515
|
|
Total System Services Inc.
|
315,700
|
6,762
|
|
* EMC Corp.
|
215,317
|
5,448
|
|
Intuit Inc.
|
89,786
|
5,342
|
|
* F5 Networks Inc.
|
45,940
|
4,463
|
|
Hewlett-Packard Co.
|
309,900
|
4,416
|
|
CA Inc.
|
197,327
|
4,337
|
|
* Citrix Systems Inc.
|
65,630
|
4,315
|
|
* Juniper Networks Inc.
|
187,203
|
3,682
|
|
Automatic Data Processing Inc.
|
59,970
|
3,419
|
|
* Zebra Technologies Corp.
|
73,900
|
2,903
|
|
Analog Devices Inc.
|
66,284
|
2,788
|
|
* SanDisk Corp.
|
62,634
|
2,728
|
|
* Red Hat Inc.
|
50,500
|
2,674
|
|
* VeriSign Inc.
|
66,600
|
2,585
|
|
Computer Sciences Corp.
|
61,000
|
2,443
|
|
AOL Inc.
|
76,100
|
2,253
|
|
* BMC Software Inc.
|
56,500
|
2,241
|
|
TE Connectivity Ltd.
|
57,611
|
2,139
|
|
* Lam Research Corp.
|
53,400
|
1,929
|
|
* NetApp Inc.
|
53,500
|
1,795
|
|
* Teradata Corp.
|
28,900
|
1,789
|
|
* Electronic Arts Inc.
|
103,800
|
1,508
|
|
Paychex Inc.
|
42,870
|
1,335
|
|
KLA-Tencor Corp.
|
27,625
|
1,319
|
|
Xerox Corp.
|
192,500
|
1,313
|
|
* Fiserv Inc.
|
15,400
|
1,217
|
|
* CoreLogic Inc.
|
42,100
|
1,133
|
|
Western Union Co.
|
83,168
|
1,132
|
|
* NCR Corp.
|
41,400
|
1,055
|
|
Linear Technology Corp.
|
27,101
|
930
|
|
Dell Inc.
|
89,285
|
904
|
|
* Autodesk Inc.
|
25,000
|
884
|
|
* First Solar Inc.
|
28,500
|
880
|
|
FLIR Systems Inc.
|
36,700
|
819
|
|
Altera Corp.
|
22,814
|
786
|
|
Marvell Technology Group Ltd.
|
106,200
|
771
|
|
Harris Corp.
|
12,600
|
617
|
|
* Cognizant Technology Solutions Corp. Class A
|
7,980
|
591
|
|
Microchip Technology Inc.
|
16,178
|
527
|
|
* Salesforce.com Inc.
|
2,500
|
420
|
|
* Facebook Inc. Class A
|
14,500
|
386
|
|
* Silicon Image Inc.
|
63,564
|
315
|
|
* Vocus Inc.
|
14,678
|
255
|
|
* Agilysys Inc.
|
21,400
|
179
|
|
* PMC - Sierra Inc.
|
21,400
|
112
|
|
* Integrated Device Technology Inc.
|
14,200
|
104
|
|
Maxim Integrated Products Inc.
|
3,400
|
100
|
|
* STEC Inc.
|
14,600
|
72
|
|
* Sonus Networks Inc.
|
40,100
|
68
|
|
* TNS Inc.
|
3,200
|
66
|
|
|
|
|
|
|
*
|
Carbonite Inc.
|
5,495
|
51
|
|
*
|
Constant Contact Inc.
|
3,566
|
51
|
|
*
|
Quantum Corp.
|
39,200
|
49
|
|
*
|
Procera Networks Inc.
|
2,400
|
45
|
|
*
|
Aspen Technology Inc.
|
1,500
|
41
|
|
*
|
Ixia
|
2,300
|
39
|
|
*
|
MicroStrategy Inc. Class A
|
400
|
37
|
|
*
|
Zynga Inc. Class A
|
15,400
|
37
|
|
*
|
MoneyGram International Inc.
|
2,400
|
32
|
|
*
|
Silicon Graphics International Corp.
|
2,956
|
30
|
|
*
|
TeleCommunication Systems Inc. Class A
|
10,900
|
27
|
|
*
|
Identive Group Inc.
|
17,600
|
26
|
|
*
|
Acxiom Corp.
|
1,444
|
25
|
|
*
|
Mattson Technology Inc.
|
29,900
|
25
|
|
|
Broadcom Corp. Class A
|
700
|
23
|
|
|
Loral Space & Communications Inc.
|
400
|
22
|
|
*
|
Calix Inc.
|
2,700
|
21
|
|
*
|
VistaPrint NV
|
565
|
19
|
|
*
|
Glu Mobile Inc.
|
7,900
|
18
|
|
*
|
Websense Inc.
|
1,100
|
17
|
|
|
Jack Henry & Associates Inc.
|
400
|
16
|
|
*
|
ViaSat Inc.
|
400
|
16
|
|
*
|
Photronics Inc.
|
2,446
|
15
|
|
*
|
Itron Inc.
|
300
|
13
|
|
*
|
Seachange International Inc.
|
1,300
|
13
|
|
*
|
Riverbed Technology Inc.
|
600
|
12
|
|
*
|
ShoreTel Inc.
|
2,471
|
10
|
|
|
Global Payments Inc.
|
200
|
9
|
|
*
|
Immersion Corp.
|
1,200
|
8
|
|
*
|
Arrow Electronics Inc.
|
200
|
8
|
|
*
|
UTStarcom Holdings Corp.
|
7,200
|
8
|
|
*
|
Travelzoo Inc.
|
374
|
7
|
|
*
|
MaxLinear Inc.
|
1,108
|
6
|
|
*
|
Peregrine Semiconductor Corp.
|
358
|
5
|
|
*,^
Powerwave Technologies Inc.
|
15,776
|
5
|
|
*
|
Brocade Communications Systems Inc.
|
900
|
5
|
|
|
Broadridge Financial Solutions Inc.
|
200
|
5
|
|
*
|
Progress Software Corp.
|
200
|
4
|
|
*
|
Imation Corp.
|
794
|
4
|
|
*
|
NCI Inc. Class A
|
700
|
3
|
|
|
Micrel Inc.
|
344
|
3
|
|
*
|
Comverse Technology Inc.
|
800
|
3
|
|
*
|
IntraLinks Holdings Inc.
|
400
|
2
|
|
|
NVIDIA Corp.
|
200
|
2
|
|
|
Black Box Corp.
|
100
|
2
|
|
|
Digimarc Corp.
|
100
|
2
|
|
|
NIC Inc.
|
125
|
2
|
|
*
|
Dynamics Research Corp.
|
300
|
2
|
|
*
|
Pulse Electronics Corp.
|
5,401
|
2
|
|
*
|
Amtech Systems Inc.
|
500
|
2
|
|
*
|
Smith Micro Software Inc.
|
969
|
1
|
|
*
|
FriendFinder Networks Inc.
|
1,250
|
1
|
|
|
|
|
792,540
|
|
Materials (3.6%)
|
|
|
|
|
Monsanto Co.
|
331,560
|
31,382
|
|
|
LyondellBasell Industries NV Class A
|
287,638
|
16,421
|
|
|
EI du Pont de Nemours & Co.
|
309,464
|
13,917
|
|
|
|
|
|
PPG Industries Inc.
|
97,830
|
13,241
|
|
Praxair Inc.
|
107,050
|
11,717
|
|
CF Industries Holdings Inc.
|
57,524
|
11,687
|
|
Dow Chemical Co.
|
270,945
|
8,757
|
|
Eastman Chemical Co.
|
116,000
|
7,894
|
|
Ball Corp.
|
159,440
|
7,135
|
|
Sherwin-Williams Co.
|
45,320
|
6,971
|
|
Air Products & Chemicals Inc.
|
57,610
|
4,840
|
|
Freeport-McMoRan Copper & Gold Inc.
|
114,173
|
3,905
|
|
Mosaic Co.
|
35,240
|
1,996
|
|
Nucor Corp.
|
43,220
|
1,866
|
|
International Flavors & Fragrances Inc.
|
28,000
|
1,863
|
|
Valspar Corp.
|
18,100
|
1,129
|
|
United States Steel Corp.
|
47,290
|
1,129
|
|
Airgas Inc.
|
11,740
|
1,072
|
|
Ecolab Inc.
|
13,660
|
982
|
|
Sigma-Aldrich Corp.
|
11,560
|
851
|
|
MeadWestvaco Corp.
|
26,208
|
835
|
|
Georgia Gulf Corp.
|
12,700
|
524
|
|
* Resolute Forest Products
|
37,600
|
498
|
|
Rockwood Holdings Inc.
|
9,700
|
480
|
|
* Mercer International Inc.
|
50,341
|
360
|
|
International Paper Co.
|
8,936
|
356
|
|
* Owens-Illinois Inc.
|
15,400
|
328
|
|
* Clearwater Paper Corp.
|
5,200
|
204
|
|
* SunCoke Energy Inc.
|
11,139
|
174
|
|
* New Gold Inc.
|
15,700
|
173
|
|
Innospec Inc.
|
4,124
|
142
|
|
Packaging Corp. of America
|
3,600
|
138
|
|
* Flotek Industries Inc.
|
10,765
|
131
|
|
Allegheny Technologies Inc.
|
4,000
|
121
|
|
FMC Corp.
|
1,900
|
111
|
|
American Vanguard Corp.
|
3,500
|
109
|
|
* Rare Element Resources Ltd.
|
27,509
|
94
|
|
FutureFuel Corp.
|
6,378
|
76
|
|
* Graphic Packaging Holding Co.
|
11,500
|
74
|
|
Ashland Inc.
|
900
|
72
|
|
* Headwaters Inc.
|
8,300
|
71
|
|
Barrick Gold Corp.
|
1,800
|
63
|
|
* Louisiana-Pacific Corp.
|
2,600
|
50
|
|
Commercial Metals Co.
|
3,162
|
47
|
|
* General Moly Inc.
|
11,714
|
47
|
|
HB Fuller Co.
|
1,000
|
35
|
|
Myers Industries Inc.
|
1,600
|
24
|
|
Newmont Mining Corp.
|
500
|
23
|
|
Sealed Air Corp.
|
1,100
|
19
|
|
* Spartech Corp.
|
1,900
|
17
|
|
Titanium Metals Corp.
|
900
|
15
|
|
Teck Resources Ltd. Class B
|
400
|
15
|
|
Goldcorp Inc.
|
300
|
11
|
|
* GSE Holding Inc.
|
1,768
|
11
|
|
* Crown Holdings Inc.
|
280
|
10
|
|
Bemis Co. Inc.
|
300
|
10
|
|
* Stillwater Mining Co.
|
670
|
9
|
|
* Northern Dynasty Minerals Ltd.
|
2,400
|
8
|
|
Walter Energy Inc.
|
200
|
7
|
|
Eagle Materials Inc.
|
100
|
6
|
|
|
|
|
|
Wausau Paper Corp.
|
535
|
5
|
|
Cliffs Natural Resources Inc.
|
100
|
4
|
|
* OM Group Inc.
|
146
|
3
|
|
* Berry Plastics Group Inc.
|
200
|
3
|
|
Noranda Aluminum Holding Corp.
|
380
|
2
|
|
* Penford Corp.
|
100
|
1
|
|
|
|
154,271
|
|
Telecommunication Services (3.1%)
|
|
|
|
AT&T Inc.
|
2,216,258
|
74,710
|
|
Verizon Communications Inc.
|
1,033,472
|
44,718
|
|
CenturyLink Inc.
|
117,164
|
4,583
|
|
* Sprint Nextel Corp.
|
520,860
|
2,953
|
|
* Crown Castle International Corp.
|
25,240
|
1,821
|
|
* MetroPCS Communications Inc.
|
91,100
|
906
|
|
Frontier Communications Corp.
|
140,600
|
602
|
|
* Leap Wireless International Inc.
|
65,600
|
436
|
|
Windstream Corp.
|
29,682
|
246
|
|
* Clearwire Corp. Class A
|
21,300
|
62
|
|
|
|
131,037
|
|
Utilities (2.5%)
|
|
|
|
PG&E Corp.
|
402,400
|
16,168
|
|
DTE Energy Co.
|
172,533
|
10,361
|
|
Ameren Corp.
|
311,100
|
9,557
|
|
Dominion Resources Inc.
|
160,234
|
8,300
|
|
Pinnacle West Capital Corp.
|
152,000
|
7,749
|
|
Northeast Utilities
|
197,900
|
7,734
|
|
American Electric Power Co. Inc.
|
177,890
|
7,592
|
|
Public Service Enterprise Group Inc.
|
145,883
|
4,464
|
|
CMS Energy Corp.
|
171,500
|
4,181
|
|
AES Corp.
|
371,600
|
3,976
|
|
Southern Co.
|
78,060
|
3,342
|
|
NiSource Inc.
|
130,199
|
3,241
|
|
Duke Energy Corp.
|
42,990
|
2,743
|
|
NextEra Energy Inc.
|
37,890
|
2,622
|
|
Consolidated Edison Inc.
|
46,877
|
2,603
|
|
Wisconsin Energy Corp.
|
57,840
|
2,131
|
|
ONEOK Inc.
|
49,240
|
2,105
|
|
FirstEnergy Corp.
|
46,000
|
1,921
|
|
PPL Corp.
|
48,760
|
1,396
|
|
CenterPoint Energy Inc.
|
46,454
|
894
|
|
Xcel Energy Inc.
|
32,450
|
867
|
|
Sempra Energy
|
12,190
|
865
|
|
AGL Resources Inc.
|
16,800
|
671
|
|
Entergy Corp.
|
9,300
|
593
|
|
ITC Holdings Corp.
|
6,728
|
517
|
|
TECO Energy Inc.
|
20,060
|
336
|
|
IDACORP Inc.
|
5,843
|
253
|
|
Southwest Gas Corp.
|
3,700
|
157
|
|
ALLETE Inc.
|
3,022
|
124
|
|
NorthWestern Corp.
|
2,700
|
94
|
|
MGE Energy Inc.
|
1,212
|
62
|
|
Chesapeake Utilities Corp.
|
807
|
37
|
|
Exelon Corp.
|
1,000
|
30
|
|
Edison International
|
454
|
20
|
|
NRG Energy Inc.
|
600
|
14
|
|
Pepco Holdings Inc.
|
445
|
9
|
|
|
|
|
|
|
|
WGL Holdings Inc.
|
|
|
200
|
8
|
|
El Paso Electric Co.
|
|
|
199
|
6
|
|
Alliant Energy Corp.
|
|
|
100
|
4
|
|
* Cadiz Inc.
|
|
|
200
|
2
|
|
Vectren Corp.
|
|
|
38
|
1
|
|
|
|
|
|
107,750
|
|
Total Common Stocks (Cost $3,736,673)
|
|
|
|
4,188,957
|
|
|
Coupon
|
|
|
|
|
Temporary Cash Investments (2.4%)
1
|
|
|
|
|
|
Money Market Fund (2.2%)
|
|
|
|
|
|
2,3
Vanguard Market Liquidity Fund
|
0.162%
|
|
95,462,733
|
95,463
|
|
|
|
|
|
|
Face
|
|
|
|
|
Maturity
|
Amount
|
|
|
|
|
Date
|
($000)
|
|
|
U.S. Government and Agency Obligations (0.2%)
|
|
|
|
|
|
4,5
Fannie Mae Discount Notes
|
0.097%
|
3/27/13
|
300
|
300
|
|
5,6
Federal Home Loan Bank Discount Notes
|
0.130%
|
2/01/13
|
500
|
500
|
|
4,5
Freddie Mac Discount Notes
|
0.118%
|
3/11/13
|
7,000
|
6,998
|
|
|
|
|
|
7,798
|
|
Total Temporary Cash Investments (Cost $103,261)
|
|
|
|
103,261
|
|
Total Investments (100.3%) (Cost $3,839,934)
|
|
|
|
4,292,218
|
|
Other Assets and Liabilities-Net (-0.3%)
3
|
|
|
|
(14,015)
|
|
Net Assets (100%)
|
|
|
|
4,278,203
|
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $67,000.
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 99.7% and 0.6%, 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 $85,000 of collateral received for securities on loan.
4 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.
5 Securities with a value of $6,049,000 have been segregated as initial margin for open futures contracts.
6 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.
REIT—Real Estate Investment Trust.
A.
Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
Growth and Income Fund
B.
Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—
Quoted prices in active markets for identical securities.
Level 2—
Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—
Significant unobservable inputs (including the fund's own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund's investments as of December 31, 2012, based on the inputs used to value them:
|
|
|
|
|
|
|
Level 1
|
Level 2
|
Level 3
|
|
Investments
|
($000)
|
($000)
|
($000)
|
|
Common Stocks
|
4,188,957
|
—
|
—
|
|
Temporary Cash Investments
|
95,463
|
7,798
|
—
|
|
Futures Contracts—Assets
1
|
2,429
|
—
|
—
|
|
Futures Contracts—Liabilities
1
|
(226)
|
—
|
—
|
|
Total
|
4,286,623
|
7,798
|
—
|
|
1 Represents variation margin on the last day of the reporting period.
|
C.
Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).
At December 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
|
|
|
|
|
|
|
|
|
|
|
($000)
|
|
|
|
|
Aggregate
|
|
|
|
|
Number of
|
Settlement
|
Unrealized
|
|
|
|
Long (Short)
|
Value
|
Appreciation
|
|
Futures Contracts
|
Expiration
|
Contracts
|
Long (Short)
|
(Depreciation)
|
|
S&P 500 Index
|
March 2013
|
212
|
75,266
|
(376)
|
|
E-mini S&P 500 Index
|
March 2013
|
46
|
3,266
|
67
|
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D.
At December 31, 2012, the cost of investment securities for tax purposes was $3,839,955,000. Net unrealized appreciation of investment securities for tax purposes was $452,263,000, consisting of
Growth and Income Fund
unrealized gains of $524,145,000 on securities that had risen in value since their purchase and $71,882,000 in unrealized losses on securities that had fallen in value since their purchase.
|
|
|
|
|
|
Vanguard Structured Broad Market Fund
|
|
|
|
|
|
|
|
|
|
Schedule of Investments
|
|
|
|
As of December 31, 2012
|
|
|
|
|
|
|
|
|
Market
|
|
|
|
|
Value
|
|
|
|
Shares
|
($000)
|
|
Common Stocks (99.4%)
1
|
|
|
|
Consumer Discretionary (12.4%)
|
|
|
|
|
Home Depot Inc.
|
63,500
|
3,928
|
|
|
Comcast Corp. Class A
|
93,791
|
3,506
|
|
|
TJX Cos. Inc.
|
64,200
|
2,725
|
|
*
|
DIRECTV
|
52,700
|
2,643
|
|
|
CBS Corp. Class B
|
68,500
|
2,606
|
|
|
Macy's Inc.
|
59,800
|
2,333
|
|
*
|
PulteGroup Inc.
|
125,400
|
2,277
|
|
|
PVH Corp.
|
20,200
|
2,242
|
|
|
Marriott International Inc. Class A
|
60,000
|
2,236
|
|
*
|
Jarden Corp.
|
41,700
|
2,156
|
|
|
Dillard's Inc. Class A
|
25,400
|
2,128
|
|
|
Gap Inc.
|
67,000
|
2,080
|
|
|
Foot Locker Inc.
|
61,100
|
1,963
|
|
|
Brinker International Inc.
|
60,000
|
1,859
|
|
|
Thor Industries Inc.
|
48,700
|
1,823
|
|
|
Harley-Davidson Inc.
|
34,300
|
1,675
|
|
|
Belo Corp. Class A
|
215,000
|
1,649
|
|
|
Wynn Resorts Ltd.
|
14,400
|
1,620
|
|
*
|
Delphi Automotive plc
|
40,100
|
1,534
|
|
|
Virgin Media Inc.
|
26,700
|
981
|
|
*
|
priceline.com Inc.
|
1,300
|
808
|
|
|
Cracker Barrel Old Country Store Inc.
|
11,200
|
720
|
|
|
Starwood Hotels & Resorts Worldwide Inc.
|
11,900
|
683
|
|
*
|
Conn's Inc.
|
20,300
|
623
|
|
|
Gannett Co. Inc.
|
33,200
|
598
|
|
|
News Corp. Class A
|
10,700
|
273
|
|
|
McDonald's Corp.
|
3,011
|
266
|
|
*
|
Amazon.com Inc.
|
600
|
151
|
|
|
Walt Disney Co.
|
2,700
|
134
|
|
|
|
|
48,220
|
|
Consumer Staples (8.9%)
|
|
|
|
|
Philip Morris International Inc.
|
63,950
|
5,349
|
|
|
CVS Caremark Corp.
|
72,600
|
3,510
|
|
|
Wal-Mart Stores Inc.
|
37,465
|
2,556
|
|
|
Procter & Gamble Co.
|
37,251
|
2,529
|
|
|
HJ Heinz Co.
|
40,800
|
2,353
|
|
|
Kroger Co.
|
86,400
|
2,248
|
|
|
JM Smucker Co.
|
24,200
|
2,087
|
|
|
Reynolds American Inc.
|
48,400
|
2,005
|
|
*
|
Dean Foods Co.
|
115,400
|
1,905
|
|
|
PepsiCo Inc.
|
25,700
|
1,759
|
|
|
Coca-Cola Co.
|
40,980
|
1,486
|
|
*
|
Pilgrim's Pride Corp.
|
190,800
|
1,383
|
|
|
Nu Skin Enterprises Inc. Class A
|
29,300
|
1,086
|
|
|
Herbalife Ltd.
|
31,400
|
1,034
|
|
|
Energizer Holdings Inc.
|
9,700
|
776
|
|
|
Kraft Foods Group Inc.
|
15,300
|
696
|
|
|
Ingredion Inc.
|
10,600
|
683
|
|
|
|
|
|
|
|
Kimberly-Clark Corp.
|
7,200
|
608
|
|
*,^
USANA Health Sciences Inc.
|
9,700
|
320
|
|
|
Costco Wholesale Corp.
|
3,000
|
296
|
|
|
|
|
34,669
|
|
Energy (10.2%)
|
|
|
|
|
Exxon Mobil Corp.
|
136,520
|
11,816
|
|
|
Chevron Corp.
|
65,365
|
7,069
|
|
|
ConocoPhillips
|
64,040
|
3,714
|
|
|
Phillips 66
|
56,370
|
2,993
|
|
|
Marathon Petroleum Corp.
|
42,400
|
2,671
|
|
|
Valero Energy Corp.
|
77,200
|
2,634
|
|
|
HollyFrontier Corp.
|
50,600
|
2,355
|
|
|
Tesoro Corp.
|
40,700
|
1,793
|
|
|
Williams Cos. Inc.
|
45,400
|
1,486
|
|
|
Diamond Offshore Drilling Inc.
|
15,800
|
1,074
|
|
*
|
Helix Energy Solutions Group Inc.
|
31,300
|
646
|
|
|
Occidental Petroleum Corp.
|
7,240
|
555
|
|
|
Schlumberger Ltd.
|
7,800
|
540
|
|
|
|
|
39,346
|
|
Financials (16.9%)
|
|
|
|
|
JPMorgan Chase & Co.
|
141,836
|
6,237
|
|
|
Wells Fargo & Co.
|
177,070
|
6,052
|
|
|
Goldman Sachs Group Inc.
|
28,200
|
3,597
|
|
|
US Bancorp
|
105,850
|
3,381
|
|
|
American Express Co.
|
58,720
|
3,375
|
|
|
State Street Corp.
|
56,600
|
2,661
|
|
|
Travelers Cos. Inc.
|
36,800
|
2,643
|
|
*
|
American International Group Inc.
|
73,600
|
2,598
|
|
|
Allstate Corp.
|
61,800
|
2,483
|
|
|
Discover Financial Services
|
63,800
|
2,460
|
|
|
Fifth Third Bancorp
|
157,000
|
2,385
|
|
|
SunTrust Banks Inc.
|
72,700
|
2,061
|
|
*
|
Berkshire Hathaway Inc. Class B
|
20,000
|
1,794
|
|
*
|
World Acceptance Corp.
|
21,956
|
1,637
|
|
|
Allied World Assurance Co. Holdings AG
|
20,341
|
1,603
|
|
*
|
American Capital Ltd.
|
117,900
|
1,415
|
|
|
Bank of America Corp.
|
119,600
|
1,387
|
|
|
HCP Inc.
|
28,400
|
1,283
|
|
|
Torchmark Corp.
|
24,800
|
1,281
|
|
|
Ventas Inc.
|
19,000
|
1,230
|
|
|
Weyerhaeuser Co.
|
41,700
|
1,160
|
|
|
General Growth Properties Inc.
|
53,500
|
1,062
|
|
|
CBL & Associates Properties Inc.
|
44,400
|
942
|
|
|
Kimco Realty Corp.
|
48,700
|
941
|
|
*
|
St. Joe Co.
|
40,700
|
939
|
|
|
Lexington Realty Trust
|
88,700
|
927
|
|
|
Everest Re Group Ltd.
|
8,400
|
924
|
|
|
Omega Healthcare Investors Inc.
|
36,500
|
871
|
|
|
Weingarten Realty Investors
|
31,500
|
843
|
|
|
Nelnet Inc. Class A
|
27,800
|
828
|
|
|
Duke Realty Corp.
|
58,200
|
807
|
|
*
|
Sunstone Hotel Investors Inc.
|
74,600
|
799
|
|
|
Citigroup Inc.
|
16,600
|
657
|
|
|
Prologis Inc.
|
15,000
|
547
|
|
|
Simon Property Group Inc.
|
2,600
|
411
|
|
|
Brandywine Realty Trust
|
33,000
|
402
|
|
|
|
|
|
BB&T Corp.
|
11,900
|
346
|
|
Regions Financial Corp.
|
25,200
|
179
|
|
Inland Real Estate Corp.
|
14,000
|
117
|
|
* Howard Hughes Corp.
|
1,100
|
80
|
|
|
|
65,345
|
|
Health Care (11.3%)
|
|
|
|
Pfizer Inc.
|
209,464
|
5,253
|
|
Abbott Laboratories
|
68,100
|
4,461
|
|
Eli Lilly & Co.
|
65,420
|
3,227
|
|
Merck & Co. Inc.
|
73,683
|
3,017
|
|
UnitedHealth Group Inc.
|
51,275
|
2,781
|
|
McKesson Corp.
|
27,800
|
2,695
|
|
Johnson & Johnson
|
37,507
|
2,629
|
|
Aetna Inc.
|
51,700
|
2,394
|
|
Zimmer Holdings Inc.
|
33,400
|
2,226
|
|
ResMed Inc.
|
50,100
|
2,083
|
|
* Pharmacyclics Inc.
|
34,900
|
2,021
|
|
* Mylan Inc.
|
69,900
|
1,921
|
|
Cigna Corp.
|
32,800
|
1,753
|
|
* Charles River Laboratories International Inc.
|
42,600
|
1,596
|
|
* Watson Pharmaceuticals Inc.
|
17,400
|
1,496
|
|
* Biogen Idec Inc.
|
8,900
|
1,305
|
|
Cooper Cos. Inc.
|
12,700
|
1,175
|
|
Warner Chilcott plc Class A
|
94,200
|
1,134
|
|
Baxter International Inc.
|
8,400
|
560
|
|
|
|
43,727
|
|
Industrials (11.5%)
|
|
|
|
General Electric Co.
|
346,780
|
7,279
|
|
Union Pacific Corp.
|
28,500
|
3,583
|
|
Boeing Co.
|
34,400
|
2,592
|
|
Lockheed Martin Corp.
|
27,200
|
2,510
|
|
Raytheon Co.
|
43,500
|
2,504
|
|
Northrop Grumman Corp.
|
35,730
|
2,415
|
|
Ingersoll-Rand plc
|
50,100
|
2,403
|
|
Chicago Bridge & Iron Co. NV
|
48,900
|
2,267
|
|
Textron Inc.
|
88,700
|
2,199
|
|
* Delta Air Lines Inc.
|
183,600
|
2,179
|
|
Masco Corp.
|
125,700
|
2,094
|
|
Equifax Inc.
|
38,000
|
2,057
|
|
* Alaska Air Group Inc.
|
34,800
|
1,500
|
|
Honeywell International Inc.
|
22,300
|
1,415
|
|
Caterpillar Inc.
|
15,800
|
1,415
|
|
United Parcel Service Inc. Class B
|
17,300
|
1,276
|
|
* Terex Corp.
|
42,100
|
1,183
|
|
Lincoln Electric Holdings Inc.
|
17,500
|
852
|
|
Dun & Bradstreet Corp.
|
8,700
|
684
|
|
* US Airways Group Inc.
|
45,700
|
617
|
|
3M Co.
|
6,000
|
557
|
|
Cintas Corp.
|
13,200
|
540
|
|
Deluxe Corp.
|
7,100
|
229
|
|
* WESCO International Inc.
|
1,800
|
121
|
|
|
|
44,471
|
|
Information Technology (17.6%)
|
|
|
|
Apple Inc.
|
25,020
|
13,336
|
|
International Business Machines Corp.
|
36,642
|
7,019
|
|
Microsoft Corp.
|
230,997
|
6,175
|
|
|
|
|
|
Intel Corp.
|
186,790
|
3,853
|
|
Cisco Systems Inc.
|
179,350
|
3,524
|
|
Accenture plc Class A
|
45,300
|
3,012
|
|
Motorola Solutions Inc.
|
44,900
|
2,500
|
|
* Google Inc. Class A
|
3,350
|
2,376
|
|
Western Digital Corp.
|
53,900
|
2,290
|
|
* Alliance Data Systems Corp.
|
15,600
|
2,258
|
|
* Cadence Design Systems Inc.
|
158,300
|
2,139
|
|
Computer Sciences Corp.
|
52,900
|
2,119
|
|
* VMware Inc. Class A
|
19,900
|
1,873
|
|
IAC/InterActiveCorp
|
39,300
|
1,859
|
|
Anixter International Inc.
|
27,400
|
1,753
|
|
* Unisys Corp.
|
97,500
|
1,687
|
|
* LSI Corp.
|
226,700
|
1,605
|
|
Heartland Payment Systems Inc.
|
50,900
|
1,502
|
|
NVIDIA Corp.
|
85,400
|
1,050
|
|
* Symantec Corp.
|
54,900
|
1,033
|
|
Oracle Corp.
|
29,248
|
974
|
|
* Freescale Semiconductor Ltd.
|
76,000
|
837
|
|
Mastercard Inc. Class A
|
1,600
|
786
|
|
* Gartner Inc.
|
16,500
|
759
|
|
QUALCOMM Inc.
|
9,100
|
564
|
|
* NCR Corp.
|
20,000
|
510
|
|
* Brocade Communications Systems Inc.
|
76,000
|
405
|
|
MAXIMUS Inc.
|
3,400
|
215
|
|
* Advanced Micro Devices Inc.
|
66,500
|
160
|
|
|
|
68,173
|
|
Materials (4.2%)
|
|
|
|
Monsanto Co.
|
28,700
|
2,716
|
|
PPG Industries Inc.
|
19,950
|
2,700
|
|
Eastman Chemical Co.
|
35,300
|
2,402
|
|
Sherwin-Williams Co.
|
15,500
|
2,384
|
|
CF Industries Holdings Inc.
|
11,250
|
2,286
|
|
Huntsman Corp.
|
128,100
|
2,037
|
|
FMC Corp.
|
23,200
|
1,358
|
|
LyondellBasell Industries NV Class A
|
9,000
|
514
|
|
|
|
16,397
|
|
Telecommunication Services (2.8%)
|
|
|
|
AT&T Inc.
|
178,829
|
6,028
|
|
Verizon Communications Inc.
|
111,057
|
4,806
|
|
|
|
10,834
|
|
Utilities (3.6%)
|
|
|
|
PG&E Corp.
|
56,900
|
2,286
|
|
DTE Energy Co.
|
35,700
|
2,144
|
|
Public Service Enterprise Group Inc.
|
69,400
|
2,124
|
|
PNM Resources Inc.
|
98,800
|
2,026
|
|
Consolidated Edison Inc.
|
35,300
|
1,961
|
|
Ameren Corp.
|
62,300
|
1,914
|
|
Pinnacle West Capital Corp.
|
13,800
|
703
|
|
American Water Works Co. Inc.
|
10,000
|
371
|
|
Wisconsin Energy Corp.
|
7,700
|
284
|
|
|
|
13,813
|
|
Total Common Stocks (Cost $323,954)
|
|
384,995
|
|
|
|
|
|
|
|
|
Coupon
|
|
|
|
|
Temporary Cash Investments (1.8%)
1
|
|
|
|
|
|
Money Market Fund (1.7%)
|
|
|
|
|
|
2,3
Vanguard Market Liquidity Fund
|
0.162%
|
|
6,670,295
|
6,670
|
|
|
|
|
|
|
Face
|
|
|
|
|
Maturity
|
Amount
|
|
|
|
|
Date
|
($000)
|
|
|
U.S. Government and Agency Obligations (0.1%)
|
|
|
|
|
|
4,5
Federal Home Loan Bank Discount Notes
|
0.120%
|
1/11/13
|
100
|
100
|
|
4,6
Freddie Mac Discount Notes
|
0.118%
|
3/11/13
|
100
|
100
|
|
|
|
|
|
200
|
|
Total Temporary Cash Investments (Cost $6,870)
|
|
|
|
6,870
|
|
Total Investments (101.2%) (Cost $330,824)
|
|
|
|
391,865
|
|
Other Assets and Liabilities-Net (-1.2%)
3
|
|
|
|
(4,633)
|
|
Net Assets (100%)
|
|
|
|
387,232
|
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $181,000.
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 1.2%, 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 $182,000 of collateral received for securities on loan.
4 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S.
Treasury nor backed by the full faith and credit of the U.S. government.
6 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.
A.
Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
B.
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).
Structured Broad Market Fund
The following table summarizes the market value of the fund's investments as of December 31, 2012, based on the inputs used to value them:
|
|
|
|
|
|
|
Level 1
|
Level 2
|
Level 3
|
|
Investments
|
($000)
|
($000)
|
($000)
|
|
Common Stocks
|
384,995
|
—
|
—
|
|
Temporary Cash Investments
|
6,670
|
200
|
—
|
|
Futures Contracts—Assets
1
|
56
|
—
|
—
|
|
Total
|
391,721
|
200
|
—
|
|
1 Represents variation margin on the last day of the reporting period.
|
C.
Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).
At December 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
|
|
|
|
|
|
|
|
|
|
|
($000)
|
|
|
|
|
Aggregate
|
|
|
|
|
Number of
|
Settlement
|
Unrealized
|
|
|
|
Long (Short)
|
Value
|
Appreciation
|
|
Futures Contracts
|
Expiration
|
Contracts
|
Long (Short)
|
(Depreciation)
|
|
E-mini S&P 500 Index
|
March 2013
|
16
|
1,136
|
9
|
|
S&P 500 Index
|
March 2013
|
3
|
1,065
|
(6)
|
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D.
At December 31, 2012, the cost of investment securities for tax purposes was $330,824,000. Net unrealized appreciation of investment securities for tax purposes was $61,041,000, consisting of unrealized gains of $66,921,000 on securities that had risen in value since their purchase and $5,880,000 in unrealized losses on securities that had fallen in value since their purchase.
|
|
|
|
|
|
Vanguard Structured Large-Cap Equity Fund
|
|
|
|
|
|
|
|
|
|
Schedule of Investments
|
|
|
|
As of December 31, 2012
|
|
|
|
|
|
|
|
|
Market
|
|
|
|
|
Value
|
|
|
|
Shares
|
($000)
|
|
Common Stocks (99.6%)
1
|
|
|
|
Consumer Discretionary (12.1%)
|
|
|
|
|
Home Depot Inc.
|
102,775
|
6,357
|
|
|
Comcast Corp. Class A
|
169,500
|
6,336
|
|
|
Time Warner Cable Inc.
|
38,800
|
3,771
|
|
*
|
DIRECTV
|
74,700
|
3,747
|
|
|
TJX Cos. Inc.
|
86,300
|
3,664
|
|
|
Macy's Inc.
|
84,300
|
3,289
|
|
|
Newell Rubbermaid Inc.
|
136,200
|
3,033
|
|
*
|
O'Reilly Automotive Inc.
|
33,600
|
3,005
|
|
*
|
Goodyear Tire & Rubber Co.
|
216,300
|
2,987
|
|
|
Harley-Davidson Inc.
|
60,200
|
2,940
|
|
*
|
PulteGroup Inc.
|
156,300
|
2,838
|
|
|
Gap Inc.
|
89,600
|
2,781
|
|
|
Wyndham Worldwide Corp.
|
48,400
|
2,575
|
|
|
Whirlpool Corp.
|
22,600
|
2,300
|
|
|
CBS Corp. Class B
|
54,190
|
2,062
|
|
|
Marriott International Inc. Class A
|
48,600
|
1,811
|
|
|
Expedia Inc.
|
26,800
|
1,647
|
|
|
Starwood Hotels & Resorts Worldwide Inc.
|
18,000
|
1,033
|
|
|
McDonald's Corp.
|
11,247
|
992
|
|
*
|
Amazon.com Inc.
|
3,500
|
879
|
|
|
Walt Disney Co.
|
16,879
|
840
|
|
|
H&R Block Inc.
|
42,100
|
782
|
|
|
Viacom Inc. Class B
|
12,500
|
659
|
|
|
Gannett Co. Inc.
|
21,200
|
382
|
|
|
Comcast Corp.
|
10,525
|
378
|
|
|
News Corp. Class A
|
10,400
|
266
|
|
|
|
|
61,354
|
|
Consumer Staples (9.9%)
|
|
|
|
|
Philip Morris International Inc.
|
95,936
|
8,024
|
|
|
Procter & Gamble Co.
|
80,494
|
5,465
|
|
|
Wal-Mart Stores Inc.
|
69,746
|
4,759
|
|
|
CVS Caremark Corp.
|
93,100
|
4,501
|
|
|
Kimberly-Clark Corp.
|
45,200
|
3,816
|
|
|
Kraft Foods Group Inc.
|
79,766
|
3,627
|
|
|
Kroger Co.
|
121,700
|
3,167
|
|
|
Coca-Cola Co.
|
86,880
|
3,149
|
|
*
|
Dean Foods Co.
|
152,800
|
2,523
|
|
*
|
Constellation Brands Inc. Class A
|
68,000
|
2,406
|
|
|
JM Smucker Co.
|
25,800
|
2,225
|
|
|
Campbell Soup Co.
|
62,200
|
2,170
|
|
|
PepsiCo Inc.
|
31,192
|
2,134
|
|
|
HJ Heinz Co.
|
25,200
|
1,454
|
|
|
Costco Wholesale Corp.
|
3,600
|
356
|
|
|
Mondelez International Inc. Class A
|
10,800
|
275
|
|
|
Altria Group Inc.
|
3,200
|
101
|
|
|
|
|
50,152
|
|
Energy (11.4%)
|
|
|
|
|
Exxon Mobil Corp.
|
212,839
|
18,421
|
|
|
|
|
|
Chevron Corp.
|
100,856
|
10,906
|
|
ConocoPhillips
|
92,459
|
5,362
|
|
Phillips 66
|
75,979
|
4,034
|
|
Marathon Petroleum Corp.
|
56,950
|
3,588
|
|
Valero Energy Corp.
|
101,500
|
3,463
|
|
EOG Resources Inc.
|
27,900
|
3,370
|
|
Tesoro Corp.
|
68,300
|
3,009
|
|
Marathon Oil Corp.
|
89,500
|
2,744
|
|
Occidental Petroleum Corp.
|
21,261
|
1,629
|
|
Schlumberger Ltd.
|
15,425
|
1,069
|
|
Murphy Oil Corp.
|
2,100
|
125
|
|
|
|
57,720
|
|
Financials (15.9%)
|
|
|
|
JPMorgan Chase & Co.
|
213,579
|
9,391
|
|
Wells Fargo & Co.
|
271,735
|
9,288
|
|
Bank of America Corp.
|
662,053
|
7,680
|
|
Goldman Sachs Group Inc.
|
39,400
|
5,026
|
|
US Bancorp
|
153,524
|
4,903
|
|
American Express Co.
|
83,200
|
4,782
|
|
* American International Group Inc.
|
131,000
|
4,624
|
|
Aflac Inc.
|
66,300
|
3,522
|
|
Allstate Corp.
|
86,300
|
3,467
|
|
Discover Financial Services
|
86,850
|
3,348
|
|
Fifth Third Bancorp
|
175,800
|
2,670
|
|
Franklin Resources Inc.
|
21,000
|
2,640
|
|
* Berkshire Hathaway Inc. Class B
|
25,205
|
2,261
|
|
Simon Property Group Inc.
|
14,300
|
2,261
|
|
Travelers Cos. Inc.
|
29,300
|
2,104
|
|
HCP Inc.
|
45,500
|
2,056
|
|
Prologis Inc.
|
55,000
|
2,007
|
|
Weyerhaeuser Co.
|
62,900
|
1,750
|
|
Citigroup Inc.
|
43,025
|
1,702
|
|
Kimco Realty Corp.
|
82,800
|
1,600
|
|
* Berkshire Hathaway Inc. Class A
|
11
|
1,475
|
|
Bank of New York Mellon Corp.
|
33,200
|
853
|
|
Assurant Inc.
|
9,700
|
336
|
|
Ventas Inc.
|
4,700
|
304
|
|
Huntington Bancshares Inc.
|
33,200
|
212
|
|
SunTrust Banks Inc.
|
3,700
|
105
|
|
|
|
80,367
|
|
Health Care (11.4%)
|
|
|
|
Pfizer Inc.
|
374,119
|
9,383
|
|
Merck & Co. Inc.
|
176,844
|
7,240
|
|
Abbott Laboratories
|
101,268
|
6,633
|
|
Johnson & Johnson
|
71,046
|
4,980
|
|
Eli Lilly & Co.
|
96,887
|
4,779
|
|
UnitedHealth Group Inc.
|
83,504
|
4,529
|
|
Amgen Inc.
|
46,100
|
3,979
|
|
McKesson Corp.
|
37,200
|
3,607
|
|
Aetna Inc.
|
73,370
|
3,397
|
|
* Mylan Inc.
|
114,000
|
3,133
|
|
Zimmer Holdings Inc.
|
45,000
|
3,000
|
|
Cigna Corp.
|
19,600
|
1,048
|
|
Baxter International Inc.
|
15,500
|
1,033
|
|
* Biogen Idec Inc.
|
4,600
|
675
|
|
|
|
57,416
|
|
|
|
|
|
Industrials (9.9%)
|
|
|
|
General Electric Co.
|
539,022
|
11,314
|
|
Union Pacific Corp.
|
40,300
|
5,066
|
|
Boeing Co.
|
62,800
|
4,733
|
|
United Parcel Service Inc. Class B
|
64,021
|
4,720
|
|
Honeywell International Inc.
|
72,300
|
4,589
|
|
Lockheed Martin Corp.
|
38,000
|
3,507
|
|
Raytheon Co.
|
59,600
|
3,431
|
|
Northrop Grumman Corp.
|
48,916
|
3,306
|
|
Ingersoll-Rand plc
|
66,000
|
3,165
|
|
Textron Inc.
|
118,700
|
2,943
|
|
Caterpillar Inc.
|
24,200
|
2,168
|
|
Equifax Inc.
|
8,700
|
471
|
|
Cintas Corp.
|
4,200
|
172
|
|
United Technologies Corp.
|
1,286
|
105
|
|
Masco Corp.
|
6,200
|
103
|
|
|
|
49,793
|
|
Information Technology (18.8%)
|
|
|
|
Apple Inc.
|
36,932
|
19,686
|
|
International Business Machines Corp.
|
55,340
|
10,600
|
|
Microsoft Corp.
|
301,041
|
8,047
|
|
Cisco Systems Inc.
|
346,415
|
6,807
|
|
* Google Inc. Class A
|
6,805
|
4,827
|
|
Accenture plc Class A
|
63,700
|
4,236
|
|
Intel Corp.
|
198,753
|
4,100
|
|
Mastercard Inc. Class A
|
8,300
|
4,078
|
|
Motorola Solutions Inc.
|
61,950
|
3,449
|
|
Seagate Technology plc
|
104,700
|
3,191
|
|
* Fiserv Inc.
|
39,800
|
3,145
|
|
* Symantec Corp.
|
162,600
|
3,059
|
|
Western Digital Corp.
|
71,700
|
3,047
|
|
Fidelity National Information Services Inc.
|
86,600
|
3,015
|
|
Computer Sciences Corp.
|
72,500
|
2,904
|
|
* LSI Corp.
|
396,800
|
2,809
|
|
Oracle Corp.
|
67,088
|
2,235
|
|
Total System Services Inc.
|
73,400
|
1,572
|
|
QUALCOMM Inc.
|
24,457
|
1,517
|
|
NVIDIA Corp.
|
119,200
|
1,465
|
|
* Teradata Corp.
|
6,600
|
408
|
|
Visa Inc. Class A
|
2,300
|
349
|
|
* Advanced Micro Devices Inc.
|
78,200
|
188
|
|
|
|
94,734
|
|
Materials (3.7%)
|
|
|
|
Monsanto Co.
|
49,700
|
4,704
|
|
LyondellBasell Industries NV Class A
|
64,300
|
3,671
|
|
PPG Industries Inc.
|
27,100
|
3,668
|
|
CF Industries Holdings Inc.
|
15,185
|
3,085
|
|
Eastman Chemical Co.
|
24,100
|
1,640
|
|
Ball Corp.
|
31,700
|
1,418
|
|
Sherwin-Williams Co.
|
3,300
|
508
|
|
|
|
18,694
|
|
Telecommunication Services (3.6%)
|
|
|
|
AT&T Inc.
|
299,935
|
10,111
|
|
Verizon Communications Inc.
|
168,396
|
7,286
|
|
* MetroPCS Communications Inc.
|
65,200
|
648
|
|
|
|
18,045
|
|
|
|
|
|
|
|
Utilities (2.9%)
|
|
|
|
|
|
PG&E Corp.
|
|
|
74,700
|
3,001
|
|
American Electric Power Co. Inc.
|
|
|
67,900
|
2,898
|
|
Pinnacle West Capital Corp.
|
|
|
52,000
|
2,651
|
|
Ameren Corp.
|
|
|
85,600
|
2,630
|
|
Public Service Enterprise Group Inc.
|
|
|
76,200
|
2,332
|
|
DTE Energy Co.
|
|
|
20,300
|
1,219
|
|
|
|
|
|
14,731
|
|
Total Common Stocks (Cost $409,420)
|
|
|
|
503,006
|
|
|
Coupon
|
|
|
|
|
Temporary Cash Investments (0.4%)
1
|
|
|
|
|
|
Money Market Fund (0.3%)
|
|
|
|
|
|
2 Vanguard Market Liquidity Fund
|
0.162%
|
|
1,663,953
|
1,664
|
|
|
|
|
|
|
Face
|
|
|
|
|
Maturity
|
Amount
|
|
|
|
|
Date
|
($000)
|
|
|
U.S. Government and Agency Obligations (0.1%)
|
|
|
|
|
|
3,4
Fannie Mae Discount Notes
|
0.110%
|
3/13/13
|
100,000
|
100
|
|
3,4
Freddie Mac Discount Notes
|
0.140%
|
2/11/13
|
100,000
|
100
|
|
|
|
|
|
200
|
|
Total Temporary Cash Investments (Cost $1,864)
|
|
|
|
1,864
|
|
Total Investments (100.0%) (Cost $411,284)
|
|
|
|
504,870
|
|
Other Assets and Liabilities-Net (0.0%)
|
|
|
|
(136)
|
|
Net Assets (100%)
|
|
|
|
504,734
|
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After
giving effect to futures investments, the fund's effective common stock and temporary cash investment positions
represent 100.0% and 0.0%, 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 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.
4 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
A.
Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
B.
Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of
Structured Large-Cap Equity Fund
futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the 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).
At December 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
|
|
|
|
|
|
|
|
|
|
|
($000)
|
|
|
|
|
Aggregate
|
|
|
|
|
Number of
|
Settlement
|
Unrealized
|
|
|
|
Long (Short)
|
Value
|
Appreciation
|
|
Futures Contracts
|
Expiration
|
Contracts
|
Long (Short)
|
(Depreciation)
|
|
S&P 500 Index
|
March 2013
|
3
|
1,065
|
(6)
|
|
E-mini S&P 500 Index
|
March 2013
|
9
|
639
|
1
|
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
C.
Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—
Quoted prices in active markets for identical securities.
Level 2—
Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—
Significant unobservable inputs (including the fund's own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund's investments as of December 31, 2012, based on the inputs used to value them:
|
|
|
|
|
|
|
Level 1
|
Level 2
|
Level 3
|
|
Investments
|
($000)
|
($000)
|
($000)
|
|
Common Stocks
|
503,006
|
—
|
—
|
|
Temporary Cash Investments
|
1,664
|
200
|
—
|
|
Futures Contracts—Assets
1
|
43
|
—
|
—
|
|
Total
|
504,713
|
200
|
—
|
|
1 Represents variation margin on the last day of the reporting period.
|
D.
At December 31, 2012, the cost of investment securities for tax purposes was $411,284,000. Net unrealized appreciation of investment securities for tax purposes was $93,586,000, consisting of unrealized gains of $95,884,000 on securities that had risen in value since their purchase and $2,298,000 in unrealized losses on securities that had fallen in value since their purchase.
Item 2: Controls and Procedures
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3: Exhibits
(a) Certifications
|
|
|
|
|
VANGUARD QUANTITATIVE FUNDS
|
|
|
|
By:
|
/s/ F. WILLIAM MCNABB III*
|
|
|
F. WILLIAM MCNABB III
|
|
|
CHIEF EXECUTIVE OFFICER
|
|
|
|
Date: February 14, 2013
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
|
|
VANGUARD QUANTITATIVE FUNDS
|
|
|
|
By:
|
/s/ F. WILLIAM MCNABB III*
|
|
|
F. WILLIAM MCNABB III
|
|
|
CHIEF EXECUTIVE OFFICER
|
|
|
|
Date: February 14, 2013
|
|
|
|
|
|
VANGUARD QUANTITATIVE FUNDS
|
|
|
|
By:
|
/s/ THOMAS J. HIGGINS*
|
|
|
THOMAS J. HIGGINS
|
|
|
CHIEF FINANCIAL OFFICER
|
|
|
|
Date: February 14, 2013
|
* By:/s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on
March 27, 2012 see file Number 2-11444
, Incorporated by Reference.
Templeton Russia (NYSE:TRF)
Historical Stock Chart
From Apr 2024 to May 2024
Templeton Russia (NYSE:TRF)
Historical Stock Chart
From May 2023 to May 2024
