N-CSR 1 index_final.htm VANGUARD INDEX FUNDS index_final.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-02652

Name of Registrant: Vanguard Index Funds

Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482

Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482

Registrant’s telephone number, including area code: (610) 669-1000

Date of fiscal year end: December 31

Date of reporting period: January 1, 2012 – December 31, 2012

Item 1: Reports to Shareholders


 

 

Annual Report | December 31, 2012
Vanguard 500 Index Fund

 



 

> For the 12 months ended December 31, 2012, Vanguard 500 Index Fund returned about 16%, notching its best yearly performance since 2009.

> The period was marked by strong returns from financial stocks and lackluster results from utility stocks.

> For the decade ended December 31, the fund closely tracked its target index and exceeded the average annual return of peer funds.

Contents  
Your Fund’s Total Returns. 1
Chairman’s Letter. 2
Fund Profile. 7
Performance Summary. 9
Financial Statements. 11
Your Fund’s After-Tax Returns. 29
About Your Fund’s Expenses. 30
Glossary. 32

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.


 

Your Fund’s Total Returns  
 
 
 
 
Fiscal Year Ended December 31, 2012  
 
  Total
  Returns
Vanguard 500 Index Fund  
Investor Shares 15.82%
Admiral™ Shares 15.96
Signal® Shares 15.97
ETF Shares  
Market Price 16.01
Net Asset Value 15.98
S&P 500 Index 16.00
Large-Cap Core Funds Average 14.94
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc.

 

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.

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.

Your Fund’s Performance at a Glance        
December 31, 2011, Through December 31, 2012        
      Distributions Per Share
  Starting Ending Income Capital
  Share Price Share Price Dividends Gains
Vanguard 500 Index Fund        
Investor Shares $115.80 $131.37 $2.699 $0.000
Admiral Shares 115.80 131.37 2.856 0.000
Signal Shares 95.65 108.52 2.359 0.000
ETF Shares 57.46 65.19 1.418 0.000

 

1


 


Chairman’s Letter

Dear Shareholder,

Vanguard 500 Index Fund returned about 16% for the 12 months ended December 31, 2012, posting its best fiscal-year result since 2009. The fund closely tracked its target, the Standard & Poor’s 500 Index, and outperformed the average return of peer funds.

A rebound in financials—the worst-performing sector in 2011—helped drive the index’s advance. All ten industry sectors had positive returns for the year; utility stocks had the smallest gain.

If you own the fund in a taxable account, you may wish to review the information on after-tax returns presented later in this report.

With help from central banks, stocks posted strong results
Stocks around the world recorded double-digit gains for the 12 months ended December 31, with international stocks faring even better than their U.S. counterparts.

European stocks shook off investors’ concerns to deliver some of the best results, rising about 19%. The rally came as European central bankers moved to address worries about the finances of governments and banks. Still, Vanguard economists expect Europe to remain a trouble spot, with occasional spikes in market volatility, as fiscal tightening persists in the face of weak economic growth.

2


 

In the United States, the Federal Reserve continued buying bonds and mortgage-backed securities to try to stimulate growth. The Fed’s actions seemed to buoy both stock and bond returns.

Attention to the nation’s considerable budget challenges intensified as 2012 drew to a close. The focus on the “fiscal cliff” led to nervousness in the markets before policymakers reached a limited tax-rate agreement on the cusp of the new year. The compromise legislation, which President Barack Obama signed into law on January 2, addressed some immediate concerns, but a credible long-term deficit-reduction strategy had yet to be crafted to resolve the nation’s fiscal imbalance and open the way for growth.

Bond returns were solid, but challenges lie ahead
The broad U.S. taxable bond market returned about 4% for the 12 months. Municipal bonds performed especially well, returning more than 6%.

As bond prices rose, the yield of the 10-year U.S. Treasury note slipped to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) By the end of the period, the yield had climbed, but it remained exceptionally low by historical standards.

Although bonds can provide critical diversification benefits to a portfolio, their return prospects look much less promising

Market Barometer      
 
    Average Annual Total Returns
  Periods Ended December 31, 2012
  One Three Five
  Year Years Years
Stocks      
Russell 1000 Index (Large-caps) 16.42% 11.12% 1.92%
Russell 2000 Index (Small-caps) 16.35 12.25 3.56
Russell 3000 Index (Broad U.S. market) 16.42 11.20 2.04
MSCI All Country World Index ex USA (International) 16.83 3.87 -2.89
 
Bonds      
Barclays U.S. Aggregate Bond Index (Broad taxable market) 4.21% 6.19% 5.95%
Barclays Municipal Bond Index (Broad tax-exempt market) 6.78 6.57 5.91
Citigroup Three-Month U.S. Treasury Bill Index 0.07 0.08 0.44
 
CPI      
Consumer Price Index 1.74% 2.06% 1.80%

 

3


 

than the results achieved in recent years As yields have tumbled, the opportunity for future bond price appreciation has greatly diminished. (You can read more about our expectations for bond and stock returns in Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.)

As it has since late 2008, the Fed held its target for short-term interest rates between 0% and 0.25%, which kept a tight lid on returns from money market funds and savings accounts.

Financial, tech stocks rallied; utility, energy stocks lagged
As I mentioned earlier, financial stocks were among the best performers for the year as banks, brokerages, and finance companies put some more distance between their balance sheets and the financial crisis. Bank stocks seemed to get a further lift as the U.S. housing recovery gathered strength—a development that benefited shares of home improvement retailers and home builders as well.

The benchmark’s largest sector, information technology, also boosted returns significantly as the “ripple effect” of the growing popularity of smartphones and tablet computers spread from computer hardware manufacturers to software and internet companies. IT services and communication equipment firms also benefited from consumer and corporate demand.

Expense Ratios          
Your Fund Compared With Its Peer Group          
 
  Investor Admiral Signal ETF Peer Group
  Shares Shares Shares Shares Average
500 Index Fund 0.17% 0.05% 0.05% 0.05% 1.19%

The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the fund’s expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, and 0.05% for ETF Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2011.

Peer group: Large-Cap Core Funds.

4


 

Weak spots included energy and utility stocks. Economic sluggishness has restrained power and energy demand, while the abundance of natural gas has put pressure on oil and gas prices.

Your fund has delivered solid long-term results
For the ten-year period ended December 31, Investor Shares of the 500 Index Fund produced an average annual return of just under 7%. By historical standards, the results don’t appear especially impressive—until, that is, you consider the challenges of the past decade. Over the ten years, investors endured some traumatic events, including the aftermath of the bursting of the technology bubble in the early 2000s and the more recent financial crisis and global recession. The fund emerged from that turbulence with a ten-year average return that was more than a percentage point better than the average return of peer funds.

Through the market’s ups and downs, the fund met its goal of closely tracking the S&P 500 Index. This success reflects the skill of the advisor, Vanguard Equity Investment Group. The group relies on its proven portfolio management strategies in seeking to produce benchmark-tracking returns regardless of external market conditions. At the same time, the fund’s low costs help you keep your share of the market’s returns.

Total Returns  
Ten Years Ended December 31, 2012  
  Average
  Annual Return
500 Index Fund Investor Shares 6.99%
S&P 500 Index 7.10
Large-Cap Core Funds Average 5.64
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc.

 

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.

5


 

Gus Sauter united traditional values with pioneering investment acumen
When I was interviewing for a job at Vanguard in the mid-1980s, Jack Brennan, who would go on to become our chairman and chief executive officer and is now chairman emeritus, described Vanguard as “a company with the intellectual rigor of Wall Street but with Midwestern values.”

I’m reminded of that when I think about Gus Sauter’s 25-year career at Vanguard. Gus retired as our chief investment officer at the end of December, having set the highest of standards for both intellectual achievement and devotion to doing the right thing for clients, colleagues, and community.

Gus played a pivotal role in transforming indexing from a novelty to an investing mainstay, a change that has benefited all investors. In addition, he developed our active quantitative equity strategies, oversaw the growth of our industry-leading expertise in fixed income, and ultimately helped Vanguard to become a global investment manager responsible for $2 trillion in client assets.

As for the Midwestern values, Gus—a native of Ohio, incidentally—served our clients with a dedication to thrift, candor, and common sense that has helped make Vanguard what it is. His colleagues knew that in any situation they could count on him to keep a level-headed, long-term outlook. Just two weeks after he started at Vanguard, he helped guide us through the stock market crash of 1987. Some 20 years later, he helped us navigate the financial crisis of 2008–2009.

An important aspect of Gus’s legacy is the team of world-class investment professionals that he cultivated at Vanguard. That team is now led by Tim Buckley, who oversaw our services for individual investors before becoming chief investment officer. I am confident that Tim will not only carry on Gus’s legacy, but also—as Gus himself put it—take Vanguard investment management to the next level.

As always, thank you for investing with Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
January 14, 2013

6


 

500 Index Fund        
 
 
Fund Profile        
As of December 31, 2012        
 
Share-Class Characteristics        
  Investor Admiral Signal ETF
  Shares Shares Shares Shares
Ticker Symbol VFINX VFIAX VIFSX VOO
Expense Ratio1 0.17% 0.05% 0.05% 0.05%
30-Day SEC Yield 2.12% 2.24% 2.24% 2.24%

 

Portfolio Characteristics    
      DJ U.S.
      Total
    S&P 500 Market
  Fund Index FA Index
Number of Stocks 504 500 3,604
Median Market Cap $56.4B $56.4B $35.1B
Price/Earnings Ratio 15.9x 15.9x 16.8x
Price/Book Ratio 2.1x 2.1x 2.1x
Return on Equity 18.7% 18.7% 17.1%
Earnings Growth Rate 9.7% 9.7% 9.7%
Dividend Yield 2.3% 2.3% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 3%
Short-Term Reserves -0.1%

 

Volatility Measures    
    DJ
    U.S.
    Total
    Market
  S&P 500 FA
  Index Index
R-Squared 1.00 1.00
Beta 1.00 0.96

These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.

Ten Largest Holdings (% of total net assets)

Apple Inc. Computer Hardware 3.9%
Exxon Mobil Corp. Integrated Oil & Gas 3.1
General Electric Co. Industrial  
  Conglomerates 1.7
Chevron Corp. Integrated Oil & Gas 1.7
International Business IT Consulting &  
Machines Corp. Other Services 1.6
Microsoft Corp. Systems Software 1.6
Johnson & Johnson Pharmaceuticals 1.5
AT&T Inc. Integrated  
  Telecommunication  
  Services 1.5
Google Inc. Class A Internet Software &  
  Services 1.5
Procter & Gamble Co. Household Products 1.5
Top Ten   19.6%

The holdings listed exclude any temporary cash investments and equity index products.

1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, and 0.05% for ETF Shares.

7


 

500 Index Fund

Sector Diversification (% of equity exposure)

      DJ U.S.
      Total
    S&P 500 Market FA
  Fund Index Index
Consumer Discretionary 11.5% 11.5% 12.3%
Consumer Staples 10.6 10.6 9.3
Energy 11.0 11.0 10.2
Financials 15.6 15.6 16.9
Health Care 12.0 12.0 11.7
Industrials 10.1 10.1 11.1
Information Technology 19.1 19.1 18.3
Materials 3.6 3.6 4.0
Telecommunication      
Services 3.1 3.1 2.7
Utilities 3.4 3.4 3.5

 

Investment Focus


8


 

500 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: December 31, 2002, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
500 Index Fund Investor Shares 15.82% 1.57% 6.99% $19,644
S&P 500 Index 16.00 1.66 7.10 19,858
Large-Cap Core Funds Average 14.94 0.50 5.64 17,317
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

Large-Cap Core Funds Average: Derived from data provided by Lipper Inc.

 

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
500 Index Fund Admiral Shares 15.96% 1.68% 7.09% $19,832
S&P 500 Index 16.00 1.66 7.10 19,858
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

 

See Financial Highlights for dividend and capital gains information.

9


 

500 Index Fund        
 
 
    Average Annual Total Returns  
  Periods Ended December 31, 2012  
      Since Final Value
  One Five Inception of a $10,000
  Year Years (9/29/2006) Investment
500 Index Fund Signal Shares 15.97% 1.68% 3.27% $12,231
S&P 500 Index 16.00 1.66 3.26 12,223
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 3.80 12,629

"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.

 

    Since Final Value
  One Inception of a $10,000
  Year (9/7/2010) Investment
500 Index Fund      
ETF Shares Net Asset Value 15.98% 14.65% $13,722
S&P 500 Index 16.00 14.68 13,730
Dow Jones U.S. Total Stock Market      
Float-Adjusted Index 16.38 14.92 13,799
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

Cumulative Returns of ETF Shares: September 7, 2010, Through December 31, 2012  
    Since
  One Inception
  Year (9/7/2010)
500 Index Fund ETF Shares Market Price 16.01% 37.25%
500 Index Fund ETF Shares Net Asset Value 15.98 37.22
S&P 500 Index 16.00 37.30
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard.

 

Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012


10


 

500 Index Fund

Financial Statements

Statement of Net Assets
As of December 31, 2012

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 (11.5%)  
  Comcast Corp. Class A 23,371,305 873,619
  Home Depot Inc. 13,884,567 858,760
* Amazon.com Inc. 3,365,029 845,093
  McDonald’s Corp. 9,323,106 822,391
  Walt Disney Co. 16,456,337 819,361
  News Corp. Class A 18,723,602 478,201
  Ford Motor Co. 35,404,911 458,494
  Time Warner Inc. 8,792,635 420,552
  Lowe’s Cos. Inc. 10,443,752 370,962
  Starbucks Corp. 6,905,084 370,251
  Target Corp. 6,043,276 357,581
  NIKE Inc. Class B 6,777,792 349,734
* priceline.com Inc. 463,040 287,640
  TJX Cos. Inc. 6,771,748 287,461
* DIRECTV 5,609,963 281,396
  Yum! Brands Inc. 4,195,468 278,579
  Time Warner Cable Inc. 2,802,225 272,348
  Viacom Inc. Class B 4,290,051 226,257
  CBS Corp. Class B 5,487,091 208,784
  Johnson Controls Inc. 6,349,551 194,931
  Carnival Corp. 4,140,087 152,231
  Coach Inc. 2,634,163 146,222
  Macy’s Inc. 3,670,347 143,217
  McGraw-Hill Cos. Inc. 2,578,553 140,970
* Discovery    
  Communications    
  Inc. Class A 2,217,896 140,792
  VF Corp. 818,604 123,585
  Omnicom Group Inc. 2,454,037 122,604
* AutoZone Inc. 343,075 121,596
* Bed Bath & Beyond Inc. 2,129,072 119,036
  Mattel Inc. 3,187,418 116,723
  Ross Stores Inc. 2,065,683 111,857
* Dollar General Corp. 2,438,984 107,535
  Limited Brands Inc. 2,223,318 104,629
  Starwood Hotels &    
  Resorts Worldwide Inc. 1,820,284 104,412

 

      Market
      Value
    Shares ($000)
  Harley-Davidson Inc. 2,101,728 102,648
* O’Reilly Automotive Inc. 1,064,683 95,204
  Genuine Parts Co. 1,440,992 91,618
* Chipotle Mexican Grill Inc.    
  Class A 292,556 87,024
  Gap Inc. 2,761,353 85,712
* Dollar Tree Inc. 2,110,495 85,602
  Ralph Lauren Corp.    
  Class A 569,380 85,361
  Marriott International    
  Inc. Class A 2,286,211 85,207
  Kohl’s Corp. 1,965,610 84,482
  Wynn Resorts Ltd. 738,026 83,021
* CarMax Inc. 2,125,429 79,789
* BorgWarner Inc. 1,087,127 77,860
* Delphi Automotive plc 2,028,866 77,604
  Nordstrom Inc. 1,412,530 75,570
  Whirlpool Corp. 723,108 73,576
  Staples Inc. 6,259,574 71,359
  Wyndham Worldwide    
  Corp. 1,302,882 69,326
  PetSmart Inc. 998,275 68,222
  Tiffany & Co. 1,106,857 63,467
  Newell Rubbermaid Inc. 2,671,357 59,491
^ Lennar Corp. Class A 1,524,746 58,962
* PulteGroup Inc. 3,157,689 57,344
  Family Dollar Stores Inc. 889,278 56,389
  Darden Restaurants Inc. 1,194,009 53,814
  Expedia Inc. 863,923 53,088
  DR Horton Inc. 2,592,461 51,279
*,^ Netflix Inc. 515,682 47,845
  Comcast Corp. 1,304,720 46,905
  H&R Block Inc. 2,518,627 46,771
  Scripps Networks    
  Interactive Inc. Class A 806,818 46,731
* Fossil Inc. 501,468 46,687
  Interpublic Group    
  of Cos. Inc. 4,004,863 44,134
* TripAdvisor Inc. 1,017,515 42,695
^ Garmin Ltd. 1,013,566 41,374

 

11


 

500 Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* Urban Outfitters Inc. 1,015,885 39,985
  Hasbro Inc. 1,074,326 38,568
  Gannett Co. Inc. 2,133,157 38,418
  Leggett & Platt Inc. 1,311,498 35,699
  Abercrombie & Fitch Co. 738,518 35,427
  International Game    
  Technology 2,470,212 35,003
* Goodyear Tire &    
  Rubber Co. 2,273,845 31,402
  Cablevision Systems    
  Corp. Class A 2,003,044 29,925
  Best Buy Co. Inc. 2,479,223 29,379
^ GameStop Corp. Class A 1,124,770 28,220
  Harman International    
  Industries Inc. 629,583 28,105
^ JC Penney Co. Inc. 1,325,448 26,125
* Apollo Group Inc.    
  Class A 930,403 19,464
* Big Lots Inc. 538,378 15,322
  Washington Post Co.    
  Class B 41,833 15,278
* AutoNation Inc. 362,442 14,389
      13,574,674
Consumer Staples (10.6%)    
  Procter & Gamble Co. 25,390,926 1,723,790
  Coca-Cola Co. 35,819,434 1,298,454
  Philip Morris    
  International Inc. 15,513,194 1,297,524
  Wal-Mart Stores Inc. 15,532,380 1,059,774
  PepsiCo Inc. 14,364,443 982,959
  Altria Group Inc. 18,805,454 590,867
  CVS Caremark Corp. 11,576,971 559,747
  Colgate-Palmolive Co. 4,124,241 431,148
  Mondelez International    
  Inc. Class A 16,502,187 420,311
  Costco Wholesale Corp. 4,015,528 396,614
  Kimberly-Clark Corp. 3,633,474 306,774
  Walgreen Co. 7,977,479 295,246
  Kraft Foods Group Inc. 5,501,020 250,131
  General Mills Inc. 5,991,484 242,116
  Sysco Corp. 5,458,160 172,805
  HJ Heinz Co. 2,977,508 171,743
  Archer-Daniels-Midland    
  Co. 6,115,194 167,495
  Whole Foods Market Inc. 1,602,070 146,317
  Lorillard Inc. 1,201,925 140,229
  Estee Lauder Cos. Inc.    
  Class A 2,229,099 133,434
  Kellogg Co. 2,296,337 128,250
  Reynolds American Inc. 3,011,466 124,765
  Mead Johnson    
  Nutrition Co. 1,885,861 124,259
  Kroger Co. 4,772,863 124,190
  ConAgra Foods Inc. 3,785,657 111,677
  Hershey Co. 1,389,084 100,320

 

      Market
      Value
    Shares ($000)
  Beam Inc. 1,478,033 90,293
  Brown-Forman Corp.    
  Class B 1,407,875 89,048
  Clorox Co. 1,211,924 88,737
  JM Smucker Co. 1,007,477 86,885
  Dr Pepper Snapple    
  Group Inc. 1,933,076 85,403
  Coca-Cola Enterprises Inc. 2,506,383 79,528
  McCormick & Co. Inc. 1,230,887 78,198
* Monster Beverage Corp. 1,384,837 73,230
  Molson Coors Brewing Co.  
  Class B 1,447,542 61,940
  Campbell Soup Co. 1,663,937 58,055
  Avon Products Inc. 4,014,108 57,643
  Tyson Foods Inc. Class A 2,664,616 51,694
* Constellation Brands Inc.    
  Class A 1,405,946 49,756
^ Safeway Inc. 2,224,317 40,238
  Hormel Foods Corp. 1,244,593 38,844
* Dean Foods Co. 1,719,365 28,387
      12,558,818
Energy (11.0%)    
  Exxon Mobil Corp. 42,339,589 3,664,491
  Chevron Corp. 18,175,001 1,965,445
  Schlumberger Ltd. 12,328,128 854,216
  ConocoPhillips 11,272,404 653,687
  Occidental Petroleum    
  Corp. 7,523,451 576,372
  Anadarko Petroleum    
  Corp. 4,640,701 344,850
  Phillips 66 5,811,152 308,572
  EOG Resources Inc. 2,515,340 303,828
  Halliburton Co. 8,617,290 298,934
  Apache Corp. 3,633,416 285,223
  National Oilwell Varco Inc. 3,964,214 270,954
  Kinder Morgan Inc. 5,872,240 207,466
  Williams Cos. Inc. 6,257,038 204,855
  Marathon Oil Corp. 6,559,640 201,119
  Marathon Petroleum    
  Corp. 3,149,530 198,420
  Devon Energy Corp. 3,497,475 182,009
  Valero Energy Corp. 5,139,984 175,376
  Spectra Energy Corp. 6,182,607 169,280
  Noble Energy Inc. 1,651,789 168,053
  Baker Hughes Inc. 4,082,362 166,724
  Hess Corp. 2,759,155 146,125
* Cameron International    
  Corp. 2,291,757 129,393
  Ensco plc Class A 2,156,985 127,866
  Pioneer Natural    
  Resources Co. 1,144,735 122,017
* Southwestern Energy    
  Co. 3,245,910 108,446
  Murphy Oil Corp. 1,714,960 102,126
  Cabot Oil & Gas Corp. 1,949,186 96,952

 

12


 

500 Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Range Resources Corp. 1,510,677 94,916
* FMC Technologies Inc. 2,208,217 94,578
  EQT Corp. 1,389,755 81,968
  Noble Corp. 2,347,485 81,739
  Chesapeake Energy Corp. 4,815,645 80,036
  CONSOL Energy Inc. 2,115,740 67,915
  Peabody Energy Corp. 2,492,966 66,338
* Denbury Resources Inc. 3,594,592 58,232
  Tesoro Corp. 1,304,408 57,459
  Helmerich & Payne Inc. 981,566 54,978
  QEP Resources Inc. 1,653,650 50,056
  Diamond Offshore    
  Drilling Inc. 645,305 43,855
* Nabors Industries Ltd. 2,695,729 38,953
* Rowan Cos. plc Class A 1,152,893 36,051
* Newfield Exploration Co. 1,255,221 33,615
* WPX Energy Inc. 1,848,916 27,512
      13,001,000
Financials (15.6%)    
  Wells Fargo & Co. 45,463,670 1,553,948
  JPMorgan Chase & Co. 35,300,939 1,552,182
* Berkshire Hathaway    
  Inc. Class B 15,410,188 1,382,294
  Bank of America Corp. 100,088,234 1,161,023
  Citigroup Inc. 27,232,134 1,077,303
  US Bancorp 17,461,388 557,717
  Goldman Sachs    
  Group Inc. 4,102,102 523,264
  American Express Co. 9,040,821 519,666
* American International    
  Group Inc. 13,709,139 483,933
  Simon Property    
  Group Inc. 2,872,573 454,125
  MetLife Inc. 10,131,460 333,730
  Capital One Financial    
  Corp. 5,401,507 312,909
  PNC Financial Services    
  Group Inc. 4,910,976 286,359
  American Tower    
  Corporation 3,671,202 283,674
  Bank of New York    
  Mellon Corp. 10,851,589 278,886
  Travelers Cos. Inc. 3,542,082 254,392
  ACE Ltd. 3,155,410 251,802
  Morgan Stanley 12,833,293 245,372
  BlackRock Inc. 1,164,981 240,813
  Aflac Inc. 4,354,136 231,292
  Prudential Financial Inc. 4,308,580 229,777
  State Street Corp. 4,316,075 202,899
  Public Storage 1,338,853 194,080
  HCP Inc. 4,197,788 189,656
  BB&T Corp. 6,496,699 189,119
  Chubb Corp. 2,432,325 183,203
  Discover Financial    
  Services 4,687,227 180,693
  Allstate Corp. 4,473,663 179,707

 

      Market
      Value
    Shares ($000)
  Ventas Inc. 2,744,361 177,615
  Marsh & McLennan    
  Cos. Inc. 5,054,973 174,245
  Equity Residential 2,987,506 169,302
  Aon plc 2,959,041 164,523
  Franklin Resources Inc. 1,281,322 161,062
  Prologis Inc. 4,279,807 156,170
  T. Rowe Price Group Inc. 2,366,532 154,132
  Boston Properties Inc. 1,400,805 148,219
  Health Care REIT Inc. 2,411,300 147,789
  Charles Schwab Corp. 10,182,422 146,220
  CME Group Inc. 2,847,974 144,421
  AvalonBay Communities    
  Inc. 1,062,035 144,001
  SunTrust Banks Inc. 5,003,350 141,845
  Weyerhaeuser Co. 5,028,350 139,889
* Berkshire Hathaway Inc.    
  Class A 1,019 136,607
  Fifth Third Bancorp 8,333,421 126,585
  Vornado Realty Trust 1,573,486 126,005
  Ameriprise Financial Inc. 1,911,868 119,740
  Loews Corp. 2,888,449 117,704
  M&T Bank Corp. 1,129,601 111,232
  Progressive Corp. 5,168,200 109,049
  Invesco Ltd. 4,124,608 107,611
  Host Hotels & Resorts    
  Inc. 6,732,292 105,495
  Northern Trust Corp. 2,027,112 101,680
  Regions Financial Corp. 13,125,541 93,454
  Hartford Financial    
  Services Group Inc. 4,052,872 90,946
  Moody’s Corp. 1,801,396 90,646
* IntercontinentalExchange    
  Inc. 675,473 83,630
  SLM Corp. 4,292,467 73,530
  Kimco Realty Corp. 3,786,331 73,152
  Principal Financial    
  Group Inc. 2,563,150 73,101
  KeyCorp 8,672,519 73,023
  NYSE Euronext 2,257,122 71,190
  XL Group plc Class A 2,792,230 69,973
  Plum Creek Timber    
  Co. Inc. 1,500,836 66,592
  Lincoln National Corp. 2,554,542 66,163
* CBRE Group Inc.    
  Class A 2,801,037 55,741
  Comerica Inc. 1,767,149 53,615
  Cincinnati Financial Corp. 1,359,305 53,230
  Unum Group 2,554,238 53,179
  Huntington Bancshares    
  Inc. 7,947,077 50,782
  Torchmark Corp. 881,296 45,536
  Leucadia National Corp. 1,839,248 43,756
  People’s United Financial    
  Inc. 3,227,177 39,017
  Zions Bancorporation 1,709,809 36,590

 

13


 

500 Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Apartment Investment &    
  Management Co.    
  Class A 1,351,096 36,561
  Hudson City Bancorp Inc. 4,413,038 35,878
* Genworth Financial Inc.    
  Class A 4,565,701 34,288
  Legg Mason Inc. 1,088,107 27,986
  NASDAQ OMX Group Inc. 1,086,985 27,185
  Assurant Inc. 731,978 25,400
  First Horizon National    
  Corp. 2,298,456 22,778
* E*TRADE Financial    
  Corp. 2,394,434 21,430
^ Federated Investors Inc.    
  Class B 216 4
      18,453,315
Health Care (12.0%)    
  Johnson & Johnson 25,734,830 1,804,012
  Pfizer Inc. 68,371,173 1,714,749
  Merck & Co. Inc. 28,230,929 1,155,774
  Abbott Laboratories 14,678,434 961,437
  Amgen Inc. 7,125,769 615,096
* Gilead Sciences Inc. 7,035,586 516,764
  UnitedHealth Group Inc. 9,485,726 514,506
  Bristol-Myers Squibb Co. 15,328,511 499,556
  Eli Lilly & Co. 9,482,964 467,700
* Express Scripts    
  Holding Co. 7,581,126 409,381
  Medtronic Inc. 9,391,550 385,241
  Baxter International Inc. 5,101,542 340,069
* Biogen Idec Inc. 2,197,031 322,238
* Celgene Corp. 3,927,809 309,197
  Allergan Inc. 2,855,713 261,955
  Covidien plc 4,395,821 253,815
  Thermo Fisher Scientific    
  Inc. 3,344,821 213,333
  McKesson Corp. 2,191,827 212,519
* Intuitive Surgical Inc. 369,226 181,057
  WellPoint Inc. 2,819,659 171,774
* Alexion Pharmaceuticals    
  Inc. 1,804,001 169,233
  Stryker Corp. 2,683,084 147,087
  Aetna Inc. 3,106,789 143,844
  Becton Dickinson and Co. 1,828,789 142,993
  Cigna Corp. 2,654,582 141,914
  Agilent Technologies Inc. 3,235,392 132,457
  Cardinal Health Inc. 3,156,260 129,975
  Zimmer Holdings Inc. 1,611,679 107,434
* Cerner Corp. 1,354,611 105,172
* Mylan Inc. 3,785,614 104,029
  St. Jude Medical Inc. 2,862,658 103,456
* Watson Pharmaceuticals    
  Inc. 1,186,708 102,057
  Humana Inc. 1,469,748 100,869
* Edwards Lifesciences    
  Corp. 1,072,046 96,666

 

      Market
      Value
    Shares ($000)
  AmerisourceBergen Corp.    
  Class A 2,187,356 94,450
* DaVita HealthCare    
  Partners Inc. 778,594 86,058
  Quest Diagnostics Inc. 1,476,691 86,047
  Perrigo Co. 819,741 85,278
* Life Technologies Corp. 1,598,206 78,440
* Forest Laboratories Inc. 2,174,508 76,804
* Laboratory Corp. of    
  America Holdings 878,718 76,115
* Boston Scientific Corp. 12,753,623 73,078
* Varian Medical Systems    
  Inc. 1,016,156 71,375
* Waters Corp. 807,666 70,364
  CR Bard Inc. 711,027 69,496
* CareFusion Corp. 2,061,285 58,911
  Coventry Health Care Inc. 1,249,300 56,006
  DENTSPLY International 1,317,676 52,193
* Hospira Inc. 1,533,896 47,919
  PerkinElmer Inc. 1,065,429 33,817
  Tenet Healthcare Corp. 988,329 32,091
  Patterson Cos. Inc. 776,392 26,576
      14,212,377
Industrials (10.1%)    
  General Electric Co. 97,379,213 2,043,990
  United Technologies Corp. 7,830,274 642,161
  Union Pacific Corp. 4,368,103 549,158
  3M Co. 5,911,359 548,870
  Caterpillar Inc. 6,072,525 543,977
  United Parcel Service    
  Inc. Class B 6,644,295 489,884
  Boeing Co. 6,302,171 474,932
  Honeywell International    
  Inc. 7,274,411 461,707
  Emerson Electric Co. 6,724,335 356,121
  Deere & Co. 3,636,958 314,306
  Danaher Corp. 5,403,079 302,032
  Precision Castparts Corp. 1,351,448 255,991
  FedEx Corp. 2,712,454 248,786
  Illinois Tool Works Inc. 3,959,214 240,760
  Eaton Corp. plc 4,287,845 232,401
  Lockheed Martin Corp. 2,493,955 230,167
  General Dynamics Corp. 3,081,840 213,479
  CSX Corp. 9,577,140 188,957
  Norfolk Southern Corp. 2,934,654 181,479
  Cummins Inc. 1,641,277 177,832
  Raytheon Co. 3,063,028 176,308
  Northrop Grumman Corp. 2,279,017 154,016
  PACCAR Inc. 3,278,040 148,200
  Waste Management Inc. 4,049,061 136,615
  Tyco International Ltd. 4,326,120 126,539
  Ingersoll-Rand plc 2,600,378 124,714
  Parker Hannifin Corp. 1,385,732 117,870
  Fastenal Co. 2,504,852 116,952
  Stanley Black & Decker Inc.1,567,864 115,975
  WW Grainger Inc. 555,166 112,349

 

14


 

500 Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Dover Corp. 1,662,858 109,266
  Rockwell Automation Inc. 1,294,027 108,685
  Roper Industries Inc. 913,947 101,887
  ADT Corp. 2,159,378 100,389
  Pentair Ltd. 1,953,390 96,009
  CH Robinson Worldwide    
  Inc. 1,497,272 94,658
  Fluor Corp. 1,546,659 90,851
  Republic Services Inc.    
  Class A 2,777,871 81,475
  Expeditors International of    
  Washington Inc. 1,941,147 76,772
  Rockwell Collins Inc. 1,302,410 75,761
* Stericycle Inc. 797,772 74,408
  Southwest Airlines Co. 6,854,945 70,195
  Flowserve Corp. 464,277 68,156
  L-3 Communications    
  Holdings Inc. 873,672 66,941
  Textron Inc. 2,617,772 64,895
  Joy Global Inc. 983,420 62,722
  Pall Corp. 1,031,840 62,179
  Equifax Inc. 1,110,359 60,093
  Masco Corp. 3,315,366 55,234
* Quanta Services Inc. 1,979,022 54,007
* Jacobs Engineering    
  Group Inc. 1,207,580 51,407
  Iron Mountain Inc. 1,548,628 48,085
  Xylem Inc. 1,724,850 46,743
  Snap-on Inc. 540,586 42,701
  Robert Half International    
  Inc. 1,306,498 41,573
  Cintas Corp. 985,529 40,308
  Dun & Bradstreet Corp. 413,662 32,534
  Avery Dennison Corp. 924,460 32,282
  Ryder System Inc. 475,374 23,735
^ Pitney Bowes Inc. 1,867,107 19,866
      11,980,345
Information Technology (19.0%)  
  Apple Inc. 8,735,602 4,656,338
  International Business    
  Machines Corp. 9,863,306 1,889,316
  Microsoft Corp. 70,342,148 1,880,246
* Google Inc. Class A 2,471,648 1,753,313
  Oracle Corp. 34,905,860 1,163,063
  QUALCOMM Inc. 15,824,066 981,409
  Cisco Systems Inc. 49,303,087 968,806
  Intel Corp. 46,208,436 953,280
  Visa Inc. Class A 4,840,999 733,799
* eBay Inc. 10,814,511 551,756
* EMC Corp. 19,562,719 494,937
  Mastercard Inc. Class A 992,378 487,536
  Accenture plc Class A 5,929,360 394,303
  Texas Instruments Inc. 10,407,804 322,018
  Hewlett-Packard Co. 18,257,641 260,171

 

      Market
      Value
    Shares ($000)
  Automatic Data    
  Processing Inc. 4,508,051 257,004
* Cognizant Technology    
  Solutions Corp. Class A 2,787,509 206,415
* Salesforce.com Inc. 1,213,056 203,915
* Yahoo! Inc. 9,664,330 192,320
* Adobe Systems Inc. 4,596,887 173,211
  Corning Inc. 13,722,839 173,182
  Broadcom Corp. Class A 4,818,077 160,008
  Intuit Inc. 2,584,020 153,749
  TE Connectivity Ltd. 3,923,825 145,652
  Motorola Solutions Inc. 2,604,584 145,023
  Dell Inc. 13,550,484 137,266
  Applied Materials Inc. 11,120,887 127,223
* Symantec Corp. 6,445,854 121,247
  Analog Devices Inc. 2,799,403 117,743
* Citrix Systems Inc. 1,734,418 114,038
* NetApp Inc. 3,328,177 111,660
  Altera Corp. 2,977,854 102,557
* Fiserv Inc. 1,239,848 97,985
* SanDisk Corp. 2,245,782 97,826
* Teradata Corp. 1,570,748 97,214
  Amphenol Corp. Class A 1,489,380 96,363
  Seagate Technology plc 3,120,898 95,125
* Red Hat Inc. 1,795,785 95,105
* Juniper Networks Inc. 4,789,267 94,205
  Paychex Inc. 3,004,821 93,570
  Xilinx Inc. 2,423,713 87,011
  Western Digital Corp. 2,036,534 86,532
  Fidelity National    
  Information Services Inc. 2,314,940 80,583
  Xerox Corp. 11,738,135 80,054
  Western Union Co. 5,541,566 75,421
  KLA-Tencor Corp. 1,546,758 73,873
* Autodesk Inc. 2,087,183 73,782
  Linear Technology Corp. 2,149,357 73,723
  NVIDIA Corp. 5,804,083 71,332
* F5 Networks Inc. 734,209 71,328
  CA Inc. 3,114,343 68,453
* Akamai Technologies Inc. 1,648,438 67,438
* Micron Technology Inc. 9,451,710 60,018
  Microchip Technology Inc. 1,807,584 58,909
  Computer Sciences Corp. 1,443,156 57,798
* Lam Research Corp. 1,591,486 57,500
* VeriSign Inc. 1,441,388 55,955
* BMC Software Inc. 1,323,413 52,487
  Harris Corp. 1,054,312 51,619
* Electronic Arts Inc. 2,832,731 41,160
* LSI Corp. 5,137,408 36,373
  Molex Inc. 1,278,456 34,940
  Jabil Circuit Inc. 1,736,372 33,495
  Total System Services Inc. 1,491,558 31,949
  FLIR Systems Inc. 1,392,571 31,068
  SAIC Inc. 2,633,923 29,816
* Teradyne Inc. 1,743,721 29,452

 

15


 

500 Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* JDS Uniphase Corp. 2,171,581 29,403
*,^ First Solar Inc. 558,482 17,246
* Advanced Micro    
  Devices Inc. 5,628,113 13,508
  Molex Inc. Class A 4,051 90
      22,532,213
Materials (3.6%)    
  Monsanto Co. 4,964,357 469,876
  EI du Pont de Nemours    
  & Co. 8,658,993 389,395
  Dow Chemical Co. 11,136,063 359,918
  Praxair Inc. 2,759,062 301,979
  Freeport-McMoRan    
  Copper & Gold Inc. 8,815,368 301,486
  Newmont Mining Corp. 4,609,727 214,076
  LyondellBasell Industries    
  NV Class A 3,525,048 201,245
  PPG Industries Inc. 1,423,944 192,731
  Ecolab Inc. 2,447,832 175,999
  Air Products & Chemicals    
  Inc. 1,976,424 166,059
  International Paper Co. 4,077,688 162,455
  Mosaic Co. 2,569,019 145,484
  Nucor Corp. 2,950,602 127,407
  Sherwin-Williams Co. 794,914 122,274
  CF Industries Holdings Inc. 584,018 118,649
  Eastman Chemical Co. 1,424,585 96,943
  Alcoa Inc. 9,913,210 86,047
  Sigma-Aldrich Corp. 1,117,648 82,237
  FMC Corp. 1,276,166 74,681
  Ball Corp. 1,429,030 63,949
  Vulcan Materials Co. 1,203,709 62,653
  Airgas Inc. 652,864 59,600
  MeadWestvaco Corp. 1,622,857 51,720
  Cliffs Natural Resources    
  Inc. 1,322,903 51,011
  International Flavors &    
  Fragrances Inc. 757,234 50,386
* Owens-Illinois Inc. 1,527,323 32,486
  Bemis Co. Inc. 958,765 32,080
  United States Steel Corp. 1,339,322 31,970
  Sealed Air Corp. 1,805,565 31,615
  Allegheny Technologies Inc. 996,098 30,241
  Titanium Metals Corp. 703 12
      4,286,664
Telecommunication Services (3.0%)  
  AT&T Inc. 52,746,254 1,778,076
  Verizon    
  Communications Inc. 26,502,277 1,146,753
  CenturyLink Inc. 5,796,799 226,771
* Crown Castle    
  International Corp. 2,722,200 196,434
* Sprint Nextel Corp. 27,899,813 158,192
  Windstream Corp. 5,460,100 45,210

 

    Market
    Value
  Shares ($000)
^ Frontier    
Communications Corp. 9,269,071 39,672
* MetroPCS    
Communications    
Inc. 2,940,386 29,227
    3,620,335
Utilities (3.4%)    
Duke Energy Corp. 6,539,658 417,230
Southern Co. 8,116,949 347,487
Dominion Resources Inc. 5,335,793 276,394
NextEra Energy Inc. 3,929,829 271,905
Exelon Corp. 7,932,766 235,920
American Electric    
Power Co. Inc. 4,505,908 192,312
FirstEnergy Corp. 3,883,402 162,171
PG&E Corp. 3,992,690 160,426
PPL Corp. 5,401,504 154,645
Consolidated Edison Inc. 2,719,478 151,040
Sempra Energy 2,088,495 148,158
Public Service Enterprise    
Group Inc. 4,697,652 143,748
Edison International 3,025,274 136,712
Xcel Energy Inc. 4,529,651 120,987
Northeast Utilities 2,916,298 113,969
Entergy Corp. 1,650,957 105,248
DTE Energy Co. 1,598,379 95,983
ONEOK Inc. 1,900,635 81,252
Wisconsin Energy Corp. 2,137,066 78,751
CenterPoint Energy Inc. 3,970,432 76,431
NiSource Inc. 2,877,240 71,614
Ameren Corp. 2,253,735 69,235
NRG Energy Inc. 2,993,590 68,823
AES Corp. 5,735,602 61,371
CMS Energy Corp. 2,451,265 59,762
SCANA Corp. 1,224,188 55,872
Pinnacle West Capital    
Corp. 1,018,462 51,921
AGL Resources Inc. 1,093,437 43,705
Pepco Holdings Inc. 2,130,301 41,775
Integrys Energy Group Inc. 723,247 37,768
TECO Energy Inc. 1,889,824 31,673
    4,064,288
Total Common Stocks    
(Cost $79,082,994) 118,284,029
Temporary Cash Investments (0.2%)1  
Money Market Fund (0.2%)    
2,3 Vanguard Market    
Liquidity Fund,    
0.162% 220,010,111 220,010

 

16


 

500 Index Fund    
 
 
 
    Face Market
    Amount Value
    ($000) ($000)
U.S. Government and Agency Obligations (0.0%)
4 Fannie Mae Discount    
  Notes, 0.097%, 3/27/13 5,000 4,998
5,6 Federal Home Loan Bank    
  Discount Notes,    
  0.130%, 2/1/13 3,000 3,000
5,6 Federal Home Loan Bank    
  Discount Notes,    
  0.130%, 3/1/13 9,150 9,148
      17,146
Total Temporary Cash Investments  
(Cost $237,156)   237,156
Total Investments (100.0%)    
(Cost $79,320,150)   118,521,185
Other Assets and Liabilities (0.0%)  
Other Assets5   547,555
Liabilities3   (565,355)
      (17,800)
Net Assets (100%)   118,503,385

 

At December 31, 2012, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 82,589,527
Overdistributed Net  
Investment Income (131,485)
Accumulated Net Realized Losses (3,156,321)
Unrealized Appreciation (Depreciation)  
Investment Securities 39,201,035
Futures Contracts 629
Net Assets 118,503,385

 

  Amount
  ($000)
Investor Shares—Net Assets  
Applicable to 188,935,616 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 24,821,367
Net Asset Value Per Share—  
Investor Shares $131.37
 
 
Admiral Shares—Net Assets  
Applicable to 454,808,552 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 59,749,291
Net Asset Value Per Share—  
Admiral Shares $131.37
 
 
Signal Shares—Net Assets  
Applicable to 251,613,250 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 27,304,388
Net Asset Value Per Share—  
Signal Shares $108.52
 
 
ETF Shares—Net Assets  
Applicable to 101,681,367 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 6,628,339
Net Asset Value Per Share—  
ETF Shares $65.19

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $76,675,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 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 $79,188,000 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 $12,148,000 and cash of $5,000,000 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.
See accompanying Notes, which are an integral part of the Financial Statements.

17


 

500 Index Fund  
 
 
Statement of Operations  
 
  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 2,592,659
Interest1 816
Security Lending 7,098
Total Income 2,600,573
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 6,537
Management and Administrative—Investor Shares 36,186
Management and Administrative—Admiral Shares 15,377
Management and Administrative—Signal Shares 4,486
Management and Administrative—ETF Shares 953
Marketing and Distribution—Investor Shares 6,403
Marketing and Distribution—Admiral Shares 8,973
Marketing and Distribution—Signal Shares 6,137
Marketing and Distribution—ETF Shares 1,003
Custodian Fees 1,102
Auditing Fees 34
Shareholders’ Reports—Investor Shares 479
Shareholders’ Reports—Admiral Shares 259
Shareholders’ Reports—Signal Shares 109
Shareholders’ Reports—ETF Shares 37
Trustees’ Fees and Expenses 114
Total Expenses 88,189
Net Investment Income 2,512,384
Realized Net Gain (Loss)  
Investment Securities Sold 2,389,263
Futures Contracts 95,885
Realized Net Gain (Loss) 2,485,148
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 11,205,626
Futures Contracts (3,390)
Change in Unrealized Appreciation (Depreciation) 11,202,236
Net Increase (Decrease) in Net Assets Resulting from Operations 16,199,768
1 Interest income from an affiliated company of the fund was $774,000.

 

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

18


 

500 Index Fund    
 
 
Statement of Changes in Net Assets    
 
  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 2,512,384 2,082,425
Realized Net Gain (Loss) 2,485,148 (74,741)
Change in Unrealized Appreciation (Depreciation) 11,202,236 90,802
Net Increase (Decrease) in Net Assets Resulting from Operations 16,199,768 2,098,486
Distributions    
Net Investment Income    
Investor Shares (545,412) (552,815)
Admiral Shares (1,282,737) (1,061,949)
Signal Shares (564,477) (433,611)
ETF Shares (114,084) (32,365)
Realized Capital Gain    
Investor Shares
Admiral Shares
Signal Shares
ETF Shares
Total Distributions (2,506,710) (2,080,740)
Capital Share Transactions    
Investor Shares (4,504,796) (6,033,406)
Admiral Shares 863,165 456,850
Signal Shares 2,758,859 2,699,645
ETF Shares 3,843,275 2,128,573
Net Increase (Decrease) from Capital Share Transactions 2,960,503 (748,338)
Total Increase (Decrease) 16,653,561 (730,592)
Net Assets    
Beginning of Period 101,849,824 102,580,416
End of Period1 118,503,385 101,849,824

1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($131,485,000) and ($137,159,000).

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

19


 

500 Index Fund          
 
 
Financial Highlights          
 
 
Investor Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $115.80 $115.82 $102.67 $83.09 $135.15
Investment Operations          
Net Investment Income 2.709 2.246 2.020 2.131 2.443
Net Realized and Unrealized Gain (Loss)          
on Investments 15.560 (.020) 13.096 19.553 (51.998)
Total from Investment Operations 18.269 2.226 15.116 21.684 (49.555)
Distributions          
Dividends from Net Investment Income (2.699) (2.246) (1.966) (2.104) (2.505)
Distributions from Realized Capital Gains
Total Distributions (2.699) (2.246) (1.966) (2.104) (2.505)
Net Asset Value, End of Period $131.37 $115.80 $115.82 $102.67 $83.09
 
Total Return1 15.82% 1.97% 14.91% 26.49% -37.02%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $24,821 $25,967 $31,904 $48,313 $38,778
Ratio of Total Expenses to Average Net Assets 0.17% 0.17% 0.17% 0.18% 0.16%
Ratio of Net Investment Income to          
Average Net Assets 2.13% 1.92% 1.94% 2.42% 2.16%
Portfolio Turnover Rate2 3% 4% 5% 12% 6%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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


 

500 Index Fund          
 
 
Financial Highlights          
 
 
Admiral Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $115.80 $115.83 $102.67 $83.09 $135.15
Investment Operations          
Net Investment Income 2.866 2.391 2.152 2.227 2.534
Net Realized and Unrealized Gain (Loss)          
on Investments 15.560 (.031) 13.092 19.556 (52.000)
Total from Investment Operations 18.426 2.360 15.244 21.783 (49.466)
Distributions          
Dividends from Net Investment Income (2.856) (2.390) (2.084) (2.203) (2.594)
Distributions from Realized Capital Gains
Total Distributions (2.856) (2.390) (2.084) (2.203) (2.594)
Net Asset Value, End of Period $131.37 $115.80 $115.83 $102.67 $83.09
 
Total Return1 15.96% 2.08% 15.05% 26.62% -36.97%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $59,749 $51,925 $51,438 $28,380 $23,009
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.06% 0.07% 0.08%
Ratio of Net Investment Income to          
Average Net Assets 2.25% 2.04% 2.05% 2.53% 2.24%
Portfolio Turnover Rate2 3% 4% 5% 12% 6%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

21


 

500 Index Fund          
 
 
Financial Highlights          
 
 
Signal Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $95.65 $95.68 $84.81 $68.64 $111.64
Investment Operations          
Net Investment Income 2.368 1.975 1.780 1.839 2.092
Net Realized and Unrealized Gain (Loss)          
on Investments 12.861 (.030) 10.813 16.151 (42.952)
Total from Investment Operations 15.229 1.945 12.593 17.990 (40.860)
Distributions          
Dividends from Net Investment Income (2.359) (1.975) (1.723) (1.820) (2.140)
Distributions from Realized Capital Gains
Total Distributions (2.359) (1.975) (1.723) (1.820) (2.140)
Net Asset Value, End of Period $108.52 $95.65 $95.68 $84.81 $68.64
 
Total Return 15.97% 2.08% 15.05% 26.61% -36.97%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $27,304 $21,592 $18,977 $16,590 $13,099
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.06% 0.07% 0.08%
Ratio of Net Investment Income to          
Average Net Assets 2.25% 2.04% 2.05% 2.53% 2.24%
Portfolio Turnover Rate1 3% 4% 5% 12% 6%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

22


 

500 Index Fund      
 
 
Financial Highlights      
 
 
ETF Shares      
      Sept. 7,
  Year Ended 20101 to
  December 31, Dec. 31,
For a Share Outstanding Throughout Each Period 2012 2011 2010
Net Asset Value, Beginning of Period $57.46 $57.47 $50.08
Investment Operations      
Net Investment Income 1.423 1.186 .363
Net Realized and Unrealized Gain (Loss) on Investments 7.725 (.010) 7.569
Total from Investment Operations 9.148 1.176 7.932
Distributions      
Dividends from Net Investment Income (1.418) (1.186) (.542)
Distributions from Realized Capital Gains
Total Distributions (1.418) (1.186) (.542)
Net Asset Value, End of Period $65.19 $57.46 $57.47
 
Total Return 15.98% 2.09% 15.89%
 
Ratios/Supplemental Data      
Net Assets, End of Period (Millions) $6,628 $2,366 $261
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.06%2
Ratio of Net Investment Income to Average Net Assets 2.25% 2.04% 2.05%2
Portfolio Turnover Rate3 3% 4% 5%

 

1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

23


 

500 Index Fund

Notes to Financial Statements

Vanguard 500 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, Admiral Shares, Signal Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Signal Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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).

During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.

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 (December 31, 2009–2012), 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.

24


 

500 Index Fund

5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed capital of $16,101,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 6.44% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant 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 118,284,029
Temporary Cash Investments 220,010 17,146
Futures Contracts—Assets1 6,155
Total 118,510,194 17,146
1 Represents variation margin on the last day of the reporting period.

 

25


 

500 Index Fund

D. 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 584 207,335 739
E-mini S&P 500 Index March 2013 490 34,792 (110)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

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

During the year ended December 31, 2012, the fund realized $1,827,661,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $18,950,000 of ordinary income available for distribution. At December 31, 2012, the fund had available capital losses totaling $3,151,728,000 to offset future net capital gains. Of this amount $2,057,911,000 is subject to expiration dates; $293,941,000 may be used to offset future net capital gains through December 31, 2014, and $1,763,970,000 through December 31, 2016. Capital losses of $1,093,817,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $79,320,502,000. Net unrealized appreciation of investment securities for tax purposes was $39,200,683,000, consisting of unrealized gains of $47,354,816,000 on securities that had risen in value since their purchase and $8,154,133,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the year ended December 31, 2012, the fund purchased $9,967,290,000 of investment securities and sold $6,867,873,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,325,614,000 and $2,948,499,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

26


 

500 Index Fund

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 3,469,946 27,336 4,337,212 36,996
Issued in Lieu of Cash Distributions 524,604 4,049 535,654 4,690
Redeemed (8,499,346) (66,693) (10,906,272) (92,902)
Net Increase (Decrease)—Investor Shares (4,504,796) (35,308) (6,033,406) (51,216)
Admiral Shares        
Issued 5,809,353 45,236 5,212,677 44,787
Issued in Lieu of Cash Distributions 1,167,640 9,003 967,995 8,483
Redeemed (6,113,828) (47,856) (5,723,822) (48,940)
Net Increase (Decrease)—Admiral Shares 863,165 6,383 456,850 4,330
Signal Shares        
Issued 8,315,286 78,877 8,023,642 82,491
Issued in Lieu of Cash Distributions 507,129 4,731 393,984 4,184
Redeemed (6,063,556) (57,737) (5,717,981) (59,284)
Net Increase (Decrease)—Signal Shares 2,758,859 25,871 2,699,645 27,391
ETF Shares        
Issued 4,386,285 69,013 2,492,605 43,323
Issued in Lieu of Cash Distributions
Redeemed (543,010) (8,500) (364,032) (6,700)
Net Increase (Decrease)—ETF Shares 3,843,275 60,513 2,128,573 36,623

 

H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

27


 

Report of Independent Registered
Public Accounting Firm

To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard 500 Index Fund: In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard 500 Index Fund (constituting a separate portfolio of Vanguard Index Funds, hereafter referred to as the “Fund”) at December 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania

February 11, 2013

                          
Special 2012 tax information (unaudited) for Vanguard 500 Index Fund

 

This information for the fiscal year ended December 31, 2012, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $2,506,710,000 of qualified dividend income to shareholders during the fiscal year.

For corporate shareholders, 98.3% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

28


 

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.(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 Investor 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: 500 Index Fund Investor Shares    
Periods Ended December 31, 2012      
  One Five Ten
  Year Years Years
Returns Before Taxes 15.82% 1.57% 6.99%
Returns After Taxes on Distributions 15.47 1.25 6.68
Returns After Taxes on Distributions and Sale of Fund Shares 10.75 1.28 6.11

 

29


 

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.

30


 

Six Months Ended December 31, 2012      
  Beginning Ending Expenses
  Account Value Account Value Paid During
500 Index Fund 6/30/2012 12/31/2012 Period
Based on Actual Fund Return      
Investor Shares $1,000.00 $1,058.64 $0.88
Admiral Shares 1,000.00 1,059.28 0.26
Signal Shares 1,000.00 1,059.30 0.26
ETF Shares 1,000.00 1,059.36 0.26
 
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,024.35 $0.87
Admiral Shares 1,000.00 1,024.95 0.26
Signal Shares 1,000.00 1,024.95 0.26
ETF Shares 1,000.00 1,024.95 0.26

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, and 0.05% 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.

31


 

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.

32


 

Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.

R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.

Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.

Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.

Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.

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The People Who Govern Your Fund

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

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 180 Vanguard funds.

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

InterestedTrustee1 and Delphi Automotive LLP (automotive components);
  Senior Advisor at New Mountain Capital; Trustee of
F. William McNabb III The Conference Board.
Born 1957. Trustee Since July 2009. Chairman of the  
Board. Principal Occupation(s) During the Past Five Amy Gutmann
Years: Chairman of the Board of The Vanguard Group, Born 1949. Trustee Since June 2006. Principal
Inc., and of each of the investment companies served Occupation(s) During the Past Five Years: President
by The Vanguard Group, since January 2010; Director of the University of Pennsylvania; Christopher H.
of The Vanguard Group since 2008; Chief Executive Browne Distinguished Professor of Political Science
Officer and President of The Vanguard Group and of in the School of Arts and Sciences with secondary
each of the investment companies served by The appointments at the Annenberg School for
Vanguard Group since 2008; Director of Vanguard Communication and the Graduate School of Education
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Member of the
Vanguard Group (1995–2008). National Commission on the Humanities and Social
  Sciences; Trustee of Carnegie Corporation of New
  York and of the National Constitution Center; Chair
IndependentTrustees of the U. S. Presidential Commission for the Study
  of Bioethical Issues.
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal JoAnn Heffernan Heisen
Occupation(s) During the Past Five Years: Executive Born 1950. Trustee Since July 1998. Principal
  Occupation(s) During the Past Five Years: Corporate
Chief Staff and Marketing Officer for North America Vice President and Chief Global Diversity Officer
and Corporate Vice President (retired 2008) of Xerox (retired 2008) and Member of the Executive
Corporation (document management products and Committee (1997–2008) of Johnson & Johnson
services); Executive in Residence and 2010 (pharmaceuticals/medical devices/consumer
Distinguished Minett Professor at the Rochester products); Director of Skytop Lodge Corporation
Institute of Technology; Director of SPX Corporation (hotels), the University Medical Center at Princeton,
(multi-industry manufacturing), the United Way of the Robert Wood Johnson Foundation, and the Center
Rochester, Amerigroup Corporation (managed health for Talent Innovation; Member of the Advisory Board
care), the University of Rochester Medical Center, of the Maxwell School of Citizenship and Public Affairs
Monroe Community College Foundation, and North at Syracuse University.
Carolina A&T University.
  F. Joseph Loughrey
Rajiv L. Gupta Born 1949. Trustee Since October 2009. Principal
Born 1945. Trustee Since December 2001.2 Occupation(s) During the Past Five Years: President
Principal Occupation(s) During the Past Five Years: and Chief Operating Officer (retired 2009) of Cummins
Chairman and Chief Executive Officer (retired 2009) Inc. (industrial machinery); Director of SKF AB
and President (2006–2008) of Rohm and Haas Co. (industrial machinery), Hillenbrand, Inc. (specialized
(chemicals); Director of Tyco International, Ltd. consumer services), the Lumina Foundation for
(diversified manufacturing and services), Hewlett-
Packard Co. (electronic computer manufacturing),

 


 

Education, and Oxfam America; Chairman of the Executive Officers  
Advisory Council for the College of Arts and Letters    
and Member of the Advisory Board to the Kellogg Glenn Booraem  
Institute for International Studies at the University Born 1967. Controller Since July 2010. Principal
of Notre Dame. Occupation(s) During the Past Five Years: Principal
  of The Vanguard Group, Inc.; Controller of each of
Mark Loughridge the investment companies served by The Vanguard
Born 1953. Trustee Since March 2012. Principal Group; Assistant Controller of each of the investment
Occupation(s) During the Past Five Years: Senior Vice companies served by The Vanguard Group (2001–2010).
President and Chief Financial Officer at IBM (information    
technology services); Fiduciary Member of IBM’s Thomas J. Higgins  
Retirement Plan Committee. Born 1957. Chief Financial Officer Since September
  2008. Principal Occupation(s) During the Past Five
Scott C. Malpass Years: Principal of The Vanguard Group, Inc.; Chief
Born 1962. Trustee Since March 2012. Principal Financial Officer of each of the investment companies
Occupation(s) During the Past Five Years: Chief served by The Vanguard Group; Treasurer of each of
Investment Officer and Vice President at the University the investment companies served by The Vanguard
of Notre Dame; Assistant Professor of Finance at the Group (1998–2008).  
Mendoza College of Business at Notre Dame; Member    
of the Notre Dame 403(b) Investment Committee; Kathryn J. Hyatt  
Director of TIFF Advisory Services, Inc. (investment Born 1955. Treasurer Since November 2008. Principal
advisor); Member of the Investment Advisory Occupation(s) During the Past Five Years: Principal of
Committees of the Financial Industry Regulatory The Vanguard Group, Inc.; Treasurer of each of the
Authority (FINRA) and of Major League Baseball. investment companies served by The Vanguard
  Group; Assistant Treasurer of each of the investment
André F. Perold companies served by The Vanguard Group (1988–2008).
Born 1952. Trustee Since December 2004. Principal    
Occupation(s) During the Past Five Years: George Heidi Stam  
Gund Professor of Finance and Banking at the Harvard Born 1956. Secretary Since July 2005. Principal
Business School (retired 2011); Chief Investment Occupation(s) During the Past Five Years: Managing
Officer and Managing Partner of HighVista Strategies Director of The Vanguard Group, Inc.; General Counsel
LLC (private investment firm); Director of Rand of The Vanguard Group; Secretary of The Vanguard
Merchant Bank; Overseer of the Museum of Fine Group and of each of the investment companies
Arts Boston. served by The Vanguard Group; Director and Senior
  Vice President of Vanguard Marketing Corporation.
Alfred M. Rankin, Jr.    
Born 1941. Trustee Since January 1993. Principal Vanguard Senior ManagementTeam  
Occupation(s) During the Past Five Years: Chairman,    
President, and Chief Executive Officer of NACCO Mortimer J. Buckley Michael S. Miller
Industries, Inc. (forklift trucks/housewares/lignite); Kathleen C. Gubanich James M. Norris
Director of Goodrich Corporation (industrial products/ Paul A. Heller Glenn W. Reed
aircraft systems and services) and the National Martha G. King George U. Sauter
Association of Manufacturers; Chairman of the Board Chris D. McIsaac  
of the Federal Reserve Bank of Cleveland and of    
University Hospitals of Cleveland; Advisory Chairman Chairman Emeritus and Senior Advisor  
of the Board of The Cleveland Museum of Art.    
  John J. Brennan  
Peter F. Volanakis Chairman, 1996–2009  
Born 1955. Trustee Since July 2009. Principal Chief Executive Officer and President, 1996–2008  
Occupation(s) During the Past Five Years: President    
and Chief Operating Officer (retired 2010) of Corning Founder  
Incorporated (communications equipment); Director John C. Bogle  
of SPX Corporation (multi-industry manufacturing); Chairman and Chief Executive Officer, 1974–1996  
Overseer of the Amos Tuck School of Business  
Administration at Dartmouth College; Advisor to the    
Norris Cotton Cancer Center.

 

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


 

 

 
 P.O. Box 2600
 Valley Forge, PA 19482-2600

 

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  © 2013 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
 
  Q400 022013

 


 

 

 
Annual Report | December 31, 2012
 
Vanguard U.S. Stock Index Funds
Small-Capitalization Portfolios
 
 
 
Vanguard Small-Cap Index Fund
Vanguard Small-Cap Growth Index Fund
Vanguard Small-Cap Value Index Fund

 



 

> For the 12 months ended December 31, 2012, returns for Investor Shares of Vanguard’s small-capitalization index funds ranged from 17.52% for the Small-Cap Growth Index Fund to 18.56% for the Small-Cap Value Index Fund.

> All three small-cap funds closely tracked their benchmark indexes; each fund outpaced the average return of its peer group.

> The small-cap index funds outperformed their large-cap brethren for the year.

Contents  
Your Fund’s Total Returns. 1
Chairman’s Letter. 4
Small-Cap Index Fund. 10
Small-Cap Growth Index Fund. 32
Small-Cap Value Index Fund. 51
Your Fund’s After-Tax Returns. 72
About Your Fund’s Expenses. 73
Glossary. 76

 


Small-Cap Index Fund
Small-Cap Growth Index Fund
Small-Cap Value Index Fund

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.


 

Your Fund’s Total Returns  
 
 
 
 
Fiscal Year Ended December 31, 2012  
 
  Total
  Returns
Vanguard Small-Cap Index Fund  
Investor Shares 18.04%
Admiral™ Shares 18.24
Signal® Shares 18.25
Institutional Shares 18.26
Institutional Plus Shares 18.29
ETF Shares  
Market Price 18.34
Net Asset Value 18.22
MSCI US Small Cap 1750 Index 18.20
Small-Cap Core Funds Average 14.70
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc.  
Vanguard Small-Cap Growth Index Fund  
Investor Shares 17.52%
Admiral Shares 17.66
Institutional Shares 17.68
ETF Shares  
Market Price 17.68
Net Asset Value 17.67
MSCI US Small Cap Growth Index 17.57
Small-Cap Growth Funds Average 13.07
Small-Cap Growth Funds Average: Derived from data provided by Lipper Inc.

 

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares, Institutional Shares, and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.

1


 

Your Fund’s Total Returns  
 
 
 
 
Fiscal Year Ended December 31, 2012  
 
  Total
  Returns
Vanguard Small-Cap Value Index Fund  
Investor Shares 18.56%
Admiral Shares 18.77
Institutional Shares 18.78
ETF Shares  
Market Price 18.84
Net Asset Value 18.78
MSCI US Small Cap Value Index 18.80
Small-Cap Value Funds Average 16.29

 

Small-Cap Value Funds Average: Derived from data provided by Lipper Inc.

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares, Institutional Shares, and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.

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.

2


 

Your Fund’s Performance at a Glance    
 
 
 
 
December 31, 2011, Through December 31, 2012        
      Distributions Per Share
  Starting Ending Income Capital
  Share Price Share Price Dividends Gains
Vanguard Small-Cap Index Fund        
Investor Shares $33.38 $38.74 $0.662 $0.000
Admiral Shares 33.39 38.76 0.719 0.000
Signal Shares 30.08 34.92 0.649 0.000
Institutional Shares 33.39 38.76 0.726 0.000
Institutional Plus Shares 96.37 111.87 2.120 0.000
ETF Shares 69.70 80.89 1.504 0.000
Vanguard Small-Cap Growth Index Fund        
Investor Shares $21.49 $25.03 $0.224 $0.000
Admiral Shares 26.88 31.30 0.326 0.000
Institutional Shares 21.53 25.07 0.265 0.000
ETF Shares 76.45 89.03 0.923 0.000
Vanguard Small-Cap Value Index Fund        
Investor Shares $15.04 $17.40 $0.432 $0.000
Admiral Shares 26.96 31.20 0.819 0.000
Institutional Shares 15.07 17.44 0.460 0.000
ETF Shares 62.73 72.60 1.903 0.000

 

3


 

 

 

 

Chairman’s Letter

Dear Shareholder,

After recording negative returns for 2011, Vanguard’s three small-capitalization index funds rebounded in 2012. A strengthening U.S. housing market contributed to this advance.

For the 12 months ended December 31, 2012, Vanguard Small-Cap Value Index Fund returned 18.56%, surpassing the 17.52% return of Vanguard Small-Cap Growth Index Fund. Vanguard Small-Cap Index Fund, which includes both growth and value stocks, returned 18.04%. (All returns are for the funds’ Investor Shares.)

Each of the small-cap index funds closely tracked the performance of its respective index, and also surpassed the average return of its respective peer group.

If you hold any of these funds in a taxable account, you may wish to review the discussion of after-tax returns that appears later in this report.

With help from central banks, stocks posted strong results
Stocks around the world recorded double-digit gains for the 12 months ended December 31, with international stocks faring even better than their U.S. counterparts.

European stocks shook off investors’ concerns to deliver some of the best results, rising about 19% compared with about 16% for U.S. stocks. The rally came as European central bankers moved to address worries about the

4


 

finances of governments and banks. Still, Vanguard economists expect Europe to remain a trouble spot, with occasional spikes in market volatility, as fiscal tightening persists in the face of weak economic growth.

In the United States, the Federal Reserve continued buying bonds and mortgage-backed securities to try to stimulate growth. The Fed’s actions seemed to buoy both stock and bond returns.

Attention to the nation’s considerable budget challenges intensified as 2012 drew to a close. The focus on the “fiscal cliff” led to nervousness in the markets before policymakers reached a limited tax-rate agreement on the cusp of the new year. The compromise legislation, which President Barack Obama signed into law on January 2, addressed some immediate concerns, but a credible long-term deficit-reduction strategy has yet to be crafted to resolve the nation’s fiscal imbalance and open the way for growth.

Bond returns were solid, but challenges lie ahead
The broad U.S. taxable bond market returned about 4% for the 12 months. Municipal bonds performed especially well, returning more than 6%.

As bond prices rose, the yield of the 10-year U.S. Treasury note slipped to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite

Market Barometer      
 
    Average Annual Total Returns
  Periods Ended December 31, 2012
  One Three Five
  Year Years Years
Stocks      
Russell 1000 Index (Large-caps) 16.42% 11.12% 1.92%
Russell 2000 Index (Small-caps) 16.35 12.25 3.56
Russell 3000 Index (Broad U.S. market) 16.42 11.20 2.04
MSCI All Country World Index ex USA (International) 16.83 3.87 -2.89
 
Bonds      
Barclays U.S. Aggregate Bond Index (Broad taxable market) 4.21% 6.19% 5.95%
Barclays Municipal Bond Index (Broad tax-exempt market) 6.78 6.57 5.91
Citigroup Three-Month U.S. Treasury Bill Index 0.07 0.08 0.44
 
CPI      
Consumer Price Index 1.74% 2.06% 1.80%

 

5


 

directions.) By the end of the period, the yield had climbed, but it remained exceptionally low by historical standards.

Although bonds can provide critical diversification benefits to a portfolio, their return prospects look much less promising than in recent years. As yields have tumbled, the opportunity for future bond price appreciation has greatly diminished. (You can read more about our expectations for bond and stock returns in Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.)

As it has since late 2008, the Fed held its target for short-term interest rates between 0% and 0.25%, which kept a tight lid on returns from money market funds and savings accounts.

The financial sector helped small-cap value stocks excel
Although it was a good year for stocks of all sizes, small-caps outperformed their larger counterparts. The Small-Cap Value Index Fund, which has an outsized allocation to financials, performed best. The fund gained about 40% of its return for the year from the sector. Financial stocks surged as the U.S. housing recovery gained traction.

Expense Ratios              
Your Fund Compared With Its Peer Group            
              Peer
  Investor Admiral Signal Institutional Institutional ETF Group
  Shares Shares Shares Shares Plus Shares Shares Average
Small-Cap Index Fund 0.24% 0.10% 0.10% 0.08% 0.06% 0.10% 1.37%
Small-Cap Growth Index Fund 0.24 0.10 0.08 0.10 1.51
Small-Cap Value Index Fund 0.35 0.21 0.19 0.21 1.45

 

The fund expense ratios shown are from the prospectus dated April 26, 2012, as supplemented, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the funds’ expense ratios were: for the Small-Cap Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Small-Cap Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; and for the Small-Cap Value Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2011.

Peer groups: For the Small-Cap Index Fund, Small-Cap Core Funds; for the Small-Cap Growth Index Fund, Small-Cap Growth Funds; for the Small-Cap Value Index Fund, Small-Cap Value Funds.

6


 

Real estate investment trusts (REITs) performed particularly well; property owners increased rents as the market improved, which translated to additional revenue and profit. In addition, investors searching for income were drawn to the relatively high yields of REITs.

Industrials also posted strong contributions to the Small-Cap Value Index Fund. With construction activity picking up, industrial machinery, construction equipment, and specialized vehicle manufacturers all turned in strong returns.

The Small-Cap Index Fund also benefited from the financial and industrial sectors, but to a lesser extent, since the two sectors combined represented a less substantial proportion of its portfolio.

The performance of the Small-Cap Growth Index Fund was driven mainly by health care and information technology. Health care stocks, including biotech firms, health care equipment suppliers, and service providers, accounted for more than 20% of the fund’s total return. Information technology companies, including software application and IT service providers, also

Total Returns  
Ten Years Ended December 31, 2012  
  Average
  Annual Return
Small-Cap Index Fund Investor Shares 10.83%
Spliced Small-Cap Index 11.02
Small-Cap Core Funds Average 9.05
For a benchmark description, see the Glossary.  
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc.  
 
Small-Cap Growth Index Fund Investor Shares 11.02%
Spliced Small-Cap Growth Index 10.97
Small-Cap Growth Funds Average 8.20
For a benchmark description, see the Glossary.  
Small-Cap Growth Funds Average: Derived from data provided by Lipper Inc.  
 
Small-Cap Value Index Fund Investor Shares 9.61%
Spliced Small-Cap Value Index 9.58
Small-Cap Value Funds Average 9.20
For a benchmark description, see the Glossary.  
Small-Cap Value Funds Average: Derived from data provided by Lipper Inc.  

 

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.

7


 

stood out. Because the fund’s target benchmark only focuses on growth-oriented stocks, the fund held less of some of the best-performing sectors, including financials, in its portfolio.

For all three funds, the energy sector detracted the most from returns. Energy stocks struggled partly because of weak global demand and lower commodity prices.

The funds have produced a solid long-term record
For the decade ended December 31, Vanguard’s three small-cap index funds recorded average annual returns ranging from 11.02% for the Small-Cap Growth Index Fund to 9.61% for the Small-Cap Value Index Fund. Each fund’s average annual return for the ten-year period has exceeded that of its peer group.

In addition, each of the funds has tracked its index closely, even though the benchmarks’ returns reflect no operating or transaction costs. The funds’ success in this regard is a tribute to the skill of their investment advisor, Vanguard Equity Investment Group, whose sophisticated portfolio construction and management techniques reflect more than 30 years of indexing experience. The advisor has been aided in this task by each fund’s low expenses.

Funds will seek to track new benchmark indexes
In early October, we announced that the three funds discussed in this report would adopt new target benchmarks as part of a broader transition affecting 22 of our index funds. This transition, which we plan to complete by the middle of the year, is expected to produce significant long-term savings for Vanguard clients. As of January 31, we had already completed the transition for Vanguard Small-Cap Index Fund.

The new benchmarks for the three funds are supplied by the University of Chicago’s Center for Research in Security Prices (CRSP). CRSP is one of 11 research centers at the University of Chicago Booth School of Business. In 1960, the research organization pioneered the development of U.S. stock market data that are widely used in academic and investment research today.

Gus Sauter united traditional values with pioneering investment acumen
When I was interviewing for a job at Vanguard in the mid-1980s, Jack Brennan, who would go on to become our chairman and chief executive officer and is now chairman emeritus, described Vanguard as “a company with the intellectual rigor of Wall Street but with Midwestern values.”

I’m reminded of that when I think about Gus Sauter’s 25-year career at Vanguard. Gus retired as our chief investment officer at the end of December, having set the highest of standards for both intellectual achievement and devotion to doing the right thing for clients, colleagues, and community.

Gus played a pivotal role in transforming indexing from a novelty to an investing mainstay, a change that has benefited all investors. In addition, he developed our active quantitative equity strategies, oversaw the growth of our industry-leading expertise in fixed income, and ultimately

8


 

helped Vanguard to become a global investment manager responsible for $2 trillion in client assets.

As for the Midwestern values, Gus—a native of Ohio, incidentally—served our clients with a dedication to thrift, candor, and common sense that has helped make Vanguard what it is. His colleagues knew that in any situation they could count on him to keep a level-headed, long-term outlook. Just two weeks after he started at Vanguard, he helped guide us through the stock market crash of 1987. Some 20 years later, he helped us navigate the financial crisis of 2008–2009.

An important aspect of Gus’s legacy is the team of world-class investment professionals that he cultivated at Vanguard. That team is now led by

Tim Buckley, who oversaw our services for individual investors before becoming chief investment officer. I am confident that Tim will not only carry on Gus’s legacy, but also—as Gus himself put it—take Vanguard investment management to the next level.

As always, thank you for investing with Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
January 31, 2013

A note on expense ratios
The Expense Ratios table in each report’s Chairman’s Letter displays fund expense
ratios from the most recent prospectus. These figures include the funds’ actual
operating expenses. For some funds, the figures also include “acquired fund fees
and expenses,” which result from the funds’ holdings in business development
companies (BDCs).
 
Although the Securities and Exchange Commission requires that BDC costs be
included in a fund’s expense ratio, these fees are not incurred by the fund. They
have no impact on a fund’s total return or on its tracking error relative to an index.
A footnote to the Expense Ratios table reports an annualized calculation of the fund’s
actual expenses for the period, a more relevant tally of the operating costs incurred
by shareholders.

 

9


 

Small-Cap Index Fund          
 
 
Fund Profile            
As of December 31, 2012            
 
Share-Class Characteristics            
  Investor Admiral Signal Institutional Institutional ETF
  Shares Shares Shares Shares Plus Shares Shares
Ticker Symbol NAESX VSMAX VSISX VSCIX VSCPX VB
Expense Ratio1 0.24% 0.10% 0.10% 0.08% 0.06% 0.10%
30-Day SEC Yield 1.30% 1.44% 1.44% 1.46% 1.48% 1.44%

 

Portfolio Characteristics    
      DJ U.S.
    MSCI US Total
    Small Cap Market
  Fund 1750 Index FA Index
Number of Stocks 1,754 1,738 3,604
Median Market Cap $1.7B $1.7B $35.1B
Price/Earnings Ratio 22.9x 22.9x 16.8x
Price/Book Ratio 1.8x 1.8x 2.1x
Return on Equity 8.9% 8.9% 17.1%
Earnings Growth Rate 5.2% 5.2% 9.7%
Dividend Yield 1.5% 1.5% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 14%
Short-Term Reserves -0.2%

 

Volatility Measures    
  MSCI US  
  Small Cap DJ U.S. Total
  1750 Index Market FA Index
R-Squared 1.00 0.95
Beta 1.00 1.23

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)
NCR Corp. Computer Hardware 0.2%
MEDNAX Inc. Health Care Services 0.2
Apartment Investment &    
Management Co. Residential REITs 0.2
BRE Properties Inc. Residential REITs 0.2
American Capital Ltd. Asset Management  
  & Custody Banks 0.2
RPM International Inc. Specialty Chemicals 0.2
Lincoln Electric Holdings    
Inc. Industrial Machinery 0.2
tw telecom inc Class A Alternative Carriers 0.2
Extra Space Storage Inc. Specialized REITs 0.2
Packaging Corp. of    
America Paper Packaging 0.2
Top Ten   2.0%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, as supplemented, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares.

10


 

Small-Cap Index Fund

Sector Diversification (% of equity exposure)
      DJ U.S.
    MSCI US Total
    Small Cap Market FA
  Fund 1750 Index Index
Consumer Discretionary 13.4% 13.4% 12.3%
Consumer Staples 3.1 3.1 9.3
Energy 5.4 5.4 10.2
Financials 23.5 23.5 16.9
Health Care 11.3 11.3 11.7
Industrials 16.9 16.9 11.1
Information Technology 16.6 16.6 18.3
Materials 5.5 5.5 4.0
Telecommunication      
Services 0.9 0.9 2.7
Utilities 3.4 3.4 3.5

 

11


 

Small-Cap 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: December 31, 2002, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
 
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
 
Small-Cap Index Fund Investor        
Shares 18.04% 4.98% 10.83% $27,962
 
Spliced Small-Cap Index 18.20 5.00 11.02 28,455
 
Small-Cap Core Funds Average 14.70 2.92 9.05 23,774
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

For a benchmark description, see the Glossary.

Small-Cap Core Funds Average: Derived from data provided by Lipper Inc.

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Small-Cap Index Fund Admiral Shares 18.24% 5.12% 10.96% $28,294
Spliced Small-Cap Index 18.20 5.00 11.02 28,455
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

 

See Financial Highlights for dividend and capital gains information.

12


 

Small-Cap Index Fund        
 
 
 
    Average Annual Total Returns  
  Periods Ended December 31, 2012  
      Since Final Value
  One Five Inception of a $10,000
  Year Years (12/15/2006) Investment
Small-Cap Index Fund Signal Shares 18.25% 5.12% 4.29% $12,893
MSCI US Small Cap 1750 Index 18.20 5.00 4.18 12,811
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 2.64 11,708
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.

 

        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Small-Cap Index Fund Institutional Shares 18.26% 5.17% 11.01% $14,215,082
Spliced Small-Cap Index 18.20 5.00 11.02 14,227,439
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 10,742,011

 

    Since Final Value
  One Inception of a $100,000,000
  Year (12/17/2010) Investment
Small-Cap Index Fund Institutional Plus      
Shares 18.29% 7.60% $116,103,771
MSCI US Small Cap 1750 Index 18.20 7.50 115,885,917
Dow Jones U.S. Total Stock Market      
Float-Adjusted Index 16.38 8.91 118,996,068
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.

 

      Since Final Value
  One Five Inception of a $10,000
  Year Years (1/26/2004) Investment
Small-Cap Index Fund        
ETF Shares Net Asset Value 18.22% 5.13% 6.88% $18,117
MSCI US Small Cap 1750 Index 18.20 5.00 6.80 17,992
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.11 15,611
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

13


 

Small-Cap Index Fund

Cumulative Returns of ETF Shares: January 26, 2004, Through December 31, 2012  
 
      Since
  One Five Inception
  Year Years (1/26/2004)
Small-Cap Index Fund ETF Shares      
Market Price 18.34% 28.42% 81.24%
Small-Cap Index Fund ETF Shares Net      
Asset Value 18.22 28.39 81.17
MSCI US Small Cap 1750 Index 18.20 27.63 79.92

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012


Small-Cap Index Fund Investor Shares
Spliced Small-Cap Index

 

For a benchmark description, see the Glossary.

14


 

Small-Cap Index Fund

Financial Statements

Statement of Net Assets—Investments Summary
As of December 31, 2012

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

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 complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. 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. 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 Percentage
    Value of Net
  Shares ($000) Assets
Common Stocks      
Consumer Discretionary      
* Hanesbrands Inc. 1,620,338 58,041 0.2%
GNC Holdings Inc. Class A 1,650,102 54,915 0.2%
* Penn National Gaming Inc. 1,081,913 53,133 0.2%
Chico’s FAS Inc. 2,758,553 50,923 0.2%
Consumer Discretionary—Other †   3,471,895 12.5%
    3,688,907 13.3%
Consumer Staples      
* Dean Foods Co. 3,070,860 50,700 0.2%
Consumer Staples—Other †   791,055 2.8%
    841,755 3.0%
Energy      
* Cheniere Energy Inc. 3,025,301 56,815 0.2%
Energy—Other †   1,437,134 5.2%
    1,493,949 5.4%
Financials      
Apartment Investment & Management Co. Class A 2,418,441 65,443 0.2%
BRE Properties Inc. 1,276,182 64,868 0.2%
* American Capital Ltd. 5,394,298 64,732 0.2%
Extra Space Storage Inc. 1,728,853 62,913 0.2%
Kilroy Realty Corp. 1,228,557 58,197 0.2%
National Retail Properties Inc. 1,796,102 56,038 0.2%
* Signature Bank 766,948 54,714 0.2%
Tanger Factory Outlet Centers 1,560,186 53,358 0.2%
CBL & Associates Properties Inc. 2,500,586 53,037 0.2%
Two Harbors Investment Corp. 4,638,880 51,399 0.2%
Douglas Emmett Inc. 2,204,158 51,357 0.2%
Home Properties Inc. 829,227 50,840 0.2%
Financials—Other †   5,786,306 20.9%
    6,473,202 23.3%

 

15


 

Small-Cap Index Fund      
 
 
 
    Market Percentage
    Value of Net
  Shares ($000) Assets
Health Care      
* MEDNAX Inc. 826,093 65,691 0.2%
PerkinElmer Inc. 1,895,435 60,161 0.2%
* Sirona Dental Systems Inc. 916,012 59,046 0.2%
Tenet Healthcare Corp. 1,731,350 56,217 0.2%
* Ariad Pharmaceuticals Inc. 2,761,582 52,967 0.2%
Health Care—Other †   2,821,272 10.2%
    3,115,354 11.2%
Industrials      
Lincoln Electric Holdings Inc. 1,319,286 64,223 0.2%
Carlisle Cos. Inc. 1,039,528 61,083 0.2%
* United Rentals Inc. 1,309,379 59,603 0.2%
Corrections Corp. of America 1,662,500 58,969 0.2%
* Genesee & Wyoming Inc. Class A 735,417 55,951 0.2%
Valmont Industries Inc. 397,460 54,273 0.2%
Triumph Group Inc. 829,704 54,180 0.2%
Kennametal Inc. 1,331,176 53,247 0.2%
Graco Inc. 1,005,502 51,773 0.2%
* Kirby Corp. 835,630 51,717 0.2%
* Terex Corp. 1,836,340 51,620 0.2%
* Clean Harbors Inc. 930,966 51,212 0.2%
* Shaw Group Inc. 1,096,770 51,120 0.2%
Industrials—Other †   3,941,398 14.2%
    4,660,369 16.8%
Information Technology      
* NCR Corp. 2,641,185 67,297 0.2%
* Cadence Design Systems Inc. 4,567,675 61,709 0.2%
Jack Henry & Associates Inc. 1,360,015 53,394 0.2%
* Teradyne Inc. 3,113,659 52,590 0.2%
* Concur Technologies Inc. 777,177 52,475 0.2%
* JDS Uniphase Corp. 3,853,989 52,183 0.2%
* SolarWinds Inc. 986,154 51,724 0.2%
Information Technology—Other †   4,169,231 15.0%
    4,560,603 16.4%
Materials      
RPM International Inc. 2,193,182 64,392 0.3%
Packaging Corp. of America 1,630,813 62,737 0.2%
Materials—Other †   1,393,014 5.0%
    1,520,143 5.5%
Telecommunication Services      
* tw telecom inc Class A 2,511,218 63,961 0.2%
Telecommunication Services—Other †   189,762 0.7%
    253,723 0.9%
Utilities      
Westar Energy Inc. 2,098,944 60,072 0.2%
Questar Corp. 2,919,539 57,690 0.2%
Atmos Energy Corp. 1,498,461 52,626 0.2%
Great Plains Energy Inc. 2,549,626 51,783 0.2%
Utilities—Other †   707,553 2.6%
    929,724 3.4%
Total Common Stocks (Cost $25,180,208)   27,537,729 99.2%1

 

16


 

Small-Cap Index Fund        
 
 
      Market Percentage
      Value of Net
  Coupon Shares ($000) Assets
Temporary Cash Investments        
Money Market Fund        
2,3 Vanguard Market Liquidity Fund 0.162% 500,527,357 500,527 1.8%
 
4U.S. Government and Agency Obligations †     12,797 0.0%
Total Temporary Cash Investments (Cost $513,324)     513,324 1.8%1
5Total Investments (Cost $25,693,532)     28,051,053 101.0%
Other Assets and Liabilities        
Other Assets4     215,380 0.8%
Liabilities3     (502,410) (1.8%)
      (287,030) (1.0%)
Net Assets     27,764,023 100.0%

 

At December 31, 2012, net assets consisted of:  
  Amount
  ($000)
Paid-in Capital 26,466,277
Overdistributed Net Investment Income (28,016)
Accumulated Net Realized Losses (1,032,246)
Unrealized Appreciation (Depreciation)  
Investment Securities 2,357,521
Futures Contracts 487
Net Assets 27,764,023
 
Investor Shares—Net Assets  
Applicable to 98,409,581 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 3,812,704
Net Asset Value Per Share—Investor Shares $38.74
 
Admiral Shares—Net Assets  
Applicable to 168,759,262 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 6,541,215
Net Asset Value Per Share—Admiral Shares $38.76
 
Signal Shares—Net Assets  
Applicable to 123,957,980 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 4,328,613
Net Asset Value Per Share—Signal Shares $34.92

 

17


 

Small-Cap Index Fund  
 
 
 
  Amount
  ($000)
Institutional Shares—Net Assets  
Applicable to 153,641,671 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 5,954,686
Net Asset Value Per Share—Institutional Shares $38.76
 
Institutional Plus Shares—Net Assets  
Applicable to 21,770,703 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 2,435,486
Net Asset Value Per Share—Institutional Plus Shares $111.87
 
ETF Shares—Net Assets  
Applicable to 57,993,997 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 4,691,319
Net Asset Value Per Share—ETF Shares $80.89

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
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 1.0%, 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 $344,655,000 of collateral received for securities on loan.
4 Securities with a value of $10,398,000 and cash of $6,000,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $327,337,000.
See accompanying Notes, which are an integral part of the Financial Statements.

18


 

Small-Cap Index Fund  
 
 
Statement of Operations  
 
 
  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 495,821
Interest1 212
Security Lending 35,678
Total Income 531,711
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,592
Management and Administrative—Investor Shares 7,925
Management and Administrative—Admiral Shares 4,585
Management and Administrative—Signal Shares 2,428
Management and Administrative—Institutional Shares 2,362
Management and Administrative—Institutional Plus Shares 735
Management and Administrative—ETF Shares 2,559
Marketing and Distribution—Investor Shares 1,145
Marketing and Distribution—Admiral Shares 956
Marketing and Distribution—Signal Shares 1,002
Marketing and Distribution—Institutional Shares 1,521
Marketing and Distribution—Institutional Plus Shares 378
Marketing and Distribution—ETF Shares 1,166
Custodian Fees 491
Auditing Fees 37
Shareholders’ Reports—Investor Shares 126
Shareholders’ Reports—Admiral Shares 48
Shareholders’ Reports—Signal Shares 39
Shareholders’ Reports—Institutional Shares 83
Shareholders’ Reports—Institutional Plus Shares 12
Shareholders’ Reports—ETF Shares 190
Trustees’ Fees and Expenses 25
Total Expenses 29,405
Net Investment Income 502,306
Realized Net Gain (Loss)  
Investment Securities Sold 1,141,044
Futures Contracts 6,022
Realized Net Gain (Loss) 1,147,066
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 2,560,234
Futures Contracts (643)
Change in Unrealized Appreciation (Depreciation) 2,559,591
Net Increase (Decrease) in Net Assets Resulting from Operations 4,208,963

1 Interest income from an affiliated company of the fund was $198,000.
See accompanying Notes, which are an integral part of the Financial Statements.

19


 

Small-Cap Index Fund    
 
 
Statement of Changes in Net Assets    
 
  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 502,306 310,855
Realized Net Gain (Loss) 1,147,066 3,587,345
Change in Unrealized Appreciation (Depreciation) 2,559,591 (4,521,752)
Net Increase (Decrease) in Net Assets Resulting from Operations 4,208,963 (623,552)
Distributions    
Net Investment Income    
Investor Shares (65,627) (46,565)
Admiral Shares (119,456) (74,629)
Signal Shares (79,055) (42,148)
Institutional Shares (108,272) (66,542)
Institutional Plus Shares (45,220) (27,129)
ETF Shares (87,168) (50,321)
Realized Capital Gain    
Investor Shares
Admiral Shares
Signal Shares
Institutional Shares
Institutional Plus Shares
ETF Shares
Total Distributions (504,798) (307,334)
Capital Share Transactions    
Investor Shares (706,073) (1,211,610)
Admiral Shares 130,540 187,981
Signal Shares 730,889 932,295
Institutional Shares 272,583 (608,115)
Institutional Plus Shares 284,008 1,583,718
ETF Shares 406,197 (1,030,372)
Net Increase (Decrease) from Capital Share Transactions 1,118,144 (146,103)
Total Increase (Decrease) 4,822,309 (1,076,989)
Net Assets    
Beginning of Period 22,941,714 24,018,703
End of Period1 27,764,023 22,941,714

1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($28,016,000) and ($25,675,000).

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

20


 

Small-Cap Index Fund          
 
 
Financial Highlights          
 
 
Investor Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $33.38 $34.75 $27.49 $20.40 $32.58
Investment Operations          
Net Investment Income .659 .402 .355 .272 .398
Net Realized and Unrealized Gain (Loss)          
on Investments 5.363 (1.375) 7.266 7.094 (12.174)
Total from Investment Operations 6.022 (.973) 7.621 7.366 (11.776)
Distributions          
Dividends from Net Investment Income (.662) (.397) (.361) (.276) (.404)
Distributions from Realized Capital Gains
Total Distributions (.662) (.397) (.361) (.276) (.404)
Net Asset Value, End of Period $38.74 $33.38 $34.75 $27.49 $20.40
 
Total Return1 18.04% -2.80% 27.72% 36.12% -36.07%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,813 $3,925 $5,270 $5,913 $4,050
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.28% 0.23%
Ratio of Net Investment Income to          
Average Net Assets 1.82% 1.15% 1.24% 1.30% 1.49%
Portfolio Turnover Rate2 14% 17% 12% 14% 14%

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

21


 

Small-Cap Index Fund          
 
 
Financial Highlights          
 
 
Admiral Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $33.39 $34.78 $27.50 $20.40 $32.59
Investment Operations          
Net Investment Income .717 .461 .384 .303 .426
Net Realized and Unrealized Gain (Loss)          
on Investments 5.372 (1.395) 7.286 7.105 (12.185)
Total from Investment Operations 6.089 (.934) 7.670 7.408 (11.759)
Distributions          
Dividends from Net Investment Income (.719) (.456) (.390) (.308) (.431)
Distributions from Realized Capital Gains
Total Distributions (.719) (.456) (.390) (.308) (.431)
Net Asset Value, End of Period $38.76 $33.39 $34.78 $27.50 $20.40
 
Total Return1 18.24% -2.69% 27.89% 36.33% -36.00%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $6,541 $5,525 $5,554 $1,992 $1,444
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.12%
Ratio of Net Investment Income to          
Average Net Assets 1.96% 1.29% 1.38% 1.44% 1.60%
Portfolio Turnover Rate2 14% 17% 12% 14% 14%

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

22


 

Small-Cap Index Fund          
 
 
Financial Highlights          
 
 
Signal Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $30.08 $31.33 $24.79 $18.39 $29.38
Investment Operations          
Net Investment Income .648 .417 .359 .274 .385
Net Realized and Unrealized Gain (Loss)          
on Investments 4.841 (1.254) 6.545 6.405 (10.985)
Total from Investment Operations 5.489 (.837) 6.904 6.679 (10.600)
Distributions          
Dividends from Net Investment Income (.649) (.413) (.364) (.279) (.390)
Distributions from Realized Capital Gains
Total Distributions (.649) (.413) (.364) (.279) (.390)
Net Asset Value, End of Period $34.92 $30.08 $31.33 $24.79 $18.39
 
Total Return 18.25% -2.68% 27.85% 36.34% -36.00%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $4,329 $3,075 $2,300 $1,763 $1,172
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.12%
Ratio of Net Investment Income to          
Average Net Assets 1.96% 1.29% 1.38% 1.44% 1.60%
Portfolio Turnover Rate1 14% 17% 12% 14% 14%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

23


 

Small-Cap Index Fund          
 
 
Financial Highlights          
 
 
Institutional Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $33.39 $34.77 $27.50 $20.40 $32.60
Investment Operations          
Net Investment Income .724 .467 .410 .316 .441
Net Realized and Unrealized Gain (Loss)          
on Investments 5.372 (1.385) 7.276 7.106 (12.196)
Total from Investment Operations 6.096 (.918) 7.686 7.422 (11.755)
Distributions          
Dividends from Net Investment Income (.726) (.462) (.416) (.322) (.445)
Distributions from Realized Capital Gains
Total Distributions (.726) (.462) (.416) (.322) (.445)
Net Asset Value, End of Period $38.76 $33.39 $34.77 $27.50 $20.40
 
Total Return 18.26% -2.65% 27.95% 36.40% -35.98%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $5,955 $4,894 $5,711 $4,162 $2,545
Ratio of Total Expenses to          
Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.07%
Ratio of Net Investment Income to          
Average Net Assets 1.98% 1.31% 1.42% 1.50% 1.65%
Portfolio Turnover Rate1 14% 17% 12% 14% 14%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

24


 

Small-Cap Index Fund      
 
 
Financial Highlights      
 
 
Institutional Plus Shares      
      Dec. 17,
  Year Ended 20101 to
  December 31, Dec. 31,
For a Share Outstanding Throughout Each Period 2012 2011 2010
Net Asset Value, Beginning of Period $96.37 $100.38 $100.73
Investment Operations      
Net Investment Income 2.114 1.373 .0642
Net Realized and Unrealized Gain (Loss) on Investments 15.506 (4.023) .767
Total from Investment Operations 17.620 (2.650) .831
Distributions      
Dividends from Net Investment Income (2.120) (1.360) (1.181)
Distributions from Realized Capital Gains
Total Distributions (2.120) (1.360) (1.181)
Net Asset Value, End of Period $111.87 $96.37 $100.38
 
Total Return 18.29% -2.65% 0.82%
 
Ratios/Supplemental Data      
Net Assets, End of Period (Millions) $2,435 $1,840 $341
Ratio of Total Expenses to Average Net Assets 0.06% 0.06% 0.06%3
Ratio of Net Investment Income to Average Net Assets 2.00% 1.33% 1.44%3
Portfolio Turnover Rate4 14% 17% 12%

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.

25


 

Small-Cap Index Fund          
 
 
Financial Highlights          
 
 
ETF Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $69.70 $72.58 $57.41 $42.60 $68.07
Investment Operations          
Net Investment Income 1.500 .957 .833 .646 .910
Net Realized and Unrealized Gain (Loss)          
on Investments 11.194 (2.891) 15.183 14.822 (25.462)
Total from Investment Operations 12.694 (1.934) 16.016 15.468 (24.552)
Distributions          
Dividends from Net Investment Income (1.504) (.946) (.846) (.658) (.918)
Distributions from Realized Capital Gains
Total Distributions (1.504) (.946) (.846) (.658) (.918)
Net Asset Value, End of Period $80.89 $69.70 $72.58 $57.41 $42.60
 
Total Return 18.22% -2.68% 27.89% 36.31% -35.99%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $4,691 $3,683 $4,843 $3,460 $1,224
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.10%
Ratio of Net Investment Income to          
Average Net Assets 1.96% 1.29% 1.38% 1.44% 1.62%
Portfolio Turnover Rate1 14% 17% 12% 14% 14%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

26


 

Small-Cap Index Fund

Notes to Financial Statements

Vanguard Small-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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).

During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.

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 (December 31, 2009–2012), 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.

27


 

Small-Cap Index Fund

5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed capital of $3,691,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.48% of Vanguard’s capitalization. The fund’s trustees and officers are also directors officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant 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 27,537,446 283
Temporary Cash Investments 500,527 12,797
Futures Contracts—Assets1 4,496
Futures Contracts—Liabilities1 (31)
Total 28,042,438 12,797 283
1 Represents variation margin on the last day of the reporting period.  

 

28


 

Small-Cap Index Fund

D. 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 Russell 2000 Index March 2013 2,678 226,719 487

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

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

Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2012, the fund realized gains on the sale of passive foreign investment companies of $151,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies held at December 31, 2012, had unrealized appreciation of $1,092,000.

During the year ended December 31, 2012, the fund realized $952,215,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $4,836,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $279,085,000 to offset taxable capital gains realized during the year ended December 31, 2012. At December 31, 2012, the fund had available capital losses totaling $1,031,716,000 to offset future net capital gains. Of this amount, $946,157,000 is subject to expiration dates; $342,008,000 may be used to offset future net capital gains through December 31, 2017, and $604,149,000 through December 31, 2018. Capital losses of $85,559,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $25,694,638,000. Net unrealized appreciation of investment securities for tax purposes was $2,356,415,000, consisting of unrealized gains of $5,240,176,000 on securities that had risen in value since their purchase and $2,883,761,000 in unrealized losses on securities that had fallen in value since their purchase.

29


 

Small-Cap Index Fund

F. During the year ended December 31, 2012, the fund purchased $6,884,070,000 of investment securities and sold $5,883,846,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,766,764,000 and $2,327,562,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 696,904 18,945 1,154,504 33,129
Issued in Lieu of Cash Distributions 63,466 1,641 45,183 1,348
Redeemed (1,466,443) (39,768) (2,411,297) (68,538)
Net Increase (Decrease) —Investor Shares (706,073) (19,182) (1,211,610) (34,061)
Admiral Shares        
Issued 795,474 21,365 934,912 27,156
Issued in Lieu of Cash Distributions 108,574 2,806 67,703 2,019
Redeemed (773,508) (20,883) (814,634) (23,394)
Net Increase (Decrease)—Admiral Shares 130,540 3,288 187,981 5,781
Signal Shares        
Issued 1,645,642 49,338 1,823,091 57,364
Issued in Lieu of Cash Distributions 71,340 2,046 37,658 1,247
Redeemed (986,093) (29,645) (928,454) (29,782)
Net Increase (Decrease)—Signal Shares 730,889 21,739 932,295 28,829
Institutional Shares        
Issued 1,670,109 45,178 2,006,468 57,272
Issued in Lieu of Cash Distributions 98,902 2,556 60,213 1,796
Redeemed (1,496,428) (40,673) (2,674,796) (76,740)
Net Increase (Decrease) —Institutional Shares 272,583 7,061 (608,115) (17,672)
Institutional Plus Shares        
Issued 733,174 6,917 2,208,446 22,155
Issued in Lieu of Cash Distributions 45,220 405 27,130 280
Redeemed (494,386) (4,639) (651,858) (6,748)
Net Increase (Decrease) —Institutional Plus Shares 284,008 2,683 1,583,718 15,687
ETF Shares        
Issued 2,788,617 36,449 3,725,442 51,513
Issued in Lieu of Cash Distributions
Redeemed (2,382,420) (31,300) (4,755,814) (65,400)
Net Increase (Decrease)—ETF Shares 406,197 5,149 (1,030,372) (13,887)

 

30


 

Small-Cap Index Fund

H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Small Cap 1750 Index to the CRSP US Small Cap Index. The benchmark change was effective on January 31, 2013. The fund’s investment objective has not changed.

31


 

Small-Cap Growth Index Fund

Fund Profile
As of December 31, 2012

Share-Class Characteristics        
  Investor Admiral Institutional ETF
  Shares Shares Shares Shares
Ticker Symbol VISGX VSGAX VSGIX VBK
Expense Ratio1 0.24% 0.10% 0.08% 0.10%
30-Day SEC Yield 0.20% 0.34% 0.36% 0.34%

 

Portfolio Characteristics    
    MSCI US DJ U.S.
    Small Cap Total
    Growth Market
  Fund Index FA Index
Number of Stocks 966 962 3,604
Median Market Cap $1.8B $1.8B $35.1B
Price/Earnings Ratio 31.1x 31.1x 16.8x
Price/Book Ratio 2.8x 2.8x 2.1x
Return on Equity 10.9% 10.9% 17.1%
Earnings Growth Rate 10.3% 10.3% 9.7%
Dividend Yield 0.4% 0.4% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 37%
Short-Term Reserves 0.1%

 

Volatility Measures    
  MSCI US  
  Small Cap  
  Growth DJ U.S. Total
  Index Market FA Index
R-Squared 1.00 0.95
Beta 1.00 1.28

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)
MEDNAX Inc. Health Care Services 0.5%
Lincoln Electric Holdings    
Inc. Industrial Machinery 0.5
tw telecom inc Class A Alternative Carriers 0.5
Cadence Design    
Systems Inc. Application Software 0.4
United Rentals Inc. Trading Companies &  
  Distributors 0.4
Sirona Dental Systems Health Care  
Inc. Equipment 0.4
Corrections Corp. of Security & Alarm  
America Services 0.4
Cheniere Energy Inc. Oil & Gas Storage &  
  Transportation 0.4
Tenet Healthcare Corp. Health Care Facilities 0.4
Genesee & Wyoming    
Inc. Class A Railroads 0.4
Top Ten   4.3%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.

32


 

Small-Cap Growth Index Fund

Sector Diversification (% of equity exposure)
    MSCI US DJ U.S.
    Small Cap Total
    Growth Market FA
  Fund Index Index
Consumer Discretionary 18.1% 18.1% 12.3%
Consumer Staples 3.4 3.4 9.3
Energy 6.3 6.3 10.2
Financials 7.7 7.7 16.9
Health Care 17.9 17.9 11.7
Industrials 18.5 18.5 11.1
Information Technology 22.6 22.6 18.3
Materials 4.4 4.4 4.0
Telecommunication      
Services 1.1 1.1 2.7
Utilities 0.0 0.0 3.5

 

33


 

Small-Cap 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: December 31, 2002, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
 
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
 
Small-Cap Growth Index Fund        
Investor Shares 17.52% 5.17% 11.02% $28,443
 
Spliced Small-Cap Growth Index 17.57 5.17 10.97 28,329
 
Small-Cap Growth Funds Average 13.07 1.72 8.20 21,987
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

For a benchmark description, see the Glossary.
Small-Cap Growth Funds Average: Derived from data provided by Lipper Inc.

 

    Since Final Value
  One Inception of a $10,000
  Year (9/27/2011) Investment
Small-Cap Growth Index Fund Admiral      
Shares 17.66% 20.91% $12,704
MSCI US Small Cap Growth Index 17.57 20.81 12,690
Dow Jones U.S. Total Stock Market      
Float-Adjusted Index 16.38 19.56 12,525

"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.

See Financial Highlights for dividend and capital gains information.

34


 

Small-Cap Growth Index Fund        
 
 
 
 
    Average Annual Total Returns  
  Periods Ended December 31, 2012  
        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Small-Cap Growth Index Fund Institutional        
Shares 17.68% 5.35% 11.20% $14,455,775
Spliced Small-Cap Growth Index 17.57 5.17 10.97 14,164,602
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 10,742,011
For a benchmark description, see the Glossary.        

 

      Since Final Value
  One Five Inception of a $10,000
  Year Years (1/26/2004) Investment
Small-Cap Growth Index Fund        
ETF Shares Net Asset Value 17.67% 5.31% 7.09% $18,438
MSCI US Small Cap Growth Index 17.57 5.17 7.00 18,300
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.11 15,611

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

Cumulative Returns of ETF Shares: January 26, 2004, Through December 31, 2012  
 
      Since
  One Five Inception
  Year Years (1/26/2004)
Small-Cap Growth Index Fund ETF Shares      
Market Price 17.68% 29.51% 84.41%
Small-Cap Growth Index Fund ETF Shares      
Net      
Asset Value 17.67 29.53 84.38
MSCI US Small Cap Growth Index 17.57 28.67 83.00

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

35


 

Small-Cap Growth Index Fund

Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012


Small-Cap Growth Index Fund Investor Shares
Spliced Small-Cap Growth Index

 

For a benchmark description, see the Glossary.

36


 

Small-Cap Growth Index Fund

Financial Statements

Statement of Net Assets—Investments Summary
As of December 31, 2012

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

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 complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. 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. 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 Percentage
    Value of Net
  Shares ($000) Assets
Common Stocks      
Consumer Discretionary      
GNC Holdings Inc. Class A 1,159,786 38,598 0.4%
* Penn National Gaming Inc. 760,407 37,344 0.4%
Chico’s FAS Inc. 1,938,853 35,791 0.4%
* Warnaco Group Inc. 477,386 34,167 0.4%
* Carter’s Inc. 585,605 32,589 0.3%
* Madison Square Garden Co. Class A 688,113 30,518 0.3%
Brunswick Corp. 1,044,330 30,380 0.3%
* AMC Networks Inc. Class A 611,380 30,263 0.3%
Consumer Discretionary—Other †   1,483,645 15.3%
    1,753,295 18.1%
Consumer Staples      
* Dean Foods Co. 2,158,910 35,644 0.4%
* United Natural Foods Inc. 571,025 30,601 0.3%
Consumer Staples—Other †   263,254 2.7%
    329,499 3.4%
Energy      
* Cheniere Energy Inc. 2,128,513 39,974 0.4%
* Atwood Oceanics Inc. 687,070 31,461 0.3%
Energy—Other †   538,310 5.6%
    609,745 6.3%
Financials      
* Signature Bank 539,220 38,468 0.4%
Tanger Factory Outlet Centers 1,096,578 37,503 0.4%
Waddell & Reed Financial Inc. Class A 1,002,322 34,901 0.3%
Financials—Other †   632,178 6.5%
    743,050 7.6%
Health Care      
* MEDNAX Inc. 580,689 46,176 0.5%
* Sirona Dental Systems Inc. 643,371 41,472 0.4%
Tenet Healthcare Corp. 1,216,826 39,510 0.4%
* Ariad Pharmaceuticals Inc. 1,941,201 37,232 0.4%
* Cubist Pharmaceuticals Inc. 745,599 31,360 0.3%

 

37


 

Small-Cap Growth Index Fund      
 
 
 
      Market Percentage
      Value of Net
    Shares ($000) Assets
* athenahealth Inc. 420,399 30,878 0.3%
  Health Care—Other †   1,510,954 15.6%
      1,737,582 17.9%
Industrials      
  Lincoln Electric Holdings Inc. 926,834 45,118 0.5%
* United Rentals Inc. 920,304 41,892 0.4%
  Corrections Corp. of America 1,168,488 41,446 0.4%
* Genesee & Wyoming Inc. Class A 516,855 39,322 0.4%
  Valmont Industries Inc. 279,582 38,177 0.4%
  Triumph Group Inc. 583,132 38,079 0.4%
  Graco Inc. 706,829 36,395 0.4%
* Kirby Corp. 587,255 36,345 0.4%
* Clean Harbors Inc. 655,865 36,079 0.4%
* Alaska Air Group Inc. 823,303 35,476 0.4%
* Hexcel Corp. 1,164,806 31,403 0.3%
  Industrials—Other †   1,372,628 14.1%
      1,792,360 18.5%
Information Technology      
* Cadence Design Systems Inc. 3,210,718 43,377 0.5%
  Jack Henry & Associates Inc. 955,893 37,528 0.4%
* Concur Technologies Inc. 545,809 36,853 0.4%
* JDS Uniphase Corp. 2,708,760 36,677 0.4%
* SolarWinds Inc. 693,284 36,363 0.4%
* FleetCor Technologies Inc. 657,163 35,257 0.4%
* CommVault Systems Inc. 498,763 34,769 0.4%
* NeuStar Inc. Class A 775,585 32,520 0.3%
* WEX Inc. 428,990 32,333 0.3%
* Parametric Technology Corp. 1,390,778 31,306 0.3%
* Cymer Inc. 344,606 31,163 0.3%
*,^ 3D Systems Corp. 582,497 31,076 0.3%
  MercadoLibre Inc. 386,685 30,382 0.3%
* Aspen Technology Inc. 1,088,956 30,099 0.3%
  Information Technology—Other †   1,700,909 17.5%
      2,180,612 22.5%
Materials      
  NewMarket Corp. 125,248 32,840 0.3%
  Eagle Materials Inc. 536,927 31,410 0.3%
* Louisiana-Pacific Corp. 1,608,104 31,069 0.3%
  Materials—Other †   327,460 3.4%
      422,779 4.3%
Telecommunication Services      
* tw telecom inc Class A 1,764,222 44,935 0.5%
  Telecommunication Services—Other †   63,766 0.6%
      108,701 1.1%
Total Common Stocks (Cost $8,647,601)   9,677,623 99.7%1

 

38


 

Small-Cap Growth Index Fund        
 
 
      Market Percentage
      Value of Net
  Coupon Shares ($000) Assets
Temporary Cash Investments        
Money Market Fund        
2,3 Vanguard Market Liquidity Fund 0.162% 170,227,205 170,227 1.8%
 
4U.S. Government and Agency Obligations †     2,000 0.0%
Total Temporary Cash Investments (Cost $172,227)     172,227 1.8%1
Total Investments (Cost $8,819,828)     9,849,850 101.5%
Other Assets and Liabilities        
Other Assets     68,419 0.7%
Liabilities3     (218,345) (2.2%)
      (149,926) (1.5%)
Net Assets     9,699,924 100.0%

 

At December 31, 2012, net assets consisted of:  
  Amount
  ($000)
Paid-in Capital 9,553,582
Overdistributed Net Investment Income (8,202)
Accumulated Net Realized Losses (875,607)
Unrealized Appreciation (Depreciation)  
Investment Securities 1,030,022
Futures Contracts 129
Net Assets 9,699,924
 
 
Investor Shares—Net Assets  
Applicable to 105,837,692 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 2,649,026
Net Asset Value Per Share—Investor Shares $25.03
 
 
Admiral Shares—Net Assets  
Applicable to 81,118,365 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 2,539,334
Net Asset Value Per Share—Admiral Shares $31.30

 

39


 

Small-Cap Growth Index Fund  
 
 
 
  Amount
  ($000)
Institutional Shares—Net Assets  
Applicable to 91,842,654 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 2,302,245
Net Asset Value Per Share—Institutional Shares $25.07
 
ETF Shares—Net Assets  
Applicable to 24,816,572 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 2,209,319
Net Asset Value Per Share—ETF Shares $89.03

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $140,358,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
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 1.5%, 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 $145,456,000 of collateral received for securities on loan.
4 Securities with a value of $2,000,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.

40


 

Small-Cap Growth Index Fund  
 
 
Statement of Operations  
 
  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 90,248
Interest1 38
Security Lending 18,377
Total Income 108,663
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 626
Management and Administrative—Investor Shares 5,273
Management and Administrative—Admiral Shares 1,615
Management and Administrative—Institutional Shares 853
Management and Administrative—ETF Shares 1,152
Marketing and Distribution—Investor Shares 836
Marketing and Distribution—Admiral Shares 295
Marketing and Distribution—Institutional Shares 549
Marketing and Distribution—ETF Shares 573
Custodian Fees 299
Auditing Fees 36
Shareholders’ Reports—Investor Shares 45
Shareholders’ Reports—Admiral Shares 25
Shareholders’ Reports—Institutional Shares 38
Shareholders’ Reports—ETF Shares 126
Trustees’ Fees and Expenses 9
Total Expenses 12,350
Net Investment Income 96,313
Realized Net Gain (Loss)  
Investment Securities Sold 416,699
Futures Contracts 3,331
Realized Net Gain (Loss) 420,030
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 889,438
Futures Contracts (21)
Change in Unrealized Appreciation (Depreciation) 889,417
Net Increase (Decrease) in Net Assets Resulting from Operations 1,405,760
1 Interest income from an affiliated company of the fund was $36,000.

 

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

41


 

Small-Cap Growth Index Fund    
 
 
Statement of Changes in Net Assets    
 
  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 96,313 37,447
Realized Net Gain (Loss) 420,030 1,498,151
Change in Unrealized Appreciation (Depreciation) 889,417 (1,671,176)
Net Increase (Decrease) in Net Assets Resulting from Operations 1,405,760 (135,578)
Distributions    
Net Investment Income    
Investor Shares (23,644) (10,518)
Admiral Shares (26,176) (7,469)
Institutional Shares (24,191) (9,278)
ETF Shares (22,630) (10,192)
Realized Capital Gain    
Investor Shares
Admiral Shares
Institutional Shares
ETF Shares
Total Distributions (96,641) (37,457)
Capital Share Transactions    
Investor Shares (371,989) (1,496,783)
Admiral Shares 447,516 1,763,284
Institutional Shares 400,654 129,253
ETF Shares 41,161 52,393
Net Increase (Decrease) from Capital Share Transactions 517,342 448,147
Total Increase (Decrease) 1,826,461 275,112
Net Assets    
Beginning of Period 7,873,463 7,598,351
End of Period1 9,699,924 7,873,463
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($8,202,000) and ($7,875,000).

 

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

42


 

Small-Cap Growth Index Fund          
 
 
Financial Highlights          
 
 
Investor Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $21.49 $21.92 $16.83 $11.90 $20.01
Investment Operations          
Net Investment Income .223 .086 .075 .046 .096
Net Realized and Unrealized Gain (Loss)          
on Investments 3.541 (.431) 5.091 4.933 (8.105)
Total from Investment Operations 3.764 (.345) 5.166 4.979 (8.009)
Distributions          
Dividends from Net Investment Income (.224) (.085) (.076) (.049) (.101)
Distributions from Realized Capital Gains
Total Distributions (.224) (.085) (.076) (.049) (.101)
Net Asset Value, End of Period $25.03 $21.49 $21.92 $16.83 $11.90
 
Total Return1 17.52% -1.58% 30.69% 41.85% -40.00%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,649 $2,613 $4,229 $3,018 $1,871
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.28% 0.23%
Ratio of Net Investment Income to          
Average Net Assets 0.97% 0.37% 0.43% 0.33% 0.60%
Portfolio Turnover Rate2 37% 40% 34% 38% 38%

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

43


 

Small-Cap Growth Index Fund    
 
 
Financial Highlights    
 
Admiral Shares    
  Year Sept. 27,
  Ended 20111 to
  Dec. 31, Dec. 31,
For a Share Outstanding Throughout Each Period 2012 2011
Net Asset Value, Beginning of Period $26.88 $25.00
Investment Operations    
Net Investment Income .326 .031
Net Realized and Unrealized Gain (Loss) on Investments 4.420 1.962
Total from Investment Operations 4.746 1.993
Distributions    
Dividends from Net Investment Income (.326) (.113)
Distributions from Realized Capital Gains
Total Distributions (.326) (.113)
Net Asset Value, End of Period $31.30 $26.88
 
Total Return2 17.66% 7.97%
 
Ratios/Supplemental Data    
Net Assets, End of Period (Millions) $2,539 $1,781
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%3
Ratio of Net Investment Income to Average Net Assets 1.11% 0.51%3
Portfolio Turnover Rate4 37% 40%

1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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.

44


 

Small-Cap Growth Index Fund          
 
 
Financial Highlights          
 
 
Institutional Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $21.53 $21.96 $16.85 $11.91 $20.04
Investment Operations          
Net Investment Income .265 .125 .107 .072 .121
Net Realized and Unrealized Gain (Loss)          
on Investments 3.540 (.432) 5.111 4.944 (8.126)
Total from Investment Operations 3.805 (.307) 5.218 5.016 (8.005)
Distributions          
Dividends from Net Investment Income (.265) (.123) (.108) (.076) (.125)
Distributions from Realized Capital Gains
Total Distributions (.265) (.123) (.108) (.076) (.125)
Net Asset Value, End of Period $25.07 $21.53 $21.96 $16.85 $11.91
 
Total Return 17.68% -1.40% 30.96% 42.13% -39.91%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,302 $1,622 $1,527 $945 $511
Ratio of Total Expenses to          
Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.07%
Ratio of Net Investment Income to          
Average Net Assets 1.13% 0.53% 0.61% 0.53% 0.76%
Portfolio Turnover Rate1 37% 40% 34% 38% 38%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

45


 

Small-Cap Growth Index Fund          
 
 
Financial Highlights          
 
 
ETF Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $76.45 $77.98 $59.86 $42.32 $71.18
Investment Operations          
Net Investment Income .925 .424 .360 .225 .411
Net Realized and Unrealized Gain (Loss)          
on Investments 12.578 (1.535) 18.121 17.555 (28.846)
Total from Investment Operations 13.503 (1.111) 18.481 17.780 (28.435)
Distributions          
Dividends from Net Investment Income (.923) (.419) (.361) (.240) (.425)
Distributions from Realized Capital Gains
Total Distributions (.923) (.419) (.361) (.240) (.425)
Net Asset Value, End of Period $89.03 $76.45 $77.98 $59.86 $42.32
 
Total Return 17.67% -1.43% 30.87% 42.02% -39.92%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,209 $1,857 $1,842 $1,177 $680
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.11%
Ratio of Net Investment Income to          
Average Net Assets 1.11% 0.51% 0.57% 0.47% 0.72%
Portfolio Turnover Rate1 37% 40% 34% 38% 38%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

46


 

Small-Cap Growth Index Fund

Notes to Financial Statements

Vanguard Small-Cap Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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).

During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.

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 (December 31, 2009–2012), 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.

47


 

Small-Cap Growth Index Fund

5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed capital of $1,293,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.52% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant 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 9,677,497 126
Temporary Cash Investments 170,227 2,000
Futures Contracts—Assets1 515
Total 9,848,239 2,000 126
1 Represents variation margin on the last day of the reporting period.

 

48


 

Small-Cap Growth Index Fund

D. 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 Russell 2000 Index March 2013 235 19,895 129

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

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

Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2012, the fund realized gains on the sale of passive foreign investment companies of $1,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies held at December 31, 2012, had unrealized appreciation of $30,000 of which all has been distributed and is reflected in the balance of overdistributed net investment income.

During the year ended December 31, 2012, the fund realized $466,495,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $861,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $27,529,000 to offset taxable capital gains realized during the year ended December 31, 2012. At December 31, 2012, the fund had available capital losses totaling $875,446,000 to offset future net capital gains. Of this amount, $800,828,000 is subject to expiration dates; $539,710,000 may be used to offset future net capital gains through December 31, 2017 and $261,118,000 through December 31, 2018. Capital losses of $74,618,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $8,819,887,000. Net unrealized appreciation of investment securities for tax purposes was $1,029,963,000, consisting of unrealized gains of $1,715,322,000 on securities that had risen in value since their purchase and $685,359,000 in unrealized losses on securities that had fallen in value since their purchase.

49


 

Small-Cap Growth Index Fund

F. During the year ended December 31, 2012, the fund purchased $5,106,028,000 of investment securities and sold $4,596,475,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,354,901,000 and $1,285,562,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 618,019 26,010 1,485,292 66,201
Issued in Lieu of Cash Distributions 22,152 888 9,892 458
Redeemed (1,012,160) (42,656) (2,991,967) (138,001)
Net Increase (Decrease) —Investor Shares (371,989) (15,758) (1,496,783) (71,342)
Admiral Shares1        
Issued 830,232 27,774 1,805,933 67,845
Issued in Lieu of Cash Distributions 24,456 784 6,954 258
Redeemed (407,172) (13,681) (49,603) (1,861)
Net Increase (Decrease) —Admiral Shares 447,516 14,877 1,763,284 66,242
Institutional Shares        
Issued 700,138 29,131 577,462 25,872
Issued in Lieu of Cash Distributions 23,227 930 8,908 413
Redeemed (322,711) (13,564) (457,117) (20,501)
Net Increase (Decrease) —Institutional Shares 400,654 16,497 129,253 5,784
ETF Shares        
Issued 1,365,762 16,323 2,131,374 26,371
Issued in Lieu of Cash Distributions
Redeemed (1,324,601) (15,800) (2,078,981) (25,700)
Net Increase (Decrease) —ETF Shares 41,161 523 52,393 671
1 Inception was September 27, 2011, for Admiral Shares.

 

H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced an upcoming change in the fund’s benchmark index from the MSCI US Small Cap Growth Index to the CRSP US Small Cap Growth Index. The fund’s investment objective is not changing. The transition to the new benchmark is expected to be completed over several months, and will require some turnover of holdings with resulting transaction costs. Vanguard will seek to minimize trading impact through efficient portfolio trading.

50


 

Small-Cap Value Index Fund

Fund Profile
As of December 31, 2012

Share-Class Characteristics        
  Investor Admiral Institutional ETF
  Shares Shares Shares Shares
Ticker Symbol VISVX VSIAX VSIIX VBR
Expense Ratio1 0.35% 0.21% 0.19% 0.21%
30-Day SEC Yield 2.41% 2.55% 2.57% 2.55%

 

Portfolio Characteristics    
    MSCI US DJ U.S.
    Small Cap Total
    Value Market
  Fund Index FA Index
Number of Stocks 1,004 997 3,604
Median Market Cap $1.7B $1.7B $35.1B
Price/Earnings Ratio 18.0x 18.0x 16.8x
Price/Book Ratio 1.3x 1.3x 2.1x
Return on Equity 7.2% 7.2% 17.1%
Earnings Growth Rate 0.9% 0.9% 9.7%
Dividend Yield 2.6% 2.6% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 25%
Short-Term Reserves -0.1%

 

Volatility Measures    
  MSCI US  
  Small Cap  
  Value DJ U.S. Total
  Index Market FA Index
R-Squared 1.00 0.95
Beta 1.00 1.18

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)
BRE Properties Inc. Residential REITs 0.5%
American Capital Ltd. Asset Management  
  & Custody Banks 0.5
RPM International Inc. Specialty Chemicals 0.5
Packaging Corp. of    
America Paper Packaging 0.5
Carlisle Cos. Inc. Industrial  
  Conglomerates 0.4
PerkinElmer Inc. Life Sciences Tools &  
  Services 0.4
Westar Energy Inc. Electric 0.4
Kilroy Realty Corp. Office REITs 0.4
Questar Corp. Gas Utilities 0.4
National Retail    
Properties Inc. Retail REITs 0.4
Top Ten   4.4%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.

51


 

Small-Cap Value Index Fund

Sector Diversification (% of equity exposure)
    MSCI US DJ U.S.
    Small Cap Total
    Value Market FA
  Fund Index Index
Consumer Discretionary 8.7% 8.7% 12.3%
Consumer Staples 2.7 2.7 9.3
Energy 4.6 4.5 10.2
Financials 39.3 39.3 16.9
Health Care 4.7 4.7 11.7
Industrials 15.3 15.3 11.1
Information Technology 10.6 10.6 18.3
Materials 6.7 6.7 4.0
Telecommunication      
Services 0.7 0.7 2.7
Utilities 6.7 6.8 3.5

 

52


 

Small-Cap 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: December 31, 2002, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
 
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
 
Small-Cap Value Index Fund Investor        
Shares 18.56% 4.66% 9.61% $25,023
 
Spliced Small-Cap Value Index 18.80 4.74 9.58 24,971
 
Small-Cap Value Funds Average 16.29 3.89 9.20 24,121
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

For a benchmark description, see the Glossary.
Small-Cap Value Funds Average: Derived from data provided by Lipper Inc.

 

    Since Final Value
  One Inception of a $10,000
  Year (9/27/2011) Investment
Small-Cap Value Index Fund Admiral Shares 18.77% 23.68% $13,071
MSCI US Small Cap Value Index 18.80 23.70 13,074
Dow Jones U.S. Total Stock Market      
Float-Adjusted Index 16.38 19.56 12,525

"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.

See Financial Highlights for dividend and capital gains information.

53


 

Small-Cap Value Index Fund        
 
 
 
 
    Average Annual Total Returns  
  Periods Ended December 31, 2012  
        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Small-Cap Value Index Fund Institutional        
Shares 18.78% 4.84% 9.78% $12,714,249
Spliced Small-Cap Value Index 18.80 4.74 9.58 12,485,321
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 10,742,011
For a benchmark description, see the Glossary.

 

      Since Final Value
  One Five Inception of a $10,000
  Year Years (1/26/2004) Investment
Small-Cap Value Index Fund        
ETF Shares Net Asset Value 18.78% 4.80% 6.47% $17,502
MSCI US Small Cap Value Index 18.80 4.74 6.46 17,488
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.11 15,611

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

Cumulative Returns of ETF Shares: January 26, 2004, Through December 31, 2012  
 
      Since
  One Five Inception
  Year Years (1/26/2004)
Small-Cap Value Index Fund ETF Shares      
Market Price 18.84% 26.49% 75.15%
Small-Cap Value Index Fund ETF Shares Net      
Asset Value 18.78 26.43 75.02
MSCI US Small Cap Value Index 18.80 26.05 74.88

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

54


 

Small-Cap Value Index Fund

Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012


Small-Cap Value Index Fund Investor Shares
Spliced Small-Cap Value Index

 

For a benchmark description, see the Glossary.

55


 

Small-Cap Value Index Fund

Financial Statements

Statement of Net Assets—Investments Summary
As of December 31, 2012

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

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 complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. 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. 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 Percentage
    Value of Net
  Shares ($000) Assets
Common Stocks      
Consumer Discretionary      
Service Corp. International 2,021,208 27,913 0.4%
Cinemark Holdings Inc. 972,612 25,268 0.3%
* Visteon Corp. 445,950 24,001 0.3%
Consumer Discretionary—Other †   600,423 7.7%
    677,605 8.7%
Consumer Staples      
Flowers Foods Inc. 1,174,089 27,321 0.3%
Consumer Staples—Other †   184,072 2.4%
    211,393 2.7%
 
Energy †   355,159 4.5%
 
Financials      
BRE Properties Inc. 722,424 36,721 0.5%
* American Capital Ltd. 3,053,886 36,647 0.5%
Kilroy Realty Corp. 695,351 32,939 0.4%
National Retail Properties Inc. 1,017,586 31,749 0.4%
CBL & Associates Properties Inc. 1,416,857 30,052 0.4%
Two Harbors Investment Corp. 2,627,630 29,114 0.4%
Douglas Emmett Inc. 1,248,539 29,091 0.4%
Home Properties Inc. 469,295 28,772 0.4%
Starwood Property Trust Inc. 1,249,940 28,699 0.4%
East West Bancorp Inc. 1,335,018 28,690 0.4%
BioMed Realty Trust Inc. 1,450,243 28,033 0.3%
MFA Financial Inc. 3,362,337 27,269 0.3%
Allied World Assurance Co. Holdings AG 336,392 26,508 0.3%
First Niagara Financial Group Inc. 3,316,810 26,302 0.3%
Mid-America Apartment Communities Inc. 386,533 25,028 0.3%
Old Republic International Corp. 2,318,189 24,689 0.3%

 

56


 

Small-Cap Value Index Fund      
 
 
 
    Market Percentage
    Value of Net
  Shares ($000) Assets
Omega Healthcare Investors Inc. 1,022,057 24,376 0.3%
Apartment Investment & Management Co. Class A 889,703 24,075 0.3%
Hancock Holding Co. 757,455 24,042 0.3%
Highwoods Properties Inc. 715,483 23,933 0.3%
Assured Guaranty Ltd. 1,642,708 23,376 0.3%
ProAssurance Corp. 547,944 23,118 0.3%
Financials—Other †   2,454,314 31.4%
    3,067,537 39.2%
Health Care      
PerkinElmer Inc. 1,072,918 34,054 0.4%
Teleflex Inc. 384,290 27,404 0.4%
Community Health Systems Inc. 855,522 26,299 0.3%
Health Care—Other †   277,069 3.6%
    364,826 4.7%
Industrials      
Carlisle Cos. Inc. 588,727 34,594 0.4%
Kennametal Inc. 753,493 30,140 0.4%
* Terex Corp. 1,039,284 29,214 0.4%
Regal-Beloit Corp. 397,722 28,027 0.4%
* WESCO International Inc. 411,221 27,729 0.4%
Trinity Industries Inc. 742,999 26,614 0.3%
Ryder System Inc. 480,758 24,004 0.3%
* Oshkosh Corp. 775,728 23,000 0.3%
Industrials—Other †   972,827 12.4%
    1,196,149 15.3%
Information Technology      
Broadridge Financial Solutions Inc. 1,174,750 26,878 0.4%
AOL Inc. 883,828 26,170 0.3%
* NCR Corp. 972,657 24,783 0.3%
* Ingram Micro Inc. 1,411,596 23,884 0.3%
Information Technology—Other †   724,896 9.3%
    826,611 10.6%
Materials      
RPM International Inc. 1,241,566 36,452 0.5%
Packaging Corp. of America 923,110 35,512 0.4%
Cytec Industries Inc. 411,496 28,323 0.3%
Cabot Corp. 595,223 23,684 0.3%
Compass Minerals International Inc. 311,337 23,260 0.3%
Materials—Other †   373,314 4.8%
    520,545 6.6%
 
Telecommunication Services †   56,092 0.7%
 
Utilities      
Westar Energy Inc. 1,188,118 34,004 0.4%
Questar Corp. 1,652,641 32,656 0.4%
Atmos Energy Corp. 848,146 29,787 0.4%
Great Plains Energy Inc. 1,443,174 29,311 0.4%
Utilities—Other †   400,917 5.1%
    526,675 6.7%
Total Common Stocks (Cost $7,351,968)   7,802,592 99.7%1

 

57


 

Small-Cap Value Index Fund        
 
 
      Market Percentage
      Value of Net
  Coupon Shares ($000) Assets
Temporary Cash Investments        
Money Market Fund        
2,3 Vanguard Market Liquidity Fund 0.162% 44,078,854 44,079 0.6%
 
4U.S. Government and Agency Obligations †     2,999 0.0%
Total Temporary Cash Investments (Cost $47,078)     47,078 0.6%1
5Total Investments (Cost $7,399,046)     7,849,670 100.3%
Other Assets and Liabilities        
Other Assets4     45,861 0.6%
Liabilities3     (71,845) (0.9%)
      (25,984) (0.3%)
Net Assets     7,823,686 100.0%
 
 
At December 31, 2012, net assets consisted of:        
        Amount
        ($000)
Paid-in Capital       8,580,665
Overdistributed Net Investment Income       (9,654)
Accumulated Net Realized Losses       (1,198,389)
Unrealized Appreciation (Depreciation)        
Investment Securities       450,624
Futures Contracts       440
Net Assets       7,823,686
 
Investor Shares—Net Assets        
Applicable to 114,960,645 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)       2,000,533
Net Asset Value Per Share—Investor Shares       $17.40
 
Admiral Shares—Net Assets        
Applicable to 82,174,099 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)       2,563,485
Net Asset Value Per Share—Admiral Shares       $31.20

 

58


 

Small-Cap Value Index Fund  
 
 
 
  Amount
  ($000)
Institutional Shares—Net Assets  
Applicable to 56,143,899 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 978,870
Net Asset Value Per Share—Institutional Shares $17.44
 
ETF Shares—Net Assets  
Applicable to 31,416,533 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 2,280,798
Net Asset Value Per Share—ETF Shares $72.60

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
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 $23,959,000 of collateral received for securities on loan.
4 Securities with a value of $2,300,000 and cash of $2,500,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $22,575,000.
See accompanying Notes, which are an integral part of the Financial Statements.

59


 

Small-Cap Value Index Fund  
 
 
Statement of Operations  
 
  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 204,241
Interest1 47
Security Lending 3,604
Total Income 207,892
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 524
Management and Administrative—Investor Shares 3,975
Management and Administrative—Admiral Shares 1,741
Management and Administrative—Institutional Shares 334
Management and Administrative—ETF Shares 1,258
Marketing and Distribution—Investor Shares 647
Marketing and Distribution—Admiral Shares 290
Marketing and Distribution—Institutional Shares 224
Marketing and Distribution—ETF Shares 453
Custodian Fees 160
Auditing Fees 37
Shareholders’ Reports—Investor Shares 17
Shareholders’ Reports—Admiral Shares 27
Shareholders’ Reports—Institutional Shares 35
Shareholders’ Reports—ETF Shares 122
Trustees’ Fees and Expenses 8
Total Expenses 9,852
Net Investment Income 198,040
Realized Net Gain (Loss)  
Investment Securities Sold 284,851
Futures Contracts 3,756
Realized Net Gain (Loss) 288,607
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 730,676
Futures Contracts 223
Change in Unrealized Appreciation (Depreciation) 730,899
Net Increase (Decrease) in Net Assets Resulting from Operations 1,217,546
1 Interest income from an affiliated company of the fund was $43,000.

 

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

60


 

Small-Cap Value Index Fund    
 
 
Statement of Changes in Net Assets    
 
  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 198,040 135,816
Realized Net Gain (Loss) 288,607 1,099,562
Change in Unrealized Appreciation (Depreciation) 730,899 (1,465,616)
Net Increase (Decrease) in Net Assets Resulting from Operations 1,217,546 (230,238)
Distributions    
Net Investment Income    
Investor Shares (49,439) (40,033)
Admiral Shares (65,573) (39,305)
Institutional Shares (25,249) (16,042)
ETF Shares (59,329) (38,485)
Realized Capital Gain    
Investor Shares
Admiral Shares
Institutional Shares
ETF Shares
Total Distributions (199,590) (133,865)
Capital Share Transactions    
Investor Shares (274,112) (2,083,677)
Admiral Shares 305,708 1,923,698
Institutional Shares 136,875 (111,750)
ETF Shares 239,683 (5,147)
Net Increase (Decrease) from Capital Share Transactions 408,154 (276,876)
Total Increase (Decrease) 1,426,110 (640,979)
Net Assets    
Beginning of Period 6,397,576 7,038,555
End of Period1 7,823,686 6,397,576

1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($9,654,000) and ($8,181,000).

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

61


 

Small-Cap Value Index Fund          
 
 
Financial Highlights          
 
 
Investor Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $15.04 $16.01 $13.06 $10.21 $15.49
Investment Operations          
Net Investment Income .428 .309 .285 .241 .293
Net Realized and Unrealized Gain (Loss)          
on Investments 2.364 (.974) 2.956 2.854 (5.277)
Total from Investment Operations 2.792 (.665) 3.241 3.095 (4.984)
Distributions          
Dividends from Net Investment Income (.432) (.305) (.291) (.245) (.296)
Distributions from Realized Capital Gains
Total Distributions (.432) (.305) (.291) (.245) (.296)
Net Asset Value, End of Period $17.40 $15.04 $16.01 $13.06 $10.21
 
Total Return1 18.56% -4.16% 24.82% 30.34% -32.05%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,001 $1,980 $4,316 $3,279 $2,435
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.28% 0.23%
Ratio of Net Investment Income to          
Average Net Assets 2.66% 1.90% 2.03% 2.26% 2.33%
Portfolio Turnover Rate2 25% 30% 25% 33% 30%

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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.

62


 

Small-Cap Value Index Fund    
 
 
Financial Highlights    
 
Admiral Shares    
  Year Sept. 27,
  Ended 20111 to
  Dec. 31, Dec. 31,
For a Share Outstanding Throughout Each Period 2012 2011
Net Asset Value, Beginning of Period $26.96 $25.00
Investment Operations    
Net Investment Income .814 .196
Net Realized and Unrealized Gain (Loss) on Investments 4.245 2.320
Total from Investment Operations 5.059 2.516
Distributions    
Dividends from Net Investment Income (.819) (.556)
Distributions from Realized Capital Gains
Total Distributions (.819) (.556)
Net Asset Value, End of Period $31.20 $26.96
 
Total Return2 18.77% 10.05%
 
Ratios/Supplemental Data    
Net Assets, End of Period (Millions) $2,563 $1,941
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%3
Ratio of Net Investment Income to Average Net Assets 2.80% 2.04%3
Portfolio Turnover Rate4 25% 30%

1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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.

63


 

Small-Cap Value Index Fund          
 
 
Financial Highlights          
 
 
Institutional Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $15.07 $16.04 $13.09 $10.22 $15.53
Investment Operations          
Net Investment Income .459 .338 .311 .262 .315
Net Realized and Unrealized Gain (Loss)          
on Investments 2.371 (.973) 2.957 2.874 (5.307)
Total from Investment Operations 2.830 (.635) 3.268 3.136 (4.992)
Distributions          
Dividends from Net Investment Income (.460) (.335) (.318) (.266) (.318)
Distributions from Realized Capital Gains
Total Distributions (.460) (.335) (.318) (.266) (.318)
Net Asset Value, End of Period $17.44 $15.07 $16.04 $13.09 $10.22
 
Total Return 18.78% -3.97% 24.97% 30.71% -32.02%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $979 $722 $871 $543 $383
Ratio of Total Expenses to          
Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.07%
Ratio of Net Investment Income to          
Average Net Assets 2.82% 2.06% 2.21% 2.46% 2.49%
Portfolio Turnover Rate1 25% 30% 25% 33% 30%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

64


 

Small-Cap Value Index Fund          
 
 
Financial Highlights          
 
 
ETF Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $62.73 $66.80 $54.49 $42.58 $64.65
Investment Operations          
Net Investment Income 1.896 1.393 1.269 1.071 1.296
Net Realized and Unrealized Gain (Loss)          
on Investments 9.877 (4.083) 12.340 11.923 (22.053)
Total from Investment Operations 11.773 (2.690) 13.609 12.994 (20.757)
Distributions          
Dividends from Net Investment Income (1.903) (1.380) (1.299) (1.084) (1.313)
Distributions from Realized Capital Gains
Total Distributions (1.903) (1.380) (1.299) (1.084) (1.313)
Net Asset Value, End of Period $72.60 $62.73 $66.80 $54.49 $42.58
 
Total Return 18.78% -4.05% 24.97% 30.52% -31.99%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,281 $1,755 $1,851 $1,310 $894
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.11%
Ratio of Net Investment Income to          
Average Net Assets 2.80% 2.04% 2.17% 2.40% 2.45%
Portfolio Turnover Rate1 25% 30% 25% 33% 30%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

65


 

Small-Cap Value Index Fund

Notes to Financial Statements

Vanguard Small-Cap Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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).

During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.

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 (December 31, 2009–2012), 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.

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Small-Cap Value Index Fund

5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed capital of $1,036,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.41% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant 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 7,802,533 59
Temporary Cash Investments 44,079 2,999
Futures Contracts—Assets1 714
Total 7,847,326 2,999 59
1 Represents variation margin on the last day of the reporting period.

 

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Small-Cap Value Index Fund

D. 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 Russell 2000 Index March 2013 326 27,599 440

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

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

Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2012, the fund realized gains on the sale of passive foreign investment companies of $77,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies held at December 31, 2012, had unrealized appreciation of $632,000.

During the year ended December 31, 2012, the fund realized $307,360,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $1,963,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $33,444,000 to offset taxable capital gains realized during the year ended December 31, 2012. At December 31, 2012, the fund had available capital losses totaling $1,196,884,000 to offset future net capital gains. Of this amount, $1,144,768,000 is subject to expiration dates; $755,994,000 may be used to offset future net capital gains through December 31, 2017, and $388,774,000 through December 31, 2018. Capital losses of $52,116,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $7,399,702,000. Net unrealized appreciation of investment securities for tax purposes was $449,968,000, consisting of unrealized gains of $1,057,550,000 on securities that had risen in value since their purchase and $607,582,000 in unrealized losses on securities that had fallen in value since their purchase.

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Small-Cap Value Index Fund

F. During the year ended December 31, 2012, the fund purchased $3,087,912,000 of investment securities and sold $2,659,130,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,155,481,000 and $903,922,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 417,447 25,184 713,655 46,088
Issued in Lieu of Cash Distributions 45,892 2,638 37,316 2,467
Redeemed (737,451) (44,523) (2,834,648) (186,504)
Net Increase (Decrease) —Investor Shares (274,112) (16,701) (2,083,677) (137,949)
Admiral Shares1        
Issued 557,583 18,672 1,921,865 71,944
Issued in Lieu of Cash Distributions 59,631 1,912 35,571 1,314
Redeemed (311,506) (10,410) (33,738) (1,258)
Net Increase (Decrease) —Admiral Shares 305,708 10,174 1,923,698 72,000
Institutional Shares        
Issued 315,863 19,079 189,179 12,596
Issued in Lieu of Cash Distributions 22,904 1,313 14,408 951
Redeemed (201,892) (12,141) (315,337) (19,977)
Net Increase (Decrease) —Institutional Shares 136,875 8,251 (111,750) (6,430)
ETF Shares        
Issued 1,166,553 16,837 1,397,655 21,166
Issued in Lieu of Cash Distributions
Redeemed (926,870) (13,400) (1,402,802) (20,900)
Net Increase (Decrease)—ETF Shares 239,683 3,437 (5,147) 266
1 Inception was September 27, 2011, for Admiral Shares.

 

H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced an upcoming change in the fund’s benchmark index from the MSCI US Small Cap Value Index to the CRSP US Small Cap Value Index. The fund’s investment objective is not changing. The transition to the new benchmark is expected to be completed over several months, and will require some turnover of holdings with resulting transaction costs. Vanguard will seek to minimize trading impact through efficient portfolio trading.

69


 

Report of Independent Registered
Public Accounting Firm

To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund:

In our opinion, the accompanying statements of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) at December 31, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania

February 14, 2013

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Special 2012 tax information (unaudited) for Vanguard U.S. Stock Index Funds
(Small-Capitalization Portfolios)

 

This information for the fiscal year ended December 31, 2012, 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)
Small-Cap Index Fund 371,279
Small-Cap Growth Index Fund 79,004
Small-Cap Value Index Fund 144,603

 

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
Small-Cap Index Fund 70.8%
Small-Cap Growth Index Fund 79.7
Small-Cap Value Index Fund 72.4

 

71


 

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.(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 one share class 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: U.S. Stock Index Funds Small-Capitalization Portfolios
Periods Ended December 31, 2012

  One Five Ten
  Year Years Years
Small-Cap Index Fund      
Returns Before Taxes 18.04% 4.98% 10.83%
Returns After Taxes on Distributions 17.64 4.68 10.55
Returns After Taxes on Distributions and Sale of Fund Shares 12.02 4.16 9.58
 
 
  One Five Ten
  Year Years Years
Small-Cap Growth Index Fund Investor Shares      
Returns Before Taxes 17.52% 5.17% 11.02%
Returns After Taxes on Distributions 17.32 5.06 10.94
Returns After Taxes on Distributions and Sale of Fund Shares 11.56 4.41 9.86
 
 
  One Five Ten
  Year Years Years
Small-Cap Value Index Fund Investor Shares      
Returns Before Taxes 18.56% 4.66% 9.61%
Returns After Taxes on Distributions 17.98 4.19 9.14
Returns After Taxes on Distributions and Sale of Fund Shares 12.48 3.82 8.36

 

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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 December 31, 2012      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  6/30/2012 12/31/2012 Period
Based on Actual Fund Return      
Small-Cap Index Fund      
Investor Shares $1,000.00 $1,083.17 $1.26
Admiral Shares 1,000.00 1,084.10 0.53
Signal Shares 1,000.00 1,084.20 0.53
Institutional Shares 1,000.00 1,084.27 0.42
Institutional Plus Shares 1,000.00 1,084.38 0.32
ETF Shares 1,000.00 1,084.12 0.53
Small-Cap Growth Index Fund      
Investor Shares $1,000.00 $1,073.72 $1.25
Admiral Shares 1,000.00 1,074.55 0.52
Institutional Shares 1,000.00 1,074.84 0.42
ETF Shares 1,000.00 1,074.71 0.52
Small-Cap Value Index Fund      
Investor Shares $1,000.00 $1,092.20 $1.27
Admiral Shares 1,000.00 1,093.43 0.53
Institutional Shares 1,000.00 1,093.69 0.42
ETF Shares 1,000.00 1,093.19 0.53

 

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Six Months Ended December 31, 2012      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  6/30/2012 12/31/2012 Period
Based on Hypothetical 5% Yearly Return      
Small-Cap Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
Signal Shares 1,000.00 1,024.70 0.51
Institutional Shares 1,000.00 1,024.80 0.41
Institutional Plus Shares 1,000.00 1,024.90 0.31
ETF Shares 1,000.00 1,024.70 0.51
Small-Cap Growth Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
Institutional Shares 1,000.00 1,024.80 0.41
ETF Shares 1,000.00 1,024.70 0.51
Small-Cap Value Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
Institutional Shares 1,000.00 1,024.80 0.41
ETF Shares 1,000.00 1,024.70 0.51

 

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 Small-Cap Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Small-Cap Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; and for the Small-Cap Value Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.08% for Institutional Shares, and 0.10% 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.

75


 

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.

Benchmark Information

Spliced Small-Cap Growth Index: S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter.

Spliced Small-Cap Index: Russell 2000 Index through May 16, 2003; the MSCI US Small Cap 1750 Index thereafter.

Spliced Small-Cap Value Index: S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter.

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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 180 Vanguard funds.

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

InterestedTrustee1 and Delphi Automotive LLP (automotive components);
  Senior Advisor at New Mountain Capital; Trustee of
F. William McNabb III The Conference Board.
Born 1957. Trustee Since July 2009. Chairman of the  
Board. Principal Occupation(s) During the Past Five Amy Gutmann
Years: Chairman of the Board of The Vanguard Group, Born 1949. Trustee Since June 2006. Principal
Inc., and of each of the investment companies served Occupation(s) During the Past Five Years: President
by The Vanguard Group, since January 2010; Director of the University of Pennsylvania; Christopher H.
of The Vanguard Group since 2008; Chief Executive Browne Distinguished Professor of Political Science
Officer and President of The Vanguard Group and of in the School of Arts and Sciences with secondary
each of the investment companies served by The appointments at the Annenberg School for
Vanguard Group since 2008; Director of Vanguard Communication and the Graduate School of Education
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Member of the
Vanguard Group (1995–2008). National Commission on the Humanities and Social
  Sciences; Trustee of Carnegie Corporation of New
  York and of the National Constitution Center; Chair
IndependentTrustees of the U. S. Presidential Commission for the Study
  of Bioethical Issues.
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal JoAnn Heffernan Heisen
Occupation(s) During the Past Five Years: Executive Born 1950. Trustee Since July 1998. Principal
Chief Staff and Marketing Officer for North America Occupation(s) During the Past Five Years: Corporate
and Corporate Vice President (retired 2008) of Xerox Vice President and Chief Global Diversity Officer
Corporation (document management products and (retired 2008) and Member of the Executive
services); Executive in Residence and 2010 Committee (1997–2008) of Johnson & Johnson
Distinguished Minett Professor at the Rochester (pharmaceuticals/medical devices/consumer
Institute of Technology; Director of SPX Corporation products); Director of Skytop Lodge Corporation
(multi-industry manufacturing), the United Way of (hotels), the University Medical Center at Princeton,
Rochester, Amerigroup Corporation (managed health the Robert Wood Johnson Foundation, and the Center
care), the University of Rochester Medical Center, for Talent Innovation; Member of the Advisory Board
Monroe Community College Foundation, and North of the Maxwell School of Citizenship and Public Affairs
Carolina A&T University. at Syracuse University.
Rajiv L. Gupta F. Joseph Loughrey
Born 1945. Trustee Since December 2001.2 Born 1949. Trustee Since October 2009. Principal
Principal Occupation(s) During the Past Five Years: Occupation(s) During the Past Five Years: President
Chairman and Chief Executive Officer (retired 2009) and Chief Operating Officer (retired 2009) of Cummins
and President (2006–2008) of Rohm and Haas Co. Inc. (industrial machinery); Director of SKF AB
(chemicals); Director of Tyco International, Ltd. (industrial machinery), Hillenbrand, Inc. (specialized
(diversified manufacturing and services), Hewlett- consumer services), the Lumina Foundation for
Packard Co. (electronic computer manufacturing),

 


 

Education, and Oxfam America; Chairman of the Executive Officers  
Advisory Council for the College of Arts and Letters    
and Member of the Advisory Board to the Kellogg Glenn Booraem  
Institute for International Studies at the University Born 1967. Controller Since July 2010. Principal
of Notre Dame. Occupation(s) During the Past Five Years: Principal
  of The Vanguard Group, Inc.; Controller of each of
Mark Loughridge the investment companies served by The Vanguard
Born 1953. Trustee Since March 2012. Principal Group; Assistant Controller of each of the investment
Occupation(s) During the Past Five Years: Senior Vice companies served by The Vanguard Group (2001–2010).
President and Chief Financial Officer at IBM (information    
technology services); Fiduciary Member of IBM’s Thomas J. Higgins  
Retirement Plan Committee. Born 1957. Chief Financial Officer Since September
  2008. Principal Occupation(s) During the Past Five
Scott C. Malpass Years: Principal of The Vanguard Group, Inc.; Chief
Born 1962. Trustee Since March 2012. Principal Financial Officer of each of the investment companies
Occupation(s) During the Past Five Years: Chief served by The Vanguard Group; Treasurer of each of
Investment Officer and Vice President at the University the investment companies served by The Vanguard
of Notre Dame; Assistant Professor of Finance at the Group (1998–2008).  
Mendoza College of Business at Notre Dame; Member    
of the Notre Dame 403(b) Investment Committee; Kathryn J. Hyatt  
Director of TIFF Advisory Services, Inc. (investment Born 1955. Treasurer Since November 2008. Principal
advisor); Member of the Investment Advisory Occupation(s) During the Past Five Years: Principal of
Committees of the Financial Industry Regulatory The Vanguard Group, Inc.; Treasurer of each of the
Authority (FINRA) and of Major League Baseball. investment companies served by The Vanguard
  Group; Assistant Treasurer of each of the investment
André F. Perold companies served by The Vanguard Group (1988–2008).
Born 1952. Trustee Since December 2004. Principal    
Occupation(s) During the Past Five Years: George Heidi Stam  
Gund Professor of Finance and Banking at the Harvard Born 1956. Secretary Since July 2005. Principal
Business School (retired 2011); Chief Investment Occupation(s) During the Past Five Years: Managing
Officer and Managing Partner of HighVista Strategies Director of The Vanguard Group, Inc.; General Counsel
LLC (private investment firm); Director of Rand of The Vanguard Group; Secretary of The Vanguard
Merchant Bank; Overseer of the Museum of Fine Group and of each of the investment companies
Arts Boston. served by The Vanguard Group; Director and Senior
  Vice President of Vanguard Marketing Corporation.
Alfred M. Rankin, Jr.    
Born 1941. Trustee Since January 1993. Principal Vanguard Senior ManagementTeam  
Occupation(s) During the Past Five Years: Chairman,    
President, and Chief Executive Officer of NACCO Mortimer J. Buckley Michael S. Miller
Industries, Inc. (forklift trucks/housewares/lignite); Kathleen C. Gubanich James M. Norris
Director of Goodrich Corporation (industrial products/ Paul A. Heller Glenn W. Reed
aircraft systems and services) and the National Martha G. King George U. Sauter
Association of Manufacturers; Chairman of the Board Chris D. McIsaac  
of the Federal Reserve Bank of Cleveland and of    
University Hospitals of Cleveland; Advisory Chairman Chairman Emeritus and Senior Advisor  
of the Board of The Cleveland Museum of Art.    
  John J. Brennan  
Peter F. Volanakis Chairman, 1996–2009  
Born 1955. Trustee Since July 2009. Principal Chief Executive Officer and President, 1996–2008  
Occupation(s) During the Past Five Years: President    
and Chief Operating Officer (retired 2010) of Corning Founder  
Incorporated (communications equipment); Director  
of SPX Corporation (multi-industry manufacturing); John C. Bogle  
 Overseer of the Amos Tuck School of Business Chairman and Chief Executive Officer, 1974–1996  
Administration at Dartmouth College; Advisor to the    
Norris Cotton Cancer Center.    

 

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


 

 

P.O. Box 2600
Valley Forge, PA 19482-2600

 

Connect with Vanguard® > vanguard.com

Fund Information > 800-662-7447 The funds or securities referred to herein are not
Direct Investor Account Services > 800-662-2739 sponsored, endorsed, or promoted by MSCI, and MSCI
  bears no liability with respect to any such funds or
Institutional Investor Services > 800-523-1036 securities. The prospectus or the Statement of
Text Telephone for People Additional Information contains a more detailed
With Hearing Impairment > 800-749-7273 description of the limited relationship MSCI has with
  Vanguard and any related funds.
This material may be used in conjunction  
with the offering of shares of any Vanguard  
fund only if preceded or accompanied by  
the fund’s current prospectus.  
 
All comparative mutual fund data are from Lipper Inc. or  
Morningstar, Inc., unless otherwise noted.  
 
You can obtain a free copy of Vanguard’s proxy voting  
guidelines by visiting vanguard.com/proxyreporting or by  
calling Vanguard at 800-662-2739. The guidelines are  
also available from the SEC’s website, sec.gov. In  
addition, you may obtain a free report on how your fund  
voted the proxies for securities it owned during the 12  
months ended June 30. To get the report, visit either  
vanguard.com/proxyreporting or sec.gov.  
 
You can review and copy information about your fund at  
the SEC’s Public Reference Room in Washington, D.C. To  
find out more about this public service, call the SEC at  
202-551-8090. Information about your fund is also  
available on the SEC’s website, and you can receive  
copies of this information, for a fee, by sending a  
request in either of two ways: via e-mail addressed to  
publicinfo@sec.gov or via regular mail addressed to the  
Public Reference Section, Securities and Exchange  
Commission, Washington, DC 20549-1520.  
 
 
  © 2013 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
 
  Q480 022013

 


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.2%)1    
Consumer Discretionary (13.3%)    
* Hanesbrands Inc. 1,620,338 58,041
  GNC Holdings Inc. Class A 1,650,102 54,915
* Penn National Gaming Inc. 1,081,913 53,133
  Chico's FAS Inc. 2,758,553 50,923
  Service Corp. International 3,571,024 49,316
* Warnaco Group Inc. 678,588 48,567
* Carter's Inc. 832,415 46,324
  Cinemark Holdings Inc. 1,718,673 44,651
* Madison Square Garden Co. Class A 979,159 43,426
  Brunswick Corp. 1,484,328 43,179
* AMC Networks Inc. Class A 869,785 43,054
* Visteon Corp. 786,272 42,317
  Six Flags Entertainment Corp. 661,075 40,458
* Ascena Retail Group Inc. 2,176,462 40,243
* Liberty Ventures Class A 581,593 39,409
  Dillard's Inc. Class A 465,351 38,982
  Domino's Pizza Inc. 894,336 38,948
  Dana Holding Corp. 2,455,292 38,327
  Brinker International Inc. 1,227,218 38,031
  Sotheby's 1,125,010 37,823
  DSW Inc. Class A 552,068 36,265
  HSN Inc. 648,004 35,692
* Tenneco Inc. 998,296 35,050
*,^ Tesla Motors Inc. 1,030,816 34,914
  Aaron's Inc. 1,195,536 33,810
* Life Time Fitness Inc. 686,136 33,765
  Rent-A-Center Inc. 981,917 33,739
  Wolverine World Wide Inc. 811,189 33,243
  Pool Corp. 776,808 32,875
  Vail Resorts Inc. 598,546 32,375
  Pier 1 Imports Inc. 1,600,184 32,004
* Cabela's Inc. 753,859 31,474
  John Wiley & Sons Inc. Class A 794,435 30,927
* Bally Technologies Inc. 688,007 30,761
* Big Lots Inc. 1,057,629 30,100
* Steven Madden Ltd. 685,944 28,995
  Thor Industries Inc. 746,472 27,940
  Cheesecake Factory Inc. 848,450 27,761
  Ryland Group Inc. 742,516 27,102
*,^ Coinstar Inc. 519,822 27,036
* ANN Inc. 785,656 26,587
* Vitamin Shoppe Inc. 444,150 25,476
* Iconix Brand Group Inc. 1,134,921 25,331
  Morningstar Inc. 401,791 25,245
  Men's Wearhouse Inc. 803,136 25,026
  Cooper Tire & Rubber Co. 983,617 24,945
  MDC Holdings Inc. 677,242 24,895
* Deckers Outdoor Corp. 616,570 24,829
*,^ Groupon Inc. 4,865,571 23,744
  Hillenbrand Inc. 1,039,350 23,500
* Fifth & Pacific Cos. Inc. 1,877,573 23,376
* Select Comfort Corp. 887,411 23,224
* Hibbett Sports Inc. 435,910 22,972
  Wendy's Co. 4,865,197 22,866
  DeVry Inc. 958,122 22,736
  Penske Automotive Group Inc. 749,353 22,548
* Buffalo Wild Wings Inc. 308,666 22,477
* Genesco Inc. 406,709 22,369
  Cracker Barrel Old Country Store Inc. 347,212 22,312
  Group 1 Automotive Inc. 359,241 22,269
* Live Nation Entertainment Inc. 2,371,946 22,083

 

1


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Crocs Inc. 1,498,884 21,569
^ Buckle Inc. 477,439 21,313
* Meritage Homes Corp. 558,510 20,860
^ Meredith Corp. 593,917 20,460
  Arbitron Inc. 433,877 20,253
* Lumber Liquidators Holdings Inc. 381,698 20,165
* Jack in the Box Inc. 703,122 20,109
^ Regal Entertainment Group Class A 1,421,567 19,831
* Jos A Bank Clothiers Inc. 463,722 19,745
* Lions Gate Entertainment Corp. 1,197,404 19,637
* DreamWorks Animation SKG Inc. Class A 1,158,853 19,202
* Orient-Express Hotels Ltd. Class A 1,623,556 18,979
* New York Times Co. Class A 2,200,664 18,772
  Bob Evans Farms Inc. 466,163 18,740
*,^ Saks Inc. 1,774,682 18,652
* Express Inc. 1,224,379 18,476
  KB Home 1,152,362 18,207
* Children's Place Retail Stores Inc. 399,961 17,714
  Texas Roadhouse Inc. Class A 1,051,524 17,666
* Aeropostale Inc. 1,349,271 17,554
* DineEquity Inc. 258,713 17,334
* Papa John's International Inc. 311,337 17,105
  Monro Muffler Brake Inc. 488,976 17,099
  Dorman Products Inc. 483,556 17,089
  Valassis Communications Inc. 660,339 17,024
* Shutterfly Inc. 567,714 16,958
* Helen of Troy Ltd. 500,608 16,715
* Pinnacle Entertainment Inc. 1,032,648 16,347
  Choice Hotels International Inc. 481,157 16,176
  Regis Corp. 953,210 16,128
* WMS Industries Inc. 904,110 15,822
  Finish Line Inc. Class A 822,746 15,575
* Standard Pacific Corp. 2,117,809 15,566
* Office Depot Inc. 4,734,394 15,529
*,^ Francesca's Holdings Corp. 579,829 15,052
* Asbury Automotive Group Inc. 468,798 15,016
* Grand Canyon Education Inc. 635,425 14,913
  Matthews International Corp. Class A 463,956 14,893
  Jones Group Inc. 1,332,930 14,742
  Churchill Downs Inc. 217,435 14,449
^ Sturm Ruger & Co. Inc. 317,746 14,426
  Ameristar Casinos Inc. 547,897 14,377
  OfficeMax Inc. 1,438,299 14,038
* Conn's Inc. 453,091 13,901
* BJ's Restaurants Inc. 418,386 13,765
  Lithia Motors Inc. Class A 362,714 13,573
* SHFL Entertainment Inc. 927,140 13,444
* American Axle & Manufacturing Holdings Inc. 1,181,289 13,230
  Scholastic Corp. 446,954 13,212
  National CineMedia Inc. 931,467 13,162
* Marriott Vacations Worldwide Corp. 314,037 13,086
  Brown Shoe Co. Inc. 711,856 13,077
* Tumi Holdings Inc. 619,963 12,926
  Sonic Automotive Inc. Class A 615,106 12,850
  Interval Leisure Group Inc. 658,509 12,768
  Stage Stores Inc. 513,488 12,724
  Cato Corp. Class A 457,394 12,546
* Ascent Capital Group Inc. Class A 201,350 12,472
  La-Z-Boy Inc. 868,656 12,291
  International Speedway Corp. Class A 438,302 12,106
*,^ HomeAway Inc. 549,315 12,085
^ Columbia Sportswear Co. 224,672 11,988
* Skechers U.S.A. Inc. Class A 645,089 11,934
  Belo Corp. Class A 1,555,426 11,930

 

2


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
*,^ Hovnanian Enterprises Inc. Class A 1,670,630 11,694
^ Strayer Education Inc. 197,712 11,105
  Ethan Allen Interiors Inc. 431,306 11,089
* Steiner Leisure Ltd. 228,255 11,000
  Sinclair Broadcast Group Inc. Class A 870,908 10,991
  Oxford Industries Inc. 234,278 10,861
* American Public Education Inc. 300,452 10,849
  Drew Industries Inc. 333,266 10,748
* AFC Enterprises Inc. 399,801 10,447
  True Religion Apparel Inc. 408,097 10,374
  Stewart Enterprises Inc. Class A 1,312,941 10,031
  CEC Entertainment Inc. 296,609 9,844
* G-III Apparel Group Ltd. 281,427 9,633
  Movado Group Inc. 307,036 9,420
*,^ K12 Inc. 453,043 9,260
* M/I Homes Inc. 349,364 9,258
*,^ Smith & Wesson Holding Corp. 1,088,021 9,183
* Sonic Corp. 865,869 9,014
*,^ Pandora Media Inc. 965,997 8,868
* Biglari Holdings Inc. 22,600 8,814
^ American Greetings Corp. Class A 514,489 8,690
  Pep Boys-Manny Moe & Jack 877,158 8,622
*,^ Vera Bradley Inc. 337,924 8,482
* Winnebago Industries Inc. 485,635 8,319
* Krispy Kreme Doughnuts Inc. 883,953 8,291
  Superior Industries International Inc. 406,002 8,282
* Quiksilver Inc. 1,922,629 8,171
* iRobot Corp. 434,888 8,150
  Core-Mark Holding Co. Inc. 172,001 8,144
* Red Robin Gourmet Burgers Inc. 228,981 8,081
* Blue Nile Inc. 205,887 7,927
* LeapFrog Enterprises Inc. 917,864 7,921
*,^ Scientific Games Corp. Class A 910,122 7,891
* Denny's Corp. 1,573,984 7,681
  Fred's Inc. Class A 576,240 7,670
* Maidenform Brands Inc. 391,850 7,637
* Zumiez Inc. 390,139 7,573
*,^ Barnes & Noble Inc. 497,742 7,511
* rue21 inc 256,772 7,290
* Arctic Cat Inc. 218,321 7,290
  Callaway Golf Co. 1,080,589 7,024
*,^ Beazer Homes USA Inc. 408,584 6,901
  Standard Motor Products Inc. 301,547 6,700
* Ruby Tuesday Inc. 849,844 6,680
* Gentherm Inc. 491,177 6,533
  Hot Topic Inc. 667,190 6,438
* Libbey Inc. 324,978 6,288
* Boyd Gaming Corp. 935,971 6,215
* Capella Education Co. 206,971 5,843
* Modine Manufacturing Co. 705,214 5,733
* America's Car-Mart Inc. 137,212 5,560
* Mattress Firm Holding Corp. 224,692 5,512
* EW Scripps Co. Class A 496,320 5,365
* Cavco Industries Inc. 104,422 5,219
  Haverty Furniture Cos. Inc. 318,630 5,197
  NACCO Industries Inc. Class A 84,843 5,149
*,^ ITT Educational Services Inc. 290,796 5,034
  Shoe Carnival Inc. 237,600 4,868
  Clear Channel Outdoor Holdings Inc. Class A 663,770 4,660
  JAKKS Pacific Inc. 366,518 4,589
* Digital Generation Inc. 413,700 4,493
  Harte-Hanks Inc. 733,112 4,325
*,^ Caesars Entertainment Corp. 624,761 4,323
* Universal Electronics Inc. 223,417 4,323

 

3


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Speedway Motorsports Inc. 240,026 4,282
  Perry Ellis International Inc. 211,235 4,204
  Marcus Corp. 336,022 4,190
* Bravo Brio Restaurant Group Inc. 307,535 4,130
  Destination Maternity Corp. 188,612 4,066
* Exide Technologies 1,165,227 3,985
*,^ Overstock.com Inc. 272,510 3,900
* Wet Seal Inc. Class A 1,410,275 3,892
  World Wrestling Entertainment Inc. Class A 481,950 3,803
  PetMed Express Inc. 340,368 3,778
  Universal Technical Institute Inc. 368,287 3,698
  Nutrisystem Inc. 450,300 3,688
* Fuel Systems Solutions Inc. 248,450 3,652
  Stein Mart Inc. 469,375 3,539
^ RadioShack Corp. 1,640,804 3,478
* Citi Trends Inc. 250,619 3,449
* LIN TV Corp. Class A 452,100 3,404
*,^ McClatchy Co. Class A 1,006,682 3,292
  Big 5 Sporting Goods Corp. 250,839 3,286
* Federal-Mogul Corp. 408,484 3,276
* Corinthian Colleges Inc. 1,341,216 3,273
* Unifi Inc. 248,909 3,238
*,^ Bridgepoint Education Inc. 305,688 3,149
* Career Education Corp. 888,070 3,126
  CSS Industries Inc. 142,776 3,125
* Journal Communications Inc. Class A 539,604 2,919
* Steinway Musical Instruments Inc. 133,313 2,820
  Weyco Group Inc. 116,729 2,727
* Cumulus Media Inc. Class A 1,020,440 2,725
* Kirkland's Inc. 254,886 2,699
^ Blyth Inc. 170,619 2,653
* Vitacost.com Inc. 384,625 2,608
  Fisher Communications Inc. 95,311 2,572
* Body Central Corp. 255,277 2,543
  bebe stores inc 626,889 2,501
*,^ Teavana Holdings Inc. 158,862 2,462
*,^ Zagg Inc. 325,809 2,398
* Entercom Communications Corp. Class A 336,185 2,347
* Stoneridge Inc. 439,750 2,252
* Gordmans Stores Inc. 143,858 2,161
*,^ hhgregg Inc. 295,634 2,075
  Systemax Inc. 211,190 2,038
* Isle of Capri Casinos Inc. 357,162 2,000
*,^ Skullcandy Inc. 248,805 1,938
* ReachLocal Inc. 140,883 1,819
* Coldwater Creek Inc. 327,437 1,575
* New York & Co. Inc. 412,248 1,571
* Sealy Corp. 686,833 1,490
  Einstein Noah Restaurant Group Inc. 112,079 1,368
* Ignite Restaurant Group Inc. 102,230 1,329
* Orbitz Worldwide Inc. 433,784 1,180
* Martha Stewart Living Omnimedia Class A 474,343 1,162
* Tower International Inc. 117,010 942
      3,688,907
Consumer Staples (3.0%)    
* Dean Foods Co. 3,070,860 50,700
  Flowers Foods Inc. 2,074,353 48,270
* United Natural Foods Inc. 812,625 43,548
* Hain Celestial Group Inc. 635,608 34,463
  Casey's General Stores Inc. 636,948 33,822
  Nu Skin Enterprises Inc. Class A 894,731 33,150
* Darling International Inc. 1,952,631 31,320
* TreeHouse Foods Inc. 600,381 31,298
* Fresh Market Inc. 639,571 30,757

 

4


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Harris Teeter Supermarkets Inc. 777,466 29,979
  PriceSmart Inc. 326,004 25,119
  B&G Foods Inc. 863,557 24,447
  Lancaster Colony Corp. 317,191 21,946
* Elizabeth Arden Inc. 440,053 19,807
* Boston Beer Co. Inc. Class A 146,404 19,684
  Universal Corp. 388,017 19,366
  Snyders-Lance Inc. 796,889 19,213
* Post Holdings Inc. 542,194 18,570
  Fresh Del Monte Produce Inc. 674,082 17,762
  Spectrum Brands Holdings Inc. 384,514 17,276
* Prestige Brands Holdings Inc. 837,982 16,785
  J&J Snack Foods Corp. 251,350 16,071
  Sanderson Farms Inc. 324,233 15,417
* Rite Aid Corp. 11,221,834 15,262
* Smart Balance Inc. 983,254 12,684
  Vector Group Ltd. 851,658 12,664
  Andersons Inc. 293,645 12,597
  WD-40 Co. 248,860 11,724
* Susser Holdings Corp. 278,140 9,593
  Cal-Maine Foods Inc. 232,994 9,371
^ SUPERVALU Inc. 3,538,987 8,741
^ Tootsie Roll Industries Inc. 309,089 8,012
  Weis Markets Inc. 200,767 7,864
* Pilgrim's Pride Corp. 1,073,662 7,784
* Dole Food Co. Inc. 664,259 7,619
* Medifast Inc. 218,842 5,775
* Annie's Inc. 170,404 5,697
* Chiquita Brands International Inc. 688,193 5,678
  Spartan Stores Inc. 361,752 5,556
  Coca-Cola Bottling Co. Consolidated 83,198 5,533
  Inter Parfums Inc. 279,459 5,438
* Central Garden and Pet Co. Class A 516,139 5,394
*,^ Star Scientific Inc. 1,934,552 5,185
* Alliance One International Inc. 1,382,965 5,034
^ Diamond Foods Inc. 367,294 5,021
  Calavo Growers Inc. 196,884 4,963
* Pantry Inc. 387,179 4,696
  Nash Finch Co. 203,663 4,334
*,^ USANA Health Sciences Inc. 120,131 3,956
* Seneca Foods Corp. Class A 118,684 3,608
  Village Super Market Inc. Class A 96,985 3,187
* Chefs' Warehouse Inc. 190,873 3,018
  Ingles Markets Inc. Class A 170,970 2,951
* Revlon Inc. Class A 203,227 2,947
  National Beverage Corp. 191,133 2,789
*,^ Central European Distribution Corp. 1,106,659 2,401
  Nature's Sunshine Products Inc. 154,644 2,239
  Roundy's Inc. 414,850 1,846
* Central Garden and Pet Co. 182,010 1,824
      841,755
Energy (5.4%)    
* Cheniere Energy Inc. 3,025,301 56,815
  World Fuel Services Corp. 1,197,300 49,293
* Atwood Oceanics Inc. 976,640 44,720
* Dril-Quip Inc. 571,086 41,718
* Rosetta Resources Inc. 879,516 39,895
* Oasis Petroleum Inc. 1,239,673 39,422
* Kodiak Oil & Gas Corp. 4,377,519 38,741
* Gulfport Energy Corp. 999,420 38,198
  Tidewater Inc. 827,231 36,961
  Energy XXI Bermuda Ltd. 1,120,914 36,082
* Alpha Natural Resources Inc. 3,658,158 35,630
* Helix Energy Solutions Group Inc. 1,659,700 34,256

 

5


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Unit Corp. 726,049 32,709
  Lufkin Industries Inc. 559,181 32,505
  Bristow Group Inc. 593,516 31,848
*,^ McMoRan Exploration Co. 1,746,869 28,037
  SEACOR Holdings Inc. 330,607 27,705
  Western Refining Inc. 981,306 27,663
^ CARBO Ceramics Inc. 344,954 27,024
  Berry Petroleum Co. Class A 782,653 26,258
  Targa Resources Corp. 493,218 26,062
  Arch Coal Inc. 3,523,974 25,795
* Gran Tierra Energy Inc. 4,676,476 25,767
* SemGroup Corp. Class A 623,928 24,383
* Exterran Holdings Inc. 969,451 21,250
* Cloud Peak Energy Inc. 1,013,446 19,590
* Hornbeck Offshore Services Inc. 558,338 19,173
* Geospace Technologies Corp. 201,110 17,873
* Northern Oil and Gas Inc. 1,003,430 16,878
* PDC Energy Inc. 502,423 16,685
* Key Energy Services Inc. 2,382,494 16,558
^ Enbridge Energy Management LLC 571,988 16,525
* Halcon Resources Corp. 2,333,421 16,147
* Stone Energy Corp. 781,298 16,032
* Forum Energy Technologies Inc. 640,612 15,855
* C&J Energy Services Inc. 700,822 15,026
^ EXCO Resources Inc. 2,158,070 14,610
* Approach Resources Inc. 576,090 14,408
*,^ Clean Energy Fuels Corp. 1,154,663 14,376
* Bill Barrett Corp. 800,020 14,232
* CVR Energy Inc. 288,427 14,072
  Gulfmark Offshore Inc. 402,945 13,881
* Hercules Offshore Inc. 2,243,285 13,864
* ION Geophysical Corp. 2,071,617 13,486
^ RPC Inc. 1,094,476 13,396
* Carrizo Oil & Gas Inc. 630,761 13,196
* Forest Oil Corp. 1,963,954 13,139
* Newpark Resources Inc. 1,466,943 11,516
* Comstock Resources Inc. 760,210 11,502
* Swift Energy Co. 713,801 10,985
* EPL Oil & Gas Inc. 486,167 10,963
*,^ Magnum Hunter Resources Corp. 2,655,439 10,595
  W&T Offshore Inc. 616,506 9,883
* TETRA Technologies Inc. 1,299,445 9,863
* Rex Energy Corp. 745,746 9,710
*,^ Heckmann Corp. 2,394,680 9,651
  Rentech Inc. 3,661,104 9,629
  Contango Oil & Gas Co. 216,578 9,174
* Parker Drilling Co. 1,960,164 9,017
  Crosstex Energy Inc. 590,421 8,467
* Vaalco Energy Inc. 912,145 7,890
* Pioneer Energy Services Corp. 1,029,239 7,472
* Bonanza Creek Energy Inc. 266,178 7,397
* PHI Inc. 206,872 6,928
* Resolute Energy Corp. 822,081 6,684
* Tesco Corp. 546,463 6,224
* Matador Resources Co. 737,698 6,049
* Basic Energy Services Inc. 492,934 5,624
* Harvest Natural Resources Inc. 592,946 5,378
* Vantage Drilling Co. 2,917,854 5,340
  Gulf Island Fabrication Inc. 215,798 5,186
  Alon USA Energy Inc. 283,626 5,131
  Delek US Holdings Inc. 194,895 4,935
* Matrix Service Co. 428,258 4,925
*,^ BPZ Resources Inc. 1,547,134 4,873
* PetroQuest Energy Inc. 960,465 4,754

 

6


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
*,^ Quicksilver Resources Inc. 1,582,443 4,526
* Triangle Petroleum Corp. 736,447 4,411
* Goodrich Petroleum Corp. 456,469 4,254
* Clayton Williams Energy Inc. 101,340 4,054
*,^ Solazyme Inc. 506,732 3,983
  Penn Virginia Corp. 901,011 3,973
* Midstates Petroleum Co. Inc. 556,092 3,831
*,^ Endeavour International Corp. 697,608 3,614
* Sanchez Energy Corp. 196,230 3,532
* Dawson Geophysical Co. 132,631 3,499
* Willbros Group Inc. 648,589 3,476
* FX Energy Inc. 830,621 3,414
* Uranium Energy Corp. 1,330,850 3,407
* Green Plains Renewable Energy Inc. 416,336 3,293
* Warren Resources Inc. 1,127,266 3,168
* TransAtlantic Petroleum Ltd. 3,649,378 3,029
* Abraxas Petroleum Corp. 1,372,799 3,006
* Cal Dive International Inc. 1,587,285 2,746
* RigNet Inc. 116,313 2,376
*,^ KiOR Inc. 297,951 1,910
*,^ James River Coal Co. 591,183 1,892
  Apco Oil and Gas International Inc. 150,914 1,858
* Lone Pine Resources Inc. 1,405,828 1,729
*,^ Amyris Inc. 533,754 1,665
*,^ Hyperdynamics Corp. 2,755,817 1,648
* Global Geophysical Services Inc. 339,120 1,306
*,^ ZaZa Energy Corp. 418,347 858
* Oilsands Quest Inc. 1,793,762 7
* Magnum Hunter Resources Corp. Warrants Exp. 10/14/2013 108,173
      1,493,949
Financials (23.3%)    
  Apartment Investment & Management Co. Class A 2,418,441 65,443
  BRE Properties Inc. 1,276,182 64,868
* American Capital Ltd. 5,394,298 64,732
  Extra Space Storage Inc. 1,728,853 62,913
  Kilroy Realty Corp. 1,228,557 58,197
  National Retail Properties Inc. 1,796,102 56,038
* Signature Bank 766,948 54,714
  Tanger Factory Outlet Centers 1,560,186 53,358
  CBL & Associates Properties Inc. 2,500,586 53,037
  Two Harbors Investment Corp. 4,638,880 51,399
  Douglas Emmett Inc. 2,204,158 51,357
  Home Properties Inc. 829,227 50,840
  East West Bancorp Inc. 2,358,773 50,690
  Starwood Property Trust Inc. 2,206,259 50,656
  Waddell & Reed Financial Inc. Class A 1,426,219 49,661
  BioMed Realty Trust Inc. 2,561,469 49,513
  MFA Financial Inc. 5,934,820 48,131
  Allied World Assurance Co. Holdings AG 594,576 46,853
  First Niagara Financial Group Inc. 5,860,391 46,473
  Post Properties Inc. 899,717 44,941
  Mid-America Apartment Communities Inc. 682,438 44,188
  Equity Lifestyle Properties Inc. 652,372 43,898
  Old Republic International Corp. 4,096,098 43,623
  Omega Healthcare Investors Inc. 1,804,167 43,029
  Hancock Holding Co. 1,339,388 42,512
  Highwoods Properties Inc. 1,262,906 42,244
* SVB Financial Group 738,566 41,338
  Assured Guaranty Ltd. 2,902,787 41,307
  First Horizon National Corp. 4,130,444 40,933
  ProAssurance Corp. 967,254 40,808
  Hatteras Financial Corp. 1,630,014 40,441
  First American Financial Corp. 1,677,422 40,409
* E*TRADE Financial Corp. 4,514,243 40,402

 

7


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  LaSalle Hotel Properties 1,564,734 39,729
  City National Corp. 800,410 39,636
  Mack-Cali Realty Corp. 1,457,991 38,068
  Aspen Insurance Holdings Ltd. 1,184,628 38,003
  Protective Life Corp. 1,328,928 37,981
  Prospect Capital Corp. 3,483,721 37,868
  Invesco Mortgage Capital Inc. 1,915,942 37,763
  Associated Banc-Corp 2,854,483 37,451
  Prosperity Bancshares Inc. 883,976 37,127
  CNO Financial Group Inc. 3,857,232 35,988
  EPR Properties 777,590 35,855
* Popular Inc. 1,710,667 35,565
* Howard Hughes Corp. 473,767 34,594
  Healthcare Realty Trust Inc. 1,427,884 34,283
  Bank of Hawaii Corp. 750,315 33,051
  Corporate Office Properties Trust 1,322,548 33,037
  CYS Investments Inc. 2,765,813 32,664
* Forest City Enterprises Inc. Class A 2,003,426 32,355
  Fulton Financial Corp. 3,332,982 32,030
  Alterra Capital Holdings Ltd. 1,118,266 31,524
^ Federated Investors Inc. Class B 1,555,610 31,470
  TCF Financial Corp. 2,569,770 31,223
  ARMOUR Residential REIT Inc. 4,801,463 31,065
  Susquehanna Bancshares Inc. 2,945,760 30,872
  RLJ Lodging Trust 1,593,288 30,862
  Capitol Federal Financial Inc. 2,621,317 30,643
  American Realty Capital Trust Inc. 2,640,633 30,499
  Synovus Financial Corp. 12,405,213 30,393
  Sovran Self Storage Inc. 488,973 30,365
* Portfolio Recovery Associates Inc. 280,330 29,956
* Texas Capital Bancshares Inc. 667,415 29,914
  Washington Federal Inc. 1,771,465 29,885
  Colonial Properties Trust 1,388,397 29,670
  DiamondRock Hospitality Co. 3,239,616 29,157
  Brandywine Realty Trust 2,380,835 29,022
  Valley National Bancorp 3,113,858 28,959
  Hanover Insurance Group Inc. 744,103 28,827
  Washington REIT 1,101,039 28,792
  DCT Industrial Trust Inc. 4,426,366 28,727
  Endurance Specialty Holdings Ltd. 718,855 28,531
  CubeSmart 1,943,554 28,318
  Apollo Investment Corp. 3,375,039 28,215
  Webster Financial Corp. 1,347,352 27,688
* Stifel Financial Corp. 847,244 27,086
  Medical Properties Trust Inc. 2,250,717 26,919
  CapitalSource Inc. 3,548,274 26,896
  StanCorp Financial Group Inc. 732,520 26,862
^ Lexington Realty Trust 2,557,167 26,722
*,^ St. Joe Co. 1,149,136 26,522
  Janus Capital Group Inc. 3,109,997 26,497
  Potlatch Corp. 669,766 26,248
  EastGroup Properties Inc. 484,474 26,070
  FirstMerit Corp. 1,824,030 25,883
  Glimcher Realty Trust 2,326,608 25,802
  DuPont Fabros Technology Inc. 1,050,910 25,390
  Platinum Underwriters Holdings Ltd. 551,459 25,367
  Primerica Inc. 842,267 25,276
  Newcastle Investment Corp. 2,863,620 24,856
  FNB Corp. 2,319,499 24,633
  Kemper Corp. 827,850 24,422
* Sunstone Hotel Investors Inc. 2,270,731 24,320
  Cathay General Bancorp 1,241,772 24,215
  Iberiabank Corp. 489,857 24,062
  Ryman Hospitality Properties 624,675 24,025

 

8


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
PennyMac Mortgage Investment Trust 940,641 23,789
* Walter Investment Management Corp. 549,379 23,634
UMB Financial Corp. 538,928 23,627
Greenhill & Co. Inc. 453,822 23,594
* Altisource Portfolio Solutions SA 271,053 23,488
Trustmark Corp. 1,021,736 22,948
Pebblebrook Hotel Trust 979,071 22,617
* First Cash Financial Services Inc. 451,406 22,399
Redwood Trust Inc. 1,316,216 22,231
National Health Investors Inc. 392,777 22,204
Wintrust Financial Corp. 603,787 22,159
CommonWealth REIT 1,390,340 22,023
Umpqua Holdings Corp. 1,857,768 21,903
MarketAxess Holdings Inc. 618,794 21,843
* First Industrial Realty Trust Inc. 1,551,036 21,839
* PHH Corp. 940,724 21,401
PS Business Parks Inc. 322,168 20,934
* Credit Acceptance Corp. 203,808 20,723
* Alexander & Baldwin Inc. 704,390 20,688
Equity One Inc. 982,879 20,650
BancorpSouth Inc. 1,411,110 20,518
RLI Corp. 317,072 20,502
Acadia Realty Trust 815,429 20,451
United Bankshares Inc. 835,068 20,309
Old National Bancorp 1,683,172 19,979
National Penn Bancshares Inc. 2,121,561 19,773
Northwest Bancshares Inc. 1,625,302 19,731
Education Realty Trust Inc. 1,838,951 19,566
Westamerica Bancorporation 457,727 19,495
Cash America International Inc. 487,033 19,321
Montpelier Re Holdings Ltd. 835,619 19,102
* MBIA Inc. 2,410,386 18,922
Capstead Mortgage Corp. 1,637,922 18,787
Sun Communities Inc. 468,974 18,707
NorthStar Realty Finance Corp. 2,653,131 18,678
Government Properties Income Trust 771,176 18,485
* Financial Engines Inc. 659,139 18,291
Fifth Street Finance Corp. 1,745,602 18,189
Mercury General Corp. 455,870 18,093
* Enstar Group Ltd. 161,554 18,091
Symetra Financial Corp. 1,383,936 17,963
LTC Properties Inc. 505,571 17,791
Glacier Bancorp Inc. 1,197,321 17,613
Selective Insurance Group Inc. 912,361 17,581
Home Loan Servicing Solutions Ltd. 930,142 17,580
* Strategic Hotels & Resorts Inc. 2,713,613 17,367
MB Financial Inc. 863,723 17,059
Community Bank System Inc. 622,699 17,037
Retail Properties of America Inc. 1,412,669 16,910
PrivateBancorp Inc. 1,100,721 16,863
Colony Financial Inc. 850,331 16,581
Main Street Capital Corp. 538,688 16,435
Bank of the Ozarks Inc. 489,571 16,386
First Financial Bankshares Inc. 418,164 16,313
International Bancshares Corp. 893,001 16,119
First Midwest Bancorp Inc. 1,246,107 15,601
Pennsylvania REIT 883,438 15,584
* World Acceptance Corp. 208,821 15,570
American Assets Trust Inc. 554,541 15,488
CVB Financial Corp. 1,478,761 15,379
Franklin Street Properties Corp. 1,239,365 15,257
* Ezcorp Inc. Class A 760,640 15,106
Hersha Hospitality Trust Class A 2,966,854 14,834
* TFS Financial Corp. 1,539,668 14,812

 

9


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Solar Capital Ltd. 609,662 14,577
Amtrust Financial Services Inc. 497,629 14,277
BBCN Bancorp Inc. 1,230,553 14,238
First Financial Bancorp 971,445 14,203
Nelnet Inc. Class A 476,214 14,186
First Citizens BancShares Inc. Class A 86,227 14,098
Argo Group International Holdings Ltd. 419,557 14,093
CreXus Investment Corp. 1,145,180 14,028
Astoria Financial Corp. 1,470,908 13,768
Radian Group Inc. 2,218,162 13,553
Provident Financial Services Inc. 899,199 13,416
Chesapeake Lodging Trust 641,939 13,404
Sabra Health Care REIT Inc. 615,395 13,366
BankUnited Inc. 546,781 13,363
Anworth Mortgage Asset Corp. 2,311,408 13,360
Investors Real Estate Trust 1,523,617 13,301
Associated Estates Realty Corp. 822,277 13,255
Investors Bancorp Inc. 743,644 13,222
Park National Corp. 204,489 13,216
* Western Alliance Bancorp 1,243,380 13,093
Horace Mann Educators Corp. 654,310 13,060
Cousins Properties Inc. 1,557,887 13,008
Sterling Financial Corp. 619,358 12,932
American Capital Mortgage Investment Corp. 545,932 12,868
Evercore Partners Inc. Class A 425,758 12,854
* DFC Global Corp. 682,716 12,637
* Virtus Investment Partners Inc. 104,225 12,605
PacWest Bancorp 504,276 12,496
Inland Real Estate Corp. 1,482,636 12,424
Hudson Pacific Properties Inc. 589,486 12,415
Home BancShares Inc. 373,368 12,329
BlackRock Kelso Capital Corp. 1,224,574 12,319
* Citizens Republic Bancorp Inc. 639,560 12,132
American Equity Investment Life Holding Co. 988,858 12,074
PennantPark Investment Corp. 1,088,878 11,972
First Commonwealth Financial Corp. 1,739,375 11,863
Columbia Banking System Inc. 660,275 11,845
* Greenlight Capital Re Ltd. Class A 505,139 11,659
Triangle Capital Corp. 453,123 11,550
* Nationstar Mortgage Holdings Inc. 371,078 11,496
* National Financial Partners Corp. 665,787 11,412
NBT Bancorp Inc. 560,238 11,356
* Encore Capital Group Inc. 370,198 11,335
Infinity Property & Casualty Corp. 194,412 11,323
Ashford Hospitality Trust Inc. 1,075,809 11,307
Alexander's Inc. 33,909 11,217
^ Retail Opportunity Investments Corp. 851,318 10,948
ViewPoint Financial Group Inc. 522,319 10,937
Independent Bank Corp. 377,252 10,921
Chemical Financial Corp. 456,943 10,857
Interactive Brokers Group Inc. 789,256 10,797
Tower Group Inc. 605,834 10,766
Boston Private Financial Holdings Inc. 1,182,470 10,654
SCBT Financial Corp. 264,626 10,633
First Potomac Realty Trust 848,560 10,488
Ramco-Gershenson Properties Trust 779,037 10,369
Kennedy-Wilson Holdings Inc. 741,481 10,366
Oritani Financial Corp. 675,921 10,355
* Pinnacle Financial Partners Inc. 548,896 10,341
WesBanco Inc. 461,254 10,249
STAG Industrial Inc. 570,277 10,248
Universal Health Realty Income Trust 199,788 10,111
Oriental Financial Group Inc. 750,074 10,013
Employers Holdings Inc. 485,564 9,993

 

10


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Forestar Group Inc. 576,042 9,983
  Cohen & Steers Inc. 326,447 9,947
  Berkshire Hills Bancorp Inc. 416,286 9,933
  Brookline Bancorp Inc. 1,163,346 9,888
  Banner Corp. 319,574 9,821
  Hercules Technology Growth Capital Inc. 878,479 9,777
  Coresite Realty Corp. 350,392 9,692
* iStar Financial Inc. 1,180,803 9,624
* Navigators Group Inc. 186,523 9,526
  Duff & Phelps Corp. Class A 608,238 9,501
* Hilltop Holdings Inc. 700,778 9,489
  Safety Insurance Group Inc. 203,062 9,375
* FelCor Lodging Trust Inc. 1,958,458 9,146
  Excel Trust Inc. 720,696 9,131
* Piper Jaffray Cos. 281,071 9,031
  Resource Capital Corp. 1,610,032 9,016
* WisdomTree Investments Inc. 1,458,219 8,924
  S&T Bancorp Inc. 479,527 8,665
* eHealth Inc. 312,336 8,583
  City Holding Co. 245,528 8,557
* MGIC Investment Corp. 3,184,951 8,472
  Saul Centers Inc. 197,055 8,432
  KBW Inc. 548,503 8,392
  Parkway Properties Inc. 591,802 8,279
  Maiden Holdings Ltd. 898,621 8,258
  TrustCo Bank Corp. NY 1,557,987 8,226
  HFF Inc. Class A 551,376 8,216
* AMERISAFE Inc. 301,350 8,212
  Dynex Capital Inc. 860,428 8,122
  Apollo Residential Mortgage Inc. 400,937 8,095
  Sandy Spring Bancorp Inc. 413,405 8,028
*,^ Zillow Inc. Class A 288,797 8,014
  Getty Realty Corp. 443,454 8,009
  Renasant Corp. 416,337 7,969
  State Bank Financial Corp. 499,926 7,939
  Stewart Information Services Corp. 303,372 7,888
  Campus Crest Communities Inc. 640,316 7,850
  United Fire Group Inc. 358,990 7,840
  Epoch Holding Corp. 273,823 7,640
  Cardinal Financial Corp. 461,434 7,508
  Flushing Financial Corp. 487,567 7,479
* Tejon Ranch Co. 265,978 7,469
  Western Asset Mortgage Capital Corp. 370,938 7,333
* PICO Holdings Inc. 359,193 7,281
  EverBank Financial Corp. 483,747 7,213
* Flagstar Bancorp Inc. 370,582 7,189
  Community Trust Bancorp Inc. 219,312 7,189
* Citizens Inc. 650,466 7,188
  West Coast Bancorp 319,686 7,081
  Select Income REIT 284,890 7,057
* ICG Group Inc. 614,594 7,025
  Healthcare Trust of America Inc. Class A 704,924 6,979
  Dime Community Bancshares Inc. 501,191 6,962
  Summit Hotel Properties Inc. 722,673 6,865
  TICC Capital Corp. 677,707 6,858
  Kite Realty Group Trust 1,201,236 6,715
  Apollo Commercial Real Estate Finance Inc. 412,102 6,688
  Lakeland Financial Corp. 257,876 6,664
* Netspend Holdings Inc. 557,997 6,596
  Urstadt Biddle Properties Inc. Class A 331,489 6,524
  American National Insurance Co. 94,274 6,438
* Bancorp Inc. 585,311 6,421
  Tompkins Financial Corp. 161,957 6,420
  FBL Financial Group Inc. Class A 187,633 6,419

 

11


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
CapLease Inc. 1,145,216 6,379
Simmons First National Corp. Class A 251,164 6,370
First Busey Corp. 1,368,225 6,362
National Western Life Insurance Co. Class A 40,030 6,314
TowneBank 406,773 6,301
* Wilshire Bancorp Inc. 1,066,077 6,258
Provident New York Bancorp 660,456 6,149
Rockville Financial Inc. 474,530 6,121
Union First Market Bankshares Corp. 386,871 6,101
Washington Trust Bancorp Inc. 231,144 6,081
* Central Pacific Financial Corp. 382,747 5,967
* Eagle Bancorp Inc. 293,656 5,864
BGC Partners Inc. Class A 1,668,864 5,774
^ Southside Bancshares Inc. 274,107 5,773
* NewStar Financial Inc. 410,552 5,752
* Investment Technology Group Inc. 637,864 5,741
* Walker & Dunlop Inc. 344,165 5,734
* Knight Capital Group Inc. Class A 1,626,670 5,710
MCG Capital Corp. 1,228,742 5,652
* Beneficial Mutual Bancorp Inc. 594,377 5,647
Golub Capital BDC Inc. 352,772 5,637
Monmouth Real Estate Investment Corp. Class A 537,965 5,573
Rouse Properties Inc. 327,524 5,542
Winthrop Realty Trust 494,883 5,468
StellarOne Corp. 384,344 5,435
Cedar Realty Trust Inc. 1,014,661 5,357
1st Source Corp. 242,279 5,352
* Safeguard Scientifics Inc. 346,317 5,108
New Mountain Finance Corp. 340,030 5,066
Capital Southwest Corp. 50,385 5,020
Heartland Financial USA Inc. 191,877 5,018
^ New York Mortgage Trust Inc. 790,850 4,998
Arrow Financial Corp. 199,736 4,983
United Financial Bancorp Inc. 314,918 4,951
SY Bancorp Inc. 219,456 4,920
OneBeacon Insurance Group Ltd. Class A 353,930 4,920
WSFS Financial Corp. 115,815 4,893
First Community Bancshares Inc. 299,858 4,789
* Green Dot Corp. Class A 391,282 4,774
Lakeland Bancorp Inc. 468,197 4,766
Sterling Bancorp 514,588 4,688
First Financial Corp. 154,233 4,664
MVC Capital Inc. 378,315 4,597
* HomeStreet Inc. 179,520 4,587
Meadowbrook Insurance Group Inc. 786,756 4,547
Univest Corp. of Pennsylvania 265,232 4,535
Bryn Mawr Bank Corp. 200,807 4,472
CoBiz Financial Inc. 595,351 4,447
THL Credit Inc. 297,554 4,401
Bancfirst Corp. 100,983 4,278
* United Community Banks Inc. 451,395 4,252
* INTL. FCStone Inc. 237,866 4,141
Camden National Corp. 120,498 4,093
Northfield Bancorp Inc. 268,017 4,087
Hudson Valley Holding Corp. 260,278 4,053
State Auto Financial Corp. 268,055 4,005
Great Southern Bancorp Inc. 157,187 4,000
First Connecticut Bancorp Inc. 289,680 3,983
First Interstate Bancsystem Inc. 251,673 3,883
* Taylor Capital Group Inc. 213,236 3,849
Westwood Holdings Group Inc. 93,658 3,831
GFI Group Inc. 1,172,090 3,798
Whitestone REIT 268,180 3,768
Trico Bancshares 224,300 3,757

 

12


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  National Interstate Corp. 128,643 3,707
  TCP Capital Corp. 248,365 3,661
  GAMCO Investors Inc. 68,832 3,653
  Republic Bancorp Inc. Class A 169,516 3,582
  Calamos Asset Management Inc. Class A 336,279 3,554
  Territorial Bancorp Inc. 151,794 3,468
* Southwest Bancorp Inc. 305,200 3,418
  OceanFirst Financial Corp. 239,875 3,298
  First Bancorp 252,339 3,235
* Global Indemnity plc 144,177 3,191
  Baldwin & Lyons Inc. 131,402 3,135
  Oppenheimer Holdings Inc. Class A 178,334 3,080
  Homeowners Choice Inc. 139,978 2,910
  Kansas City Life Insurance Co. 73,072 2,788
* Cowen Group Inc. Class A 1,133,021 2,776
* GSV Capital Corp. 318,697 2,687
  Westfield Financial Inc. 363,611 2,629
* Ladenburg Thalmann Financial Services Inc. 1,820,694 2,549
* Sun Bancorp Inc. 710,320 2,515
* Phoenix Cos. Inc. 96,056 2,375
  Donegal Group Inc. Class A 149,109 2,093
*,^ FNB United Corp. 179,143 2,078
  EMC Insurance Group Inc. 85,143 2,033
  Crawford & Co. Class B 203,876 1,627
  AG Mortgage Investment Trust Inc. 66,400 1,559
* Regional Management Corp. 92,869 1,537
* Doral Financial Corp. 2,122,204 1,537
  Crawford & Co. Class A 245,093 1,382
  Urstadt Biddle Properties Inc. 57,942 1,032
  Artio Global Investors Inc. Class A 541,158 1,028
  Pzena Investment Management Inc. Class A 165,530 894
*,^ Hampton Roads Bankshares Inc. 562,528 669
  Validus Holdings Ltd. 773 27
      6,473,202
Health Care (11.2%)    
* MEDNAX Inc. 826,093 65,691
  PerkinElmer Inc. 1,895,435 60,161
* Sirona Dental Systems Inc. 916,012 59,046
  Tenet Healthcare Corp. 1,731,350 56,217
* Ariad Pharmaceuticals Inc. 2,761,582 52,967
  Teleflex Inc. 678,903 48,413
  Community Health Systems Inc. 1,511,758 46,471
* Cubist Pharmaceuticals Inc. 1,060,990 44,625
* athenahealth Inc. 598,312 43,946
* United Therapeutics Corp. 774,111 41,353
* Brookdale Senior Living Inc. Class A 1,626,588 41,185
  Techne Corp. 581,884 39,766
* Health Management Associates Inc. Class A 4,255,823 39,664
* Salix Pharmaceuticals Ltd. 976,903 39,545
* Seattle Genetics Inc. 1,670,941 38,766
* Alkermes plc 2,067,422 38,289
* HMS Holdings Corp. 1,435,927 37,219
* Cepheid Inc. 1,098,095 37,127
* Myriad Genetics Inc. 1,358,679 37,024
* Thoratec Corp. 978,310 36,706
* Centene Corp. 855,988 35,096
* WellCare Health Plans Inc. 715,437 34,835
* Haemonetics Corp. 851,319 34,768
* HealthSouth Corp. 1,588,147 33,526
* Health Net Inc. 1,352,748 32,872
*,^ Arena Pharmaceuticals Inc. 3,606,303 32,529
* Incyte Corp. Ltd. 1,957,776 32,519
  STERIS Corp. 916,233 31,821

 

13


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  West Pharmaceutical Services Inc. 565,000 30,934
* LifePoint Hospitals Inc. 813,098 30,694
* Jazz Pharmaceuticals plc 574,287 30,552
* Charles River Laboratories International Inc. 809,060 30,315
  Owens & Minor Inc. 1,054,325 30,059
* Align Technology Inc. 1,082,606 30,042
* PAREXEL International Corp. 1,001,366 29,630
  Hill-Rom Holdings Inc. 1,032,161 29,417
* VCA Antech Inc. 1,386,869 29,194
* Theravance Inc. 1,289,520 28,718
* Team Health Holdings Inc. 952,283 27,397
^ Questcor Pharmaceuticals Inc. 992,624 26,523
* ViroPharma Inc. 1,140,656 25,961
* PSS World Medical Inc. 834,818 24,110
* Cyberonics Inc. 458,053 24,062
* Alere Inc. 1,273,184 23,554
* Bruker Corp. 1,518,408 23,186
*,^ Vivus Inc. 1,666,297 22,362
* Magellan Health Services Inc. 454,277 22,260
* MWI Veterinary Supply Inc. 201,019 22,112
  Chemed Corp. 317,304 21,764
* Impax Laboratories Inc. 1,061,169 21,743
  Air Methods Corp. 577,737 21,313
* Medicines Co. 888,115 21,288
* Volcano Corp. 889,397 20,999
  Masimo Corp. 901,537 18,941
* Immunogen Inc. 1,396,412 17,804
* Infinity Pharmaceuticals Inc. 487,372 17,058
* Insulet Corp. 796,828 16,909
* Neogen Corp. 372,886 16,899
* Isis Pharmaceuticals Inc. 1,586,835 16,598
* Acorda Therapeutics Inc. 665,726 16,550
^ PDL BioPharma Inc. 2,323,237 16,379
* ArthroCare Corp. 460,461 15,927
* HeartWare International Inc. 189,718 15,927
* Medidata Solutions Inc. 405,115 15,876
* Amsurg Corp. Class A 524,310 15,735
* DexCom Inc. 1,146,098 15,598
* Auxilium Pharmaceuticals Inc. 817,206 15,143
  Analogic Corp. 203,266 15,103
* Akorn Inc. 1,105,249 14,766
* Hanger Inc. 539,506 14,761
* Alnylam Pharmaceuticals Inc. 781,103 14,255
* Nektar Therapeutics 1,908,696 14,143
* Ironwood Pharmaceuticals Inc. Class A 1,257,571 13,946
* Sunrise Senior Living Inc. 967,760 13,916
  Meridian Bioscience Inc. 685,386 13,879
* Molina Healthcare Inc. 502,406 13,595
*,^ Exelixis Inc. 2,968,590 13,566
*,^ Dendreon Corp. 2,565,235 13,544
  Abaxis Inc. 364,210 13,512
  CONMED Corp. 472,036 13,193
* Integra LifeSciences Holdings Corp. 336,828 13,126
* NPS Pharmaceuticals Inc. 1,433,605 13,046
* MedAssets Inc. 777,290 13,035
* ICU Medical Inc. 213,330 12,998
* Wright Medical Group Inc. 592,699 12,441
* Orthofix International NV 315,295 12,401
* Endologix Inc. 866,576 12,340
* Acadia Healthcare Co. Inc. 526,930 12,293
  Quality Systems Inc. 690,206 11,982
*,^ Bio-Reference Labs Inc. 414,672 11,897
*,^ Opko Health Inc. 2,471,952 11,890
  Cantel Medical Corp. 381,974 11,356

 

14


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
^ Spectrum Pharmaceuticals Inc. 1,001,532 11,207
* NuVasive Inc. 723,010 11,178
* Emeritus Corp. 450,542 11,137
* Exact Sciences Corp. 1,042,906 11,044
* IPC The Hospitalist Co. Inc. 276,896 10,996
* Affymax Inc. 570,979 10,849
* Halozyme Therapeutics Inc. 1,595,292 10,704
* InterMune Inc. 1,094,477 10,606
* Luminex Corp. 628,455 10,533
* Conceptus Inc. 498,898 10,482
* NxStage Medical Inc. 879,382 9,893
* Santarus Inc. 887,643 9,746
  Landauer Inc. 156,708 9,592
* Kindred Healthcare Inc. 881,907 9,542
* Synageva BioPharma Corp. 200,648 9,288
* Merit Medical Systems Inc. 665,438 9,250
* Quidel Corp. 494,169 9,226
* Rigel Pharmaceuticals Inc. 1,419,262 9,225
* Greatbatch Inc. 393,247 9,139
*,^ Sequenom Inc. 1,907,815 9,005
  Computer Programs & Systems Inc. 174,313 8,775
* Capital Senior Living Corp. 466,799 8,724
* Momenta Pharmaceuticals Inc. 728,976 8,587
* Lexicon Pharmaceuticals Inc. 3,826,847 8,496
* Neurocrine Biosciences Inc. 1,101,685 8,241
* Omnicell Inc. 553,000 8,223
*,^ Merrimack Pharmaceuticals Inc. 1,324,613 8,067
* Dynavax Technologies Corp. 2,800,152 8,008
*,^ ABIOMED Inc. 590,435 7,947
* HealthStream Inc. 325,653 7,917
* BioScrip Inc. 734,788 7,914
  Invacare Corp. 484,814 7,902
* Idenix Pharmaceuticals Inc. 1,624,800 7,880
  Ensign Group Inc. 284,592 7,738
*,^ Accretive Health Inc. 658,994 7,618
* Genomic Health Inc. 277,413 7,562
* Aegerion Pharmaceuticals Inc. 296,144 7,519
* AMN Healthcare Services Inc. 643,400 7,431
*,^ MAKO Surgical Corp. 572,285 7,365
* Accuray Inc. 1,124,872 7,233
* MAP Pharmaceuticals Inc. 459,096 7,212
* ExamWorks Group Inc. 509,360 7,126
  National Healthcare Corp. 150,929 7,097
* PharMerica Corp. 490,281 6,982
*,^ Antares Pharma Inc. 1,826,443 6,959
*,^ Optimer Pharmaceuticals Inc. 749,748 6,785
* Emergent Biosolutions Inc. 420,961 6,752
* OraSure Technologies Inc. 914,985 6,570
  Select Medical Holdings Corp. 696,539 6,568
* Symmetry Medical Inc. 608,678 6,403
* Achillion Pharmaceuticals Inc. 786,318 6,306
* Vanguard Health Systems Inc. 512,239 6,275
* Ligand Pharmaceuticals Inc. Class B 298,376 6,188
  Hi-Tech Pharmacal Co. Inc. 173,177 6,058
*,^ MannKind Corp. 2,588,198 5,979
* Healthways Inc. 557,130 5,961
* Triple-S Management Corp. Class B 321,691 5,942
* Orexigen Therapeutics Inc. 1,115,891 5,881
* Vocera Communications Inc. 233,218 5,854
* Depomed Inc. 931,676 5,767
* Amedisys Inc. 509,529 5,742
* Dyax Corp. 1,647,357 5,733
* Natus Medical Inc. 496,452 5,550
*,^ Protalix BioTherapeutics Inc. 1,069,379 5,550

 

15


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* XenoPort Inc. 713,747 5,546
* LHC Group Inc. 258,269 5,501
  Universal American Corp. 637,468 5,476
* SurModics Inc. 243,749 5,450
  US Physical Therapy Inc. 196,242 5,405
*,^ AVANIR Pharmaceuticals Inc. 2,038,495 5,361
  Atrion Corp. 26,746 5,242
* Corvel Corp. 112,403 5,039
*,^ Sangamo Biosciences Inc. 833,772 5,011
* Fluidigm Corp. 343,645 4,918
* AngioDynamics Inc. 435,043 4,781
*,^ Cadence Pharmaceuticals Inc. 997,781 4,779
*,^ Raptor Pharmaceutical Corp. 816,215 4,775
*,^ ZIOPHARM Oncology Inc. 1,126,096 4,685
* Gentiva Health Services Inc. 457,984 4,603
* Curis Inc. 1,317,222 4,518
* GenMark Diagnostics Inc. 490,348 4,413
*,^ Navidea Biopharmaceuticals Inc. 1,549,331 4,385
* AVEO Pharmaceuticals Inc. 542,469 4,367
* Obagi Medical Products Inc. 313,277 4,257
*,^ Synergy Pharmaceuticals Inc. 770,002 4,050
* Endocyte Inc. 445,700 4,002
*,^ PROLOR Biotech Inc. 785,742 3,889
  Young Innovations Inc. 98,642 3,887
* Tornier NV 230,908 3,877
*,^ Novavax Inc. 1,987,651 3,757
* RTI Biologics Inc. 877,797 3,748
*,^ Greenway Medical Technologies 242,194 3,720
* Staar Surgical Co. 602,742 3,677
* AMAG Pharmaceuticals Inc. 248,111 3,650
* Immunomedics Inc. 1,188,865 3,472
* Affymetrix Inc. 1,049,834 3,328
* Sciclone Pharmaceuticals Inc. 753,325 3,247
  Assisted Living Concepts Inc. Class A 331,540 3,233
*,^ PhotoMedex Inc. 217,751 3,160
*,^ Clovis Oncology Inc. 194,241 3,108
* Geron Corp. 2,168,371 3,057
* Threshold Pharmaceuticals Inc. 682,918 2,875
*,^ Unilife Corp. 1,260,771 2,862
  Almost Family Inc. 140,059 2,838
* Palomar Medical Technologies Inc. 307,048 2,828
*,^ NewLink Genetics Corp. 224,399 2,805
* Arqule Inc. 977,420 2,727
* Epocrates Inc. 308,007 2,717
* Sagent Pharmaceuticals Inc. 162,259 2,611
  Enzon Pharmaceuticals Inc. 580,372 2,571
* BioMimetic Therapeutics Inc. 349,523 2,531
* Merge Healthcare Inc. 989,989 2,445
*,^ Osiris Therapeutics Inc. 271,475 2,438
* Exactech Inc. 142,501 2,415
* Skilled Healthcare Group Inc. 352,904 2,248
* Pozen Inc. 446,621 2,238
* Progenics Pharmaceuticals Inc. 691,354 2,060
* Targacept Inc. 441,820 1,935
* Trius Therapeutics Inc. 384,275 1,837
* Sunesis Pharmaceuticals Inc. 428,018 1,798
*,^ Ampio Pharmaceuticals Inc. 488,742 1,755
* SIGA Technologies Inc. 639,780 1,676
  Pain Therapeutics Inc. 591,834 1,604
* Corcept Therapeutics Inc. 1,070,316 1,531
* TESARO Inc. 89,546 1,518
*,^ Biotime Inc. 462,120 1,451
*,^ Supernus Pharmaceuticals Inc. 176,342 1,264
*,^ Savient Pharmaceuticals Inc. 1,202,827 1,263

 

16


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
*,^ Complete Genomics Inc. 369,321 1,163
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 297,875 283
      3,115,354
Industrials (16.8%)    
  Lincoln Electric Holdings Inc. 1,319,286 64,223
  Carlisle Cos. Inc. 1,039,528 61,083
* United Rentals Inc. 1,309,379 59,603
  Corrections Corp. of America 1,662,500 58,969
* Genesee & Wyoming Inc. Class A 735,417 55,951
  Valmont Industries Inc. 397,460 54,273
  Triumph Group Inc. 829,704 54,180
  Kennametal Inc. 1,331,176 53,247
  Graco Inc. 1,005,502 51,773
* Kirby Corp. 835,630 51,717
* Terex Corp. 1,836,340 51,620
* Clean Harbors Inc. 930,966 51,212
* Shaw Group Inc. 1,096,770 51,120
* Alaska Air Group Inc. 1,171,541 50,482
  Regal-Beloit Corp. 702,294 49,491
* WESCO International Inc. 726,674 49,000
  Acuity Brands Inc. 703,864 47,673
  Trinity Industries Inc. 1,312,933 47,029
* Hexcel Corp. 1,655,648 44,636
  Ryder System Inc. 849,692 42,425
  Toro Co. 975,171 41,913
  AO Smith Corp. 656,797 41,424
  Landstar System Inc. 775,815 40,699
* Oshkosh Corp. 1,369,383 40,602
* AECOM Technology Corp. 1,689,474 40,209
* Middleby Corp. 311,214 39,901
  CLARCOR Inc. 832,131 39,759
  Woodward Inc. 1,028,705 39,225
  EMCOR Group Inc. 1,104,880 38,240
  Lennox International Inc. 719,968 37,813
* Teledyne Technologies Inc. 580,696 37,786
* Colfax Corp. 935,177 37,734
  Robbins & Myers Inc. 629,635 37,432
* Old Dominion Freight Line Inc. 1,074,759 36,843
  Covanta Holding Corp. 1,986,375 36,589
* US Airways Group Inc. 2,695,954 36,395
*,^ Polypore International Inc. 772,935 35,941
  Huntington Ingalls Industries Inc. 821,978 35,625
  Crane Co. 761,695 35,251
* Avis Budget Group Inc. 1,768,612 35,054
* USG Corp. 1,247,355 35,013
  Exelis Inc. 3,101,366 34,952
  ITT Corp. 1,457,309 34,188
  Alliant Techsystems Inc. 542,299 33,601
  Belden Inc. 743,571 33,453
  Watsco Inc. 444,707 33,309
* Chart Industries Inc. 497,458 33,166
  Geo Group Inc. 1,174,511 33,121
  Manitowoc Co. Inc. 2,086,642 32,719
* Esterline Technologies Corp. 512,316 32,588
  Actuant Corp. Class A 1,148,918 32,066
  GATX Corp. 739,750 32,031
  Harsco Corp. 1,337,859 31,440
* EnerSys Inc. 797,254 30,001
  Macquarie Infrastructure Co. LLC 658,290 29,992
* Tetra Tech Inc. 1,058,823 28,006
  Brady Corp. Class A 814,241 27,196
  Deluxe Corp. 839,379 27,062
* Advisory Board Co. 575,644 26,934

 

17


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* Moog Inc. Class A 651,089 26,714
* Air Lease Corp. 1,237,905 26,615
Corporate Executive Board Co. 556,742 26,423
Applied Industrial Technologies Inc. 627,082 26,344
* Beacon Roofing Supply Inc. 781,052 25,993
Con-way Inc. 928,670 25,836
* General Cable Corp. 826,336 25,129
Healthcare Services Group Inc. 1,060,718 24,640
Rollins Inc. 1,091,326 24,053
Mueller Industries Inc. 476,455 23,837
* MasTec Inc. 944,737 23,552
UTi Worldwide Inc. 1,719,627 23,043
* FTI Consulting Inc. 698,153 23,039
Curtiss-Wright Corp. 701,643 23,035
* JetBlue Airways Corp. 4,012,041 22,909
HNI Corp. 752,584 22,623
Brink's Co. 792,712 22,616
Armstrong World Industries Inc. 439,682 22,305
Mine Safety Appliances Co. 521,652 22,280
* Acacia Research Corp. 825,366 21,171
* MRC Global Inc. 757,690 21,049
Simpson Manufacturing Co. Inc. 641,761 21,043
Herman Miller Inc. 970,132 20,780
* Hub Group Inc. Class A 616,206 20,705
Granite Construction Inc. 610,536 20,526
Franklin Electric Co. Inc. 330,056 20,520
* Navistar International Corp. 921,135 20,053
United Stationers Inc. 639,452 19,817
* Atlas Air Worldwide Holdings Inc. 439,005 19,452
Watts Water Technologies Inc. Class A 437,999 18,830
Allegiant Travel Co. Class A 255,625 18,765
* RBC Bearings Inc. 373,022 18,677
HEICO Corp. 416,293 18,633
KAR Auction Services Inc. 906,394 18,345
UniFirst Corp. 249,882 18,321
TAL International Group Inc. 501,673 18,251
* Spirit Airlines Inc. 1,023,257 18,132
ABM Industries Inc. 897,802 17,911
* GrafTech International Ltd. 1,890,880 17,755
Matson Inc. 704,030 17,404
Barnes Group Inc. 761,766 17,109
Forward Air Corp. 483,622 16,932
Steelcase Inc. Class A 1,328,872 16,930
Lindsay Corp. 211,124 16,915
Briggs & Stratton Corp. 794,349 16,745
Interface Inc. Class A 1,040,474 16,731
ESCO Technologies Inc. 443,899 16,606
Amerco Inc. 130,252 16,517
* Trimas Corp. 587,048 16,414
^ Titan International Inc. 751,032 16,312
* II-VI Inc. 887,551 16,216
AZZ Inc. 419,272 16,113
Werner Enterprises Inc. 726,105 15,735
Generac Holdings Inc. 454,270 15,586
* DigitalGlobe Inc. 623,016 15,227
Seaboard Corp. 5,999 15,177
Raven Industries Inc. 572,532 15,092
* On Assignment Inc. 737,357 14,954
Mueller Water Products Inc. Class A 2,603,400 14,605
Kaman Corp. 394,912 14,533
Aircastle Ltd. 1,158,340 14,526
Knight Transportation Inc. 992,767 14,524
* Aegion Corp. Class A 652,385 14,476
* EnPro Industries Inc. 343,919 14,066

 

18


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* ACCO Brands Corp. 1,878,775 13,790
* Orbital Sciences Corp. 980,604 13,503
* Mobile Mini Inc. 645,445 13,445
* Swift Transportation Co. 1,446,118 13,189
* Huron Consulting Group Inc. 381,709 12,860
* Korn/Ferry International 806,017 12,783
Cubic Corp. 266,403 12,779
Kaydon Corp. 533,167 12,759
Quanex Building Products Corp. 611,830 12,487
AAR Corp. 666,482 12,450
* Blount International Inc. 775,527 12,269
Knoll Inc. 795,612 12,221
* Exponent Inc. 218,889 12,221
Tennant Co. 277,994 12,218
* Team Inc. 315,595 12,005
Insperity Inc. 363,952 11,850
Universal Forest Products Inc. 311,098 11,834
McGrath RentCorp 390,226 11,324
Apogee Enterprises Inc. 471,832 11,310
Heartland Express Inc. 853,896 11,160
* Dycom Industries Inc. 559,402 11,076
Sauer-Danfoss Inc. 201,738 10,767
Standex International Corp. 209,223 10,731
G&K Services Inc. Class A 313,584 10,709
Astec Industries Inc. 321,138 10,704
SkyWest Inc. 849,752 10,588
* TrueBlue Inc. 666,032 10,490
HEICO Corp. Class A 326,484 10,441
* GeoEye Inc. 337,094 10,359
CIRCOR International Inc. 259,851 10,287
* Wabash National Corp. 1,136,882 10,198
* Rexnord Corp. 476,056 10,140
Albany International Corp. 442,639 10,039
* Sykes Enterprises Inc. 654,650 9,964
Griffon Corp. 865,477 9,918
Altra Holdings Inc. 447,833 9,875
* Proto Labs Inc. 243,875 9,614
* Navigant Consulting Inc. 857,035 9,565
Cascade Corp. 148,643 9,558
* Thermon Group Holdings Inc. 409,323 9,222
Viad Corp. 335,929 9,124
American Science & Engineering Inc. 139,807 9,117
Sun Hydraulics Corp. 345,520 9,011
* Trex Co. Inc. 236,982 8,823
John Bean Technologies Corp. 479,358 8,518
* InnerWorkings Inc. 616,339 8,493
Great Lakes Dredge & Dock Corp. 936,721 8,365
Resources Connection Inc. 696,475 8,316
Encore Wire Corp. 274,164 8,310
^ Quad/Graphics Inc. 406,627 8,291
* Tutor Perini Corp. 591,834 8,108
* DXP Enterprises Inc. 164,551 8,075
* Layne Christensen Co. 328,772 7,979
* Federal Signal Corp. 1,035,597 7,881
* Taser International Inc. 877,084 7,841
* Gibraltar Industries Inc. 487,541 7,762
* ICF International Inc. 327,862 7,685
* MYR Group Inc. 340,721 7,581
Comfort Systems USA Inc. 619,032 7,527
H&E Equipment Services Inc. 497,211 7,493
Kelly Services Inc. Class A 474,720 7,472
* GenCorp Inc. 800,019 7,320
* Titan Machinery Inc. 295,623 7,302
Gorman-Rupp Co. 243,728 7,270

 

19


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Meritor Inc. 1,522,904 7,203
  US Ecology Inc. 304,331 7,164
  Primoris Services Corp. 469,327 7,059
  Kforce Inc. 488,707 7,003
  LB Foster Co. Class A 160,060 6,953
* Greenbrier Cos. Inc. 427,499 6,913
* Rush Enterprises Inc. Class A 334,413 6,912
* Mistras Group Inc. 279,482 6,900
  Celadon Group Inc. 378,635 6,842
  Ennis Inc. 433,328 6,704
* Powell Industries Inc. 157,728 6,550
* Aerovironment Inc. 295,772 6,430
  AAON Inc. 305,567 6,377
* CAI International Inc. 287,666 6,314
* Saia Inc. 266,635 6,165
* Standard Parking Corp. 260,447 5,727
^ National Presto Industries Inc. 80,184 5,541
* Hawaiian Holdings Inc. 811,011 5,328
  Douglas Dynamics Inc. 368,146 5,298
* Consolidated Graphics Inc. 150,121 5,242
* Engility Holdings Inc. 271,181 5,223
* Roadrunner Transportation Systems Inc. 284,457 5,160
  Kimball International Inc. Class B 438,949 5,096
* Columbus McKinnon Corp. 307,275 5,076
  American Railcar Industries Inc. 159,852 5,072
  Marten Transport Ltd. 275,447 5,065
* Kadant Inc. 189,088 5,013
  Global Power Equipment Group Inc. 286,473 4,913
*,^ XPO Logistics Inc. 279,224 4,853
  Multi-Color Corp. 201,416 4,832
* Wesco Aircraft Holdings Inc. 362,485 4,788
  Hyster-Yale Materials Handling Inc. 97,707 4,768
* American Woodmark Corp. 169,001 4,702
* KEYW Holding Corp. 356,902 4,529
* WageWorks Inc. 253,704 4,516
* EnerNOC Inc. 382,577 4,495
  FreightCar America Inc. 199,529 4,473
*,^ Capstone Turbine Corp. 4,986,682 4,438
* Republic Airways Holdings Inc. 767,250 4,358
* EnergySolutions Inc. 1,357,287 4,235
* CBIZ Inc. 702,326 4,151
  Heidrick & Struggles International Inc. 269,109 4,107
* Echo Global Logistics Inc. 227,714 4,092
  Alamo Group Inc. 118,304 3,861
  Arkansas Best Corp. 401,948 3,839
  CDI Corp. 223,637 3,831
* Northwest Pipe Co. 154,984 3,698
* Air Transport Services Group Inc. 901,966 3,617
*,^ Zipcar Inc. 435,256 3,586
  Michael Baker Corp. 143,252 3,571
  SeaCube Container Leasing Ltd. 184,298 3,474
  Houston Wire & Cable Co. 279,824 3,433
  Schawk Inc. Class A 257,403 3,387
* CRA International Inc. 169,666 3,354
* Commercial Vehicle Group Inc. 407,866 3,349
* Astronics Corp. 145,977 3,340
  Pike Electric Corp. 347,216 3,316
* Furmanite Corp. 616,210 3,309
* Orion Marine Group Inc. 448,109 3,276
*,^ Swisher Hygiene Inc. 1,868,120 3,269
  Dynamic Materials Corp. 223,155 3,102
* TMS International Corp. Class A 239,471 2,998
* Patriot Transportation Holding Inc. 100,711 2,863
* Ameresco Inc. Class A 286,364 2,809

 

20


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Ducommun Inc. 166,263 2,688
* RPX Corp. 292,474 2,644
  Ampco-Pittsburgh Corp. 128,065 2,559
* Sterling Construction Co. Inc. 257,262 2,557
*,^ Cenveo Inc. 945,541 2,553
* PMFG Inc. 274,460 2,495
  Twin Disc Inc. 141,590 2,468
  Preformed Line Products Co. 39,629 2,355
* Pacer International Inc. 579,605 2,260
* Rush Enterprises Inc. Class B 129,885 2,248
* Quality Distribution Inc. 367,272 2,204
* Pendrell Corp. 1,714,233 2,177
* Accuride Corp. 665,371 2,136
*,^ Genco Shipping & Trading Ltd. 542,910 1,895
* Dolan Co. 486,134 1,891
* Vicor Corp. 347,340 1,883
* American Superconductor Corp. 695,564 1,822
* Edgen Group Inc. 253,542 1,790
* American Reprographics Co. 649,933 1,664
* Hill International Inc. 446,796 1,635
* Metalico Inc. 707,139 1,386
* Astronics Corp. Class B 21,447 491
* Tecumseh Products Co. Class A 41,830 193
      4,660,369
Information Technology (16.4%)    
* NCR Corp. 2,641,185 67,297
* Cadence Design Systems Inc. 4,567,675 61,709
  Jack Henry & Associates Inc. 1,360,015 53,394
* Teradyne Inc. 3,113,659 52,590
* Concur Technologies Inc. 777,177 52,475
* JDS Uniphase Corp. 3,853,989 52,183
* SolarWinds Inc. 986,154 51,724
* FleetCor Technologies Inc. 935,146 50,171
* CommVault Systems Inc. 710,087 49,500
  Broadridge Financial Solutions Inc. 2,075,684 47,492
* NeuStar Inc. Class A 1,103,327 46,263
  AOL Inc. 1,559,794 46,186
* WEX Inc. 609,917 45,969
* Parametric Technology Corp. 1,978,518 44,536
* Cymer Inc. 490,296 44,337
*,^ 3D Systems Corp. 827,772 44,162
  MercadoLibre Inc. 550,403 43,245
* Aspen Technology Inc. 1,550,518 42,856
* Ingram Micro Inc. 2,491,563 42,157
  National Instruments Corp. 1,625,576 41,956
* Ultimate Software Group Inc. 422,975 39,933
* CoStar Group Inc. 445,685 39,831
* Compuware Corp. 3,584,771 38,966
* Aruba Networks Inc. 1,865,889 38,717
* Brocade Communications Systems Inc. 7,246,786 38,625
* CoreLogic Inc. 1,399,015 37,662
  IPG Photonics Corp. 552,202 36,804
  MAXIMUS Inc. 565,282 35,737
  Lender Processing Services Inc. 1,406,059 34,617
  DST Systems Inc. 561,551 34,030
* Zebra Technologies Corp. 859,657 33,767
  FEI Co. 601,678 33,369
* Semtech Corp. 1,090,576 31,572
*,^ First Solar Inc. 1,012,632 31,270
* Microsemi Corp. 1,479,708 31,133
* Cirrus Logic Inc. 1,074,370 31,125
* Polycom Inc. 2,941,327 30,766
  Convergys Corp. 1,866,606 30,631
  Diebold Inc. 997,001 30,518

 

21


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Fairchild Semiconductor International Inc. Class A 2,102,452 30,275
  Anixter International Inc. 468,840 29,996
* Hittite Microwave Corp. 472,015 29,312
* Itron Inc. 657,403 29,287
  InterDigital Inc. 709,178 29,147
* Tech Data Corp. 628,089 28,597
* ACI Worldwide Inc. 652,374 28,502
* Arris Group Inc. 1,883,853 28,145
* Rovi Corp. 1,814,617 28,000
* QLIK Technologies Inc. 1,280,886 27,821
* Silicon Laboratories Inc. 660,153 27,601
  Lexmark International Inc. Class A 1,167,454 27,073
* ViaSat Inc. 686,559 26,707
* Mentor Graphics Corp. 1,548,581 26,357
* Ciena Corp. 1,666,830 26,169
  Plantronics Inc. 702,011 25,883
* Cavium Inc. 826,836 25,806
* TiVo Inc. 2,070,407 25,507
  Cypress Semiconductor Corp. 2,343,018 25,398
* Finisar Corp. 1,539,037 25,086
* NETGEAR Inc. 631,798 24,905
  Cognex Corp. 676,280 24,901
*,^ Advanced Micro Devices Inc. 9,984,504 23,963
  Fair Isaac Corp. 561,875 23,616
* Sourcefire Inc. 497,127 23,474
* Vishay Intertechnology Inc. 2,177,590 23,148
* ValueClick Inc. 1,184,374 22,989
  MKS Instruments Inc. 878,113 22,638
  Littelfuse Inc. 362,514 22,371
* Progress Software Corp. 1,052,210 22,086
  j2 Global Inc. 719,603 22,005
* Tyler Technologies Inc. 452,791 21,933
* Acxiom Corp. 1,245,663 21,749
* Acme Packet Inc. 970,925 21,477
* EchoStar Corp. Class A 623,639 21,341
* Splunk Inc. 723,264 20,989
* Entegris Inc. 2,281,978 20,949
* RF Micro Devices Inc. 4,595,516 20,588
* International Rectifier Corp. 1,151,033 20,408
* Dealertrack Technologies Inc. 708,151 20,338
* OSI Systems Inc. 313,522 20,078
* Manhattan Associates Inc. 332,488 20,062
  Coherent Inc. 393,194 19,903
*,^ VirnetX Holding Corp. 678,677 19,872
*,^ Fusion-io Inc. 865,183 19,839
* CACI International Inc. Class A 357,759 19,687
  ADTRAN Inc. 997,958 19,500
* Sapient Corp. 1,826,667 19,290
* Veeco Instruments Inc. 650,149 19,192
  Heartland Payment Systems Inc. 645,757 19,050
* Guidewire Software Inc. 631,069 18,755
* PMC - Sierra Inc. 3,460,815 18,031
* Euronet Worldwide Inc. 759,517 17,925
*,^ Universal Display Corp. 694,119 17,783
  Intersil Corp. Class A 2,118,273 17,560
* Integrated Device Technology Inc. 2,381,852 17,388
* Zynga Inc. Class A 7,323,388 17,356
  Blackbaud Inc. 750,215 17,127
* SS&C Technologies Holdings Inc. 720,918 16,668
  NIC Inc. 1,017,479 16,626
* Cardtronics Inc. 697,319 16,554
* Synaptics Inc. 548,048 16,425
* Ultratech Inc. 438,912 16,371
* Bottomline Technologies Inc. 611,538 16,139

 

22


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Power Integrations Inc. 478,749 16,091
*,^ VistaPrint NV 482,309 15,849
* Liquidity Services Inc. 386,050 15,774
* Benchmark Electronics Inc. 931,907 15,488
* Netscout Systems Inc. 588,713 15,301
* QLogic Corp. 1,565,152 15,229
* Sanmina Corp. 1,354,957 14,999
* Plexus Corp. 581,081 14,992
* SYNNEX Corp. 433,719 14,911
  Syntel Inc. 277,865 14,891
* Take-Two Interactive Software Inc. 1,347,265 14,833
* Electronics for Imaging Inc. 772,384 14,668
* OpenTable Inc. 300,255 14,652
* ScanSource Inc. 458,465 14,565
  Tessera Technologies Inc. 862,567 14,163
* Comverse Technology Inc. 3,641,592 13,984
* Spansion Inc. Class A 997,632 13,877
  Cabot Microelectronics Corp. 387,404 13,757
  MTS Systems Corp. 267,661 13,632
* Rogers Corp. 272,967 13,556
* MicroStrategy Inc. Class A 144,657 13,508
* BroadSoft Inc. 367,318 13,345
* Kulicke & Soffa Industries Inc. 1,107,904 13,284
  Tellabs Inc. 5,796,515 13,216
* RealPage Inc. 612,019 13,201
* TriQuint Semiconductor Inc. 2,719,083 13,160
* Insight Enterprises Inc. 738,471 12,827
* OmniVision Technologies Inc. 888,564 12,511
* MEMC Electronic Materials Inc. 3,842,738 12,335
* Cornerstone OnDemand Inc. 417,455 12,327
* Ixia 724,469 12,302
* Unisys Corp. 693,896 12,004
* WebMD Health Corp. 833,133 11,947
  Monolithic Power Systems Inc. 528,566 11,776
* Advent Software Inc. 547,089 11,697
* Verint Systems Inc. 397,268 11,664
  EarthLink Inc. 1,759,564 11,367
* ATMI Inc. 530,534 11,078
* Monster Worldwide Inc. 1,968,597 11,064
* ExactTarget Inc. 549,857 10,997
* LivePerson Inc. 830,663 10,915
* Emulex Corp. 1,483,301 10,828
* Infinera Corp. 1,841,945 10,702
  Badger Meter Inc. 225,423 10,687
* Diodes Inc. 611,521 10,610
* ExlService Holdings Inc. 398,440 10,559
* Comverse Inc. 363,136 10,360
  Mantech International Corp. Class A 395,623 10,262
* Rofin-Sinar Technologies Inc. 473,225 10,260
* Synchronoss Technologies Inc. 483,904 10,206
* CSG Systems International Inc. 558,967 10,162
* FARO Technologies Inc. 282,248 10,071
  Blucora Inc. 639,310 10,044
^ Ebix Inc. 617,556 9,924
* Harmonic Inc. 1,942,386 9,848
  Monotype Imaging Holdings Inc. 609,952 9,747
* Web.com Group Inc. 652,718 9,660
* Ellie Mae Inc. 334,412 9,280
  AVX Corp. 843,887 9,097
* Websense Inc. 602,537 9,062
* Applied Micro Circuits Corp. 1,072,217 9,007
  Brooks Automation Inc. 1,103,128 8,880
  Loral Space & Communications Inc. 159,194 8,702
* Cray Inc. 543,199 8,664

 

23


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Interactive Intelligence Group Inc. 255,808 8,580
* Newport Corp. 634,472 8,534
* Digital River Inc. 592,401 8,525
  Park Electrochemical Corp. 328,566 8,454
* TNS Inc. 407,379 8,445
  United Online Inc. 1,502,668 8,400
* Measurement Specialties Inc. 243,285 8,359
* Accelrys Inc. 921,221 8,337
* Infoblox Inc. 461,111 8,286
* iGATE Corp. 524,550 8,272
* Bankrate Inc. 663,816 8,265
* Advanced Energy Industries Inc. 595,030 8,217
* Global Cash Access Holdings Inc. 1,039,057 8,146
* TTM Technologies Inc. 882,780 8,122
* Rambus Inc. 1,651,040 8,057
  Micrel Inc. 837,714 7,958
* Intermec Inc. 800,423 7,892
* LogMeIn Inc. 348,451 7,809
* Lattice Semiconductor Corp. 1,945,246 7,762
*,^ RealD Inc. 681,897 7,644
  Comtech Telecommunications Corp. 297,650 7,554
  Booz Allen Hamilton Holding Corp. 539,850 7,515
* Entropic Communications Inc. 1,393,491 7,372
* TeleTech Holdings Inc. 407,466 7,253
* Volterra Semiconductor Corp. 422,340 7,252
* comScore Inc. 525,815 7,246
* Rudolph Technologies Inc. 536,589 7,217
* Constant Contact Inc. 506,592 7,199
* Dice Holdings Inc. 773,929 7,105
* Power-One Inc. 1,723,200 7,082
  Forrester Research Inc. 259,967 6,967
  Daktronics Inc. 628,648 6,959
* Checkpoint Systems Inc. 639,055 6,863
  EPIQ Systems Inc. 536,993 6,863
  Black Box Corp. 280,098 6,818
  Cass Information Systems Inc. 160,972 6,793
* Silicon Image Inc. 1,366,841 6,780
  Pegasystems Inc. 283,573 6,431
* MIPS Technologies Inc. Class A 799,862 6,255
* PROS Holdings Inc. 341,663 6,249
  Methode Electronics Inc. 616,235 6,181
* Perficient Inc. 521,152 6,139
*,^ Amkor Technology Inc. 1,424,430 6,054
* InvenSense Inc. 543,652 6,040
* Photronics Inc. 1,004,092 5,984
* Procera Networks Inc. 321,462 5,963
* GT Advanced Technologies Inc. 1,971,434 5,954
* Sonus Networks Inc. 3,489,391 5,932
* Ceva Inc. 375,409 5,913
* Bazaarvoice Inc. 631,403 5,904
* Stamps.com Inc. 231,992 5,846
* Magnachip Semiconductor Corp. 363,133 5,781
* Exar Corp. 645,970 5,749
* Vocus Inc. 327,007 5,683
* Millennial Media Inc. 448,276 5,617
* Internap Network Services Corp. 797,452 5,534
* Tangoe Inc. 465,393 5,524
* Silicon Graphics International Corp. 531,525 5,438
  CTS Corp. 508,517 5,406
* LTX-Credence Corp. 814,932 5,346
* Nanometrics Inc. 367,806 5,304
* Demandware Inc. 193,637 5,290
* Super Micro Computer Inc. 517,894 5,283
* DTS Inc. 314,318 5,249

 

24


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Virtusa Corp. 317,924 5,224
*,^ Angie's List Inc. 432,760 5,189
* SciQuest Inc. 315,932 5,011
* Quantum Corp. 3,985,873 4,942
* Fabrinet 373,179 4,904
* Extreme Networks 1,337,056 4,867
  Electro Scientific Industries Inc. 487,170 4,847
*,^ Higher One Holdings Inc. 456,260 4,809
* Mercury Systems Inc. 516,544 4,752
* Seachange International Inc. 491,299 4,751
*,^ Demand Media Inc. 498,402 4,630
  Electro Rent Corp. 299,739 4,610
* Jive Software Inc. 312,355 4,539
* NVE Corp. 80,478 4,466
* Oplink Communications Inc. 285,782 4,453
* Actuate Corp. 775,631 4,344
* VASCO Data Security International Inc. 517,681 4,224
* Move Inc. 555,434 4,216
  Cohu Inc. 384,699 4,170
* Envestnet Inc. 295,855 4,127
* Digi International Inc. 428,108 4,054
* Calix Inc. 525,888 4,044
* ServiceSource International Inc. 688,727 4,029
* Symmetricom Inc. 691,665 3,991
* IntraLinks Holdings Inc. 640,555 3,952
* Globecomm Systems Inc. 344,623 3,894
* SunPower Corp. Class A 690,082 3,878
* Saba Software Inc. 442,916 3,871
* GSI Group Inc. 445,369 3,857
* CIBER Inc. 1,147,733 3,833
* MoneyGram International Inc. 286,604 3,809
  IXYS Corp. 416,231 3,804
* Maxwell Technologies Inc. 458,147 3,798
* Anaren Inc. 195,080 3,794
* XO Group Inc. 405,831 3,774
* FormFactor Inc. 825,839 3,766
* Kemet Corp. 741,842 3,731
  Keynote Systems Inc. 263,511 3,713
* Avid Technology Inc. 481,345 3,649
* Brightcove Inc. 383,901 3,470
* Kopin Corp. 1,040,601 3,465
* Aviat Networks Inc. 1,012,239 3,330
* QuinStreet Inc. 494,398 3,322
* Net 1 UEPS Technologies Inc. 639,597 3,268
* Multi-Fineline Electronix Inc. 156,988 3,173
* Active Network Inc. 640,296 3,144
* Imperva Inc. 97,291 3,068
* STEC Inc. 615,730 3,036
* ShoreTel Inc. 715,387 3,033
* Pericom Semiconductor Corp. 369,459 2,967
* Inphi Corp. 306,554 2,937
* Proofpoint Inc. 236,660 2,913
  Supertex Inc. 165,621 2,907
* RealNetworks Inc. 375,079 2,836
* M/A-COM Technology Solutions Holdings Inc. 187,340 2,804
* Sigma Designs Inc. 543,562 2,799
* Rosetta Stone Inc. 208,324 2,571
*,^ Yelp Inc. 135,855 2,561
* EPAM Systems Inc. 141,361 2,559
*,^ Travelzoo Inc. 131,751 2,502
  Bel Fuse Inc. Class B 125,060 2,445
* Alpha & Omega Semiconductor Ltd. 288,877 2,427
* Imation Corp. 512,076 2,391
* Limelight Networks Inc. 1,074,093 2,385

 

25


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Telenav Inc. 273,247 2,181
* Agilysys Inc. 255,601 2,139
* TeleCommunication Systems Inc. Class A 824,662 2,037
* Oclaro Inc. 1,257,482 1,974
* Aeroflex Holding Corp. 279,955 1,960
* MaxLinear Inc. 383,013 1,923
* ModusLink Global Solutions Inc. 653,879 1,896
* Rubicon Technology Inc. 297,774 1,819
* Intevac Inc. 387,560 1,771
* Responsys Inc. 280,400 1,671
  Marchex Inc. Class B 395,222 1,624
* Intermolecular Inc. 178,429 1,588
* TechTarget Inc. 260,808 1,448
* Echelon Corp. 566,727 1,388
*,^ Carbonite Inc. 127,435 1,179
* Mitel Networks Corp. 354,500 1,113
* STR Holdings Inc. 344,180 867
* Viasystems Group Inc. 61,905 755
  Bel Fuse Inc. Class A 19,466 335
* Riverbed Technology Inc. 155 3
* KIT Digital Inc. 241
      4,560,603
Materials (5.5%)    
  RPM International Inc. 2,193,182 64,392
  Packaging Corp. of America 1,630,813 62,737
  Cytec Industries Inc. 727,152 50,050
  NewMarket Corp. 178,029 46,679
  Eagle Materials Inc. 763,326 44,655
* Louisiana-Pacific Corp. 2,285,702 44,160
* Allied Nevada Gold Corp. 1,413,445 42,587
  Cabot Corp. 1,050,827 41,812
  Compass Minerals International Inc. 549,683 41,067
  Carpenter Technology Corp. 742,149 38,317
* Coeur d'Alene Mines Corp. 1,492,549 36,717
  Silgan Holdings Inc. 866,196 36,025
* Chemtura Corp. 1,630,556 34,666
  Sensient Technologies Corp. 828,636 29,466
  HB Fuller Co. 828,757 28,857
  Olin Corp. 1,328,253 28,677
  PolyOne Corp. 1,397,574 28,539
  Hecla Mining Co. 4,739,469 27,631
  Commercial Metals Co. 1,736,551 25,805
* Stillwater Mining Co. 1,925,792 24,612
  Georgia Gulf Corp. 573,134 23,659
  Minerals Technologies Inc. 586,081 23,396
  Tronox Ltd. Class A 1,280,714 23,373
  Worthington Industries Inc. 864,193 22,460
* Resolute Forest Products 1,649,385 21,838
  Schweitzer-Mauduit International Inc. 518,180 20,225
  Intrepid Potash Inc. 937,104 19,951
  Buckeye Technologies Inc. 663,281 19,043
  Greif Inc. Class A 417,942 18,599
* SunCoke Energy Inc. 1,163,477 18,139
  Kaiser Aluminum Corp. 288,627 17,805
  Balchem Corp. 486,384 17,704
  Innophos Holdings Inc. 362,333 16,849
  Stepan Co. 292,821 16,263
* Clearwater Paper Corp. 386,098 15,120
* Graphic Packaging Holding Co. 2,287,647 14,778
  KapStone Paper and Packaging Corp. 659,358 14,631
  Globe Specialty Metals Inc. 1,059,187 14,564
  A Schulman Inc. 490,807 14,199
* McEwen Mining Inc. 3,729,682 14,284
* Calgon Carbon Corp. 946,135 13,416

 

26


 

Vanguard® Small-Cap Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Deltic Timber Corp. 189,241 13,364
* RTI International Metals Inc. 478,713 13,193
  Koppers Holdings Inc. 345,063 13,164
*,^ Texas Industries Inc. 256,209 13,069
  AMCOL International Corp. 423,822 13,003
* Kraton Performance Polymers Inc. 535,618 12,871
  Boise Inc. 1,585,784 12,607
*,^ Molycorp Inc. 1,314,535 12,409
  PH Glatfelter Co. 708,903 12,392
  Schnitzer Steel Industries Inc. 401,029 12,163
  Innospec Inc. 347,873 11,998
* OM Group Inc. 538,880 11,963
  Quaker Chemical Corp. 216,829 11,679
  American Vanguard Corp. 371,234 11,534
* LSB Industries Inc. 315,168 11,163
  Haynes International Inc. 203,739 10,568
^ AK Steel Holding Corp. 2,200,217 10,121
* Headwaters Inc. 1,181,450 10,113
* Flotek Industries Inc. 785,822 9,587
  Materion Corp. 322,833 8,323
^ Gold Resource Corp. 528,570 8,145
* Century Aluminum Co. 881,233 7,720
  Tredegar Corp. 373,096 7,619
^ Kronos Worldwide Inc. 384,132 7,491
  Neenah Paper Inc. 261,971 7,458
* Horsehead Holding Corp. 727,703 7,430
  Myers Industries Inc. 448,339 6,792
  Wausau Paper Corp. 737,611 6,388
  Hawkins Inc. 157,211 6,075
* Ferro Corp. 1,374,721 5,746
* Mercer International Inc. 789,106 5,650
* OMNOVA Solutions Inc. 736,240 5,161
  Metals USA Holdings Corp. 278,035 4,863
*,^ Paramount Gold and Silver Corp. 2,085,074 4,837
  Zep Inc. 314,124 4,536
* AM Castle & Co. 287,869 4,252
* General Moly Inc. 979,621 3,928
* Zoltek Cos. Inc. 482,435 3,739
^ US Silica Holdings Inc. 218,300 3,652
  Noranda Aluminum Holding Corp. 559,098 3,416
  Olympic Steel Inc. 153,199 3,392
*,^ Golden Minerals Co. 562,756 2,583
* Arabian American Development Co. 298,359 2,479
* Midway Gold Corp. 1,584,298 2,202
* United States Lime & Minerals Inc. 31,995 1,508
^ Titanium Metals Corp. 3,031 50
      1,520,143
Telecommunication Services (0.9%)    
* tw telecom inc Class A 2,511,218 63,961
  Telephone & Data Systems Inc. 1,516,484 33,575
* Clearwire Corp. Class A 8,388,429 24,242
*,^ NII Holdings Inc. 2,855,926 20,363
* Cincinnati Bell Inc. 3,113,317 17,061
  Cogent Communications Group Inc. 743,589 16,835
  Consolidated Communications Holdings Inc. 630,405 10,036
* Premiere Global Services Inc. 773,533 7,565
* Vonage Holdings Corp. 2,826,149 6,698
* Iridium Communications Inc. 861,599 5,807
  Shenandoah Telecommunications Co. 377,119 5,774
  Atlantic Tele-Network Inc. 155,100 5,694
* Leap Wireless International Inc. 854,979 5,686
* General Communication Inc. Class A 483,234 4,634
* Cbeyond Inc. 509,244 4,604
  USA Mobility Inc. 369,180 4,312

 

27


 

Vanguard® Small-Cap Index Fund        
Schedule of Investments        
December 31, 2012        
 
          Market
          Value
        Shares ($000)
* inContact Inc.     817,289 4,233
  NTELOS Holdings Corp.     266,159 3,489
  Lumos Networks Corp.     265,652 2,662
  IDT Corp. Class B     244,950 2,337
* Boingo Wireless Inc.     231,452 1,747
  Alaska Communications Systems Group Inc.     754,306 1,463
*,^ Elephant Talk Communications Corp.     944,825 945
          253,723
Utilities (3.4%)        
  Westar Energy Inc.     2,098,944 60,072
  Questar Corp.     2,919,539 57,690
  Atmos Energy Corp.     1,498,461 52,626
  Great Plains Energy Inc.     2,549,626 51,783
  Hawaiian Electric Industries Inc.     1,612,127 40,529
  Cleco Corp.     1,007,977 40,329
  Vectren Corp.     1,362,344 40,053
  Piedmont Natural Gas Co. Inc.     1,195,873 37,443
  IDACORP Inc.     832,654 36,095
  Portland General Electric Co.     1,253,934 34,308
  WGL Holdings Inc.     856,181 33,554
  Southwest Gas Corp.     765,907 32,482
  UIL Holdings Corp.     841,092 30,119
  UNS Energy Corp.     685,148 29,064
  New Jersey Resources Corp.     690,477 27,357
  PNM Resources Inc.     1,322,435 27,123
  South Jersey Industries Inc.     512,421 25,790
  Black Hills Corp.     696,980 25,328
  Avista Corp.     975,685 23,524
  ALLETE Inc.     572,098 23,445
  NorthWestern Corp.     617,786 21,456
  El Paso Electric Co.     633,111 20,203
  Northwest Natural Gas Co.     445,534 19,693
  MGE Energy Inc.     383,779 19,553
  CH Energy Group Inc.     235,730 15,374
  American States Water Co.     314,261 15,078
  Empire District Electric Co.     702,879 14,325
  Laclede Group Inc.     355,149 13,712
  Otter Tail Corp.     540,702 13,517
  California Water Service Group     661,794 12,144
  Chesapeake Utilities Corp.     159,029 7,220
  SJW Corp.     216,963 5,771
  Unitil Corp.     217,411 5,635
  Connecticut Water Service Inc.     175,494 5,226
  Middlesex Water Co.     261,736 5,120
  Ormat Technologies Inc.     264,607 5,102
  Genie Energy Ltd. Class B     265,006 1,881
          929,724
Total Common Stocks (Cost $25,180,208)       27,537,729
 
    Coupon      
Temporary Cash Investments (1.8%)1        
Money Market Fund (1.8%)        
2,3 Vanguard Market Liquidity Fund 0.162%   500,527,357 500,527
 
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
4,5 Fannie Mae Discount Notes 0.097% 3/27/13 6,000 5,998
4,5 Fannie Mae Discount Notes 0.140% 4/1/13 1,000 1,000

 

28


 

Vanguard® Small-Cap Index Fund        
Schedule of Investments        
December 31, 2012        
5,6 Federal Home Loan Bank Discount Notes 0.130% 3/1/13 1,800 1,800
5,6 Federal Home Loan Bank Discount Notes 0.090% 3/8/13 2,000 1,999
4,5 Freddie Mac Discount Notes 0.130% 2/28/13 2,000 2,000
          12,797
Total Temporary Cash Investments (Cost $513,324)       513,324
Total Investments (101.0%) (Cost $25,693,532)       28,051,053
Other Assets and Liabilities—Net (-1.0%)3,5       (287,030)
Net Assets (100%)       27,764,023

 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $327,337,000.
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 1.0%, 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 $344,655,000 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 $10,398,000 and cash of $6,000,000 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.

29


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.7%)1    
Consumer Discretionary (18.1%)    
  GNC Holdings Inc. Class A 1,159,786 38,598
* Penn National Gaming Inc. 760,407 37,344
  Chico's FAS Inc. 1,938,853 35,791
* Warnaco Group Inc. 477,386 34,167
* Carter's Inc. 585,605 32,589
* Madison Square Garden Co. Class A 688,113 30,518
  Brunswick Corp. 1,044,330 30,380
* AMC Networks Inc. Class A 611,380 30,263
* Ascena Retail Group Inc. 1,528,531 28,263
* Liberty Ventures Class A 408,318 27,668
  Dillard's Inc. Class A 327,301 27,418
  Domino's Pizza Inc. 629,100 27,397
  Sotheby's 791,418 26,607
* Hanesbrands Inc. 740,920 26,540
  DSW Inc. Class A 388,333 25,510
  HSN Inc. 454,962 25,059
* Tenneco Inc. 702,259 24,656
*,^ Tesla Motors Inc. 723,781 24,514
  Aaron's Inc. 840,917 23,781
* Life Time Fitness Inc. 482,605 23,749
  Pool Corp. 545,291 23,077
  Vail Resorts Inc. 420,992 22,771
  Pier 1 Imports Inc. 1,125,633 22,513
* Cabela's Inc. 530,119 22,132
* Bally Technologies Inc. 483,893 21,635
* Big Lots Inc. 743,776 21,168
* Steven Madden Ltd. 481,346 20,347
  Thor Industries Inc. 524,932 19,648
  Cheesecake Factory Inc. 596,209 19,508
  Ryland Group Inc. 522,800 19,082
*,^ Coinstar Inc. 365,973 19,034
* ANN Inc. 553,129 18,718
* Vitamin Shoppe Inc. 312,637 17,933
  Morningstar Inc. 282,860 17,772
*,^ Deckers Outdoor Corp. 432,905 17,433
* Groupon Inc. 3,425,011 16,714
* Fifth & Pacific Cos. Inc. 1,321,725 16,455
* Select Comfort Corp. 624,685 16,348
* Hibbett Sports Inc. 306,845 16,171
  Penske Automotive Group Inc. 527,435 15,871
* Buffalo Wild Wings Inc. 217,177 15,815
* Genesco Inc. 286,214 15,742
* Live Nation Entertainment Inc. 1,669,132 15,540
* Crocs Inc. 1,054,503 15,174
^ Buckle Inc. 336,038 15,001
  Arbitron Inc. 305,299 14,251
  Six Flags Entertainment Corp. 232,561 14,233
* Lumber Liquidators Holdings Inc. 268,666 14,194
* Jack in the Box Inc. 494,875 14,153
* Jos A Bank Clothiers Inc. 326,316 13,895
* Lions Gate Entertainment Corp. 843,586 13,835
* Orient-Express Hotels Ltd. Class A 1,141,917 13,349
* Express Inc. 861,474 13,000
  Texas Roadhouse Inc. Class A 739,811 12,429
* Aeropostale Inc. 949,291 12,350
* DineEquity Inc. 181,983 12,193
* Papa John's International Inc. 218,995 12,032
  Monro Muffler Brake Inc. 343,936 12,027
  Dorman Products Inc. 340,108 12,019
* Shutterfly Inc. 399,381 11,930
* Pinnacle Entertainment Inc. 727,094 11,510

 

30


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Standard Pacific Corp. 1,489,394 10,947
* Office Depot Inc. 3,330,206 10,923
*,^ Francesca's Holdings Corp. 407,694 10,584
* Asbury Automotive Group Inc. 329,606 10,557
* Grand Canyon Education Inc. 446,923 10,489
  Matthews International Corp. Class A 326,338 10,475
^ Sturm Ruger & Co. Inc. 223,691 10,156
* Conn's Inc. 318,560 9,773
* BJ's Restaurants Inc. 294,076 9,675
* Meritage Homes Corp. 255,255 9,534
* SHFL Entertainment Inc. 652,072 9,455
* Marriott Vacations Worldwide Corp. 220,545 9,190
* Tumi Holdings Inc. 435,697 9,084
  Interval Leisure Group Inc. 462,618 8,970
  Stage Stores Inc. 360,870 8,942
  La-Z-Boy Inc. 610,138 8,633
* HomeAway Inc. 385,129 8,473
  Columbia Sportswear Co. 157,825 8,422
* Skechers U.S.A. Inc. Class A 453,105 8,382
  KB Home 527,221 8,330
* Children's Place Retail Stores Inc. 182,981 8,104
  Ethan Allen Interiors Inc. 303,374 7,800
* American Public Education Inc. 210,780 7,611
* AFC Enterprises Inc. 281,330 7,351
  True Religion Apparel Inc. 286,306 7,278
* G-III Apparel Group Ltd. 198,359 6,790
* New York Times Co. Class A 775,445 6,615
* M/I Homes Inc. 246,598 6,535
* K12 Inc. 319,425 6,529
*,^ Smith & Wesson Holding Corp. 765,334 6,459
* Sonic Corp. 610,636 6,357
*,^ Pandora Media Inc. 680,520 6,247
* American Axle & Manufacturing Holdings Inc. 540,292 6,051
*,^ Vera Bradley Inc. 236,968 5,948
* Winnebago Industries Inc. 342,471 5,867
* Krispy Kreme Doughnuts Inc. 622,585 5,840
* iRobot Corp. 306,821 5,750
* Ascent Capital Group Inc. Class A 91,801 5,686
* Blue Nile Inc. 145,375 5,597
* LeapFrog Enterprises Inc. 646,860 5,582
* Scientific Games Corp. Class A 641,882 5,565
* Denny's Corp. 1,109,458 5,414
* Maidenform Brands Inc. 275,999 5,379
*,^ Hovnanian Enterprises Inc. Class A 768,103 5,377
* Zumiez Inc. 274,938 5,337
*,^ Barnes & Noble Inc. 351,017 5,297
* rue21 inc 181,127 5,142
* Arctic Cat Inc. 153,995 5,142
  Ameristar Casinos Inc. 192,807 5,059
  Lithia Motors Inc. Class A 127,960 4,788
* Gentherm Inc. 346,788 4,612
* Saks Inc. 438,288 4,606
* Libbey Inc. 228,006 4,412
  Valassis Communications Inc. 163,218 4,208
* Capella Education Co. 145,137 4,097
  Choice Hotels International Inc. 118,234 3,975
* America's Car-Mart Inc. 96,091 3,894
* Mattress Firm Holding Corp. 157,484 3,863
  Oxford Industries Inc. 82,079 3,805
* Cavco Industries Inc. 72,976 3,647
  Haverty Furniture Cos. Inc. 223,288 3,642
*,^ ITT Educational Services Inc. 203,735 3,527
  CEC Entertainment Inc. 104,290 3,461
  Shoe Carnival Inc. 166,447 3,411

 

31


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Movado Group Inc. 107,967 3,312
* Beazer Homes USA Inc. 186,393 3,148
  Pep Boys-Manny Moe & Jack 306,802 3,016
  Hot Topic Inc. 306,463 2,957
* Bravo Brio Restaurant Group Inc. 216,476 2,907
* Quiksilver Inc. 680,351 2,891
* Boyd Gaming Corp. 429,537 2,852
* Red Robin Gourmet Burgers Inc. 80,678 2,847
* Wet Seal Inc. Class A 999,570 2,759
*,^ Overstock.com Inc. 191,040 2,734
  Strayer Education Inc. 48,482 2,723
  Drew Industries Inc. 82,452 2,659
* Modine Manufacturing Co. 320,676 2,607
* Fuel Systems Solutions Inc. 174,858 2,570
* Citi Trends Inc. 176,381 2,427
* Biglari Holdings Inc. 5,558 2,168
* Caesars Entertainment Corp. 284,442 1,968
* Cumulus Media Inc. Class A 718,967 1,920
* Kirkland's Inc. 179,681 1,903
* Vitacost.com Inc. 271,408 1,840
* Body Central Corp. 179,968 1,792
*,^ Teavana Holdings Inc. 112,135 1,738
  Clear Channel Outdoor Holdings Inc. Class A 232,354 1,631
* Gordmans Stores Inc. 101,607 1,526
* Unifi Inc. 114,044 1,484
* Career Education Corp. 407,418 1,434
  Destination Maternity Corp. 66,311 1,430
*,^ Skullcandy Inc. 175,590 1,368
* ReachLocal Inc. 99,504 1,285
  NACCO Industries Inc. Class A 20,871 1,267
^ Blyth Inc. 78,389 1,219
* New York & Co. Inc. 288,615 1,100
* Sealy Corp. 480,652 1,043
* Ignite Restaurant Group Inc. 71,548 930
* Zagg Inc. 113,991 839
* Orbitz Worldwide Inc. 303,678 826
  Fisher Communications Inc. 23,347 630
* Coldwater Creek Inc. 114,541 551
* Martha Stewart Living Omnimedia Class A 215,846 529
      1,753,295
Consumer Staples (3.4%)    
* Dean Foods Co. 2,158,910 35,644
* United Natural Foods Inc. 571,025 30,601
* Hain Celestial Group Inc. 446,251 24,196
  Casey's General Stores Inc. 447,218 23,747
  Nu Skin Enterprises Inc. Class A 629,190 23,312
* Darling International Inc. 1,373,398 22,029
* TreeHouse Foods Inc. 422,215 22,010
* Fresh Market Inc. 449,434 21,613
  PriceSmart Inc. 229,457 17,680
* Elizabeth Arden Inc. 309,497 13,930
* Boston Beer Co. Inc. Class A 103,071 13,858
  J&J Snack Foods Corp. 176,769 11,303
* Rite Aid Corp. 7,875,097 10,710
* Smart Balance Inc. 690,932 8,913
* Susser Holdings Corp. 196,116 6,764
* Prestige Brands Holdings Inc. 294,982 5,908
* Medifast Inc. 154,726 4,083
* Annie's Inc. 119,425 3,992
  Inter Parfums Inc. 197,162 3,837
  Sanderson Farms Inc. 79,634 3,787
*,^ Star Scientific Inc. 1,368,973 3,669
  Calavo Growers Inc. 137,943 3,478
*,^ USANA Health Sciences Inc. 84,248 2,774

 

32


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Coca-Cola Bottling Co. Consolidated 37,866 2,518
* Chefs' Warehouse Inc. 134,550 2,127
* Revlon Inc. Class A 143,235 2,077
  National Beverage Corp. 134,808 1,967
  Nature's Sunshine Products Inc. 109,054 1,579
* Chiquita Brands International Inc. 168,815 1,393
      329,499
Energy (6.3%)    
* Cheniere Energy Inc. 2,128,513 39,974
* Atwood Oceanics Inc. 687,070 31,461
* Dril-Quip Inc. 401,271 29,313
* Rosetta Resources Inc. 617,673 28,018
* Oasis Petroleum Inc. 872,098 27,733
* Kodiak Oil & Gas Corp. 3,080,270 27,260
* Gulfport Energy Corp. 701,840 26,824
  Energy XXI Bermuda Ltd. 787,102 25,337
  Lufkin Industries Inc. 392,491 22,816
* McMoRan Exploration Co. 1,230,027 19,742
  CARBO Ceramics Inc. 242,853 19,025
  Berry Petroleum Co. Class A 551,025 18,487
* Gran Tierra Energy Inc. 3,292,433 18,141
  World Fuel Services Corp. 421,096 17,337
* SemGroup Corp. Class A 439,208 17,164
* Hornbeck Offshore Services Inc. 392,698 13,485
* Geospace Technologies Corp. 141,547 12,579
* Northern Oil and Gas Inc. 705,962 11,874
* PDC Energy Inc. 353,438 11,738
* Halcon Resources Corp. 1,641,206 11,357
* Forum Energy Technologies Inc. 450,518 11,150
* Approach Resources Inc. 404,989 10,129
*,^ Clean Energy Fuels Corp. 812,088 10,111
* Bill Barrett Corp. 562,609 10,009
* Carrizo Oil & Gas Inc. 443,377 9,275
* Magnum Hunter Resources Corp. 1,871,251 7,466
* C&J Energy Services Inc. 320,650 6,875
* Rex Energy Corp. 524,188 6,825
*,^ Heckmann Corp. 1,682,626 6,781
  Rentech Inc. 2,570,889 6,761
* CVR Energy Inc. 131,998 6,440
  Contango Oil & Gas Co. 151,941 6,436
  Targa Resources Corp. 121,749 6,433
  RPC Inc. 500,455 6,126
  Enbridge Energy Management LLC 201,407 5,819
* Cloud Peak Energy Inc. 250,273 4,838
* Matrix Service Co. 299,782 3,448
*,^ BPZ Resources Inc. 1,092,515 3,441
* PetroQuest Energy Inc. 672,820 3,330
* ION Geophysical Corp. 508,396 3,310
* Quicksilver Resources Inc. 1,116,005 3,192
* Triangle Petroleum Corp. 515,625 3,089
* Goodrich Petroleum Corp. 320,362 2,986
* Clayton Williams Energy Inc. 70,805 2,832
*,^ Solazyme Inc. 355,928 2,798
* Sanchez Energy Corp. 136,468 2,456
* Vantage Drilling Co. 1,327,030 2,428
* FX Energy Inc. 585,222 2,405
* Uranium Energy Corp. 937,540 2,400
* Green Plains Renewable Energy Inc. 293,460 2,321
* Matador Resources Co. 258,463 2,119
* Abraxas Petroleum Corp. 967,256 2,118
* Vaalco Energy Inc. 223,894 1,937
* RigNet Inc. 81,987 1,675
* Resolute Energy Corp. 201,719 1,640
* TransAtlantic Petroleum Ltd. 1,673,961 1,389

 

33


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
*,^ KiOR Inc. 210,653 1,350
  Apco Oil and Gas International Inc. 106,638 1,313
  Alon USA Energy Inc. 68,648 1,242
*,^ Amyris Inc. 376,655 1,175
*,^ James River Coal Co. 269,242 862
*,^ Hyperdynamics Corp. 1,253,708 750
*,^ ZaZa Energy Corp. 292,891 600
* Magnum Hunter Resources Corp. Warrants Exp. 10/14/2013 74,995
      609,745
Financials (7.6%)    
* Signature Bank 539,220 38,468
  Tanger Factory Outlet Centers 1,096,578 37,503
  Waddell & Reed Financial Inc. Class A 1,002,322 34,901
  First Horizon National Corp. 2,906,581 28,804
* Forest City Enterprises Inc. Class A 1,409,318 22,760
  Extra Space Storage Inc. 607,485 22,106
* Portfolio Recovery Associates Inc. 197,076 21,059
* Texas Capital Bancshares Inc. 468,450 20,996
  Equity Lifestyle Properties Inc. 298,025 20,054
* St. Joe Co. 808,993 18,672
  DuPont Fabros Technology Inc. 739,821 17,874
* Sunstone Hotel Investors Inc. 1,598,602 17,121
  Greenhill & Co. Inc. 319,428 16,607
* Altisource Portfolio Solutions SA 190,545 16,512
  Apartment Investment & Management Co. Class A 595,255 16,108
* First Cash Financial Services Inc. 317,578 15,758
  MarketAxess Holdings Inc. 435,462 15,372
  PS Business Parks Inc. 226,648 14,728
* Credit Acceptance Corp. 143,390 14,580
* Financial Engines Inc. 463,736 12,869
  Post Properties Inc. 221,472 11,062
  Ryman Hospitality Properties 285,740 10,990
  American Assets Trust Inc. 390,006 10,893
* TFS Financial Corp. 1,082,118 10,410
* SVB Financial Group 181,515 10,159
  BBCN Bancorp Inc. 865,335 10,012
* First Industrial Realty Trust Inc. 708,759 9,979
  CubeSmart 683,426 9,957
  Investors Bancorp Inc. 522,526 9,290
* Virtus Investment Partners Inc. 73,260 8,860
  Home BancShares Inc. 262,344 8,663
* Nationstar Mortgage Holdings Inc. 260,551 8,072
  Pebblebrook Hotel Trust 344,512 7,958
  Alexander's Inc. 23,823 7,881
  Employers Holdings Inc. 342,035 7,039
  Education Realty Trust Inc. 647,239 6,887
  Coresite Realty Corp. 246,914 6,830
* Hilltop Holdings Inc. 493,677 6,684
* WisdomTree Investments Inc. 1,023,238 6,262
* Strategic Hotels & Resorts Inc. 955,070 6,112
* eHealth Inc. 219,209 6,024
  KBW Inc. 384,711 5,886
  HFF Inc. Class A 388,632 5,791
  Hudson Pacific Properties Inc. 269,232 5,670
*,^ Zillow Inc. Class A 203,139 5,637
* World Acceptance Corp. 73,611 5,488
  Epoch Holding Corp. 192,993 5,384
  Cardinal Financial Corp. 325,006 5,288
* Tejon Ranch Co. 188,022 5,280
  EverBank Financial Corp. 341,288 5,089
* Citizens Inc. 458,173 5,063
  Amtrust Financial Services Inc. 175,531 5,036
* ICG Group Inc. 433,644 4,957
  Radian Group Inc. 779,145 4,761

 

34


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Netspend Holdings Inc. 393,687 4,653
* FelCor Lodging Trust Inc. 894,125 4,176
* Greenlight Capital Re Ltd. Class A 178,372 4,117
* NewStar Financial Inc. 287,628 4,030
* Encore Capital Group Inc. 130,850 4,007
* Beneficial Mutual Bancorp Inc. 416,581 3,957
* Ezcorp Inc. Class A 186,855 3,711
  Campus Crest Communities Inc. 292,104 3,581
* Safeguard Scientifics Inc. 242,447 3,576
  Cousins Properties Inc. 382,553 3,194
  Evercore Partners Inc. Class A 104,651 3,159
* DFC Global Corp. 168,735 3,123
* MGIC Investment Corp. 1,117,897 2,974
* Taylor Capital Group Inc. 150,192 2,711
  Kennedy-Wilson Holdings Inc. 181,775 2,541
* iStar Financial Inc. 289,522 2,360
  Duff & Phelps Corp. Class A 149,420 2,334
  Stewart Information Services Corp. 74,570 1,939
  First Connecticut Bancorp Inc. 132,713 1,825
* Ladenburg Thalmann Financial Services Inc. 1,282,957 1,796
  Healthcare Trust of America Inc. Class A 173,305 1,716
* FNB United Corp. 125,823 1,459
  GAMCO Investors Inc. 25,796 1,369
  Oppenheimer Holdings Inc. Class A 43,686 754
  Pzena Investment Management Inc. Class A 115,858 626
* Sun Bancorp Inc. 174,008 616
* Doral Financial Corp. 519,817 376
* Hampton Roads Bankshares Inc. 137,815 164
      743,050
Health Care (17.9%)    
* MEDNAX Inc. 580,689 46,176
* Sirona Dental Systems Inc. 643,371 41,472
  Tenet Healthcare Corp. 1,216,826 39,510
* Ariad Pharmaceuticals Inc. 1,941,201 37,232
* Cubist Pharmaceuticals Inc. 745,599 31,360
* athenahealth Inc. 420,399 30,878
* United Therapeutics Corp. 543,633 29,041
* Brookdale Senior Living Inc. Class A 1,144,310 28,974
  Techne Corp. 408,655 27,927
* Salix Pharmaceuticals Ltd. 686,096 27,773
* Seattle Genetics Inc. 1,173,484 27,225
* Alkermes plc 1,451,951 26,890
* HMS Holdings Corp. 1,008,335 26,136
* Cepheid Inc. 771,134 26,072
* Myriad Genetics Inc. 954,084 25,999
* Thoratec Corp. 687,041 25,778
* Centene Corp. 602,120 24,687
* WellCare Health Plans Inc. 503,201 24,501
* Haemonetics Corp. 598,826 24,456
* HealthSouth Corp. 1,117,054 23,581
* Incyte Corp. Ltd. 1,374,500 22,830
  West Pharmaceutical Services Inc. 397,436 21,760
* Jazz Pharmaceuticals plc 403,051 21,442
* Align Technology Inc. 759,916 21,088
* PAREXEL International Corp. 702,850 20,797
* VCA Antech Inc. 974,525 20,514
* Theravance Inc. 906,211 20,181
* Team Health Holdings Inc. 670,591 19,293
^ Questcor Pharmaceuticals Inc. 696,598 18,613
* ViroPharma Inc. 803,062 18,278
* PSS World Medical Inc. 587,678 16,972
* Cyberonics Inc. 322,453 16,938
* Bruker Corp. 1,068,648 16,318
*,^ Vivus Inc. 1,172,819 15,739

 

35


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Magellan Health Services Inc. 319,742 15,667
* MWI Veterinary Supply Inc. 141,434 15,558
  Chemed Corp. 223,234 15,312
* Impax Laboratories Inc. 746,932 15,305
  Air Methods Corp. 406,584 14,999
* Medicines Co. 625,100 14,984
*,^ Arena Pharmaceuticals Inc. 1,646,748 14,854
* Volcano Corp. 625,956 14,779
* Charles River Laboratories International Inc. 370,119 13,868
  Masimo Corp. 634,304 13,327
* Insulet Corp. 560,536 11,895
* Neogen Corp. 262,364 11,890
* Acorda Therapeutics Inc. 468,262 11,641
* ArthroCare Corp. 323,895 11,204
* HeartWare International Inc. 133,287 11,189
* Medidata Solutions Inc. 284,898 11,165
* DexCom Inc. 806,108 10,971
* Auxilium Pharmaceuticals Inc. 574,705 10,649
* Akorn Inc. 777,176 10,383
* Ironwood Pharmaceuticals Inc. Class A 884,237 9,806
* Sunrise Senior Living Inc. 680,383 9,784
  Meridian Bioscience Inc. 481,810 9,757
* Molina Healthcare Inc. 353,218 9,558
*,^ Exelixis Inc. 2,087,371 9,539
*,^ Dendreon Corp. 1,802,040 9,515
  Abaxis Inc. 255,974 9,497
* Integra LifeSciences Holdings Corp. 236,635 9,222
* NPS Pharmaceuticals Inc. 1,008,966 9,182
* ICU Medical Inc. 149,862 9,131
* Wright Medical Group Inc. 416,271 8,738
* Orthofix International NV 221,673 8,718
* Endologix Inc. 609,547 8,680
* Acadia Healthcare Co. Inc. 370,838 8,652
*,^ Opko Health Inc. 1,742,012 8,379
*,^ Bio-Reference Labs Inc. 290,801 8,343
* ImmunoGen Inc. 638,917 8,146
  Cantel Medical Corp. 267,809 7,962
^ Spectrum Pharmaceuticals Inc. 704,213 7,880
* Emeritus Corp. 315,717 7,805
* Infinity Pharmaceuticals Inc. 222,723 7,795
* Exact Sciences Corp. 733,716 7,770
* IPC The Hospitalist Co. Inc. 194,525 7,725
* Affymax Inc. 401,801 7,634
* Isis Pharmaceuticals Inc. 725,964 7,594
* Halozyme Therapeutics Inc. 1,119,375 7,511
* InterMune Inc. 767,634 7,438
* Luminex Corp. 441,623 7,402
* Conceptus Inc. 350,273 7,359
  Hill-Rom Holdings Inc. 254,305 7,248
* NxStage Medical Inc. 619,948 6,974
* Santarus Inc. 625,332 6,866
  Landauer Inc. 110,311 6,752
* Synageva BioPharma Corp. 141,099 6,531
* Alnylam Pharmaceuticals Inc. 357,177 6,518
* Quidel Corp. 348,438 6,505
* Merit Medical Systems Inc. 467,777 6,502
* Rigel Pharmaceuticals Inc. 998,340 6,489
* Nektar Therapeutics 872,915 6,468
*,^ Sequenom Inc. 1,338,831 6,319
  Computer Programs & Systems Inc. 122,872 6,185
* Capital Senior Living Corp. 329,329 6,155
* Momenta Pharmaceuticals Inc. 513,538 6,049
* Neurocrine Biosciences Inc. 775,092 5,798
* Merrimack Pharmaceuticals Inc. 930,928 5,669

 

36


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Dynavax Technologies Corp. 1,974,100 5,646
* ABIOMED Inc. 416,556 5,607
* BioScrip Inc. 518,398 5,583
* HealthStream Inc. 229,573 5,581
  Quality Systems Inc. 315,708 5,481
*,^ Accretive Health Inc. 464,873 5,374
* Genomic Health Inc. 196,064 5,345
* Aegerion Pharmaceuticals Inc. 208,774 5,301
*,^ MAKO Surgical Corp. 403,862 5,198
* Accuray Inc. 793,077 5,099
* MAP Pharmaceuticals Inc. 324,539 5,098
* ExamWorks Group Inc. 357,652 5,004
*,^ Antares Pharma Inc. 1,286,669 4,902
* Optimer Pharmaceuticals Inc. 528,290 4,781
* Emergent Biosolutions Inc. 296,990 4,764
* OraSure Technologies Inc. 645,595 4,635
* Ligand Pharmaceuticals Inc. Class B 210,300 4,362
  Hi-Tech Pharmacal Co. Inc. 121,663 4,256
* Healthways Inc. 393,024 4,205
* MannKind Corp. 1,816,750 4,197
* Orexigen Therapeutics Inc. 786,544 4,145
* Vocera Communications Inc. 163,421 4,102
* Depomed Inc. 653,015 4,042
* Dyax Corp. 1,160,897 4,040
* NuVasive Inc. 253,289 3,916
* Lexicon Pharmaceuticals Inc. 1,755,464 3,897
* Protalix BioTherapeutics Inc. 749,755 3,891
* SurModics Inc. 170,737 3,818
  US Physical Therapy Inc. 137,540 3,788
* Omnicell Inc. 252,305 3,752
  Atrion Corp. 18,925 3,709
* Idenix Pharmaceuticals Inc. 746,651 3,621
* Corvel Corp. 78,704 3,528
* Sangamo Biosciences Inc. 583,972 3,510
* Fluidigm Corp. 240,707 3,445
*,^ Raptor Pharmaceutical Corp. 576,398 3,372
* Cadence Pharmaceuticals Inc. 702,290 3,364
* ZIOPHARM Oncology Inc. 788,131 3,279
* Greatbatch Inc. 138,744 3,224
* Curis Inc. 927,802 3,182
*,^ Navidea Biopharmaceuticals Inc. 1,092,637 3,092
* GenMark Diagnostics Inc. 343,297 3,090
* Obagi Medical Products Inc. 220,357 2,995
* Achillion Pharmaceuticals Inc. 359,570 2,884
* Synergy Pharmaceuticals Inc. 540,918 2,845
* Endocyte Inc. 315,693 2,835
*,^ PROLOR Biotech Inc. 553,510 2,740
  Young Innovations Inc. 69,008 2,720
* Tornier NV 161,737 2,716
* Novavax Inc. 1,412,545 2,670
* RTI Biologics Inc. 623,625 2,663
* AMN Healthcare Services Inc. 225,813 2,608
*,^ Greenway Medical Technologies 169,507 2,604
* Staar Surgical Co. 424,684 2,591
* AMAG Pharmaceuticals Inc. 174,259 2,563
* Immunomedics Inc. 836,296 2,442
* AVANIR Pharmaceuticals Inc. 927,248 2,439
* Affymetrix Inc. 739,677 2,345
* Sciclone Pharmaceuticals Inc. 530,710 2,287
*,^ PhotoMedex Inc. 152,905 2,219
* Threshold Pharmaceuticals Inc. 481,251 2,026
*,^ Unilife Corp. 888,317 2,016
* AVEO Pharmaceuticals Inc. 247,880 1,995
* NewLink Genetics Corp. 158,167 1,977

 

37


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* XenoPort Inc. 249,916 1,942
* LHC Group Inc. 90,400 1,926
* Arqule Inc. 688,733 1,922
* Epocrates Inc. 216,638 1,911
* Sagent Pharmaceuticals Inc. 113,977 1,834
* Merge Healthcare Inc. 697,557 1,723
*,^ Osiris Therapeutics Inc. 191,360 1,718
* Exactech Inc. 100,440 1,702
* Pozen Inc. 314,772 1,577
*,^ Clovis Oncology Inc. 89,191 1,427
* Targacept Inc. 311,804 1,366
* Natus Medical Inc. 121,849 1,362
*,^ Trius Therapeutics Inc. 271,275 1,297
*,^ Ampio Pharmaceuticals Inc. 344,991 1,239
* SIGA Technologies Inc. 451,559 1,183
* BioMimetic Therapeutics Inc. 159,233 1,153
  Pain Therapeutics Inc. 417,702 1,132
* Gentiva Health Services Inc. 112,315 1,129
* Geron Corp. 765,180 1,079
* TESARO Inc. 63,270 1,072
* Palomar Medical Technologies Inc. 107,545 990
* Progenics Pharmaceuticals Inc. 323,655 964
*,^ Savient Pharmaceuticals Inc. 863,199 906
* Supernus Pharmaceuticals Inc. 123,677 887
* Sunesis Pharmaceuticals Inc. 194,714 818
* Complete Genomics Inc. 258,511 814
* Corcept Therapeutics Inc. 486,923 696
*,^ Biotime Inc. 210,195 660
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 132,154 126
      1,737,582
Industrials (18.5%)    
  Lincoln Electric Holdings Inc. 926,834 45,118
* United Rentals Inc. 920,304 41,892
  Corrections Corp. of America 1,168,488 41,446
* Genesee & Wyoming Inc. Class A 516,855 39,322
  Valmont Industries Inc. 279,582 38,177
  Triumph Group Inc. 583,132 38,079
  Graco Inc. 706,829 36,395
* Kirby Corp. 587,255 36,345
* Clean Harbors Inc. 655,865 36,079
* Alaska Air Group Inc. 823,303 35,476
* Hexcel Corp. 1,164,806 31,403
  Toro Co. 685,985 29,484
  AO Smith Corp. 462,016 29,139
  Landstar System Inc. 544,814 28,581
* Middleby Corp. 218,488 28,012
  Woodward Inc. 722,385 27,545
* Colfax Corp. 657,867 26,545
* Old Dominion Freight Line Inc. 754,700 25,871
  Covanta Holding Corp. 1,397,470 25,741
* US Airways Group Inc. 1,896,738 25,606
*,^ Polypore International Inc. 543,701 25,282
* Avis Budget Group Inc. 1,241,976 24,616
* Shaw Group Inc. 500,891 23,347
* Chart Industries Inc. 349,289 23,287
  Manitowoc Co. Inc. 1,467,756 23,014
  Actuant Corp. Class A 808,116 22,555
* Tetra Tech Inc. 744,037 19,680
* Advisory Board Co. 404,393 18,922
* Moog Inc. Class A 458,325 18,805
  Corporate Executive Board Co. 391,904 18,600
  Applied Industrial Technologies Inc. 441,464 18,546
* Beacon Roofing Supply Inc. 549,904 18,301
  CLARCOR Inc. 380,777 18,194

 

38


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Con-way Inc. 653,893 18,191
Healthcare Services Group Inc. 746,701 17,346
* Teledyne Technologies Inc. 265,793 17,295
Rollins Inc. 768,245 16,932
Acuity Brands Inc. 247,468 16,761
* MasTec Inc. 664,953 16,577
UTi Worldwide Inc. 1,210,532 16,221
Armstrong World Industries Inc. 309,395 15,696
Watsco Inc. 203,453 15,239
* Acacia Research Corp. 580,824 14,898
Herman Miller Inc. 682,601 14,621
* Hub Group Inc. Class A 433,573 14,568
Franklin Electric Co. Inc. 232,120 14,431
* Navistar International Corp. 648,126 14,110
Allegiant Travel Co. Class A 179,772 13,197
Robbins & Myers Inc. 221,540 13,171
* RBC Bearings Inc. 262,393 13,138
KAR Auction Services Inc. 638,487 12,923
UniFirst Corp. 175,816 12,891
* USG Corp. 438,744 12,316
HEICO Corp. 268,067 11,999
Forward Air Corp. 340,118 11,908
Lindsay Corp. 148,501 11,898
* Trimas Corp. 412,892 11,544
* II-VI Inc. 624,339 11,407
Seaboard Corp. 4,216 10,666
Raven Industries Inc. 402,682 10,615
* On Assignment Inc. 518,550 10,516
* JetBlue Airways Corp. 1,833,947 10,472
Mueller Water Products Inc. Class A 1,830,822 10,271
Knight Transportation Inc. 698,134 10,214
* Aegion Corp. Class A 458,696 10,178
* EnPro Industries Inc. 241,729 9,887
* Orbital Sciences Corp. 689,195 9,490
* Mobile Mini Inc. 453,582 9,448
* Air Lease Corp. 435,218 9,357
* Swift Transportation Co. 1,017,058 9,276
* Huron Consulting Group Inc. 268,486 9,045
* Blount International Inc. 543,934 8,605
Tennant Co. 195,716 8,602
* Exponent Inc. 154,029 8,599
Knoll Inc. 559,838 8,599
* Team Inc. 221,245 8,416
Mueller Industries Inc. 167,388 8,374
Insperity Inc. 255,327 8,313
* Spirit Airlines Inc. 468,220 8,297
HEICO Corp. Class A 254,470 8,138
Astec Industries Inc. 226,236 7,540
* MRC Global Inc. 266,867 7,414
* Rexnord Corp. 334,105 7,116
* Sykes Enterprises Inc. 461,364 7,022
* DigitalGlobe Inc. 284,316 6,949
* Proto Labs Inc. 171,386 6,756
* Thermon Group Holdings Inc. 288,644 6,503
American Science & Engineering Inc. 98,520 6,425
Sun Hydraulics Corp. 242,949 6,336
* Trex Co. Inc. 166,887 6,213
John Bean Technologies Corp. 338,158 6,009
* InnerWorkings Inc. 432,505 5,960
Interface Inc. Class A 366,820 5,898
Resources Connection Inc. 490,809 5,860
Amerco Inc. 45,925 5,824
* DXP Enterprises Inc. 116,154 5,700
* Taser International Inc. 618,073 5,526

 

39


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* MYR Group Inc. 240,122 5,343
  Simpson Manufacturing Co. Inc. 158,426 5,195
* GenCorp Inc. 563,228 5,154
  Gorman-Rupp Co. 171,755 5,123
  Heartland Express Inc. 389,975 5,097
* Meritor Inc. 1,073,937 5,080
  Primoris Services Corp. 331,193 4,981
  Kforce Inc. 344,622 4,938
  Sauer-Danfoss Inc. 92,249 4,923
* Mistras Group Inc. 197,166 4,868
* Rush Enterprises Inc. Class A 234,208 4,841
  Celadon Group Inc. 267,003 4,825
  Griffon Corp. 394,911 4,526
* Aerovironment Inc. 207,584 4,513
* Korn/Ferry International 283,857 4,502
  AAON Inc. 214,417 4,475
  Barnes Group Inc. 187,177 4,204
* Standard Parking Corp. 182,563 4,015
  Titan International Inc. 184,550 4,008
  AZZ Inc. 102,990 3,958
  National Presto Industries Inc. 56,155 3,880
* TrueBlue Inc. 233,883 3,684
* Layne Christensen Co. 150,357 3,649
* GeoEye Inc. 118,131 3,630
* Roadrunner Transportation Systems Inc. 200,064 3,629
  Kaman Corp. 97,091 3,573
*,^ XPO Logistics Inc. 195,442 3,397
* American Woodmark Corp. 118,325 3,292
* KEYW Holding Corp. 249,758 3,169
* WageWorks Inc. 177,639 3,162
  Cubic Corp. 65,902 3,161
* EnerNOC Inc. 267,568 3,144
*,^ Capstone Turbine Corp. 3,490,753 3,107
* Echo Global Logistics Inc. 159,788 2,871
* Dycom Industries Inc. 136,993 2,712
  SkyWest Inc. 208,823 2,602
* Titan Machinery Inc. 103,647 2,560
*,^ Zipcar Inc. 302,744 2,495
* Commercial Vehicle Group Inc. 287,390 2,359
* Astronics Corp. 102,670 2,349
* Furmanite Corp. 434,197 2,332
* RPX Corp. 206,204 1,864
* PMFG Inc. 193,812 1,762
* Rush Enterprises Inc. Class B 92,222 1,596
* CAI International Inc. 70,631 1,550
* Hawaiian Holdings Inc. 198,992 1,307
* Edgen Group Inc. 178,915 1,263
  Hyster-Yale Materials Handling Inc. 23,992 1,171
* Orion Marine Group Inc. 158,174 1,156
* Republic Airways Holdings Inc. 186,435 1,059
* Patriot Transportation Holding Inc. 35,332 1,004
* Pendrell Corp. 779,797 990
* Dolan Co. 221,264 861
* Quality Distribution Inc. 128,525 771
* American Superconductor Corp. 243,382 638
  Preformed Line Products Co. 9,824 584
* Hill International Inc. 156,360 572
* Pacer International Inc. 141,934 554
* Genco Shipping & Trading Ltd. 132,942 464
* American Reprographics Co. 159,158 407
* Astronics Corp. Class B 15,230 349
      1,792,360
Information Technology (22.5%)    
* Cadence Design Systems Inc. 3,210,718 43,377

 

40


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Jack Henry & Associates Inc. 955,893 37,528
* Concur Technologies Inc. 545,809 36,853
* JDS Uniphase Corp. 2,708,760 36,677
* SolarWinds Inc. 693,284 36,363
* FleetCor Technologies Inc. 657,163 35,257
* CommVault Systems Inc. 498,763 34,769
* NeuStar Inc. Class A 775,585 32,520
* WEX Inc. 428,990 32,333
* Parametric Technology Corp. 1,390,778 31,306
* Cymer Inc. 344,606 31,163
*,^ 3D Systems Corp. 582,497 31,076
  MercadoLibre Inc. 386,685 30,382
* Aspen Technology Inc. 1,088,956 30,099
  National Instruments Corp. 1,141,964 29,474
* Ultimate Software Group Inc. 297,029 28,042
* CoStar Group Inc. 312,914 27,965
* Aruba Networks Inc. 1,310,400 27,191
* CoreLogic Inc. 984,175 26,494
^ IPG Photonics Corp. 387,723 25,842
  MAXIMUS Inc. 397,568 25,134
  DST Systems Inc. 394,905 23,931
* Zebra Technologies Corp. 603,538 23,707
  FEI Co. 422,394 23,426
* Semtech Corp. 765,654 22,166
* Cirrus Logic Inc. 754,111 21,847
  Anixter International Inc. 329,748 21,097
* Hittite Microwave Corp. 331,594 20,592
  InterDigital Inc. 497,758 20,458
* ACI Worldwide Inc. 457,830 20,003
* QLIK Technologies Inc. 900,004 19,548
* Silicon Laboratories Inc. 463,207 19,367
* ViaSat Inc. 483,340 18,802
* Ciena Corp. 1,171,130 18,387
  Plantronics Inc. 494,237 18,223
* Cavium Inc. 582,024 18,165
* Finisar Corp. 1,083,276 17,657
* NETGEAR Inc. 444,762 17,532
  Fair Isaac Corp. 395,527 16,624
* NCR Corp. 650,789 16,582
* Sourcefire Inc. 349,965 16,525
* ValueClick Inc. 833,722 16,183
  Littelfuse Inc. 255,045 15,739
* Tyler Technologies Inc. 318,587 15,432
* Acxiom Corp. 876,714 15,307
* Acme Packet Inc. 683,365 15,116
* Splunk Inc. 508,779 14,765
* Entegris Inc. 1,605,645 14,740
* RF Micro Devices Inc. 3,233,024 14,484
* Dealertrack Technologies Inc. 498,316 14,312
* OSI Systems Inc. 220,553 14,124
* Manhattan Associates Inc. 233,861 14,111
  Coherent Inc. 276,678 14,005
*,^ VirnetX Holding Corp. 477,623 13,985
*,^ Fusion-io Inc. 608,765 13,959
* Compuware Corp. 1,259,295 13,689
* Sapient Corp. 1,285,459 13,574
* Veeco Instruments Inc. 457,449 13,504
  Heartland Payment Systems Inc. 454,354 13,403
* Guidewire Software Inc. 443,983 13,195
* Teradyne Inc. 766,947 12,954
* Euronet Worldwide Inc. 534,381 12,611
* Universal Display Corp. 488,353 12,512
  Blackbaud Inc. 527,711 12,048
* SS&C Technologies Holdings Inc. 507,116 11,725

 

41


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  NIC Inc. 715,789 11,696
* Cardtronics Inc. 490,609 11,647
* TiVo Inc. 944,776 11,640
* Synaptics Inc. 385,460 11,552
* Ultratech Inc. 308,610 11,511
* Bottomline Technologies (de), Inc. 430,154 11,352
  Power Integrations Inc. 336,754 11,318
*,^ VistaPrint NV 339,226 11,147
* Liquidity Services Inc. 271,447 11,091
* Netscout Systems Inc. 413,993 10,760
* QLogic Corp. 1,100,844 10,711
* Plexus Corp. 408,505 10,539
  Syntel Inc. 195,394 10,471
* Electronics for Imaging Inc. 543,154 10,314
* OpenTable Inc. 211,298 10,311
* ScanSource Inc. 322,463 10,245
* Comverse Technology Inc. 2,559,475 9,828
  Cabot Microelectronics Corp. 272,220 9,667
  MTS Systems Corp. 188,061 9,578
* Rogers Corp. 191,764 9,523
* MicroStrategy Inc. Class A 101,667 9,494
* BroadSoft Inc. 257,578 9,358
* RealPage Inc. 429,966 9,274
* TriQuint Semiconductor Inc. 1,913,276 9,260
  Cognex Corp. 237,751 8,754
* Cornerstone OnDemand Inc. 293,075 8,654
* Ixia 508,015 8,626
* Unisys Corp. 487,299 8,430
* WebMD Health Corp. 585,034 8,389
  Monolithic Power Systems Inc. 370,785 8,261
* Advent Software Inc. 384,243 8,215
* Verint Systems Inc. 278,688 8,182
* ExactTarget Inc. 385,329 7,707
* LivePerson Inc. 584,855 7,685
*,^ First Solar Inc. 248,777 7,682
* Microsemi Corp. 363,482 7,648
* Polycom Inc. 722,142 7,554
* Diodes Inc. 430,016 7,461
* ExlService Holdings Inc. 280,286 7,428
* Comverse Inc. 256,057 7,305
* Synchronoss Technologies Inc. 340,591 7,183
* FARO Technologies Inc. 198,021 7,065
  Blucora Inc. 448,579 7,047
^ Ebix Inc. 433,797 6,971
  Monotype Imaging Holdings Inc. 428,804 6,852
* Ellie Mae Inc. 235,653 6,539
* Websense Inc. 424,887 6,390
* Applied Micro Circuits Corp. 754,843 6,341
  Loral Space & Communications Inc. 111,758 6,109
* Interactive Intelligence Group Inc. 180,337 6,048
* TNS Inc. 287,083 5,951
* Measurement Specialties Inc. 171,413 5,890
* Accelrys Inc. 649,091 5,874
* Infoblox Inc. 325,164 5,843
* iGATE Corp. 368,043 5,804
* Rambus Inc. 1,164,276 5,682
  Micrel Inc. 591,072 5,615
  MKS Instruments Inc. 216,483 5,581
* LogMeIn Inc. 246,418 5,522
* Lattice Semiconductor Corp. 1,371,902 5,474
* Progress Software Corp. 259,295 5,443
*,^ RealD Inc. 479,939 5,380
* Entropic Communications Inc. 981,500 5,192
* Volterra Semiconductor Corp. 298,199 5,120

 

42


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* comScore Inc. 371,345 5,117
* Constant Contact Inc. 357,150 5,075
* Dice Holdings Inc. 546,018 5,012
  Forrester Research Inc. 183,629 4,921
* Infinera Corp. 845,092 4,910
* Silicon Image Inc. 964,272 4,783
  Pegasystems Inc. 199,911 4,534
* MIPS Technologies Inc. Class A 564,083 4,411
* PROS Holdings Inc. 239,604 4,382
* Perficient Inc. 367,497 4,329
* Integrated Device Technology Inc. 585,183 4,272
* InvenSense Inc. 383,337 4,259
* Procera Networks Inc. 226,932 4,210
* GT Advanced Technologies Inc. 1,390,138 4,198
* Sonus Networks Inc. 2,461,858 4,185
* Bazaarvoice Inc. 445,231 4,163
* Ceva Inc. 263,256 4,146
* Stamps.com Inc. 162,634 4,098
* Magnachip Semiconductor Corp. 254,237 4,047
* Exar Corp. 452,815 4,030
* Millennial Media Inc. 316,284 3,963
* Cray Inc. 247,769 3,952
* Tangoe Inc. 328,365 3,898
* Internap Network Services Corp. 558,654 3,877
* Silicon Graphics International Corp. 372,321 3,809
  Badger Meter Inc. 79,519 3,770
* LTX-Credence Corp. 570,879 3,745
* Nanometrics Inc. 257,843 3,718
* Demandware Inc. 135,643 3,706
* DTS Inc. 220,218 3,678
* Virtusa Corp. 222,654 3,658
*,^ Angie's List Inc. 302,830 3,631
* SciQuest Inc. 221,230 3,509
* Quantum Corp. 2,803,219 3,476
* Extreme Networks 936,253 3,408
*,^ Higher One Holdings Inc. 318,152 3,353
* Seachange International Inc. 344,229 3,329
* Mercury Systems Inc. 361,489 3,326
* Demand Media Inc. 348,902 3,241
* Jive Software Inc. 217,794 3,165
* Oplink Communications Inc. 200,350 3,121
* NVE Corp. 56,203 3,119
* Actuate Corp. 549,392 3,077
* OmniVision Technologies Inc. 218,271 3,073
* VASCO Data Security International Inc. 364,672 2,976
* Move Inc. 389,032 2,953
* Digi International Inc. 301,145 2,852
* ServiceSource International Inc. 483,734 2,830
* Calix Inc. 366,042 2,815
* Globecomm Systems Inc. 243,563 2,752
* MoneyGram International Inc. 202,074 2,686
* Maxwell Technologies Inc. 322,983 2,678
  IXYS Corp. 292,239 2,671
* Brightcove Inc. 270,292 2,443
* Kopin Corp. 733,189 2,442
* Active Network Inc. 451,160 2,215
* Imperva Inc. 68,640 2,164
* STEC Inc. 433,846 2,139
* ShoreTel Inc. 504,106 2,137
* Inphi Corp. 216,042 2,070
* Proofpoint Inc. 166,835 2,054
* Vocus Inc. 114,471 1,989
* M/A-COM Technology Solutions Holdings Inc. 132,001 1,976
* Intermec Inc. 196,626 1,939

 

43


 

Vanguard® Small-Cap Growth Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Envestnet Inc. 134,375 1,875
* Rosetta Stone Inc. 146,926 1,813
* Yelp Inc. 95,778 1,805
* EPAM Systems Inc. 99,642 1,804
* Saba Software Inc. 203,164 1,776
* Travelzoo Inc. 92,902 1,764
* XO Group Inc. 185,985 1,730
* Limelight Networks Inc. 757,817 1,682
* Telenav Inc. 192,586 1,537
  Cohu Inc. 135,617 1,470
* MaxLinear Inc. 270,262 1,357
  Keynote Systems Inc. 93,036 1,311
*,^ Rubicon Technology Inc. 210,185 1,284
* Responsys Inc. 197,923 1,180
* Intermolecular Inc. 124,948 1,112
  Supertex Inc. 58,043 1,019
* Sigma Designs Inc. 191,875 988
* Echelon Corp. 400,009 980
* Anaren Inc. 47,792 930
* FormFactor Inc. 202,235 922
* Oclaro Inc. 571,996 898
*,^ Carbonite Inc. 88,815 822
* Multi-Fineline Electronix Inc. 38,399 776
* Agilysys Inc. 89,404 748
* Intevac Inc. 135,715 620
* Imation Corp. 125,402 586
* STR Holdings Inc. 84,297 212
* Riverbed Technology Inc. 48 1
      2,180,612
Materials (4.3%)    
  NewMarket Corp. 125,248 32,840
  Eagle Materials Inc. 536,927 31,410
* Louisiana-Pacific Corp. 1,608,104 31,069
* Allied Nevada Gold Corp. 994,438 29,962
  HB Fuller Co. 583,491 20,317
  PolyOne Corp. 984,064 20,095
* Stillwater Mining Co. 1,355,471 17,323
  Intrepid Potash Inc. 659,278 14,036
* Coeur d'Alene Mines Corp. 525,122 12,918
  Silgan Holdings Inc. 304,224 12,653
  Balchem Corp. 342,262 12,458
* Chemtura Corp. 573,587 12,194
* Graphic Packaging Holding Co. 1,608,783 10,393
  KapStone Paper and Packaging Corp. 463,604 10,287
  Globe Specialty Metals Inc. 744,836 10,242
* McEwen Mining Inc. 2,584,273 9,898
  Carpenter Technology Corp. 182,681 9,432
  Deltic Timber Corp. 133,000 9,392
  Koppers Holdings Inc. 242,498 9,251
  Buckeye Technologies Inc. 303,430 8,711
  Innospec Inc. 243,853 8,410
  American Vanguard Corp. 260,637 8,098
* LSB Industries Inc. 222,159 7,869
  Schweitzer-Mauduit International Inc. 182,409 7,119
* Flotek Industries Inc. 551,658 6,730
  Georgia Gulf Corp. 141,230 5,830
^ Gold Resource Corp. 370,537 5,710
*,^ Molycorp Inc. 464,436 4,384
  Hawkins Inc. 110,365 4,265
  Stepan Co. 71,975 3,998
* OMNOVA Solutions Inc. 516,188 3,618
* Headwaters Inc. 415,866 3,560
*,^ Paramount Gold and Silver Corp. 1,459,855 3,387
* Calgon Carbon Corp. 232,309 3,294

 

44


 

Vanguard® Small-Cap Growth Index Fund        
Schedule of Investments        
December 31, 2012        
 
          Market
          Value
        Shares ($000)
* Texas Industries Inc.     62,877 3,207
  Zep Inc.     221,315 3,196
* General Moly Inc.     690,511 2,769
^ US Silica Holdings Inc.     154,073 2,578
* Century Aluminum Co.     216,297 1,895
  Tredegar Corp.     91,671 1,872
* Arabian American Development Co.     210,294 1,748
* Midway Gold Corp.     1,116,340 1,552
* United States Lime & Minerals Inc.     22,666 1,068
* Golden Minerals Co.     196,922 904
  Noranda Aluminum Holding Corp.     136,912 837
          422,779
Telecommunication Services (1.1%)        
* tw telecom inc Class A     1,764,222 44,935
* NII Holdings Inc.     2,005,449 14,299
* Cincinnati Bell Inc.     2,190,082 12,001
  Cogent Communications Group Inc.     523,181 11,845
* Clearwire Corp. Class A     3,834,368 11,081
* General Communication Inc. Class A     339,162 3,252
* Cbeyond Inc.     359,604 3,251
* inContact Inc.     575,629 2,982
* Leap Wireless International Inc.     299,736 1,993
  Atlantic Tele-Network Inc.     38,078 1,398
* Boingo Wireless Inc.     163,411 1,234
*,^ Elephant Talk Communications Corp.     429,798 430
          108,701
Total Common Stocks (Cost $8,647,601)       9,677,623
 
 
    Coupon      
Temporary Cash Investments (1.8%)1        
Money Market Fund (1.8%)        
2,3 Vanguard Market Liquidity Fund 0.162%   170,227,205 170,227
 
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
4,5 Freddie Mac Discount Notes 0.118% 3/11/13 2,000 2,000
Total Temporary Cash Investments (Cost $172,227)       172,227
Total Investments (101.5%) (Cost $8,819,828)       9,849,850
Other Assets and Liabilities—Net (-1.5%)3       (149,926)
Net Assets (100%)       9,699,924

 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $140,358,000.
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 1.5%, 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 $145,456,000 of collateral received for securities on loan.
4 Securities with a value of $2,000,000 have been segregated as initial margin for open futures contracts.
5 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.

45


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.7%)1    
Consumer Discretionary (8.7%)    
  Service Corp. International 2,021,208 27,913
  Cinemark Holdings Inc. 972,612 25,268
* Visteon Corp. 445,950 24,001
  Dana Holding Corp. 1,390,909 21,712
  Brinker International Inc. 695,260 21,546
  Rent-A-Center Inc. 555,234 19,078
  Wolverine World Wide Inc. 459,505 18,831
  John Wiley & Sons Inc. Class A 450,803 17,550
* Iconix Brand Group Inc. 642,603 14,343
  Men's Wearhouse Inc. 455,699 14,200
  Cooper Tire & Rubber Co. 558,173 14,155
  MDC Holdings Inc. 384,349 14,129
  Hillenbrand Inc. 589,666 13,332
  Wendy's Co. 2,755,514 12,951
  DeVry Inc. 543,657 12,901
  Cracker Barrel Old Country Store Inc. 196,592 12,633
  Group 1 Automotive Inc. 203,373 12,607
^ Meredith Corp. 336,266 11,584
* Hanesbrands Inc. 321,111 11,502
  Six Flags Entertainment Corp. 187,135 11,453
  Regal Entertainment Group Class A 804,955 11,229
* DreamWorks Animation SKG Inc. Class A 656,148 10,872
  Bob Evans Farms Inc. 263,950 10,611
* Helen of Troy Ltd. 283,373 9,462
  Regis Corp. 539,605 9,130
* WMS Industries Inc. 511,834 8,957
  Finish Line Inc. Class A 465,752 8,817
  Jones Group Inc. 754,585 8,346
  Churchill Downs Inc. 122,965 8,171
  OfficeMax Inc. 814,185 7,946
  Scholastic Corp. 253,251 7,486
  National CineMedia Inc. 527,095 7,448
  Brown Shoe Co. Inc. 402,782 7,399
  Sonic Automotive Inc. Class A 347,892 7,267
  Cato Corp. Class A 259,224 7,110
*,^ Saks Inc. 654,185 6,875
  International Speedway Corp. Class A 247,425 6,834
  Belo Corp. Class A 878,164 6,736
  Valassis Communications Inc. 242,881 6,261
* Steiner Leisure Ltd. 129,227 6,227
  Sinclair Broadcast Group Inc. Class A 491,457 6,202
  Choice Hotels International Inc. 176,924 5,948
  Stewart Enterprises Inc. Class A 746,718 5,705
* New York Times Co. Class A 627,169 5,350
  American Greetings Corp. Class A 292,548 4,941
  Superior Industries International Inc. 230,261 4,697
  Core-Mark Holding Co. Inc. 97,769 4,629
  Fred's Inc. Class A 326,835 4,350
* Meritage Homes Corp. 110,758 4,137
  Strayer Education Inc. 72,678 4,082
  Ameristar Casinos Inc. 154,999 4,067
  Callaway Golf Co. 611,973 3,978
  Drew Industries Inc. 122,726 3,958
  Lithia Motors Inc. Class A 102,688 3,843
  Standard Motor Products Inc. 170,731 3,794
* Ruby Tuesday Inc. 481,338 3,783
  KB Home 228,658 3,613
* Children's Place Retail Stores Inc. 79,337 3,514
* Biglari Holdings Inc. 8,381 3,269
  Oxford Industries Inc. 66,244 3,071
* EW Scripps Co. Class A 282,422 3,053

 

46


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  CEC Entertainment Inc. 83,953 2,786
  Movado Group Inc. 87,240 2,677
* American Axle & Manufacturing Holdings Inc. 234,915 2,631
  JAKKS Pacific Inc. 208,495 2,610
*,^ Digital Generation Inc. 233,418 2,535
* Ascent Capital Group Inc. Class A 40,124 2,485
* Universal Electronics Inc. 127,391 2,465
  Harte-Hanks Inc. 416,841 2,459
  Pep Boys-Manny Moe & Jack 248,513 2,443
  Speedway Motorsports Inc. 136,888 2,442
  Perry Ellis International Inc. 119,709 2,382
  Marcus Corp. 190,486 2,375
* Quiksilver Inc. 548,526 2,331
*,^ Hovnanian Enterprises Inc. Class A 329,918 2,309
* Red Robin Gourmet Burgers Inc. 64,916 2,291
* Exide Technologies 659,006 2,254
  World Wrestling Entertainment Inc. Class A 273,954 2,161
  PetMed Express Inc. 192,899 2,141
  Universal Technical Institute Inc. 211,020 2,119
  Nutrisystem Inc. 257,078 2,105
  Stein Mart Inc. 269,305 2,031
^ RadioShack Corp. 929,027 1,970
* LIN TV Corp. Class A 255,660 1,925
  NACCO Industries Inc. Class A 31,404 1,906
* McClatchy Co. Class A 569,309 1,862
  Big 5 Sporting Goods Corp. 141,881 1,859
* Federal-Mogul Corp. 230,988 1,853
* Corinthian Colleges Inc. 758,494 1,851
* Bridgepoint Education Inc. 172,910 1,781
  CSS Industries Inc. 80,683 1,766
* Journal Communications Inc. Class A 305,140 1,651
* Steinway Musical Instruments Inc. 75,489 1,597
  Weyco Group Inc. 65,999 1,542
  bebe stores inc 354,568 1,415
* Beazer Homes USA Inc. 80,405 1,358
* Entercom Communications Corp. Class A 190,118 1,327
  Clear Channel Outdoor Holdings Inc. Class A 186,229 1,307
* Stoneridge Inc. 248,992 1,275
  Hot Topic Inc. 131,305 1,267
* Boyd Gaming Corp. 184,010 1,222
* hhgregg Inc. 167,184 1,174
  Systemax Inc. 119,437 1,153
  Destination Maternity Corp. 53,047 1,144
* Isle of Capri Casinos Inc. 202,091 1,132
* Modine Manufacturing Co. 138,637 1,127
  Fisher Communications Inc. 35,038 946
* Caesars Entertainment Corp. 122,463 847
  Einstein Noah Restaurant Group Inc. 63,380 774
* Zagg Inc. 92,145 678
* Unifi Inc. 49,213 640
* Career Education Corp. 175,770 619
* Tower International Inc. 66,284 534
^ Blyth Inc. 33,827 526
* Coldwater Creek Inc. 95,204 458
* Martha Stewart Living Omnimedia Class A 93,822 230
      677,605
Consumer Staples (2.7%)    
  Flowers Foods Inc. 1,174,089 27,321
  Harris Teeter Supermarkets Inc. 441,185 17,012
  B&G Foods Inc. 490,036 13,873
  Lancaster Colony Corp. 179,589 12,426
  Universal Corp. 219,642 10,962
  Snyders-Lance Inc. 451,180 10,878
* Post Holdings Inc. 306,939 10,513

 

47


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Fresh Del Monte Produce Inc. 381,608 10,055
  Spectrum Brands Holdings Inc. 217,656 9,779
  Vector Group Ltd. 481,980 7,167
  Andersons Inc. 166,457 7,141
  WD-40 Co. 140,908 6,638
  Sanderson Farms Inc. 119,172 5,667
  Cal-Maine Foods Inc. 131,440 5,287
^ SUPERVALU Inc. 2,019,494 4,988
* Prestige Brands Holdings Inc. 238,568 4,779
  Tootsie Roll Industries Inc. 176,236 4,568
  Weis Markets Inc. 114,501 4,485
* Pilgrim's Pride Corp. 608,361 4,411
* Dole Food Co. Inc. 376,137 4,314
  Spartan Stores Inc. 204,353 3,139
* Central Garden and Pet Co. Class A 292,330 3,055
* Alliance One International Inc. 783,644 2,852
^ Diamond Foods Inc. 208,241 2,847
* Pantry Inc. 218,852 2,655
  Nash Finch Co. 114,938 2,446
* Chiquita Brands International Inc. 251,203 2,072
* Seneca Foods Corp. Class A 67,944 2,065
  Village Super Market Inc. Class A 55,187 1,813
  Ingles Markets Inc. Class A 96,617 1,668
*,^ Central European Distribution Corp. 626,563 1,360
  Coca-Cola Bottling Co. Consolidated 16,271 1,082
^ Roundy's Inc. 234,604 1,044
* Central Garden and Pet Co. 102,939 1,031
      211,393
Energy (4.5%)    
  Tidewater Inc. 468,532 20,934
* Alpha Natural Resources Inc. 2,072,346 20,185
* Helix Energy Solutions Group Inc. 940,142 19,404
* Unit Corp. 411,224 18,526
  Bristow Group Inc. 336,814 18,073
  SEACOR Holdings Inc. 187,526 15,715
  Western Refining Inc. 556,931 15,700
  Arch Coal Inc. 2,000,025 14,640
  World Fuel Services Corp. 338,739 13,946
* Exterran Holdings Inc. 548,795 12,030
  Targa Resources Corp. 181,433 9,587
* Key Energy Services Inc. 1,348,959 9,375
* Stone Energy Corp. 442,255 9,075
  EXCO Resources Inc. 1,221,833 8,272
  Gulfmark Offshore Inc. 228,251 7,863
* Hercules Offshore Inc. 1,266,800 7,829
* Forest Oil Corp. 1,112,788 7,445
* Cloud Peak Energy Inc. 373,478 7,219
* Comstock Resources Inc. 430,805 6,518
* Newpark Resources Inc. 829,970 6,515
* EPL Oil & Gas Inc. 275,556 6,214
* Swift Energy Co. 402,898 6,201
  W&T Offshore Inc. 351,427 5,633
* TETRA Technologies Inc. 737,625 5,599
* Parker Drilling Co. 1,115,883 5,133
* ION Geophysical Corp. 766,136 4,988
  Crosstex Energy Inc. 334,145 4,792
  Enbridge Energy Management LLC 162,871 4,705
* Pioneer Energy Services Corp. 582,903 4,232
* Bonanza Creek Energy Inc. 150,584 4,185
* PHI Inc. 117,143 3,923
* Tesco Corp. 309,528 3,525
* Basic Energy Services Inc. 278,944 3,183
* Harvest Natural Resources Inc. 334,595 3,035
* C&J Energy Services Inc. 138,608 2,972

 

48


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Gulf Island Fabrication Inc. 122,140 2,935
* Vaalco Energy Inc. 336,759 2,913
* CVR Energy Inc. 57,370 2,799
  Delek US Holdings Inc. 110,387 2,795
  RPC Inc. 217,317 2,660
* Resolute Energy Corp. 303,675 2,469
  Penn Virginia Corp. 509,276 2,246
* Midstates Petroleum Co. Inc. 314,303 2,166
* Endeavour International Corp. 395,249 2,047
* Willbros Group Inc. 371,996 1,994
* Dawson Geophysical Co. 75,022 1,979
  Alon USA Energy Inc. 102,940 1,862
* Warren Resources Inc. 637,531 1,791
* Matador Resources Co. 207,478 1,701
* Cal Dive International Inc. 897,665 1,553
* Vantage Drilling Co. 573,541 1,050
* Lone Pine Resources Inc. 795,020 978
* Global Geophysical Services Inc. 191,781 738
* TransAtlantic Petroleum Ltd. 722,264 599
*,^ James River Coal Co. 116,910 374
* Hyperdynamics Corp. 562,713 336
* Oilsands Quest Inc. 872,378 3
      355,159
Financials (39.2%)    
  BRE Properties Inc. 722,424 36,721
* American Capital Ltd. 3,053,886 36,647
  Kilroy Realty Corp. 695,351 32,939
  National Retail Properties Inc. 1,017,586 31,749
  CBL & Associates Properties Inc. 1,416,857 30,052
  Two Harbors Investment Corp. 2,627,630 29,114
  Douglas Emmett Inc. 1,248,539 29,091
  Home Properties Inc. 469,295 28,772
  Starwood Property Trust Inc. 1,249,940 28,699
  East West Bancorp Inc. 1,335,018 28,690
  BioMed Realty Trust Inc. 1,450,243 28,033
  MFA Financial Inc. 3,362,337 27,269
  Allied World Assurance Co. Holdings AG 336,392 26,508
  First Niagara Financial Group Inc. 3,316,810 26,302
  Mid-America Apartment Communities Inc. 386,533 25,028
  Old Republic International Corp. 2,318,189 24,689
  Omega Healthcare Investors Inc. 1,022,057 24,376
  Apartment Investment & Management Co. Class A 889,703 24,075
  Hancock Holding Co. 757,455 24,042
  Highwoods Properties Inc. 715,483 23,933
  Assured Guaranty Ltd. 1,642,708 23,376
  ProAssurance Corp. 547,944 23,118
  First American Financial Corp. 950,237 22,891
  Hatteras Financial Corp. 922,343 22,883
* E*TRADE Financial Corp. 2,553,022 22,850
  LaSalle Hotel Properties 886,547 22,509
  City National Corp. 453,418 22,453
  Mack-Cali Realty Corp. 825,947 21,565
  Aspen Insurance Holdings Ltd. 671,072 21,528
  Protective Life Corp. 752,874 21,517
  Prospect Capital Corp. 1,970,193 21,416
  Invesco Mortgage Capital Inc. 1,085,355 21,392
  Associated Banc-Corp 1,614,252 21,179
  Prosperity Bancshares Inc. 500,710 21,030
  CNO Financial Group Inc. 2,185,222 20,388
  EPR Properties 440,428 20,308
* Popular Inc. 967,334 20,111
* Howard Hughes Corp. 267,822 19,556
  Healthcare Realty Trust Inc. 808,847 19,420
  Bank of Hawaii Corp. 425,022 18,722

 

49


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Corporate Office Properties Trust 749,178 18,714
CYS Investments Inc. 1,566,761 18,503
Fulton Financial Corp. 1,884,481 18,110
Alterra Capital Holdings Ltd. 633,345 17,854
Extra Space Storage Inc. 490,136 17,836
Federated Investors Inc. Class B 881,191 17,826
TCF Financial Corp. 1,455,680 17,686
ARMOUR Residential REIT Inc. 2,719,929 17,598
Susquehanna Bancshares Inc. 1,668,748 17,488
RLJ Lodging Trust 902,515 17,482
Capitol Federal Financial Inc. 1,484,904 17,359
Sovran Self Storage Inc. 277,418 17,228
Synovus Financial Corp. 7,027,328 17,217
American Realty Capital Trust Inc. 1,490,301 17,213
Washington Federal Inc. 1,003,382 16,927
Colonial Properties Trust 787,960 16,839
Post Properties Inc. 331,881 16,577
DiamondRock Hospitality Co. 1,838,664 16,548
Brandywine Realty Trust 1,351,228 16,471
Valley National Bancorp 1,767,304 16,436
Hanover Insurance Group Inc. 422,295 16,360
Washington REIT 624,829 16,339
DCT Industrial Trust Inc. 2,512,186 16,304
Endurance Specialty Holdings Ltd. 407,958 16,192
Apollo Investment Corp. 1,911,675 15,982
Webster Financial Corp. 764,656 15,714
* Stifel Financial Corp. 480,753 15,370
Medical Properties Trust Inc. 1,277,283 15,276
CapitalSource Inc. 2,013,809 15,265
StanCorp Financial Group Inc. 415,713 15,244
* SVB Financial Group 271,915 15,219
Lexington Realty Trust 1,451,186 15,165
Janus Capital Group Inc. 1,765,051 15,038
Potlatch Corp. 379,980 14,891
EastGroup Properties Inc. 274,873 14,791
FirstMerit Corp. 1,033,025 14,659
Glimcher Realty Trust 1,320,385 14,643
Platinum Underwriters Holdings Ltd. 312,885 14,393
Primerica Inc. 477,889 14,341
Newcastle Investment Corp. 1,625,104 14,106
FNB Corp. 1,316,277 13,979
Kemper Corp. 469,729 13,857
Cathay General Bancorp 703,252 13,713
Iberiabank Corp. 277,905 13,651
PennyMac Mortgage Investment Trust 533,760 13,499
* Walter Investment Management Corp. 311,735 13,411
UMB Financial Corp. 305,758 13,404
Trustmark Corp. 578,616 12,996
National Health Investors Inc. 222,816 12,596
Redwood Trust Inc. 745,230 12,587
Wintrust Financial Corp. 342,538 12,571
CommonWealth REIT 787,249 12,470
Umpqua Holdings Corp. 1,051,996 12,403
* PHH Corp. 532,548 12,115
* Alexander & Baldwin Inc. 398,640 11,708
Equity One Inc. 556,396 11,690
BancorpSouth Inc. 799,027 11,618
RLI Corp. 179,543 11,609
Acadia Realty Trust 461,597 11,577
United Bankshares Inc. 472,651 11,495
Old National Bancorp 952,811 11,310
National Penn Bancshares Inc. 1,200,950 11,193
Northwest Bancshares Inc. 920,408 11,174
Westamerica Bancorporation 259,165 11,038

 

50


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Cash America International Inc. 275,778 10,940
Montpelier Re Holdings Ltd. 473,119 10,815
* MBIA Inc. 1,366,174 10,724
Capstead Mortgage Corp. 927,546 10,639
Sun Communities Inc. 265,505 10,591
NorthStar Realty Finance Corp. 1,502,731 10,579
Government Properties Income Trust 436,649 10,466
Fifth Street Finance Corp. 988,072 10,296
Mercury General Corp. 258,056 10,242
* Enstar Group Ltd. 91,365 10,231
Symetra Financial Corp. 783,622 10,171
LTC Properties Inc. 286,199 10,071
Selective Insurance Group Inc. 516,590 9,955
Home Loan Servicing Solutions Ltd. 526,502 9,951
Glacier Bancorp Inc. 676,231 9,947
Community Bank System Inc. 352,483 9,644
MB Financial Inc. 487,673 9,632
Retail Properties of America Inc. 799,860 9,574
PrivateBancorp Inc. 623,180 9,547
Colony Financial Inc. 481,466 9,389
Main Street Capital Corp. 305,011 9,306
Bank of the Ozarks Inc. 276,396 9,251
First Financial Bankshares Inc. 236,698 9,234
International Bancshares Corp. 505,553 9,125
Pennsylvania REIT 500,138 8,822
First Midwest Bancorp Inc. 703,579 8,809
CVB Financial Corp. 837,165 8,707
Equity Lifestyle Properties Inc. 129,173 8,692
Franklin Street Properties Corp. 701,558 8,636
Hersha Hospitality Trust Class A 1,679,524 8,398
Solar Capital Ltd. 344,979 8,248
First Financial Bancorp 549,899 8,040
Nelnet Inc. Class A 269,384 8,025
CubeSmart 550,108 8,015
First Citizens BancShares Inc. Class A 48,776 7,975
Argo Group International Holdings Ltd. 237,403 7,974
CreXus Investment Corp. 648,223 7,941
Astoria Financial Corp. 832,479 7,792
Provident Financial Services Inc. 509,515 7,602
Chesapeake Lodging Trust 363,782 7,596
BankUnited Inc. 309,850 7,573
Sabra Health Care REIT Inc. 348,235 7,564
Anworth Mortgage Asset Corp. 1,308,148 7,561
Investors Real Estate Trust 862,010 7,525
Associated Estates Realty Corp. 465,977 7,512
Park National Corp. 116,043 7,500
* Western Alliance Bancorp 704,555 7,419
Horace Mann Educators Corp. 370,746 7,400
Sterling Financial Corp. 350,937 7,328
American Capital Mortgage Investment Corp. 309,014 7,283
PacWest Bancorp 285,741 7,081
Inland Real Estate Corp. 840,100 7,040
BlackRock Kelso Capital Corp. 693,898 6,981
* Citizens Republic Bancorp Inc. 361,623 6,860
American Equity Investment Life Holding Co. 558,949 6,825
PennantPark Investment Corp. 616,993 6,784
First Commonwealth Financial Corp. 984,112 6,712
Columbia Banking System Inc. 372,731 6,687
Triangle Capital Corp. 256,170 6,530
* National Financial Partners Corp. 376,307 6,450
NBT Bancorp Inc. 316,978 6,425
Infinity Property & Casualty Corp. 109,995 6,406
Pebblebrook Hotel Trust 276,975 6,398
Ashford Hospitality Trust Inc. 608,449 6,395

 

51


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
ViewPoint Financial Group Inc. 295,901 6,196
Retail Opportunity Investments Corp. 481,270 6,189
Independent Bank Corp. 213,679 6,186
Chemical Financial Corp. 258,349 6,138
Interactive Brokers Group Inc. 447,224 6,118
Tower Group Inc. 342,559 6,087
SCBT Financial Corp. 150,470 6,046
Boston Private Financial Holdings Inc. 667,518 6,014
First Potomac Realty Trust 479,817 5,931
Oritani Financial Corp. 382,160 5,855
Ramco-Gershenson Properties Trust 439,249 5,846
* Pinnacle Financial Partners Inc. 309,480 5,831
WesBanco Inc. 261,229 5,804
STAG Industrial Inc. 322,042 5,787
Universal Health Realty Income Trust 113,151 5,727
Cohen & Steers Inc. 186,069 5,670
Oriental Financial Group Inc. 423,899 5,659
* Forestar Group Inc. 325,754 5,645
Brookline Bancorp Inc. 662,313 5,630
Berkshire Hills Bancorp Inc. 235,411 5,617
* Ezcorp Inc. Class A 281,452 5,590
Banner Corp. 181,692 5,583
Education Realty Trust Inc. 523,495 5,570
Hercules Technology Growth Capital Inc. 499,553 5,560
* Navigators Group Inc. 105,297 5,378
Safety Insurance Group Inc. 115,033 5,311
Excel Trust Inc. 410,175 5,197
Resource Capital Corp. 913,754 5,117
* Piper Jaffray Cos. 158,442 5,091
S&T Bancorp Inc. 273,605 4,944
* Strategic Hotels & Resorts Inc. 772,499 4,944
City Holding Co. 139,195 4,851
Cousins Properties Inc. 576,274 4,812
Saul Centers Inc. 112,331 4,807
Ryman Hospitality Properties 123,805 4,762
Evercore Partners Inc. Class A 156,847 4,735
Maiden Holdings Ltd. 512,348 4,708
Parkway Properties Inc. 336,432 4,707
TrustCo Bank Corp. NY 886,768 4,682
* AMERISAFE Inc. 170,904 4,657
* DFC Global Corp. 251,015 4,646
Apollo Residential Mortgage Inc. 228,582 4,615
Dynex Capital Inc. 488,289 4,609
Sandy Spring Bancorp Inc. 233,876 4,542
Getty Realty Corp. 251,053 4,534
Renasant Corp. 236,001 4,517
State Bank Financial Corp. 283,158 4,497
United Fire Group Inc. 203,260 4,439
* World Acceptance Corp. 59,103 4,407
* First Industrial Realty Trust Inc. 307,240 4,326
Flushing Financial Corp. 276,326 4,239
Western Asset Mortgage Capital Corp. 210,052 4,153
* PICO Holdings Inc. 203,426 4,123
Community Trust Bancorp Inc. 124,445 4,079
* Flagstar Bancorp Inc. 209,903 4,072
Amtrust Financial Services Inc. 140,790 4,039
Select Income REIT 162,692 4,030
West Coast Bancorp 181,453 4,019
Dime Community Bancshares Inc. 283,773 3,942
Summit Hotel Properties Inc. 409,295 3,888
TICC Capital Corp. 383,690 3,883
Radian Group Inc. 627,171 3,832
Kennedy-Wilson Holdings Inc. 272,932 3,816
Kite Realty Group Trust 680,288 3,803

 

52


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Apollo Commercial Real Estate Finance Inc. 233,249 3,786
Lakeland Financial Corp. 146,074 3,775
American National Insurance Co. 53,615 3,661
* Bancorp Inc. 332,222 3,644
Tompkins Financial Corp. 91,761 3,637
FBL Financial Group Inc. Class A 106,263 3,635
CapLease Inc. 649,413 3,617
Simmons First National Corp. Class A 142,155 3,605
First Busey Corp. 774,382 3,601
National Western Life Insurance Co. Class A 22,666 3,575
TowneBank 230,347 3,568
* iStar Financial Inc. 434,902 3,544
* Wilshire Bancorp Inc. 603,789 3,544
Urstadt Biddle Properties Inc. Class A 178,966 3,522
Duff & Phelps Corp. Class A 223,858 3,497
Provident New York Bancorp 374,124 3,483
Union First Market Bankshares Corp. 219,874 3,467
Rockville Financial Inc. 268,756 3,467
Washington Trust Bancorp Inc. 130,930 3,445
* Central Pacific Financial Corp. 217,037 3,384
* Eagle Bancorp Inc. 166,269 3,320
* Greenlight Capital Re Ltd. Class A 143,277 3,307
Southside Bancshares Inc. 155,247 3,269
BGC Partners Inc. Class A 944,899 3,269
* Investment Technology Group Inc. 361,314 3,252
* Walker & Dunlop Inc. 194,200 3,235
* Encore Capital Group Inc. 105,274 3,223
* Knight Capital Group Inc. Class A 917,594 3,221
MCG Capital Corp. 694,068 3,193
Golub Capital BDC Inc. 199,740 3,192
Monmouth Real Estate Investment Corp. Class A 304,615 3,156
Rouse Properties Inc. 184,804 3,127
Winthrop Realty Trust 280,360 3,098
StellarOne Corp. 217,822 3,080
1st Source Corp. 137,224 3,031
Cedar Realty Trust Inc. 573,468 3,028
Stewart Information Services Corp. 112,082 2,914
Capital Southwest Corp. 28,574 2,847
New Mountain Finance Corp. 190,899 2,844
Heartland Financial USA Inc. 108,279 2,831
Arrow Financial Corp. 113,146 2,823
^ New York Mortgage Trust Inc. 446,490 2,822
SY Bancorp Inc. 124,875 2,800
OneBeacon Insurance Group Ltd. Class A 201,329 2,798
United Financial Bancorp Inc. 177,511 2,790
WSFS Financial Corp. 65,461 2,766
First Community Bancshares Inc. 169,859 2,713
Lakeland Bancorp Inc. 265,291 2,701
* Green Dot Corp. Class A 220,677 2,692
Sterling Bancorp 290,995 2,651
First Financial Corp. 87,320 2,641
* HomeStreet Inc. 101,449 2,592
MVC Capital Inc. 212,990 2,588
Meadowbrook Insurance Group Inc. 446,364 2,580
Healthcare Trust of America Inc. Class A 259,852 2,573
Univest Corp. of Pennsylvania 150,238 2,569
Bryn Mawr Bank Corp. 113,852 2,535
CoBiz Financial Inc. 337,479 2,521
THL Credit Inc. 168,669 2,495
Hudson Pacific Properties Inc. 116,721 2,458
* United Community Banks Inc. 256,507 2,416
Bancfirst Corp. 56,913 2,411
* MGIC Investment Corp. 896,498 2,385
* INTL. FCStone Inc. 134,814 2,347

 

53


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Northfield Bancorp Inc. 151,945 2,317
Hudson Valley Holding Corp. 148,320 2,309
Camden National Corp. 67,773 2,302
State Auto Financial Corp. 153,240 2,289
Great Southern Bancorp Inc. 89,587 2,280
First Interstate Bancsystem Inc. 143,647 2,216
Westwood Holdings Group Inc. 53,142 2,173
Whitestone REIT 153,533 2,157
Trico Bancshares 128,533 2,153
GFI Group Inc. 662,873 2,148
National Interstate Corp. 73,873 2,129
TCP Capital Corp. 142,390 2,099
Republic Bancorp Inc. Class A 97,245 2,055
Calamos Asset Management Inc. Class A 190,116 2,010
Territorial Bancorp Inc. 87,152 1,991
* Southwest Bancorp Inc. 172,546 1,932
OceanFirst Financial Corp. 137,639 1,893
First Bancorp 142,646 1,829
* Global Indemnity plc 81,517 1,804
* FelCor Lodging Trust Inc. 385,898 1,802
Baldwin & Lyons Inc. 74,330 1,773
Homeowners Choice Inc. 79,251 1,648
Kansas City Life Insurance Co. 41,294 1,576
* Cowen Group Inc. Class A 640,742 1,570
Campus Crest Communities Inc. 126,034 1,545
* GSV Capital Corp. 180,439 1,521
Westfield Financial Inc. 205,534 1,486
* Phoenix Cos. Inc. 54,235 1,341
Donegal Group Inc. Class A 84,297 1,184
EMC Insurance Group Inc. 48,108 1,149
Oppenheimer Holdings Inc. Class A 65,546 1,132
GAMCO Investors Inc. 19,441 1,032
* Sun Bancorp Inc. 261,100 924
Crawford & Co. Class B 115,245 920
* Regional Management Corp. 52,539 870
Crawford & Co. Class A 140,506 792
First Connecticut Bancorp Inc. 57,300 788
Urstadt Biddle Properties Inc. 41,528 740
Artio Global Investors Inc. Class A 314,115 597
* Doral Financial Corp. 803,715 582
* Hampton Roads Bankshares Inc. 206,749 246
    3,067,537
Health Care (4.7%)    
PerkinElmer Inc. 1,072,918 34,054
Teleflex Inc. 384,290 27,404
Community Health Systems Inc. 855,522 26,299
* Health Management Associates Inc. Class A 2,411,019 22,471
* Health Net Inc. 766,320 18,622
STERIS Corp. 519,931 18,057
* LifePoint Hospitals Inc. 460,568 17,386
Owens & Minor Inc. 598,308 17,058
* Alere Inc. 722,487 13,366
Hill-Rom Holdings Inc. 379,917 10,828
PDL BioPharma Inc. 1,315,462 9,274
* Amsurg Corp. Class A 296,759 8,906
Analogic Corp. 115,257 8,564
* Hanger Inc. 305,323 8,354
CONMED Corp. 267,623 7,480
* MedAssets Inc. 440,475 7,387
* Arena Pharmaceuticals Inc. 713,081 6,432
* Charles River Laboratories International Inc. 160,225 6,004
* Kindred Healthcare Inc. 500,615 5,417
Invacare Corp. 274,495 4,474
Ensign Group Inc. 161,360 4,387

 

54


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
National Healthcare Corp. 85,505 4,020
* PharMerica Corp. 277,679 3,954
Select Medical Holdings Corp. 394,331 3,718
* Symmetry Medical Inc. 344,705 3,626
* Vanguard Health Systems Inc. 289,558 3,547
* Immunogen Inc. 276,971 3,531
* Infinity Pharmaceuticals Inc. 97,060 3,397
* Triple-S Management Corp. Class B 182,271 3,367
* Isis Pharmaceuticals Inc. 315,254 3,298
* Amedisys Inc. 288,418 3,250
* NuVasive Inc. 204,863 3,167
Universal American Corp. 359,619 3,089
* Alnylam Pharmaceuticals Inc. 154,510 2,820
* Nektar Therapeutics 379,442 2,812
* AngioDynamics Inc. 245,546 2,699
* Greatbatch Inc. 111,666 2,595
Quality Systems Inc. 137,229 2,382
* AMN Healthcare Services Inc. 183,792 2,123
* Natus Medical Inc. 183,906 2,056
Assisted Living Concepts Inc. Class A 187,478 1,828
* Gentiva Health Services Inc. 166,993 1,678
* Lexicon Pharmaceuticals Inc. 753,303 1,672
* Omnicell Inc. 108,801 1,618
Almost Family Inc. 79,136 1,603
* XenoPort Inc. 200,574 1,558
* Idenix Pharmaceuticals Inc. 320,135 1,553
* LHC Group Inc. 72,444 1,543
Enzon Pharmaceuticals Inc. 328,134 1,454
* Skilled Healthcare Group Inc. 201,735 1,285
* Achillion Pharmaceuticals Inc. 154,177 1,236
* AVANIR Pharmaceuticals Inc. 400,697 1,054
* Geron Corp. 613,121 864
* AVEO Pharmaceuticals Inc. 107,108 862
* Palomar Medical Technologies Inc. 86,838 800
* Clovis Oncology Inc. 38,467 615
* BioMimetic Therapeutics Inc. 69,142 501
* Progenics Pharmaceuticals Inc. 137,179 409
* Sunesis Pharmaceuticals Inc. 84,719 356
* Corcept Therapeutics Inc. 220,738 316
* Biotime Inc. 91,487 287
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 62,138 59
    364,826
Industrials (15.3%)    
Carlisle Cos. Inc. 588,727 34,594
Kennametal Inc. 753,493 30,140
* Terex Corp. 1,039,284 29,214
Regal-Beloit Corp. 397,722 28,027
* WESCO International Inc. 411,221 27,729
Trinity Industries Inc. 742,999 26,614
Ryder System Inc. 480,758 24,004
* Oshkosh Corp. 775,728 23,000
* AECOM Technology Corp. 957,102 22,779
EMCOR Group Inc. 625,860 21,661
Lennox International Inc. 407,776 21,416
Huntington Ingalls Industries Inc. 465,621 20,180
Crane Co. 431,471 19,968
Exelis Inc. 1,756,951 19,801
ITT Corp. 825,453 19,365
Alliant Techsystems Inc. 307,735 19,067
Belden Inc. 421,979 18,985
Geo Group Inc. 666,173 18,786
* Esterline Technologies Corp. 290,695 18,491
GATX Corp. 418,928 18,140
Harsco Corp. 759,227 17,842

 

55


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* EnerSys Inc. 452,430 17,025
Macquarie Infrastructure Co. LLC 373,583 17,020
Brady Corp. Class A 462,035 15,432
Deluxe Corp. 476,302 15,356
* General Cable Corp. 468,870 14,258
Acuity Brands Inc. 199,500 13,512
* FTI Consulting Inc. 396,160 13,073
Curtiss-Wright Corp. 398,064 13,068
Brink's Co. 449,736 12,831
HNI Corp. 426,199 12,812
Mine Safety Appliances Co. 295,380 12,616
Granite Construction Inc. 345,692 11,622
United Stationers Inc. 361,900 11,215
* Atlas Air Worldwide Holdings Inc. 248,998 11,033
Watts Water Technologies Inc. Class A 247,944 10,659
Robbins & Myers Inc. 178,580 10,617
TAL International Group Inc. 284,010 10,332
ABM Industries Inc. 508,335 10,141
* Shaw Group Inc. 217,110 10,119
* GrafTech International Ltd. 1,070,692 10,054
* USG Corp. 353,147 9,913
Matson Inc. 398,623 9,854
Steelcase Inc. Class A 752,406 9,586
Briggs & Stratton Corp. 449,683 9,479
ESCO Technologies Inc. 251,301 9,401
Werner Enterprises Inc. 410,982 8,906
Generac Holdings Inc. 256,400 8,797
Aircastle Ltd. 655,526 8,220
CLARCOR Inc. 164,809 7,875
* ACCO Brands Corp. 1,064,615 7,814
Simpson Manufacturing Co. Inc. 236,077 7,741
* Air Lease Corp. 350,318 7,532
* Teledyne Technologies Inc. 115,038 7,486
Kaydon Corp. 302,058 7,228
Quanex Building Products Corp. 346,706 7,076
AAR Corp. 377,425 7,050
Mueller Industries Inc. 134,811 6,745
Universal Forest Products Inc. 176,105 6,699
Watsco Inc. 88,039 6,594
McGrath RentCorp 221,126 6,417
Apogee Enterprises Inc. 266,321 6,384
Barnes Group Inc. 280,199 6,293
Standex International Corp. 118,506 6,078
G&K Services Inc. Class A 177,594 6,065
Titan International Inc. 276,204 5,999
AZZ Inc. 155,112 5,961
* MRC Global Inc. 214,558 5,960
CIRCOR International Inc. 147,110 5,824
* Wabash National Corp. 642,520 5,763
Albany International Corp. 252,295 5,722
Altra Holdings Inc. 254,598 5,614
* Navigant Consulting Inc. 487,649 5,442
Cascade Corp. 84,199 5,414
Kaman Corp. 145,206 5,344
Viad Corp. 190,446 5,172
Great Lakes Dredge & Dock Corp. 531,884 4,750
Encore Wire Corp. 156,253 4,736
Interface Inc. Class A 294,498 4,736
Cubic Corp. 98,564 4,728
^ Quad/Graphics Inc. 230,575 4,701
Amerco Inc. 36,931 4,683
* Tutor Perini Corp. 335,151 4,592
* JetBlue Airways Corp. 794,958 4,539
* Federal Signal Corp. 586,811 4,466

 

56


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Gibraltar Industries Inc. 276,218 4,397
* ICF International Inc. 185,405 4,346
  Comfort Systems USA Inc. 351,169 4,270
  Kelly Services Inc. Class A 268,899 4,232
  H&E Equipment Services Inc. 280,847 4,232
* Dycom Industries Inc. 205,508 4,069
  US Ecology Inc. 172,362 4,057
* Greenbrier Cos. Inc. 243,852 3,943
  LB Foster Co. Class A 90,618 3,936
  SkyWest Inc. 313,371 3,905
  Ennis Inc. 246,027 3,806
* Powell Industries Inc. 89,429 3,714
* Korn/Ferry International 227,984 3,616
* Spirit Airlines Inc. 203,023 3,598
* Saia Inc. 151,032 3,492
* DigitalGlobe Inc. 122,984 3,006
  Douglas Dynamics Inc. 207,575 2,987
* Engility Holdings Inc. 154,327 2,972
* TrueBlue Inc. 188,467 2,968
* Consolidated Graphics Inc. 84,597 2,954
* GeoEye Inc. 95,023 2,920
  Kimball International Inc. Class B 249,010 2,891
  American Railcar Industries Inc. 90,712 2,878
* Columbus McKinnon Corp. 174,152 2,877
  Marten Transport Ltd. 155,835 2,866
* Kadant Inc. 107,228 2,843
  Global Power Equipment Group Inc. 162,356 2,784
  Multi-Color Corp. 113,907 2,733
* Wesco Aircraft Holdings Inc. 206,173 2,724
  FreightCar America Inc. 112,713 2,527
* EnergySolutions Inc. 766,877 2,393
* CBIZ Inc. 400,506 2,367
  Heidrick & Struggles International Inc. 153,541 2,343
* CAI International Inc. 105,181 2,309
  Heartland Express Inc. 170,033 2,222
  Alamo Group Inc. 67,665 2,209
  Arkansas Best Corp. 230,590 2,202
  CDI Corp. 128,257 2,197
  Sauer-Danfoss Inc. 40,215 2,146
* Northwest Pipe Co. 88,975 2,123
* Titan Machinery Inc. 83,179 2,054
* Air Transport Services Group Inc. 510,109 2,046
  Michael Baker Corp. 80,952 2,018
  SeaCube Container Leasing Ltd. 105,759 1,994
  Griffon Corp. 170,393 1,953
* Hawaiian Holdings Inc. 295,970 1,945
  Houston Wire & Cable Co. 158,214 1,941
  Schawk Inc. Class A 145,565 1,916
  Pike Electric Corp. 199,224 1,903
* CRA International Inc. 95,956 1,897
*,^ Swisher Hygiene Inc. 1,056,481 1,849
  Hyster-Yale Materials Handling Inc. 36,267 1,770
  Dynamic Materials Corp. 126,227 1,755
* TMS International Corp. Class A 135,452 1,696
* Republic Airways Holdings Inc. 279,675 1,589
* Ameresco Inc. Class A 161,880 1,588
* Layne Christensen Co. 64,821 1,573
* Ducommun Inc. 94,021 1,520
  Ampco-Pittsburgh Corp. 72,458 1,448
* Sterling Construction Co. Inc. 145,492 1,446
* Cenveo Inc. 534,664 1,444
  Twin Disc Inc. 80,015 1,395
* Accuride Corp. 376,381 1,208
* Vicor Corp. 196,475 1,065

 

57


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Orion Marine Group Inc. 126,702 926
  Preformed Line Products Co. 14,652 871
* Pacer International Inc. 219,186 855
* Patriot Transportation Holding Inc. 28,442 809
* Metalico Inc. 399,850 784
* Genco Shipping & Trading Ltd. 205,743 718
* American Reprographics Co. 246,304 631
* Quality Distribution Inc. 103,852 623
* American Superconductor Corp. 196,692 515
* Hill International Inc. 126,413 463
* Pendrell Corp. 339,308 431
* Dolan Co. 96,146 374
* Tecumseh Products Co. Class A 22,787 105
      1,196,149
Information Technology (10.6%)    
  Broadridge Financial Solutions Inc. 1,174,750 26,878
  AOL Inc. 883,828 26,170
* NCR Corp. 972,657 24,783
* Ingram Micro Inc. 1,411,596 23,884
* Brocade Communications Systems Inc. 4,098,361 21,844
  Lender Processing Services Inc. 796,469 19,609
* Teradyne Inc. 1,146,707 19,368
  Convergys Corp. 1,059,442 17,385
  Diebold Inc. 565,842 17,320
* Fairchild Semiconductor International Inc. Class A 1,193,275 17,183
* Itron Inc. 372,357 16,589
* Tech Data Corp. 355,715 16,196
* Arris Group Inc. 1,066,969 15,941
* Rovi Corp. 1,027,862 15,860
  Lexmark International Inc. Class A 662,615 15,366
* Mentor Graphics Corp. 878,822 14,958
  Cypress Semiconductor Corp. 1,329,697 14,414
* Advanced Micro Devices Inc. 5,655,117 13,572
* Vishay Intertechnology Inc. 1,233,107 13,108
  j2 Global Inc. 407,443 12,460
* EchoStar Corp. Class A 353,135 12,084
* International Rectifier Corp. 651,829 11,557
*,^ First Solar Inc. 372,788 11,512
* Microsemi Corp. 543,618 11,438
* Polycom Inc. 1,080,680 11,304
* CACI International Inc. Class A 202,412 11,139
  ADTRAN Inc. 565,065 11,041
* Compuware Corp. 1,013,269 11,014
* PMC - Sierra Inc. 1,959,662 10,210
  Intersil Corp. Class A 1,199,392 9,943
* Zynga Inc. Class A 4,146,878 9,828
* Benchmark Electronics Inc. 527,506 8,767
* Sanmina Corp. 766,732 8,488
* SYNNEX Corp. 245,500 8,440
* Take-Two Interactive Software Inc. 762,713 8,397
  MKS Instruments Inc. 322,981 8,326
* Progress Software Corp. 387,079 8,125
  Tessera Technologies Inc. 488,272 8,017
* Spansion Inc. Class A 565,292 7,863
* Kulicke & Soffa Industries Inc. 627,773 7,527
  Tellabs Inc. 3,280,159 7,479
* Insight Enterprises Inc. 418,514 7,270
  Cognex Corp. 191,689 7,058
* MEMC Electronic Materials Inc. 2,170,154 6,966
  EarthLink Inc. 995,605 6,432
* Integrated Device Technology Inc. 876,240 6,397
* ATMI Inc. 300,077 6,266
* Monster Worldwide Inc. 1,111,304 6,246
* Emulex Corp. 838,951 6,124

 

58


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Rofin-Sinar Technologies Inc. 268,208 5,815
* CSG Systems International Inc. 318,336 5,787
  Mantech International Corp. Class A 223,022 5,785
* Harmonic Inc. 1,106,757 5,611
* Web.com Group Inc. 370,444 5,483
  AVX Corp. 480,205 5,177
* TiVo Inc. 411,742 5,073
  Brooks Automation Inc. 626,057 5,040
* Digital River Inc. 336,689 4,845
* Newport Corp. 359,461 4,835
  Park Electrochemical Corp. 186,790 4,806
  United Online Inc. 856,790 4,789
* Bankrate Inc. 378,116 4,708
* Advanced Energy Industries Inc. 337,283 4,658
* TTM Technologies Inc. 503,501 4,632
* OmniVision Technologies Inc. 328,692 4,628
* Global Cash Access Holdings Inc. 587,933 4,609
  Comtech Telecommunications Corp. 168,790 4,284
  Booz Allen Hamilton Holding Corp. 306,088 4,261
* TeleTech Holdings Inc. 230,728 4,107
* Rudolph Technologies Inc. 303,825 4,086
* Power-One Inc. 977,021 4,016
  Daktronics Inc. 355,741 3,938
  EPIQ Systems Inc. 304,096 3,886
  Cass Information Systems Inc. 91,897 3,878
* Checkpoint Systems Inc. 361,032 3,877
  Black Box Corp. 158,616 3,861
  Methode Electronics Inc. 350,704 3,518
*,^ Amkor Technology Inc. 806,353 3,427
* Photronics Inc. 566,570 3,377
  CTS Corp. 288,158 3,063
  Badger Meter Inc. 64,005 3,034
* Super Micro Computer Inc. 293,500 2,994
* Intermec Inc. 295,678 2,915
* Fabrinet 211,489 2,779
  Electro Scientific Industries Inc. 275,379 2,740
  Electro Rent Corp. 168,689 2,594
* Symmetricom Inc. 393,064 2,268
* IntraLinks Holdings Inc. 364,131 2,247
* GSI Group Inc. 255,447 2,212
* CIBER Inc. 658,152 2,198
* SunPower Corp. Class A 388,672 2,184
* Infinera Corp. 367,942 2,138
* Kemet Corp. 419,479 2,110
* Avid Technology Inc. 272,206 2,063
* Aviat Networks Inc. 572,403 1,883
* QuinStreet Inc. 279,646 1,879
* Net 1 UEPS Technologies Inc. 361,671 1,848
* Cray Inc. 106,894 1,705
* Pericom Semiconductor Corp. 209,069 1,679
* RealNetworks Inc. 212,197 1,604
* Vocus Inc. 91,900 1,597
* Anaren Inc. 71,710 1,395
* FormFactor Inc. 303,493 1,384
* Alpha & Omega Semiconductor Ltd. 163,327 1,372
  Bel Fuse Inc. Class B 66,722 1,304
  Cohu Inc. 108,539 1,177
* Multi-Fineline Electronix Inc. 57,708 1,166
* TeleCommunication Systems Inc. Class A 466,377 1,152
* Aeroflex Holding Corp. 158,539 1,110
* ModusLink Global Solutions Inc. 369,820 1,072
  Keynote Systems Inc. 74,526 1,050
  Marchex Inc. Class B 226,467 931
* Imation Corp. 192,108 897

 

59


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* TechTarget Inc. 150,971 838
  Supertex Inc. 46,786 821
* Envestnet Inc. 58,055 810
* Sigma Designs Inc. 153,629 791
* Saba Software Inc. 87,723 767
* XO Group Inc. 80,265 746
* Mitel Networks Corp. 206,717 649
* Agilysys Inc. 72,294 605
* Intevac Inc. 109,516 501
* Viasystems Group Inc. 35,087 428
* Oclaro Inc. 248,900 391
* STR Holdings Inc. 126,486 319
  Bel Fuse Inc. Class A 14,975 258
      826,611
Materials (6.6%)    
  RPM International Inc. 1,241,566 36,452
  Packaging Corp. of America 923,110 35,512
  Cytec Industries Inc. 411,496 28,323
  Cabot Corp. 595,223 23,684
  Compass Minerals International Inc. 311,337 23,260
  Sensient Technologies Corp. 470,227 16,721
  Olin Corp. 753,805 16,275
  Hecla Mining Co. 2,689,908 15,682
  Commercial Metals Co. 985,411 14,643
  Carpenter Technology Corp. 273,746 14,134
  Minerals Technologies Inc. 332,501 13,273
  Tronox Ltd. Class A 725,304 13,237
  Worthington Industries Inc. 489,086 12,711
* Resolute Forest Products 933,676 12,362
  Greif Inc. Class A 236,568 10,527
* Coeur d'Alene Mines Corp. 422,554 10,395
* SunCoke Energy Inc. 658,769 10,270
  Silgan Holdings Inc. 244,761 10,180
  Kaiser Aluminum Corp. 163,410 10,081
* Chemtura Corp. 461,612 9,814
  Innophos Holdings Inc. 205,051 9,535
  Georgia Gulf Corp. 210,861 8,704
* Clearwater Paper Corp. 218,555 8,559
  A Schulman Inc. 278,129 8,046
* RTI International Metals Inc. 271,270 7,476
  AMCOL International Corp. 240,264 7,371
* Kraton Performance Polymers Inc. 303,507 7,293
  Boise Inc. 898,531 7,143
  PH Glatfelter Co. 401,670 7,021
  Schnitzer Steel Industries Inc. 226,359 6,865
* OM Group Inc. 304,205 6,753
  Quaker Chemical Corp. 122,239 6,584
  Haynes International Inc. 115,363 5,984
  Stepan Co. 107,650 5,979
  AK Steel Holding Corp. 1,253,602 5,767
  Schweitzer-Mauduit International Inc. 146,546 5,720
* Calgon Carbon Corp. 349,994 4,963
* Texas Industries Inc. 94,748 4,833
  Materion Corp. 182,682 4,710
^ Kronos Worldwide Inc. 219,334 4,277
  Neenah Paper Inc. 148,448 4,226
* Horsehead Holding Corp. 411,981 4,206
  Myers Industries Inc. 253,817 3,845
  Buckeye Technologies Inc. 131,582 3,778
  Wausau Paper Corp. 417,732 3,618
*,^ Molycorp Inc. 374,952 3,540
* Ferro Corp. 776,926 3,248
* Mercer International Inc. 448,934 3,214
* Headwaters Inc. 335,343 2,871

 

60


 

Vanguard® Small-Cap Value Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* Century Aluminum Co. 323,757 2,836
Tredegar Corp. 137,909 2,816
Metals USA Holdings Corp. 157,546 2,756
* AM Castle & Co. 164,122 2,424
* Zoltek Cos. Inc. 276,628 2,144
Olympic Steel Inc. 86,638 1,918
Noranda Aluminum Holding Corp. 205,533 1,256
* Golden Minerals Co. 159,087 730
    520,545
Telecommunication Services (0.7%)    
Telephone & Data Systems Inc. 859,019 19,019
Consolidated Communications Holdings Inc. 356,251 5,672
* Clearwire Corp. Class A 1,662,507 4,805
* Premiere Global Services Inc. 438,172 4,285
* Vonage Holdings Corp. 1,598,090 3,788
Shenandoah Telecommunications Co. 213,935 3,275
* Iridium Communications Inc. 485,946 3,275
USA Mobility Inc. 209,225 2,444
Atlantic Tele-Network Inc. 56,981 2,092
NTELOS Holdings Corp. 150,913 1,978
* Leap Wireless International Inc. 240,536 1,600
Lumos Networks Corp. 150,233 1,505
IDT Corp. Class B 138,510 1,321
Alaska Communications Systems Group Inc. 436,048 846
* Elephant Talk Communications Corp. 187,002 187
    56,092
Utilities (6.7%)    
Westar Energy Inc. 1,188,118 34,004
Questar Corp. 1,652,641 32,656
Atmos Energy Corp. 848,146 29,787
Great Plains Energy Inc. 1,443,174 29,311
Hawaiian Electric Industries Inc. 913,031 22,954
Cleco Corp. 570,984 22,845
Vectren Corp. 771,719 22,689
Piedmont Natural Gas Co. Inc. 676,176 21,171
IDACORP Inc. 471,636 20,445
Portland General Electric Co. 710,235 19,432
WGL Holdings Inc. 484,992 19,007
Southwest Gas Corp. 434,635 18,433
UIL Holdings Corp. 477,329 17,093
UNS Energy Corp. 388,765 16,491
New Jersey Resources Corp. 391,817 15,524
PNM Resources Inc. 750,440 15,392
South Jersey Industries Inc. 290,814 14,637
Black Hills Corp. 395,493 14,372
Avista Corp. 553,639 13,348
ALLETE Inc. 324,628 13,303
NorthWestern Corp. 349,706 12,145
El Paso Electric Co. 358,301 11,433
Northwest Natural Gas Co. 252,261 11,150
MGE Energy Inc. 217,316 11,072
CH Energy Group Inc. 133,362 8,698
American States Water Co. 177,786 8,530
Empire District Electric Co. 397,854 8,108
Laclede Group Inc. 200,902 7,757
Otter Tail Corp. 306,458 7,662
California Water Service Group 374,954 6,880
Chesapeake Utilities Corp. 90,141 4,092
SJW Corp. 122,450 3,257
Unitil Corp. 123,049 3,190
Connecticut Water Service Inc. 99,707 2,969
Middlesex Water Co. 147,677 2,889
Ormat Technologies Inc. 149,626 2,885
Genie Energy Ltd. Class B 149,878 1,064

 

61


 

Vanguard® Small-Cap Value Index Fund        
Schedule of Investments        
December 31, 2012        
 
          Market
          Value
        Shares ($000)
  NRG Energy Inc.     1
          526,675
Total Common Stocks (Cost $7,351,968)       7,802,592
 
    Coupon      
Temporary Cash Investments (0.6%)1        
Money Market Fund (0.6%)        
2,3 Vanguard Market Liquidity Fund 0.162%   44,078,854 44,079
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
4,5 Fannie Mae Discount Notes 0.097% 3/27/13 2,500 2,499
5,6 Federal Home Loan Bank Discount Notes 0.090% 3/8/13 500 500
          2,999
Total Temporary Cash Investments (Cost $47,078)       47,078
Total Investments (100.3%) (Cost $7,399,046)       7,849,670
Other Assets and Liabilities—Net (-0.3%)3,5       (25,984)
Net Assets (100%)       7,823,686

 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $22,575,000.
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 $23,959,000 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 $2,300,000 and cash of $2,500,000 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.

62


 

Report of Independent Registered Public Accounting Firm

To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund:

We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements (not presented herein) of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) as of December 31, 2012 and for the year then ended and have issued our unqualified report thereon dated February 14, 2013. Our audits included audits of the Funds' schedules of investments as of December 31, 2012. These schedules of investments are the responsibility of the Funds' management. Our responsibility is to express an opinion on these schedules of investments based on our audits.

In our opinion, the accompanying schedules of investments referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 14, 2013

63


 

© 2013 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.

SNA 480 022013


 

 

Annual Report | December 31, 2012
 
Vanguard U.S. Stock Index Funds
Mid-Capitalization Portfolios
 
 
 
Vanguard Extended Market Index Fund
Vanguard Mid-Cap Index Fund
Vanguard Mid-Cap Growth Index Fund
Vanguard Mid-Cap Value Index Fund

 



 

> For the year ended December 31, 2012, returns for Investor Shares of Vanguard’s mid-capitalization U.S. stock index funds ranged from 18.31% for Vanguard Extended Market Index Fund to 15.80% for Vanguard Mid-Cap Index Fund.

> The funds’ returns were in line with those of their target indexes.

> All except the Mid-Cap Value Index Fund outperformed the average returns of their peers.

Contents  
Your Fund’s Total Returns. 1
Chairman’s Letter. 4
Extended Market Index Fund. 10
Mid-Cap Index Fund. 31
Mid-Cap Growth Index Fund. 55
Mid-Cap Value Index Fund. 71
Your Fund’s After-Tax Returns. 90
About Your Fund’s Expenses. 92
Glossary. 95

 


Mid-Cap Index Fund
Mid-Cap Growth Index Fund
Mid-Cap Value Index Fund

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.


 

Your Fund’s Total Returns  
 
 
 
 
Fiscal Year Ended December 31, 2012  
 
  Total
  Returns
Vanguard Extended Market Index Fund  
Investor Shares 18.31%
Admiral™ Shares 18.48
Signal® Shares 18.48
Institutional Shares 18.50
Institutional Plus Shares 18.52
ETF Shares  
Market Price 18.64
Net Asset Value 18.48
S&P Completion Index 18.45
Mid-Cap Core Funds Average 15.66
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc.  
Vanguard Mid-Cap Index Fund  
Investor Shares 15.80%
Admiral Shares 15.99
Signal Shares 16.02
Institutional Shares 16.01
Institutional Plus Shares 16.03
ETF Shares  
Market Price 16.01
Net Asset Value 15.98
MSCI US Mid Cap 450 Index 16.04
Mid-Cap Core Funds Average 15.66
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc.  

 

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares, Institutional Shares, and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.

1


 

Your Fund’s Total Returns  
 
 
 
 
Fiscal Year Ended December 31, 2012  
 
  Total
  Returns
Vanguard Mid-Cap Growth Index Fund  
Investor Shares 15.81%
Admiral Shares 15.96
ETF Shares  
Market Price 16.02
Net Asset Value 15.94
MSCI US Mid Cap Growth Index 16.03
Mid-Cap Growth Funds Average 13.58
Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc.  
Vanguard Mid-Cap Value Index Fund  
Investor Shares 15.91%
Admiral Shares 16.02
ETF Shares  
Market Price 16.00
Net Asset Value 16.04
MSCI US Mid Cap Value Index 16.09
Mid-Cap Value Funds Average 16.71
Mid-Cap Value Funds Average: Derived from data provided by Lipper Inc.  

 

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares, Institutional Shares, and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.

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.

2


 

Your Fund’s Performance at a Glance    
 
 
 
 
December 31, 2011, Through December 31, 2012        
      Distributions Per Share
  Starting Ending Income Capital
  Share Price Share Price Dividends Gains
Vanguard Extended Market Index Fund        
Investor Shares $39.34 $45.86 $0.683 $0.000
Admiral Shares 39.35 45.87 0.751 0.000
Signal Shares 33.81 39.41 0.645 0.000
Institutional Shares 39.34 45.86 0.758 0.000
Institutional Plus Shares 97.10 113.18 1.901 0.000
ETF Shares 51.87 60.46 0.992 0.000
Vanguard Mid-Cap Index Fund        
Investor Shares $19.65 $22.47 $0.284 $0.000
Admiral Shares 89.15 101.97 1.438 0.000
Signal Shares 28.13 32.18 0.456 0.000
Institutional Shares 19.69 22.52 0.322 0.000
Institutional Plus Shares 97.12 111.08 1.609 0.000
ETF Shares 71.99 82.33 1.162 0.000
Vanguard Mid-Cap Growth Index Fund        
Investor Shares $23.43 $26.99 $0.145 $0.000
Admiral Shares 25.66 29.55 0.204 0.000
ETF Shares 59.61 68.64 0.473 0.000
Vanguard Mid-Cap Value Index Fund        
Investor Shares $20.34 $23.16 $0.416 $0.000
Admiral Shares 26.77 30.47 0.590 0.000
ETF Shares 51.67 58.82 1.136 0.000

 

3


 

 

Chairman’s Letter

Dear Shareholder,

Vanguard’s four mid-capitalization stock index funds produced strong returns for 2012, as U.S. stocks bounced back from a lackluster 2011.

For the fiscal year ended December 31, Vanguard Extended Market Index Fund returned 18.31%. Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund, and Vanguard Mid-Cap Value Index Fund each returned nearly 16%. (All returns are for the funds’ Investor Shares.)

All four funds closely tracked their target indexes for the year. All but the Value Fund outperformed the average returns of their peers.

If you hold any of these funds in a taxable account, you may wish to review the after-tax returns that appear later in this report.

With help from central banks, stocks posted strong results
Stocks around the world recorded double-digit gains for the 12 months ended December 31, with international stocks faring even better than their U.S. counterparts.

European stocks shook off investors’ concerns to deliver some of the best results, rising about 19% compared with about 16% for U.S. stocks. The rally came as European central bankers moved to address worries about the finances of governments and banks. Still, Vanguard economists expect Europe to remain a

4


 

trouble spot, with occasional spikes in market volatility, as fiscal tightening persists in the face of weak economic growth.

In the United States, the Federal Reserve continued buying bonds and mortgage-backed securities to try to stimulate growth. The Fed’s actions seemed to buoy both stock and bond returns.

Attention to the nation’s considerable budget challenges intensified as 2012 drew to a close. The focus on the “fiscal cliff” led to nervousness in the markets before policymakers reached a limited tax-rate agreement on the cusp of the new year. The compromise legislation, which President Barack Obama signed into law on January 2, addressed some immediate concerns, but a credible long-term deficit-reduction strategy had yet to be crafted to resolve the nation’s fiscal imbalance and open the way for growth.

Bond returns were solid, but challenges lie ahead
The broad U.S. taxable bond market returned about 4% for the 12 months. Municipal bonds performed especially well, returning more than 6%.

As bond prices rose, the yield of the 10-year U.S. Treasury note slipped to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) By the end of the period, the yield had climbed, but it remained exceptionally low by historical standards.

Market Barometer      
 
    Average Annual Total Returns
  Periods Ended December 31, 2012
  One Three Five
  Year Years Years
Stocks      
Russell 1000 Index (Large-caps) 16.42% 11.12% 1.92%
Russell 2000 Index (Small-caps) 16.35 12.25 3.56
Russell 3000 Index (Broad U.S. market) 16.42 11.20 2.04
MSCI All Country World Index ex USA (International) 16.83 3.87 -2.89
 
Bonds      
Barclays U.S. Aggregate Bond Index (Broad taxable market) 4.21% 6.19% 5.95%
Barclays Municipal Bond Index (Broad tax-exempt market) 6.78 6.57 5.91
Citigroup Three-Month U.S. Treasury Bill Index 0.07 0.08 0.44
 
CPI      
Consumer Price Index 1.74% 2.06% 1.80%

 

5


 

Although bonds can provide critical diversification benefits to a portfolio, their prospects look much less promising than they had in recent years. As yields have tumbled, the opportunity for future bond price appreciation has greatly diminished. (You can read more about our expectations for bond and stock returns in Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.)

As it has since late 2008, the Fed held its target for short-term interest rates between 0% and 0.25%, which kept a tight lid on returns from money market funds and savings accounts.

Financial sector’s turnaround boosted mid-cap funds’ results
The broad U.S. stock market began 2012 with its best first-quarter performance in more than a decade. With the U.S. economy showing promising growth and the Eurozone debt crisis seemingly under control, mid-cap stocks of all styles rose.

For the rest of the year, it was far from smooth sailing. Mid-cap stocks gave back most of their early gains by June before climbing relatively steadily through December, producing much stronger results than a year earlier, when returns were largely negative.

Expense Ratios              
Your Fund Compared With Its Peer Group            
              Peer
  Investor Admiral Signal  Institutional Institutional ETF Group
  Shares Shares Shares Shares Plus Shares Shares Average
Extended Market Index Fund 0.28% 0.14% 0.14% 0.12% 0.10% 0.14% 1.28%
Mid-Cap Index Fund 0.24 0.10 0.10 0.08 0.06 0.10 1.28
Mid-Cap Growth Index Fund 0.24 0.10 0.10 1.40
Mid-Cap Value Index Fund 0.24 0.10 0.10 1.31

 

The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the funds’ expense ratios were: for the Extended Market Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Mid-Cap Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Mid-Cap Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2011.

Peer groups: For the Extended Market and Mid-Cap Index Funds, Mid-Cap Core Funds; for the Mid-Cap Growth Index Fund, Mid-Cap Growth Funds; for the Mid-Cap Value Index Fund, Mid-Cap Value Funds.

6


 

The Extended Market Index Fund, whose portfolio includes small-cap companies, posted the best 2012 return of the four funds in this report. Financial firms, its largest sector, enjoyed a remarkable turnaround in performance from 2011 and advanced 20%, providing the largest contribution to the fund’s returns. Banks, other diversified financial services providers, and companies that manage real estate also gained. And

consumer discretionary, industrial, and health care stocks delivered impressive results as well.

Year-end total returns for Investor Shares of the three other mid-cap funds varied by only about one-tenth of a percentage point, from 15.80% for the Mid-Cap Index Fund to 15.81% for the Growth Fund to 15.91% for the Value Fund. Sector performance was comparable to that

Total Returns  
Ten Years Ended December 31, 2012  
  Average
  Annual Return
Extended Market Index Fund Investor Shares 10.58%
Spliced Extended Market Index 10.63
Mid-Cap Core Funds Average 8.94
For a benchmark description, see the Glossary.  
Mid-Cap Core Funds Average: Derived form data provided by Lipper Inc.  
 
Mid-Cap Index Fund Investor Shares 9.90%
Spliced Mid-Cap Index 10.01
Mid-Cap Core Funds Average 8.94
For a benchmark description, see the Glossary.  
Mid-Cap Core Funds Average: Derived form data provided by Lipper Inc.  
 
Mid-Cap Growth Index Fund Investor Shares (Returns since inception: 8/24/2006) 5.31%
MSCI US Mid Cap Growth Index 5.49
Mid-Cap Growth Funds Average 5.01
Mid-Cap Growth Funds Average: Derived form data provided by Lipper Inc.  
 
Mid-Cap Value Index Fund Investor Shares (Returns since inception: 8/24/2006) 4.41%
MSCI US Mid Cap Value Index 4.59
Mid-Cap Value Funds Average 4.11
Mid-Cap Value Funds Average: Derived form data provided by Lipper Inc.  

 

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.

7


 

of the Extended Market Fund; financials, consumer discretionary, industrials, and health care did best.

The only weak sector across all four funds was energy (returns ranged from 1% to –3%), as falling U.S. crude oil prices squeezed industry profits.

The funds have produced a solid long-term record
For the decade ended December 31, 2012, the Extended Market Index Fund, helped by its inclusion of smaller-company stocks, returned an average of 10.58% a year for Investor Shares, with the Mid-Cap Index Fund not far behind at 9.90%. The Mid-Cap Growth and Value Index Funds—subsets of the Mid-Cap Index Fund—opened for business in August 2006; their average annual returns are more modest, as the 2008–2009 financial crisis diminished results for all stock funds.

Each of the four mid-cap funds has tracked its index closely, even though the benchmarks’ returns reflect no operating or transaction costs. Each fund’s average annual return has also surpassed that of its peer group.

The funds’ success in closely following their benchmarks’ performance is a tribute to their advisor, Vanguard Equity Investment Group, whose sophisticated portfolio construction and management techniques reflect more than 30 years of indexing experience. The advisor has been aided in this task, of course, by the funds’ low expenses.

Funds will seek to track new benchmark indexes
In early October, we announced that three of the four funds in this report would adopt new target benchmarks as part of a broader transition affecting 22 of our index funds. This transition, which we plan to complete by the middle of this year, is expected to produce significant long-term savings for Vanguard clients. As of January 31, we had already completed the transition for Vanguard Mid-Cap Index Fund.

The new benchmarks for the Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds are supplied by the University of Chicago’s Center for Research in Security Prices (CRSP). CRSP is one of 11 research centers at the University of Chicago Booth School of Business. In 1960, the research organization pioneered the development of U.S. stock market data that are widely used in academic and investment research today.

Gus Sauter united traditional values with pioneering investment acumen
When I was interviewing for a job at Vanguard in the mid-1980s, Jack Brennan, who would go on to become our chairman and CEO and is now chairman emeritus, described Vanguard as “a company with the intellectual rigor of Wall Street but with Midwestern values.”

I’m reminded of that when I think about Gus Sauter’s 25-year career at Vanguard. Gus retired as our chief investment officer at the end of December, having set the highest of standards for both intellectual

8


 

achievement and devotion to doing the right thing for clients, colleagues, and community.

Gus played a pivotal role in transforming indexing from a novelty to an investing mainstay, a change that has benefited all investors. In addition, he developed our active quantitative equity strategies, oversaw the growth of our industry-leading expertise in fixed income, and ultimately helped Vanguard to become a global investment manager responsible for $2 trillion in client assets.

As for the Midwestern values, Gus—a native of Ohio, incidentally—served our clients with a dedication to thrift, candor, and common sense that has helped make Vanguard what it is. His colleagues knew that in any situation they could count on Gus to keep a level-headed, long-term outlook. Just two weeks after he started at Vanguard, Gus helped guide us through the stock market crash of 1987. Some 20 years later, he helped us navigate the financial crisis of 2008–2009.

An important aspect of Gus’s legacy is the team of world-class investment professionals that he cultivated at Vanguard. That team is now led by Tim Buckley, who oversaw our services for individual investors before becoming chief investment officer. I am confident that Tim will not only carry on Gus’s legacy, but also—as Gus himself put it—take Vanguard investment management to the next level.

As always, thank you for investing with Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
January 31, 2013

A note on expense ratios
The Expense Ratios table in each report’s Chairman’s Letter displays fund expense
ratios from the most recent prospectus. These figures include the funds’ actual
operating expenses. For some funds, the figures also include “acquired fund fees
and expenses,” which result from the funds’ holdings in business development
companies (BDCs).
 
Although the Securities and Exchange Commission requires that BDC costs be
included in a fund’s expense ratio, these fees are not incurred by the fund. They
have no impact on a fund’s total return or on its tracking error relative to an index.
A footnote to the Expense Ratios table reports an annualized calculation of the
fund’s actual expenses for the period, a more relevant tally of the operating costs
incurred by shareholders.

 

9


 

Extended Market Index Fund        
 
 
Fund Profile            
As of December 31, 2012            
 
Share-Class Characteristics            
  Investor Admiral Signal Institutional Institutional ETF
  Shares Shares Shares Shares Plus Shares Shares
Ticker Symbol VEXMX VEXAX VEMSX VIEIX VEMPX VXF
Expense Ratio1 0.28% 0.14% 0.14% 0.12% 0.10% 0.14%
30-Day SEC Yield 1.01% 1.15% 1.15% 1.17% 1.19% 1.15%

 

Portfolio Characteristics    
      DJ U.S.
      Total
    S&P Market
    Completion FA
  Fund Index Index
Number of Stocks 2,979 3,235 3,604
Median Market Cap $2.8B $2.8B $35.1B
Price/Earnings Ratio 22.4x 22.5x 16.8x
Price/Book Ratio 2.0x 2.0x 2.1x
Return on Equity 9.6% 9.6% 17.1%
Earnings Growth Rate 9.1% 9.1% 9.7%
Dividend Yield 1.3% 1.2% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 12%
Short-Term Reserves 0.0%

 

Volatility Measures    
    DJ U.S.
    Total
  S&P Market
  Completion FA
  Index Index
R-Squared 1.00 0.96
Beta 1.00 1.19

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)
General Motors Co. Automobile  
  Manufacturers 0.8%
Las Vegas Sands Corp. Casinos & Gaming 0.6
Liberty Global Inc. Cable & Satellite 0.5
Facebook Inc. Class A Internet Software &  
  Services 0.5
Liberty Media Corp. -    
Liberty Capital Class A Broadcasting 0.5
Regeneron    
Pharmaceuticals Inc. Biotechnology 0.5
Bunge Ltd. Agricultural Products 0.4
Delta Air Lines Inc. Airlines 0.4
Equinix Inc. Internet Software &  
  Services 0.4
Sirius XM Radio Inc. Cable & Satellite 0.3
Top Ten   4.9%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares.

10


 

Extended Market Index Fund

Sector Diversification (% of equity exposure)
      DJ U.S.
      Total
    S&P Market
    Completion FA
  Fund Index Index
Consumer Discretionary 15.7% 15.7% 12.3%
Consumer Staples 3.5 3.5 9.3
Energy 6.1 6.1 10.2
Financials 21.8 21.8 16.9
Health Care 10.5 10.5 11.7
Industrials 16.1 16.0 11.1
Information Technology 15.5 15.5 18.3
Materials 6.0 6.0 4.0
Telecommunication      
Services 1.1 1.1 2.7
Utilities 3.7 3.8 3.5

 

11


 

Extended Market 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: December 31, 2002, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
 
Extended Market Index Fund Investor        
Shares 18.31% 4.08% 10.58% $27,346
 
Spliced Extended Market Index 18.45 4.09 10.63 27,464
 
Mid-Cap Core Funds Average 15.66 2.80 8.94 23,549
 
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

For a benchmark description, see the Glossary.

Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc.

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Extended Market Index Fund Admiral Shares 18.48% 4.24% 10.73% $27,720
Spliced Extended Market Index 18.45 4.09 10.63 27,464
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

 

See Financial Highlights for dividend and capital gains information.

12


 

Extended Market Index Fund        
 
 
 
    Average Annual Total Returns  
  Periods Ended December 31, 2012  
      Since Final Value
  One Five Inception of a $10,000
  Year Years (9/1/2006) Investment
Extended Market Index Fund Signal Shares 18.48% 4.24% 5.53% $14,057
S&P Completion Index 18.45 4.09 5.41 13,957
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 4.03 12,842

"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.

 

        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Extended Market Index Fund Institutional        
Shares 18.50% 4.28% 10.78% $13,919,168
Spliced Extended Market Index 18.45 4.09 10.63 13,731,774
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 10,742,011

 

    Since Final Value
  One Inception of a $100,000,000
  Year (1/14/2011) Investment
Extended Market Index Fund Institutional      
Plus Shares 18.52% 5.35% $110,765,812
S&P Completion Index 18.45 5.22 107,516,434
Dow Jones U.S. Total Stock Market      
Float-Adjusted Index 16.38 7.02 114,243,668

"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.

 

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Extended Market Index Fund        
ETF Shares Net Asset Value 18.48% 4.24% 10.74% $27,725
Spliced Extended Market Index 18.45 4.09 10.63 27,464
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

 

13


 

Extended Market Index Fund

Cumulative Returns of ETF Shares: December 31, 2002, Through December 31, 2012  
  One Five Ten
  Year Years Years
Extended Market Index Fund ETF Shares      
Market Price 18.64% 23.40% 177.09%
Extended Market Index Fund ETF Shares Net      
Asset Value 18.48 23.10 177.25
Spliced Extended Market Index 18.45 22.19 174.64

 

Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012


Extended Market Index Fund Investor Shares
Spliced Extended Market Index

 

For a benchmark description, see the Glossary.

14


 

Extended Market Index Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of December 31, 2012

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

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 complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. 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. 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 Percentage
    Value of Net
  Shares ($000) Assets
Common Stocks      
Consumer Discretionary      
* General Motors Co. 6,294,892 181,482 0.8%
Las Vegas Sands Corp. 2,913,822 134,502 0.6%
* Liberty Media Corp. - Liberty Capital Class A 921,877 106,947 0.5%
* Liberty Global Inc. 1,373,190 80,675 0.3%
Sirius XM Radio Inc. 27,023,444 78,098 0.3%
DISH Network Corp. Class A 1,878,522 68,378 0.3%
PVH Corp. 581,317 64,532 0.3%
* LKQ Corp. 2,445,895 51,608 0.2%
Tractor Supply Co. 581,784 51,406 0.2%
Consumer Discretionary—Other †   2,866,685 12.2%
    3,684,313 15.7%
Consumer Staples      
Bunge Ltd. 1,202,304 87,395 0.4%
Church & Dwight Co. Inc. 1,150,999 61,659 0.3%
Consumer Staples—Other †   665,146 2.8%
    814,200 3.5%
Energy      
HollyFrontier Corp. 1,667,019 77,600 0.4%
* Concho Resources Inc. 861,580 69,409 0.3%
* Plains Exploration & Production Co. 1,065,062 49,994 0.2%
Energy—Other †   1,229,705 5.2%
    1,426,708 6.1%
Financials      
General Growth Properties Inc. 3,708,606 73,616 0.3%
Digital Realty Trust Inc. 1,013,249 68,789 0.3%
Macerich Co. 1,122,190 65,424 0.3%
* CIT Group Inc. 1,652,868 63,867 0.3%
SL Green Realty Corp. 744,395 57,058 0.3%
* Affiliated Managers Group Inc. 426,343 55,489 0.2%
Federal Realty Investment Trust 532,465 55,387 0.2%

 

15


 

Extended Market Index Fund      
 
 
 
    Market Percentage
    Value of Net
  Shares ($000) Assets
Rayonier Inc. 1,016,676 52,694 0.2%
UDR Inc. 2,065,727 49,123 0.2%
Financials—Other †   4,564,958 19.4%
    5,106,405 21.7%
Health Care      
* Regeneron Pharmaceuticals Inc. 620,578 106,162 0.5%
* Vertex Pharmaceuticals Inc. 1,786,084 74,908 0.3%
* Henry Schein Inc. 726,718 58,472 0.3%
* Illumina Inc. 1,018,528 56,620 0.2%
* BioMarin Pharmaceutical Inc. 1,018,908 50,181 0.2%
ResMed Inc. 1,180,162 49,059 0.2%
* Mettler-Toledo International Inc. 253,122 48,928 0.2%
Health Care—Other †   2,009,789 8.5%
    2,454,119 10.4%
Industrials      
* Delta Air Lines Inc. 6,998,556 83,073 0.3%
Kansas City Southern 906,474 75,672 0.3%
AMETEK Inc. 2,001,542 75,198 0.3%
* United Continental Holdings Inc. 2,744,766 64,173 0.3%
* Verisk Analytics Inc. Class A 1,194,109 60,900 0.3%
TransDigm Group Inc. 371,286 50,629 0.2%
Industrials—Other †   3,356,890 14.3%
    3,766,535 16.0%
Information Technology      
* Facebook Inc. Class A 4,093,041 108,998 0.5%
* Equinix Inc. 400,337 82,549 0.3%
Maxim Integrated Products Inc. 2,399,507 70,546 0.3%
* Rackspace Hosting Inc. 898,148 66,705 0.3%
* VMware Inc. Class A 703,605 66,237 0.3%
* LinkedIn Corp. Class A 556,045 63,845 0.3%
* Trimble Navigation Ltd. 1,040,897 62,225 0.3%
* Alliance Data Systems Corp. 410,231 59,385 0.2%
Avago Technologies Ltd. Class A 1,774,962 56,195 0.2%
* ANSYS Inc. 763,109 51,388 0.2%
Information Technology—Other †   2,947,041 12.5%
    3,635,114 15.4%
Materials      
Celanese Corp. Class A 1,316,515 58,624 0.2%
Materials—Other †   1,355,549 5.8%
    1,414,173 6.0%
Telecommunication Services      
* SBA Communications Corp. Class A 1,038,409 73,748 0.3%
Telecommunication Services—Other †   177,539 0.8%
    251,287 1.1%
Utilities      
* Calpine Corp. 3,229,217 58,546 0.2%
American Water Works Co. Inc. 1,458,717 54,162 0.2%
Utilities—Other †   769,845 3.3%
    882,553 3.7%
Total Common Stocks (Cost $20,620,104) 23,435,407 99.6%1

 

16


 

Extended Market Index Fund        
 
 
      Market Percentage
      Value of Net
  Coupon Shares ($000) Assets
Temporary Cash Investments        
Money Market Fund        
2,3 Vanguard Market Liquidity Fund 0.162% 270,684,131 270,684 1.2%
4U.S. Government and Agency Obligations †     4,749 0.0%
Total Temporary Cash Investments (Cost $275,433)     275,433 1.2%1
5Total Investments (Cost $20,895,537)     23,710,840 100.8%
Other Assets and Liabilities        
Other Assets4     97,053 0.4%
Liabilities3     (288,938) (1.2%)
      (191,885) (0.8%)
Net Assets     23,518,955 100.0%
 
 
At December 31, 2012, net assets consisted of:        
        Amount
        ($000)
Paid-in Capital       20,902,418
Overdistributed Net Investment Income       (20,146)
Accumulated Net Realized Losses       (178,583)
Unrealized Appreciation (Depreciation)        
Investment Securities       2,815,303
Futures Contracts       (37)
Net Assets       23,518,955
 
Investor Shares—Net Assets        
Applicable to 62,299,008 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)       2,857,341
Net Asset Value Per Share—Investor Shares       $45.86
 
Admiral Shares—Net Assets        
Applicable to 130,143,708 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)       5,969,613
Net Asset Value Per Share—Admiral Shares       $45.87
 
Signal Shares—Net Assets        
Applicable to 56,892,849 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)       2,242,194
Net Asset Value Per Share—Signal Shares       $39.41
 
Institutional Shares—Net Assets        
Applicable to 119,828,543 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)       5,495,810
Net Asset Value Per Share—Institutional Shares       $45.86

 

17


 

Extended Market Index Fund  
 
 
 
  Amount
  ($000)
Institutional Plus Shares—Net Assets  
Applicable to 48,387,682 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 5,476,650
Net Asset Value Per Share—Institutional Plus Shares $113.18
 
ETF Shares—Net Assets  
Applicable to 24,434,209 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 1,477,347
Net Asset Value Per Share—ETF Shares $60.46

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
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 0.8%, 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 $187,921,000 of collateral received for securities on loan.
4 Securities with a value of $4,749,000 and cash of $4,750,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $175,819,000.
See accompanying Notes, which are an integral part of the Financial Statements.

18


 

Extended Market Index Fund  
 
 
Statement of Operations  
 
 
  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 375,380
Interest1 155
Security Lending 26,421
Total Income 401,956
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,294
Management and Administrative—Investor Shares 5,906
Management and Administrative—Admiral Shares 4,168
Management and Administrative—Signal Shares 1,306
Management and Administrative—Institutional Shares 2,303
Management and Administrative—Institutional Plus Shares 1,139
Management and Administrative—ETF Shares 809
Marketing and Distribution—Investor Shares 790
Marketing and Distribution—Admiral Shares 859
Marketing and Distribution—Signal Shares 569
Marketing and Distribution—Institutional Shares 1,662
Marketing and Distribution—Institutional Plus Shares 808
Marketing and Distribution—ETF Shares 374
Custodian Fees 548
Auditing Fees 37
Shareholders’ Reports—Investor Shares 107
Shareholders’ Reports—Admiral Shares 58
Shareholders’ Reports—Signal Shares 44
Shareholders’ Reports—Institutional Shares 90
Shareholders’ Reports—Institutional Plus Shares 74
Shareholders’ Reports—ETF Shares 59
Trustees’ Fees and Expenses 21
Total Expenses 23,025
Net Investment Income 378,931
Realized Net Gain (Loss)  
Investment Securities Sold 986,036
Futures Contracts 20,913
Realized Net Gain (Loss) 1,006,949
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 2,133,679
Futures Contracts (523)
Change in Unrealized Appreciation (Depreciation) 2,133,156
Net Increase (Decrease) in Net Assets Resulting from Operations 3,519,036

 

1 Interest income from an affiliated company of the fund was $144,000.

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

19


 

Extended Market Index Fund    
 
 
Statement of Changes in Net Assets    
 
  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 378,931 194,763
Realized Net Gain (Loss) 1,006,949 1,546,143
Change in Unrealized Appreciation (Depreciation) 2,133,156 (2,510,849)
Net Increase (Decrease) in Net Assets Resulting from Operations 3,519,036 (769,943)
Distributions    
Net Investment Income    
Investor Shares (42,238) (27,422)
Admiral Shares (96,338) (56,649)
Signal Shares (36,221) (20,443)
Institutional Shares (89,944) (65,814)
Institutional Plus Shares (89,978) (11,696)
ETF Shares (23,617) (13,071)
Realized Capital Gain    
Investor Shares
Admiral Shares
Signal Shares
Institutional Shares
Institutional Plus Shares
ETF Shares
Total Distributions (378,336) (195,095)
Capital Share Transactions    
Investor Shares (334,651) (506,395)
Admiral Shares 122,276 104,983
Signal Shares 130,865 (154,991)
Institutional Shares (1,240,690) 425,639
Institutional Plus Shares 3,716,303 1,419,261
ETF Shares 132,781 106,471
Net Increase (Decrease) from Capital Share Transactions 2,526,884 1,394,968
Total Increase (Decrease) 5,667,584 429,930
Net Assets    
Beginning of Period 17,851,371 17,421,441
End of Period1 23,518,955 17,851,371

 

1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($20,146,000) and ($20,743,000).

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

20


 

Extended Market Index Fund          
 
 
Financial Highlights          
 
 
Investor Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $39.34 $41.26 $32.67 $24.01 $39.89
Investment Operations          
Net Investment Income .688 .385 .360 .316 .392
Net Realized and Unrealized Gain (Loss)          
on Investments 6.515 (1.923) 8.581 8.670 (15.862)
Total from Investment Operations 7.203 (1.538) 8.941 8.986 (15.470)
Distributions          
Dividends from Net Investment Income (.683) (.382) (.351) (.326) (.410)
Distributions from Realized Capital Gains
Total Distributions (.683) (.382) (.351) (.326) (.410)
Net Asset Value, End of Period $45.86 $39.34 $41.26 $32.67 $24.01
 
Total Return1 18.31% -3.73% 27.37% 37.43% -38.73%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,857 $2,753 $3,405 $4,309 $3,080
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.30% 0.25%
Ratio of Net Investment Income to          
Average Net Assets 1.62% 0.93% 1.07% 1.16% 1.22%
Portfolio Turnover Rate2 12% 14% 10% 17% 13%

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

21


 

Extended Market Index Fund          
 
 
Financial Highlights          
 
 
Admiral Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $39.35 $41.28 $32.67 $24.01 $39.90
Investment Operations          
Net Investment Income .758 .450 .399 .362 .443
Net Realized and Unrealized Gain (Loss)          
on Investments 6.513 (1.932) 8.606 8.673 (15.881)
Total from Investment Operations 7.271 (1.482) 9.005 9.035 (15.438)
Distributions          
Dividends from Net Investment Income (.751) (.448) (.395) (.375) (.452)
Distributions from Realized Capital Gains
Total Distributions (.751) (.448) (.395) (.375) (.452)
Net Asset Value, End of Period $45.87 $39.35 $41.28 $32.67 $24.01
 
Total Return1 18.48% -3.59% 27.57% 37.65% -38.63%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $5,970 $5,018 $5,161 $2,300 $1,705
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.13% 0.10%
Ratio of Net Investment Income to          
Average Net Assets 1.76% 1.07% 1.21% 1.33% 1.37%
Portfolio Turnover Rate2 12% 14% 10% 17% 13%

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

22


 

Extended Market Index Fund          
 
 
Financial Highlights          
 
 
Signal Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $33.81 $35.46 $28.08 $20.64 $34.29
Investment Operations          
Net Investment Income .650 .384 .355 .310 .381
Net Realized and Unrealized Gain (Loss)          
on Investments 5.595 (1.652) 7.376 7.451 (13.642)
Total from Investment Operations 6.245 (1.268) 7.731 7.761 (13.261)
Distributions          
Dividends from Net Investment Income (.645) (.382) (.351) (.321) (.389)
Distributions from Realized Capital Gains
Total Distributions (.645) (.382) (.351) (.321) (.389)
Net Asset Value, End of Period $39.41 $33.81 $35.46 $28.08 $20.64
 
Total Return 18.48% -3.58% 27.53% 37.62% -38.61%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,242 $1,814 $2,094 $1,661 $1,230
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.13% 0.10%
Ratio of Net Investment Income to          
Average Net Assets 1.76% 1.07% 1.21% 1.33% 1.37%
Portfolio Turnover Rate1 12% 14% 10% 17% 13%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

23


 

Extended Market Index Fund          
 
 
Financial Highlights          
 
 
Institutional Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $39.34 $41.27 $32.68 $24.02 $39.91
Investment Operations          
Net Investment Income .764 .460 .429 .374 .458
Net Realized and Unrealized Gain (Loss)          
on Investments 6.514 (1.933) 8.586 8.674 (15.882)
Total from Investment Operations 7.278 (1.473) 9.015 9.048 (15.424)
Distributions          
Dividends from Net Investment Income (.758) (.457) (.425) (.388) (.466)
Distributions from Realized Capital Gains
Total Distributions (.758) (.457) (.425) (.388) (.466)
Net Asset Value, End of Period $45.86 $39.34 $41.27 $32.68 $24.02
 
Total Return 18.50% -3.57% 27.59% 37.69% -38.58%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $5,496 $5,810 $5,648 $3,494 $2,442
Ratio of Total Expenses to          
Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.06%
Ratio of Net Investment Income to          
Average Net Assets 1.78% 1.09% 1.25% 1.38% 1.41%
Portfolio Turnover Rate1 12% 14% 10% 17% 13%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

24


 

Extended Market Index Fund    
 
 
Financial Highlights    
 
 
Institutional Plus Shares    
  Year Jan. 14,
  Ended 20111 to
  Dec. 31, Dec. 31,
For a Share Outstanding Throughout Each Period 2012 2011
Net Asset Value, Beginning of Period $97.10 $105.13
Investment Operations    
Net Investment Income 1.917 1.139
Net Realized and Unrealized Gain (Loss) on Investments 16.064 (8.015)
Total from Investment Operations 17.981 (6.876)
Distributions    
Dividends from Net Investment Income (1.901) (1.154)
Distributions from Realized Capital Gains
Total Distributions (1.901) (1.154)
Net Asset Value, End of Period $113.18 $97.10
 
Total Return 18.52% -6.54%
 
Ratios/Supplemental Data    
Net Assets, End of Period (Millions) $5,477 $1,307
Ratio of Total Expenses to Average Net Assets 0.06% 0.06%2
Ratio of Net Investment Income to Average Net Assets 1.80% 1.11%2
Portfolio Turnover Rate3 12% 14%

1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

25


 

Extended Market Index Fund          
 
 
Financial Highlights          
 
 
ETF Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 20081
Net Asset Value, Beginning of Period $51.87 $54.42 $43.09 $31.67 $52.62
Investment Operations          
Net Investment Income 1.000 .593 .547 .476 .595
Net Realized and Unrealized Gain (Loss)          
on Investments 8.582 (2.553) 11.324 11.438 (20.935)
Total from Investment Operations 9.582 (1.960) 11.871 11.914 (20.340)
Distributions          
Dividends from Net Investment Income (.992) (.590) (.541) (.494) (.610)
Distributions from Realized Capital Gains
Total Distributions (.992) (.590) (.541) (.494) (.610)
Net Asset Value, End of Period $60.46 $51.87 $54.42 $43.09 $31.67
 
Total Return 18.48% -3.61% 27.55% 37.63% -38.60%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,477 $1,148 $1,113 $781 $484
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.13% 0.08%
Ratio of Net Investment Income to          
Average Net Assets 1.76% 1.07% 1.21% 1.33% 1.39%
Portfolio Turnover Rate2 12% 14% 10% 17% 13%

1 Adjusted to reflect a 2-for-1 share split as of the close of business on June 13, 2008.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

26


 

Extended Market Index Fund

Notes to Financial Statements

Vanguard Extended Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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).

During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.

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 (December 31, 2009–2012), 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.

27


 

Extended Market Index Fund

5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed capital of $3,155,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.26% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant 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 23,434,972 435
Temporary Cash Investments 270,684 4,749
Futures Contracts—Assets1 3,112
Futures Contracts—Liabilities1 (548)
Total 23,708,220 4,749 435
1 Represents variation margin on the last day of the reporting period.      

 

28


 

Extended Market Index Fund

D. 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 MidCap 400 Index March 2013 542 55,181 (288)
E-mini Russell 2000 Index March 2013 348 29,462 251

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

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

Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2012, the fund realized gains on the sale of passive foreign investment companies of $2,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies held at December 31, 2012, had unrealized appreciation of $1,422,000.

During the year ended December 31, 2012, the fund realized $534,863,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $6,626,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $574,494,000 to offset taxable capital gains realized during the year ended December 31, 2012. At December 31, 2012, the fund had available capital losses totaling $159,484,000 to offset future net capital gains. Of this amount, $74,162,000 is subject to expiration dates; $49,578,000 may be used to offset future net capital gains through December 31, 2017, and $24,584,000 through December 31, 2018. Capital losses of $85,322,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $20,914,906,000. Net unrealized appreciation of investment securities for tax purposes was $2,795,934,000, consisting of unrealized gains of $4,912,572,000 on securities that had risen in value since their purchase and $2,116,638,000 in unrealized losses on securities that had fallen in value since their purchase.

29


 

Extended Market Index Fund

F. During the year ended December 31, 2012, the fund purchased $6,248,207,000 of investment securities and sold $3,685,164,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,728,768,000 and $1,182,927,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 452,943 10,437 666,290 15,954
Issued in Lieu of Cash Distributions 41,611 909 27,045 685
Redeemed (829,205) (19,032) (1,199,730) (29,170)
Net Increase (Decrease)—Investor Shares (334,651) (7,686) (506,395) (12,531)
Admiral Shares        
Issued 688,463 15,624 726,259 17,497
Issued in Lieu of Cash Distributions 86,360 1,886 50,950 1,290
Redeemed (652,547) (14,894) (672,226) (16,298)
Net Increase (Decrease)—Admiral Shares 122,276 2,616 104,983 2,489
Signal Shares        
Issued 671,550 17,843 738,224 20,462
Issued in Lieu of Cash Distributions 33,949 863 19,165 565
Redeemed (574,634) (15,475) (912,380) (26,419)
Net Increase (Decrease)—Signal Shares 130,865 3,231 (154,991) (5,392)
Institutional Shares        
Issued 1,636,658 38,018 2,291,593 55,415
Issued in Lieu of Cash Distributions 85,133 1,860 63,942 1,619
Redeemed (2,962,481) (67,733) (1,929,896) (46,194)
Net Increase (Decrease) —Institutional Shares (1,240,690) (27,855) 425,639 10,840
Institutional Plus Shares1        
Issued 4,237,341 39,783 1,833,861 17,764
Issued in Lieu of Cash Distributions 88,482 783 11,696 120
Redeemed (609,520) (5,635) (426,296) (4,427)
Net Increase (Decrease) —Institutional Plus Shares 3,716,303 34,931 1,419,261 13,457
ETF Shares        
Issued 1,290,123 22,299 1,025,783 18,683
Issued in Lieu of Cash Distributions
Redeemed (1,157,342) (20,000) (919,312) (17,000)
Net Increase (Decrease)—ETF Shares 132,781 2,299 106,471 1,683
1 Inception was January 14, 2011, for Institutional Plus Shares.

 

H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

30


 

Mid-Cap Index Fund          
 
 
Fund Profile            
As of December 31, 2012            
 
Share-Class Characteristics            
  Investor Admiral Signal Institutional Institutional ETF
  Shares Shares Shares Shares Plus Shares Shares
Ticker Symbol VIMSX VIMAX VMISX VMCIX VMCPX VO
Expense Ratio1 0.24% 0.10% 0.10% 0.08% 0.06% 0.10%
30-Day SEC Yield 1.34% 1.48% 1.48% 1.50% 1.52% 1.48%

 

Portfolio Characteristics    
      DJ U.S.
      Total
    MSCI US Market
    Mid Cap 450 FA
  Fund Index Index
Number of Stocks 450 449 3,604
Median Market Cap $6.7B $6.7B $35.1B
Price/Earnings Ratio 19.3x 19.3x 16.8x
Price/Book Ratio 2.1x 2.1x 2.1x
Return on Equity 13.4% 13.4% 17.1%
Earnings Growth Rate 10.4% 10.4% 9.7%
Dividend Yield 1.6% 1.6% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 17%
Short-Term Reserves 0.0%

 

Volatility Measures    
    DJ U.S.
    Total
  MSCI US Market
  Mid Cap 450 FA
  Index Index
R-Squared 1.00 0.97
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)
CF Industries Holdings Fertilizers &  
Inc. Agricultural  
  Chemicals 0.5%
Mattel Inc. Leisure Products 0.5
Pioneer Natural Oil & Gas Exploration  
Resources Co. & Production 0.5
Delphi Automotive plc Auto Parts &  
  Equipment 0.5
Host Hotels & Resorts    
Inc. Specialized REITs 0.5
Cerner Corp. Health Care  
  Technology 0.5
Starwood Hotels & Hotels, Resorts &  
Resorts Worldwide Inc. Cruise Lines 0.5
Mylan Inc. Pharmaceuticals 0.5
Harley-Davidson Inc. Motorcycle  
  Manufacturers 0.5
Sirius XM Radio Inc. Cable & Satellite 0.5
Top Ten   5.0%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares.

31


 

Mid-Cap Index Fund

Sector Diversification (% of equity exposure)
      DJ U.S.
    MSCI US Total
    Mid Cap Market
    450 FA
  Fund Index Index
Consumer Discretionary 18.2% 18.2% 12.3%
Consumer Staples 5.6 5.6 9.3
Energy 8.0 8.0 10.2
Financials 17.1 17.1 16.9
Health Care 10.1 10.1 11.7
Industrials 12.6 12.6 11.1
Information Technology 14.5 14.5 18.3
Materials 7.0 7.0 4.0
Telecommunication      
Services 1.0 1.0 2.7
Utilities 5.9 5.9 3.5

 

32


 

Mid-Cap 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: December 31, 2002, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
 
Mid-Cap Index Fund Investor Shares 15.80% 3.01% 9.90% $25,699
 
Spliced Mid-Cap Index 16.04 3.19 10.01 25,969
 
Mid-Cap Core Funds Average 15.66 2.80 8.94 23,549
 
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

 

For a benchmark description, see the Glossary.
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc.

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Mid-Cap Index Fund Admiral Shares 15.99% 3.15% 10.02% $25,990
Spliced Mid-Cap Index 16.04 3.19 10.01 25,969
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

 

See Financial Highlights for dividend and capital gains information.

33


 

Mid-Cap Index Fund        
 
 
 
    Average Annual Total Returns  
  Periods Ended December 31, 2012  
      Since Final Value
  One Five Inception of a $10,000
  Year Years (3/30/2007) Investment
Mid-Cap Index Fund Signal Shares 16.02% 3.15% 3.00% $11,854
MSCI US Mid Cap 450 Index 16.04 3.19 3.03 11,875
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 2.64 11,618

"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.

 

        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Mid-Cap Index Fund Institutional Shares 16.01% 3.18% 10.07% $13,047,854
Spliced Mid-Cap Index 16.04 3.19 10.01 12,984,648
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 10,742,011

 

    Since Final Value
  One Inception of a $100,000,000
  Year (12/15/2010) Investment
Mid-Cap Index Fund Institutional Plus Shares 16.03% 7.66% $116,275,441
MSCI US Mid Cap 450 Index 16.04 7.67 113,705,080
Dow Jones U.S. Total Stock Market      
Float-Adjusted Index 16.38 9.34 120,018,863

"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.

 

      Since Final Value
  One Five Inception of a $10,000
  Year Years (1/26/2004) Investment
Mid-Cap Index Fund        
ETF Shares Net Asset Value 15.98% 3.15% 7.13% $18,503
MSCI US Mid Cap 450 Index 16.04 3.19 7.17 18,561
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.11 15,611

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

34


 

Mid-Cap Index Fund

Cumulative Returns of ETF Shares: January 26, 2004, Through December 31, 2012  
 
      Since
  One Five Inception
  Year Years (1/26/2004)
Mid-Cap Index Fund ETF Shares Market      
Price 16.01% 16.88% 85.08%
Mid-Cap Index Fund ETF Shares Net Asset      
Value 15.98 16.77 85.03
MSCI US Mid Cap 450 Index 16.04 16.98 85.61

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012


Mid-Cap Index Fund Investor Shares
Spliced Mid-Cap Index

 

For a benchmark description, see the Glossary.

35


 

Mid-Cap Index Fund

Financial Statements

Statement of Net Assets
As of December 31, 2012

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 (99.9%)1    
Consumer Discretionary (18.2%)  
  Mattel Inc. 4,452,037 163,034
* Delphi Automotive plc 4,006,957 153,266
  Starwood Hotels &    
  Resorts Worldwide Inc. 2,565,568 147,161
  Harley-Davidson Inc. 2,975,969 145,346
  Sirius XM Radio Inc. 50,056,810 144,664
* O’Reilly Automotive Inc. 1,552,475 138,822
* Liberty Interactive Corp.    
  Class A 6,727,331 132,394
  Genuine Parts Co. 2,025,375 128,773
* Chipotle Mexican Grill Inc.    
  Class A 413,732 123,069
  Virgin Media Inc. 3,333,702 122,514
* Dollar Tree Inc. 3,007,674 121,991
  Nordstrom Inc. 2,099,673 112,332
* CarMax Inc. 2,981,860 111,939
* BorgWarner Inc. 1,494,369 107,027
  Whirlpool Corp. 1,012,599 103,032
  PVH Corp. 919,134 102,033
* Lululemon Athletica Inc. 1,315,759 100,300
  Wyndham    
  Worldwide Corp. 1,856,745 98,797
  PetSmart Inc. 1,412,714 96,545
  Tiffany & Co. 1,653,622 94,819
  Autoliv Inc. 1,246,277 83,987
  Newell Rubbermaid Inc. 3,771,241 83,986
  Family Dollar Stores Inc. 1,297,493 82,274
* PulteGroup Inc. 4,510,003 81,902
  Tractor Supply Co. 925,961 81,818
* LKQ Corp. 3,868,904 81,634
  Expedia Inc. 1,284,708 78,945
  Lennar Corp. Class A 2,020,910 78,149
  Ulta Salon Cosmetics &    
  Fragrance Inc. 781,043 76,745
  Darden Restaurants Inc. 1,674,944 75,490
  DR Horton Inc. 3,753,666 74,248
* TRW Automotive    
  Holdings Corp. 1,354,957 72,639

 

      Market
      Value
    Shares ($000)
  Polaris Industries Inc. 849,888 71,518
* Mohawk Industries Inc. 766,065 69,306
  Advance Auto Parts Inc. 957,759 69,294
  H&R Block Inc. 3,540,968 65,756
  Scripps Networks    
  Interactive Inc. Class A 1,123,358 65,065
*,^ Netflix Inc. 689,106 63,935
* Toll Brothers Inc. 1,977,345 63,928
  Foot Locker Inc. 1,979,884 63,594
  Interpublic Group of    
  Cos. Inc. 5,709,871 62,923
  Royal Caribbean    
  Cruises Ltd. 1,850,121 62,904
* Fossil Inc. 675,468 62,886
^ Garmin Ltd. 1,527,216 62,341
* TripAdvisor Inc. 1,438,151 60,345
  Lear Corp. 1,279,826 59,947
* Urban Outfitters Inc. 1,513,843 59,585
* NVR Inc. 63,845 58,737
* Panera Bread Co.    
  Class A 369,049 58,616
  Dick’s Sporting    
  Goods Inc. 1,259,386 57,289
  Signet Jewelers Ltd. 1,056,316 56,407
* MGM Resorts    
  International 4,788,410 55,737
* Sally Beauty Holdings Inc. 2,351,467 55,424
  Hasbro Inc. 1,530,935 54,961
  Gannett Co. Inc. 3,021,903 54,424
  Abercrombie & Fitch Co. 1,078,164 51,720
* Jarden Corp. 990,605 51,214
  Williams-Sonoma Inc. 1,166,272 51,048
  Leggett & Platt Inc. 1,835,848 49,972
* Under Armour Inc.    
  Class A 1,025,362 49,761
  International Game    
  Technology 3,487,776 49,422
  American Eagle    
  Outfitters Inc. 2,310,352 47,385
  Tupperware Brands Corp. 727,484 46,632

 

36


 

Mid-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Dunkin’ Brands Group Inc. 1,378,049 45,724
  Best Buy Co. Inc. 3,773,798 44,719
* Goodyear Tire &    
  Rubber Co. 3,196,627 44,145
^ JC Penney Co. Inc. 2,140,653 42,192
^ GameStop Corp. Class A 1,624,592 40,761
* Charter    
  Communications Inc.    
  Class A 526,027 40,104
  Harman International    
  Industries Inc. 876,404 39,123
  Cablevision Systems Corp.    
  Class A 2,492,819 37,243
  Gentex Corp. 1,886,413 35,502
* Lamar Advertising Co.    
  Class A 820,059 31,777
* Apollo Group Inc. Class A 1,327,681 27,775
* Tempur-Pedic    
  International Inc. 777,435 24,481
* Hyatt Hotels Corp.    
  Class A 602,158 23,225
  Washington Post Co.    
  Class B 60,964 22,265
  Guess? Inc. 881,044 21,621
*,^ Sears Holdings Corp. 486,421 20,118
  Weight Watchers    
  International Inc. 363,071 19,010
* AutoNation Inc. 472,694 18,766
  Burger King    
  Worldwide Inc. 915,498 15,051
^ Allison Transmission    
  Holdings Inc. 474,440 9,688
  Lennar Corp. Class B 63,528 1,940
      5,816,981
Consumer Staples (5.6%)    
  Bunge Ltd. 1,907,195 138,634
  JM Smucker Co. 1,442,135 124,370
  Coca-Cola Enterprises Inc. 3,845,711 122,024
  Dr Pepper Snapple    
  Group Inc. 2,749,519 121,474
  Clorox Co. 1,607,908 117,731
  Beam Inc. 1,861,224 113,702
* Monster Beverage Corp. 1,958,267 103,553
  McCormick & Co. Inc. 1,569,643 99,720
  Church & Dwight Co. Inc. 1,817,972 97,389
  Molson Coors    
  Brewing Co. Class B 1,947,664 83,341
  Tyson Foods Inc. Class A 3,813,202 73,976
*,^ Green Mountain Coffee    
  Roasters Inc. 1,726,725 71,417
* Constellation Brands Inc.    
  Class A 2,008,850 71,093
  Energizer Holdings Inc. 841,326 67,289
* Ralcorp Holdings Inc. 721,163 64,652
  Ingredion Inc. 995,110 64,115

 

      Market
      Value
    Shares ($000)
  Hormel Foods Corp. 1,891,944 59,048
^ Safeway Inc. 3,128,396 56,593
^ Herbalife Ltd. 1,459,383 48,072
  Hillshire Brands Co. 1,551,180 43,650
* Smithfield Foods Inc. 1,893,009 40,832
      1,782,675
Energy (8.0%)    
  Pioneer Natural    
  Resources Co. 1,526,259 162,684
  Cabot Oil & Gas Corp. 2,742,135 136,394
* FMC Technologies Inc. 3,112,873 133,324
  Range Resources Corp. 2,121,722 133,308
  HollyFrontier Corp. 2,525,137 117,545
  EQT Corp. 1,953,469 115,216
* Concho Resources Inc. 1,293,831 104,231
* Kinder Morgan    
  Management LLC 1,318,276 99,477
  CONSOL Energy Inc. 2,972,470 95,416
  Peabody Energy Corp. 3,503,943 93,240
* Denbury Resources Inc. 5,108,345 82,755
  Tesoro Corp. 1,826,049 80,437
* Plains Exploration &    
  Production Co. 1,684,441 79,068
  Helmerich & Payne Inc. 1,380,105 77,300
  Oceaneering    
  International Inc. 1,409,488 75,816
  QEP Resources Inc. 2,321,988 70,287
  Core Laboratories NV 617,914 67,544
* Whiting Petroleum Corp. 1,536,439 66,635
  Cimarex Energy Co. 1,123,123 64,838
  Diamond Offshore    
  Drilling Inc. 908,023 61,709
* Cobalt International    
  Energy Inc. 2,413,466 59,275
* Dresser-Rand Group Inc. 988,343 55,486
* Nabors Industries Ltd. 3,791,803 54,792
* Oil States    
  International Inc. 714,714 51,131
* Rowan Cos. plc Class A 1,621,661 50,709
* Newfield Exploration Co. 1,762,532 47,201
  SM Energy Co. 850,687 44,414
* Superior Energy    
  Services Inc. 2,051,968 42,517
  Energen Corp. 941,790 42,465
* WPX Energy Inc. 2,599,783 38,685
  Patterson-UTI Energy Inc. 1,980,273 36,892
*,^ Ultra Petroleum Corp. 1,997,518 36,215
* McDermott    
  International Inc. 3,081,114 33,954
*,^ SandRidge Energy Inc. 4,812,311 30,558
* Laredo Petroleum    
  Holdings Inc. 503,132 9,137
      2,550,655

 

37


 

Mid-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
Financials (17.1%)    
  Host Hotels &    
  Resorts Inc. 9,435,910 147,861
  Moody’s Corp. 2,612,552 131,464
  Regions Financial Corp. 18,456,161 131,408
  American Capital    
  Agency Corp. 4,460,744 129,094
* IntercontinentalExchange    
  Inc. 950,126 117,635
  Principal Financial    
  Group Inc. 3,853,784 109,910
  Digital Realty Trust Inc. 1,592,960 108,146
  SLM Corp. 6,129,598 105,000
  KeyCorp 12,320,118 103,735
  Kimco Realty Corp. 5,314,141 102,669
  Macerich Co. 1,738,309 101,343
  NYSE Euronext 3,212,375 101,318
  XL Group plc Class A 3,992,012 100,040
* CIT Group Inc. 2,491,476 96,271
  Lincoln National Corp. 3,645,482 94,418
  Plum Creek    
  Timber Co. Inc. 2,109,236 93,587
  SL Green Realty Corp. 1,177,216 90,234
* Affiliated Managers    
  Group Inc. 670,677 87,289
  Federal Realty    
  Investment Trust 837,147 87,080
  Rayonier Inc. 1,603,090 83,088
* CBRE Group Inc. Class A 4,071,639 81,026
  Cincinnati Financial Corp. 2,016,081 78,950
* Arch Capital Group Ltd. 1,780,538 78,379
  UDR Inc. 3,268,212 77,718
  Comerica Inc. 2,527,494 76,684
  Unum Group 3,659,223 76,185
  Willis Group Holdings plc 2,261,533 75,829
  New York Community    
  Bancorp Inc. 5,735,941 75,141
  Camden Property Trust 1,091,783 74,471
  Everest Re Group Ltd. 676,907 74,426
  Huntington    
  Bancshares Inc. 11,212,743 71,649
  Realty Income Corp. 1,743,095 70,090
  Essex Property Trust Inc. 475,638 69,752
  PartnerRe Ltd. 812,356 65,387
  Leucadia National Corp. 2,715,540 64,603
  Torchmark Corp. 1,246,062 64,384
  Taubman Centers Inc. 805,867 63,438
  American Campus    
  Communities Inc. 1,369,323 63,167
  Fidelity National    
  Financial Inc. Class A 2,636,092 62,080
  Raymond James    
  Financial Inc. 1,532,396 59,043
  WR Berkley Corp. 1,522,613 57,463

 

      Market
      Value
    Shares ($000)
  Alexandria Real Estate    
  Equities Inc. 819,970 56,840
  Ares Capital Corp. 3,194,589 55,905
* Alleghany Corp. 165,805 55,614
  People’s United    
  Financial Inc. 4,586,740 55,454
  Regency Centers Corp. 1,174,361 55,336
  Liberty Property Trust 1,535,355 54,920
  Arthur J Gallagher & Co. 1,582,976 54,850
  Senior Housing    
  Properties Trust 2,304,359 54,475
  RenaissanceRe    
  Holdings Ltd. 659,896 53,623
  Axis Capital Holdings Ltd. 1,496,924 51,853
* Ocwen Financial Corp. 1,497,070 51,784
* Markel Corp. 119,368 51,737
  Reinsurance Group of    
  America Inc. Class A 962,463 51,511
  Zions Bancorporation 2,404,609 51,459
  Hudson City Bancorp Inc. 6,206,742 50,461
  DDR Corp. 3,177,031 49,752
* MSCI Inc. Class A 1,590,397 49,286
  HCC Insurance    
  Holdings Inc. 1,314,917 48,928
  Duke Realty Corp. 3,521,673 48,846
  Jones Lang LaSalle Inc. 574,997 48,265
* Genworth Financial Inc.    
  Class A 6,419,629 48,211
  Eaton Vance Corp. 1,503,292 47,880
  SEI Investments Co. 1,812,985 42,315
  NASDAQ OMX Group Inc. 1,634,353 40,875
  Legg Mason Inc. 1,587,114 40,821
  Brown & Brown Inc. 1,589,199 40,461
  Weingarten Realty    
  Investors 1,503,143 40,239
  Piedmont Office Realty    
  Trust Inc. Class A 2,206,052 39,819
  Cullen/Frost Bankers Inc. 721,601 39,161
  First Republic Bank 1,189,556 38,994
  Hospitality Properties    
  Trust 1,612,331 37,761
  White Mountains    
  Insurance Group Ltd. 73,030 37,610
  Assurant Inc. 1,058,053 36,714
  American Financial    
  Group Inc. 918,584 36,302
  Validus Holdings Ltd. 1,049,633 36,296
  Commerce    
  Bancshares Inc. 1,020,508 35,779
  Chimera    
  Investment Corp. 13,404,820 34,987
  CBOE Holdings Inc. 1,138,778 33,548
  Jefferies Group Inc. 1,726,936 32,069
  Erie Indemnity Co.    
  Class A 370,174 25,623

 

38


 

Mid-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  WP Carey Inc. 402,733 21,003
  LPL Financial Holdings Inc. 725,064 20,418
  BOK Financial Corp. 355,854 19,380
      5,478,620
Health Care (10.1%)    
* Cerner Corp. 1,899,952 147,512
* Mylan Inc. 5,300,241 145,651
* Watson    
  Pharmaceuticals Inc. 1,666,811 143,346
* DaVita HealthCare    
  Partners Inc. 1,288,468 142,414
  AmerisourceBergen Corp.    
  Class A 3,285,928 141,886
* Edwards    
  Lifesciences Corp. 1,511,013 136,248
* Forest Laboratories Inc. 3,469,554 122,545
  Quest Diagnostics Inc. 2,072,987 120,793
  Perrigo Co. 1,159,927 120,667
* Vertex    
  Pharmaceuticals Inc. 2,818,075 118,190
* Life Technologies Corp. 2,289,060 112,347
* Laboratory Corp. of    
  America Holdings 1,252,255 108,470
  CR Bard Inc. 1,039,921 101,642
* Varian Medical    
  Systems Inc. 1,445,709 101,547
* Waters Corp. 1,144,918 99,745
* Henry Schein Inc. 1,155,969 93,009
*,^ Illumina Inc. 1,606,046 89,280
* CareFusion Corp. 2,897,837 82,820
* BioMarin    
  Pharmaceutical Inc. 1,613,325 79,456
  Coventry Health Care Inc. 1,748,457 78,383
* Mettler-Toledo    
  International Inc. 405,213 78,328
  ResMed Inc. 1,864,962 77,527
  DENTSPLY    
  International Inc. 1,852,017 73,358
* Hologic Inc. 3,457,499 69,254
* IDEXX Laboratories Inc. 742,757 68,928
* Hospira Inc. 2,156,698 67,375
* Onyx Pharmaceuticals Inc. 850,271 64,221
  Cooper Cos. Inc. 625,310 57,829
  Universal Health    
  Services Inc. Class B 1,170,020 56,570
  Omnicare Inc. 1,456,600 52,583
* Medivation Inc. 961,896 49,211
* Pharmacyclics Inc. 726,114 42,042
* Covance Inc. 719,292 41,554
* Endo Health Solutions Inc. 1,525,322 40,070
  Patterson Cos. Inc. 1,135,695 38,875
  Warner Chilcott plc    
  Class A 2,781,716 33,492
* Bio-Rad Laboratories Inc.    
  Class A 257,630 27,064

 

      Market
      Value
    Shares ($000)
* Allscripts Healthcare    
  Solutions Inc. 2,127,386 20,040
      3,244,272
Industrials (12.6%)    
  Roper Industries Inc. 1,277,245 142,387
  ADT Corp. 3,022,150 140,500
  Pentair Ltd. 2,736,782 134,513
* Delta Air Lines Inc. 11,103,735 131,801
  Kansas City Southern 1,436,573 119,925
  AMETEK Inc. 3,167,067 118,987
* Stericycle Inc. 1,118,423 104,315
  Rockwell Collins Inc. 1,763,432 102,579
* United Continental    
  Holdings Inc. 4,339,959 101,468
  Southwest Airlines Co. 9,703,263 99,361
  Flowserve Corp. 667,587 98,002
  L-3 Communications    
  Holdings Inc. 1,260,783 96,601
* Verisk Analytics Inc.    
  Class A 1,840,613 93,871
  Pall Corp. 1,517,323 91,434
  Textron Inc. 3,668,627 90,945
  Joy Global Inc. 1,382,960 88,205
  TransDigm Group Inc. 638,503 87,066
  Equifax Inc. 1,565,661 84,734
  Masco Corp. 4,701,135 78,321
* Quanta Services Inc. 2,732,778 74,578
  JB Hunt Transport    
  Services Inc. 1,228,330 73,344
* Jacobs Engineering    
  Group Inc. 1,694,701 72,143
* IHS Inc. Class A 730,393 70,118
* Hertz Global Holdings Inc. 4,125,495 67,122
* B/E Aerospace Inc. 1,358,067 67,089
  Xylem Inc. 2,424,255 65,697
* AGCO Corp. 1,269,898 62,377
* Fortune Brands Home &    
  Security Inc. 2,099,024 61,334
  Cintas Corp. 1,487,475 60,838
  Donaldson Co. Inc. 1,847,919 60,686
  Snap-on Inc. 759,613 60,002
  Hubbell Inc. Class B 681,360 57,664
  Iron Mountain Inc. 1,856,977 57,659
  KBR Inc. 1,924,341 57,576
  Robert Half    
  International Inc. 1,759,066 55,973
  Wabtec Corp. 625,271 54,736
* WABCO Holdings Inc. 834,886 54,426
* Owens Corning 1,470,078 54,378
  Timken Co. 1,080,225 51,667
  Waste Connections Inc. 1,528,312 51,642
  IDEX Corp. 1,088,805 50,662
* Nielsen Holdings NV 1,650,558 50,491
  Nordson Corp. 753,336 47,551
  SPX Corp. 662,329 46,462

 

39


 

Mid-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Avery Dennison Corp. 1,324,847 46,264
  Dun & Bradstreet Corp. 586,233 46,107
  MSC Industrial    
  Direct Co. Inc. Class A 610,039 45,985
  Manpower Inc. 1,035,837 43,961
  Gardner Denver Inc. 639,406 43,799
  Towers Watson & Co.    
  Class A 767,611 43,147
* Sensata Technologies    
  Holding NV 1,281,977 41,639
* Copart Inc. 1,411,432 41,637
  URS Corp. 1,002,851 39,372
  Babcock & Wilcox Co. 1,395,197 36,554
* Foster Wheeler AG 1,407,551 34,232
^ Pitney Bowes Inc. 2,621,528 27,893
* Spirit Aerosystems    
  Holdings Inc. Class A 1,560,284 26,478
^ RR Donnelley & Sons Co. 2,353,605 21,182
      4,029,480
Information Technology (14.5%)  
  Seagate Technology plc 4,668,920 142,309
* Fiserv Inc. 1,771,594 140,009
* SanDisk Corp. 3,154,144 137,395
* Teradata Corp. 2,201,616 136,258
  Amphenol Corp. Class A 2,102,223 136,014
* Red Hat Inc. 2,520,546 133,488
* Equinix Inc. 629,218 129,745
  Western Digital Corp. 2,905,932 123,473
  Xilinx Inc. 3,423,473 122,903
* LinkedIn Corp. Class A 1,041,309 119,563
  Maxim Integrated    
  Products Inc. 3,810,740 112,036
  Fidelity National    
  Information Services Inc. 3,077,714 107,135
* Rackspace Hosting Inc. 1,416,542 105,207
* Autodesk Inc. 2,960,332 104,648
  KLA-Tencor Corp. 2,174,398 103,849
  Linear Technology Corp. 3,006,957 103,139
  Avago Technologies Ltd.    
  Class A 3,205,502 101,486
* F5 Networks Inc. 1,032,220 100,280
  NVIDIA Corp. 8,089,389 99,419
* Trimble Navigation Ltd. 1,641,321 98,118
* Akamai Technologies Inc. 2,315,242 94,717
* Alliance Data    
  Systems Corp. 651,831 94,359
* Lam Research Corp. 2,380,551 86,009
* Micron Technology Inc. 13,287,321 84,375
* BMC Software Inc. 2,082,636 82,597
  Microchip Technology Inc. 2,529,255 82,428
  Computer Sciences Corp. 2,028,948 81,259
* ANSYS Inc. 1,206,028 81,214
* VeriSign Inc. 2,042,868 79,304
  Harris Corp. 1,479,101 72,417

 

      Market
      Value
    Shares ($000)
* Nuance    
  Communications Inc. 3,217,085 71,805
* Synopsys Inc. 1,947,887 62,021
* Electronic Arts Inc. 4,158,902 60,429
* Avnet Inc. 1,845,586 56,493
* Gartner Inc. 1,220,305 56,158
* Arrow Electronics Inc. 1,421,098 54,115
* Flextronics    
  International Ltd. 8,690,058 53,965
* LSI Corp. 7,280,625 51,547
* Skyworks Solutions Inc. 2,491,991 50,587
  IAC/InterActiveCorp 1,067,728 50,504
* Cree Inc. 1,438,351 48,875
  Solera Holdings Inc. 913,167 48,827
  FactSet Research    
  Systems Inc. 551,643 48,578
  Global Payments Inc. 1,030,179 46,667
* TIBCO Software Inc. 2,117,133 46,598
  Jabil Circuit Inc. 2,414,829 46,582
  Marvell Technology    
  Group Ltd. 6,253,246 45,399
  Total System    
  Services Inc. 2,087,358 44,711
* MICROS Systems Inc. 1,047,314 44,448
  FLIR Systems Inc. 1,972,351 44,003
* Informatica Corp. 1,417,112 42,967
* ON Semiconductor Corp. 5,950,599 41,952
* VeriFone Systems Inc. 1,406,953 41,758
  SAIC Inc. 3,571,925 40,434
* Riverbed Technology Inc. 1,987,644 39,196
* Atmel Corp. 5,743,228 37,618
* Fortinet Inc. 1,651,621 34,800
  Molex Inc. 943,841 25,795
* NetSuite Inc. 370,308 24,922
  Molex Inc. Class A 880,041 19,643
* Vantiv Inc. Class A 921,553 18,818
  Dolby Laboratories Inc.    
  Class A 621,595 18,231
*,^ ServiceNow Inc. 489,621 14,703
* Palo Alto Networks Inc. 177,545 9,502
* Freescale    
  Semiconductor Ltd. 649,185 7,148
      4,644,952
Materials (7.0%)    
  CF Industries Holdings Inc. 818,731 166,333
  Eastman Chemical Co. 1,997,042 135,899
  Sigma-Aldrich Corp. 1,576,912 116,029
  FMC Corp. 1,793,143 104,935
  Celanese Corp. Class A 2,079,198 92,587
  Vulcan Materials Co. 1,689,632 87,945
  Ball Corp. 1,919,410 85,894
  Ashland Inc. 1,025,546 82,464
  Airgas Inc. 855,354 78,085
  Albemarle Corp. 1,168,981 72,617
  MeadWestvaco Corp. 2,267,702 72,272

 

40


 

Mid-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Cliffs Natural    
  Resources Inc. 1,861,296 71,772
* Crown Holdings Inc. 1,945,827 71,626
  International Flavors &    
  Fragrances Inc. 1,064,266 70,816
  Valspar Corp. 1,131,818 70,625
  Royal Gold Inc. 839,467 68,257
  Rock-Tenn Co. Class A 924,310 64,619
* WR Grace & Co. 929,949 62,520
  Reliance Steel &    
  Aluminum Co. 983,287 61,062
  Martin Marietta    
  Materials Inc. 598,647 56,440
  Rockwood Holdings Inc. 971,517 48,051
  Bemis Co. Inc. 1,348,614 45,125
  United States Steel Corp. 1,883,959 44,970
* Owens-Illinois Inc. 2,047,602 43,552
  Huntsman Corp. 2,702,147 42,964
  Sealed Air Corp. 2,408,500 42,173
  Aptargroup Inc. 869,718 41,503
  Allegheny    
  Technologies Inc. 1,328,520 40,334
  Sonoco Products Co. 1,313,222 39,042
  Domtar Corp. 457,654 38,223
  Steel Dynamics Inc. 2,716,866 37,303
  Walter Energy Inc. 816,184 29,285
  Scotts Miracle-Gro Co.    
  Class A 558,899 24,620
  Westlake Chemical Corp. 260,822 20,683
      2,230,625
Telecommunication Services (1.0%)  
* SBA    
  Communications Corp.    
  Class A 1,588,032 112,782
  Windstream Corp. 7,680,548 63,595
^ Frontier    
  Communications Corp. 13,038,770 55,806
* Level 3    
  Communications Inc. 1,984,520 45,862
* MetroPCS    
  Communications Inc. 4,034,892 40,107
* United States    
  Cellular Corp. 169,148 5,961
      324,113
Utilities (5.8%)    
  DTE Energy Co. 2,242,791 134,680
  Wisconsin Energy Corp. 3,009,197 110,889
  ONEOK Inc. 2,543,780 108,747
  CenterPoint Energy Inc. 5,301,892 102,061
  Ameren Corp. 3,168,391 97,333
  NRG Energy Inc. 4,208,513 96,754
  NiSource Inc. 3,720,391 92,601
  AES Corp. 8,302,430 88,836

 

      Market
      Value
    Shares ($000)
  American Water    
  Works Co. Inc. 2,303,851 85,542
  CMS Energy Corp. 3,460,259 84,361
  SCANA Corp. 1,629,230 74,358
  Pinnacle West    
  Capital Corp. 1,430,885 72,946
  OGE Energy Corp. 1,288,658 72,564
* Calpine Corp. 3,961,809 71,828
  Alliant Energy Corp. 1,449,563 63,650
  AGL Resources Inc. 1,534,935 61,351
  Pepco Holdings Inc. 2,989,677 58,628
  NV Energy Inc. 3,081,716 55,902
  Integrys Energy    
  Group Inc. 1,022,267 53,383
  ITC Holdings Corp. 672,653 51,734
  MDU Resources    
  Group Inc. 2,342,418 49,753
  UGI Corp. 1,468,524 48,035
  National Fuel Gas Co. 924,622 46,869
  Aqua America Inc. 1,824,629 46,382
  TECO Energy Inc. 2,686,680 45,029
      1,874,216
Total Common Stocks    
(Cost $27,462,799)   31,976,589
Temporary Cash Investments (0.7%)1  
Money Market Fund (0.7%)    
2,3 Vanguard Market Liquidity  
  Fund, 0.162% 226,949,326 226,949

 

  Face  
  Amount  
  ($000)  
U.S. Government and Agency Obligations (0.0%)
4 Fannie Mae    
Discount Notes,    
0.097%, 3/27/13 2,000 2,000
Total Temporary Cash Investments  
(Cost $228,949)   228,949
Total Investments (100.6%)    
(Cost $27,691,748)   32,205,538
Other Assets and Liabilities (-0.6%)  
Other Assets5   123,657
Liabilities3   (301,170)
    (177,513)
Net Assets (100%)   32,028,025

 

41


 

Mid-Cap Index Fund

At December 31, 2012, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 30,135,540
Overdistributed Net Investment Income (26,087)
Accumulated Net Realized Losses (2,595,030)
Unrealized Appreciation (Depreciation)  
Investment Securities 4,513,790
Futures Contracts (188)
Net Assets 32,028,025
 
 
Investor Shares—Net Assets  
Applicable to 172,944,185 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 3,886,892
Net Asset Value Per Share—  
Investor Shares $22.47
 
 
Admiral Shares—Net Assets  
Applicable to 67,620,324 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 6,895,113
Net Asset Value Per Share—  
Admiral Shares $101.97
 
 
Signal Shares—Net Assets  
Applicable to 150,242,768 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 4,834,246
Net Asset Value Per Share—  
Signal Shares $32.18

 

  Amount
  ($000)
Institutional Shares—Net Assets  
Applicable to 313,340,228 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 7,057,120
Net Asset Value Per Share—  
Institutional Shares $22.52
 
 
Institutional Plus Shares—Net Assets  
Applicable to 48,869,487 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 5,428,365
Net Asset Value Per Share—  
Institutional Plus Shares $111.08
 
 
ETF Shares—Net Assets  
Applicable to 47,687,794 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 3,926,289
Net Asset Value Per Share—  
ETF Shares $82.33

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $187,794,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.6%, respectively, of net assets.
2 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 $192,118,000 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 Cash with a value of $2,000,000 has been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.

42


 

Mid-Cap Index Fund  
 
 
Statement of Operations  
 
 
  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 471,124
Interest1 85
Security Lending 7,570
Total Income 478,779
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,801
Management and Administrative—Investor Shares 8,146
Management and Administrative—Admiral Shares 4,945
Management and Administrative—Signal Shares 2,850
Management and Administrative—Institutional Shares 2,831
Management and Administrative—Institutional Plus Shares 1,521
Management and Administrative—ETF Shares 2,325
Marketing and Distribution—Investor Shares 1,204
Marketing and Distribution—Admiral Shares 1,035
Marketing and Distribution—Signal Shares 1,173
Marketing and Distribution—Institutional Shares 1,806
Marketing and Distribution—Institutional Plus Shares 867
Marketing and Distribution—ETF Shares 892
Custodian Fees 389
Auditing Fees 34
Shareholders’ Reports—Investor Shares 173
Shareholders’ Reports—Admiral Shares 84
Shareholders’ Reports—Signal Shares 53
Shareholders’ Reports—Institutional Shares 109
Shareholders’ Reports—Institutional Plus Shares 39
Shareholders’ Reports—ETF Shares 185
Trustees’ Fees and Expenses 28
Total Expenses 32,490
Net Investment Income 446,289
Realized Net Gain (Loss)  
Investment Securities Sold 687,805
Futures Contracts 5,383
Realized Net Gain (Loss) 693,188
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 3,104,298
Futures Contracts (354)
Change in Unrealized Appreciation (Depreciation) 3,103,944
Net Increase (Decrease) in Net Assets Resulting from Operations 4,243,421

 

1 Interest income from an affiliated company of the fund was $78,000.

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

43


 

Mid-Cap Index Fund    
 
 
Statement of Changes in Net Assets    
 
  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 446,289 345,806
Realized Net Gain (Loss) 693,188 2,825,967
Change in Unrealized Appreciation (Depreciation) 3,103,944 (3,704,480)
Net Increase (Decrease) in Net Assets Resulting from Operations 4,243,421 (532,707)
Distributions    
Net Investment Income    
Investor Shares (49,025) (49,002)
Admiral Shares (96,184) (80,364)
Signal Shares (67,578) (48,089)
Institutional Shares (100,070) (76,730)
Institutional Plus Shares (76,806) (48,066)
ETF Shares (55,058) (43,959)
Realized Capital Gain    
Investor Shares
Admiral Shares
Signal Shares
Institutional Shares
Institutional Plus Shares
ETF Shares
Total Distributions (444,721) (346,210)
Capital Share Transactions    
Investor Shares (837,289) (1,341,194)
Admiral Shares 49,913 155,984
Signal Shares 695,819 918,741
Institutional Shares 641,250 (2,014,198)
Institutional Plus Shares 1,481,497 3,119,928
ETF Shares 206,782 (28,623)
Net Increase (Decrease) from Capital Share Transactions 2,237,972 810,638
Total Increase (Decrease) 6,036,672 (68,279)
Net Assets    
Beginning of Period 25,991,353 26,059,632
End of Period1 32,028,025 25,991,353

 

1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($26,087,000) and ($27,655,000).

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

44


 

Mid-Cap Index Fund          
 
 
Financial Highlights          
 
 
Investor Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $19.65 $20.31 $16.36 $11.80 $20.70
Investment Operations          
Net Investment Income .286 .233 .214 .171 .224
Net Realized and Unrealized Gain (Loss)          
on Investments 2.818 (.661) 3.951 4.571 (8.894)
Total from Investment Operations 3.104 (.428) 4.165 4.742 (8.670)
Distributions          
Dividends from Net Investment Income (.284) (.232) (.215) (.182) (.230)
Distributions from Realized Capital Gains
Total Distributions (.284) (.232) (.215) (.182) (.230)
Net Asset Value, End of Period $22.47 $19.65 $20.31 $16.36 $11.80
 
Total Return1 15.80% -2.11% 25.46% 40.22% -41.82%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,887 $4,168 $5,602 $6,789 $4,652
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.27% 0.22%
Ratio of Net Investment Income to          
Average Net Assets 1.36% 1.15% 1.25% 1.32% 1.36%
Portfolio Turnover Rate2 17% 22% 16% 21% 24%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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


 

Mid-Cap Index Fund          
 
 
Financial Highlights          
 
 
Admiral Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $89.15 $92.17 $74.23 $53.49 $93.93
Investment Operations          
Net Investment Income 1.450 1.212 1.049 .855 1.099
Net Realized and Unrealized Gain (Loss)          
on Investments 12.808 (3.023) 17.946 20.782 (40.405)
Total from Investment Operations 14.258 (1.811) 18.995 21.637 (39.306)
Distributions          
Dividends from Net Investment Income (1.438) (1.209) (1.055) (.897) (1.134)
Distributions from Realized Capital Gains
Total Distributions (1.438) (1.209) (1.055) (.897) (1.134)
Net Asset Value, End of Period $101.97 $89.15 $92.17 $74.23 $53.49
 
Total Return1 15.99% -1.97% 25.59% 40.48% -41.78%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $6,895 $5,989 $6,036 $2,184 $1,601
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.11%
Ratio of Net Investment Income to          
Average Net Assets 1.50% 1.29% 1.39% 1.45% 1.47%
Portfolio Turnover Rate2 17% 22% 16% 21% 24%

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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


 

Mid-Cap Index Fund          
 
 
Financial Highlights          
 
 
Signal Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $28.13 $29.09 $23.43 $16.89 $29.66
Investment Operations          
Net Investment Income .459 .382 .341 .271 .349
Net Realized and Unrealized Gain (Loss)          
on Investments 4.047 (.961) 5.662 6.552 (12.759)
Total from Investment Operations 4.506 (.579) 6.003 6.823 (12.410)
Distributions          
Dividends from Net Investment Income (.456) (.381) (.343) (.283) (.360)
Distributions from Realized Capital Gains
Total Distributions (.456) (.381) (.343) (.283) (.360)
Net Asset Value, End of Period $32.18 $28.13 $29.09 $23.43 $16.89
 
Total Return 16.02% -1.99% 25.62% 40.43% -41.78%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $4,834 $3,589 $2,831 $2,346 $1,609
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.11%
Ratio of Net Investment Income to          
Average Net Assets 1.50% 1.29% 1.39% 1.45% 1.47%
Portfolio Turnover Rate1 17% 22% 16% 21% 24%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

47


 

Mid-Cap Index Fund          
 
 
Financial Highlights          
 
 
Institutional Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $19.69 $20.36 $16.40 $11.82 $20.76
Investment Operations          
Net Investment Income .325 .271 .247 .197 .250
Net Realized and Unrealized Gain (Loss)          
on Investments 2.827 (.669) 3.962 4.588 (8.933)
Total from Investment Operations 3.152 (.398) 4.209 4.785 (8.683)
Distributions          
Dividends from Net Investment Income (.322) (.272) (.249) (.205) (.257)
Distributions from Realized Capital Gains
Total Distributions (.322) (.272) (.249) (.205) (.257)
Net Asset Value, End of Period $22.52 $19.69 $20.36 $16.40 $11.82
 
Total Return 16.01% -1.96% 25.67% 40.51% -41.76%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $7,057 $5,611 $7,795 $5,960 $3,820
Ratio of Total Expenses to          
Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.07%
Ratio of Net Investment Income to          
Average Net Assets 1.52% 1.31% 1.43% 1.51% 1.51%
Portfolio Turnover Rate1 17% 22% 16% 21% 24%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

48


 

Mid-Cap Index Fund      
 
 
Financial Highlights      
 
 
Institutional Plus Shares      
      Dec. 15,
  Year Ended 20101 to
  December 31, Dec. 31,
For a Share Outstanding Throughout Each Period 2012 2011 2010
Net Asset Value, Beginning of Period $97.12 $100.40 $99.45
Investment Operations      
Net Investment Income 1.624 1.358 .0792
Net Realized and Unrealized Gain (Loss) on Investments 13.945 (3.280) 2.078
Total from Investment Operations 15.569 (1.922) 2.157
Distributions      
Dividends from Net Investment Income (1.609) (1.358) (1.207)
Distributions from Realized Capital Gains
Total Distributions (1.609) (1.358) (1.207)
Net Asset Value, End of Period $111.08 $97.12 $100.40
 
Total Return 16.03% -1.91% 2.17%
 
Ratios/Supplemental Data      
Net Assets, End of Period (Millions) $5,428 $3,393 $440
Ratio of Total Expenses to Average Net Assets 0.06% 0.06% 0.06%3
Ratio of Net Investment Income to Average Net Assets 1.54% 1.33% 1.45%3
Portfolio Turnover Rate4 17% 22% 16%

 

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.

49


 

Mid-Cap Index Fund          
 
 
Financial Highlights          
 
 
ETF Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $71.99 $74.42 $59.97 $43.21 $75.90
Investment Operations          
Net Investment Income 1.173 .976 .882 .696 .895
Net Realized and Unrealized Gain (Loss)          
on Investments 10.329 (2.430) 14.454 16.794 (32.656)
Total from Investment Operations 11.502 (1.454) 15.336 17.490 (31.761)
Distributions          
Dividends from Net Investment Income (1.162) (.976) (.886) (.730) (.929)
Distributions from Realized Capital Gains
Total Distributions (1.162) (.976) (.886) (.730) (.929)
Net Asset Value, End of Period $82.33 $71.99 $74.42 $59.97 $43.21
 
Total Return 15.98% -1.96% 25.57% 40.49% -41.79%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,926 $3,241 $3,356 $2,207 $1,113
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.12%
Ratio of Net Investment Income to          
Average Net Assets 1.50% 1.29% 1.39% 1.45% 1.46%
Portfolio Turnover Rate1 17% 22% 16% 21% 24%

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

50


 

Mid-Cap Index Fund

Notes to Financial Statements

Vanguard Mid-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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).

During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.

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 (December 31, 2009–2012), 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.

51


 

Mid-Cap Index Fund

5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed capital of $4,292,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.72% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant 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 31,976,589
Temporary Cash Investments 226,949 2,000
Futures Contracts—Assets1 820
Total 32,204,358 2,000
1 Represents variation margin on the last day of the reporting period.

 

52


 

Mid-Cap Index Fund

D. 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 MidCap 400 Index March 2013 355 36,143 (188)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

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

During the year ended December 31, 2012, the fund realized $1,026,095,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $5,455,000 of ordinary income available for distribution. At December 31, 2012, the fund had available capital losses totaling $2,593,882,000 to offset future net capital gains. Of this amount, $2,258,323,000 is subject to expiration dates; $1,696,225,000 may be used to offset future net capital gains through December 31, 2017, and $562,098,000 through December 31, 2018. Capital losses of $335,559,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $27,691,887,000. Net unrealized appreciation of investment securities for tax purposes was $4,513,651,000, consisting of unrealized gains of $6,484,335,000 on securities that had risen in value since their purchase and $1,970,684,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the year ended December 31, 2012, the fund purchased $9,660,427,000 of investment securities and sold $7,401,956,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,632,029,000 and $2,408,337,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

53


 

Mid-Cap Index Fund

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 714,211 33,073 1,146,320 55,156
Issued in Lieu of Cash Distributions 46,399 2,063 46,815 2,381
Redeemed (1,597,899) (74,317) (2,534,329) (121,277)
Net Increase (Decrease) —Investor Shares (837,289) (39,181) (1,341,194) (63,740)
Admiral Shares        
Issued 831,355 8,435 990,434 10,647
Issued in Lieu of Cash Distributions 86,410 847 72,441 812
Redeemed (867,852) (8,837) (906,891) (9,768)
Net Increase (Decrease)—Admiral Shares 49,913 445 155,984 1,691
Signal Shares        
Issued 1,794,040 58,026 2,021,498 67,642
Issued in Lieu of Cash Distributions 59,736 1,856 41,582 1,477
Redeemed (1,157,957) (37,196) (1,144,339) (38,895)
Net Increase (Decrease)—Signal Shares 695,819 22,686 918,741 30,224
Institutional Shares        
Issued 2,043,658 94,208 2,201,275 106,208
Issued in Lieu of Cash Distributions 93,697 4,159 72,105 3,658
Redeemed (1,496,105) (69,989) (4,287,578) (207,796)
Net Increase (Decrease) —Institutional Shares 641,250 28,378 (2,014,198) (97,930)
Institutional Plus Shares        
Issued 2,054,815 19,336 3,748,008 36,958
Issued in Lieu of Cash Distributions 69,076 622 48,066 495
Redeemed (642,394) (6,029) (676,146) (6,892)
Net Increase (Decrease) —Institutional Plus Shares 1,481,497 13,929 3,119,928 30,561
ETF Shares        
Issued 2,665,050 33,566 2,791,801 36,623
Issued in Lieu of Cash Distributions
Redeemed (2,458,268) (30,900) (2,820,424) (36,700)
Net Increase (Decrease) —ETF Shares 206,782 2,666 (28,623) (77)

 

H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Mid Cap 450 Index to the CRSP US Mid Cap Index. The benchmark change was effective on January 31, 2013. The fund’s investment objective has not changed.

54


 

Mid-Cap Growth Index Fund    
 
 
Fund Profile      
As of December 31, 2012      
 
Share-Class Characteristics      
  Investor Admiral ETF
  Shares Shares Shares
Ticker Symbol VMGIX VMGMX VOT
Expense Ratio1 0.24% 0.10% 0.10%
30-Day SEC Yield 0.34% 0.48% 0.48%

 

Portfolio Characteristics    
      DJ U.S.
      Total
    MSCI US Market
    Mid Cap FA
  Fund Growth Index Index
Number of Stocks 239 239 3,604
Median Market Cap $7.4B $7.4B $35.1B
Price/Earnings Ratio 24.2x 24.2x 16.8x
Price/Book Ratio 3.5x 3.5x 2.1x
Return on Equity 16.3% 16.3% 17.1%
Earnings Growth Rate 16.5% 16.5% 9.7%
Dividend Yield 0.6% 0.6% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 38%
Short-Term Reserves 0.0%

 

Volatility Measures    
    DJ U.S.
    Total
  MSCI US Market
  Mid Cap FA
  Growth Index Index
R-Squared 1.00 0.94
Beta 1.00 1.16

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)
Pioneer Natural Oil & Gas Exploration  
Resources Co. & Production 1.0%
Delphi Automotive plc Auto Parts &  
  Equipment 1.0
Cerner Corp. Health Care  
  Technology 0.9
Starwood Hotels & Hotels, Resorts &  
Resorts Worldwide Inc. Cruise Lines 0.9
Mylan Inc. Pharmaceuticals 0.9
Harley-Davidson Inc. Motorcycle  
  Manufacturers 0.9
Sirius XM Radio Inc. Cable & Satellite 0.9
DaVita HealthCare    
Partners Inc. Health Care Services 0.9
Roper Industries Inc. Electrical  
  Components &  
  Equipment 0.9
AmerisourceBergen Health Care  
Corp. Distributors 0.9
Top Ten   9.2%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% for ETF Shares.

55


 

Mid-Cap Growth Index Fund

Sector Diversification (% of equity exposure)
      DJ U.S.
    MSCI US Total
    Mid Cap Market
    Growth FA
  Fund Index Index
Consumer Discretionary 23.2% 23.2% 12.3%
Consumer Staples 3.6 3.6 9.3
Energy 9.3 9.3 10.2
Financials 7.5 7.5 16.9
Health Care 15.0 15.0 11.7
Industrials 15.3 15.3 11.1
Information Technology 18.9 18.9 18.3
Materials 5.6 5.6 4.0
Telecommunication      
Services 1.1 1.1 2.7
Utilities 0.5 0.5 3.5

 

56


 

Mid-Cap 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: August 24, 2006, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
 
      Since Final Value
  One Five Inception of a $10,000
  Year Years (8/24/2006) Investment
 
Mid-Cap Growth Index Fund Investor        
Shares 15.81% 1.61% 5.31% $13,888
 
MSCI US Mid Cap Growth Index 16.03 1.82 5.49 14,046
 
Mid-Cap Growth Funds Average 13.58 1.23 5.01 13,639
 
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 4.26 13,038

Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standards.

 

    Since Final Value
  One Inception of a $10,000
  Year (9/27/2011) Investment
Mid-Cap Growth Index Fund Admiral Shares 15.96% 15.18% $11,949
MSCI US Mid Cap Growth Index 16.03 15.28 11,963
Dow Jones U.S. Total Stock Market      
Float-Adjusted Index 16.38 19.56 12,525

"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.

See Financial Highlights for dividend and capital gains information.

57


 

Mid-Cap Growth Index Fund        
 
 
 
 
    Average Annual Total Returns  
  Periods Ended December 31, 2012  
 
      Since Final Value
  One Five Inception of a $10,000
  Year Years (8/17/2006) Investment
Mid-Cap Growth Index Fund        
ETF Shares Net Asset Value 15.94% 1.76% 5.19% $13,809
MSCI US Mid Cap Growth Index 16.03 1.82 5.24 13,846
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 4.20 12,997

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

Cumulative Returns of ETF Shares: August 17, 2006, Through December 31, 2012  
 
      Since
  One Five Inception
  Year Years (8/17/2006)
Mid-Cap Growth Index Fund ETF Shares      
Market Price 16.02% 9.13% 38.12%
Mid-Cap Growth Index Fund ETF Shares Net      
Asset Value 15.94 9.09 38.09
MSCI US Mid Cap Growth Index 16.03 9.42 38.46

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

Fiscal-Year Total Returns (%): August 24, 2006, Through December 31, 2012


Mid-Cap Growth Index Fund Investor Shares
MSCI US Mid Cap Growth Index

 

58


 

Mid-Cap Growth Index Fund

Financial Statements

Statement of Net Assets
As of December 31, 2012

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

      Market
      Value
    Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (23.2%)  
* Delphi Automotive plc 645,306 24,683
  Starwood Hotels &    
  Resorts Worldwide Inc. 413,139 23,698
  Harley-Davidson Inc. 479,184 23,403
  Sirius XM Radio Inc. 8,056,675 23,284
* O’Reilly Automotive Inc. 250,029 22,358
* Liberty Interactive Corp.    
  Class A 1,083,609 21,325
* Chipotle Mexican Grill Inc.    
  Class A 66,621 19,817
* Dollar Tree Inc. 484,377 19,646
* CarMax Inc. 480,122 18,024
* BorgWarner Inc. 240,639 17,235
  PVH Corp. 147,946 16,423
* Lululemon Athletica Inc. 211,864 16,150
  Wyndham    
  Worldwide Corp. 298,929 15,906
  PetSmart Inc. 227,494 15,547
  Tiffany & Co. 266,092 15,258
  Family Dollar Stores Inc. 208,787 13,239
* PulteGroup Inc. 725,831 13,181
  Tractor Supply Co. 149,100 13,174
* LKQ Corp. 622,571 13,136
  Virgin Media Inc. 348,922 12,823
  Ulta Salon Cosmetics &    
  Fragrance Inc. 125,720 12,353
  Polaris Industries Inc. 136,772 11,509
  Advance Auto Parts Inc. 154,004 11,142
  Scripps Networks    
  Interactive Inc. Class A 180,716 10,467
* Netflix Inc. 110,804 10,280
* Fossil Inc. 108,598 10,110
* TripAdvisor Inc. 231,312 9,706
* Urban Outfitters Inc. 243,536 9,586
* NVR Inc. 10,273 9,451
* Panera Bread Co. Class A 59,308 9,420
  Dick’s Sporting Goods Inc. 202,610 9,217
  Signet Jewelers Ltd. 169,966 9,076

 

      Market
      Value
    Shares ($000)
* MGM Resorts    
  International 770,579 8,970
* Sally Beauty Holdings Inc. 378,356 8,918
* Under Armour Inc.    
  Class A 164,974 8,006
  Dunkin’ Brands Group Inc. 221,202 7,339
* Goodyear Tire &    
  Rubber Co. 514,888 7,111
  JC Penney Co. Inc. 344,937 6,799
* Toll Brothers Inc. 206,285 6,669
  Lennar Corp. Class A 167,880 6,492
* Charter    
  Communications Inc.    
  Class A 84,811 6,466
  Cablevision Systems Corp.    
  Class A 402,105 6,007
  Gentex Corp. 303,015 5,703
  Tupperware Brands Corp. 75,833 4,861
  Harman International    
  Industries Inc. 91,795 4,098
* Tempur-Pedic    
  International Inc. 125,581 3,955
  Interpublic Group of    
  Cos. Inc. 322,656 3,556
* Lamar Advertising Co.    
  Class A 85,980 3,332
*,^ Sears Holdings Corp. 78,570 3,250
  Weight Watchers    
  International Inc. 58,642 3,071
* AutoNation Inc. 76,316 3,030
* Apollo Group Inc. Class A 139,303 2,914
* Jarden Corp. 56,015 2,896
  Williams-Sonoma Inc. 65,945 2,886
  Burger King    
  Worldwide Inc. 147,692 2,428
* Hyatt Hotels Corp.    
  Class A 48,699 1,878
^ Allison Transmission    
  Holdings Inc. 76,596 1,564
      602,826

 

59


 

Mid-Cap Growth Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
Consumer Staples (3.6%)    
* Monster Beverage Corp. 315,375 16,677
* Green Mountain Coffee    
  Roasters Inc. 277,745 11,488
* Constellation Brands Inc.    
  Class A 323,188 11,438
  McCormick & Co. Inc. 164,153 10,429
* Ralcorp Holdings Inc. 116,018 10,401
  Hormel Foods Corp. 304,369 9,499
  Church & Dwight Co. Inc. 146,248 7,834
^ Herbalife Ltd. 234,454 7,723
  Hillshire Brands Co. 249,005 7,007
      92,496
Energy (9.3%)    
  Pioneer Natural    
  Resources Co. 245,751 26,195
  Cabot Oil & Gas Corp. 441,607 21,966
* FMC Technologies Inc. 501,257 21,469
  Range Resources Corp. 341,658 21,466
  EQT Corp. 314,538 18,551
* Concho Resources Inc. 208,331 16,783
  CONSOL Energy Inc. 478,606 15,363
  Oceaneering    
  International Inc. 226,823 12,201
  QEP Resources Inc. 373,514 11,306
  Core Laboratories NV 99,325 10,857
* Whiting Petroleum Corp. 247,172 10,720
  Diamond Offshore    
  Drilling Inc. 146,078 9,927
* Dresser-Rand Group Inc. 158,917 8,922
  SM Energy Co. 136,593 7,132
* Cobalt International    
  Energy Inc. 252,654 6,205
* Ultra Petroleum Corp. 321,862 5,835
* Kinder Morgan    
  Management LLC 74,021 5,586
* SandRidge Energy Inc. 774,913 4,921
* Rowan Cos. plc Class A 130,598 4,084
* Laredo Petroleum    
  Holdings Inc. 81,081 1,472
      240,961
Financials (7.5%)    
  Moody’s Corp. 420,671 21,168
* IntercontinentalExchange    
  Inc. 153,002 18,943
* CIT Group Inc. 401,222 15,503
* Affiliated Managers    
  Group Inc. 107,911 14,045
* CBRE Group Inc. Class A 655,211 13,039
* Arch Capital Group Ltd. 286,433 12,609
  Taubman Centers Inc. 129,655 10,207
  American Campus    
  Communities Inc. 220,251 10,160
* Ocwen Financial Corp. 240,852 8,331
* MSCI Inc. Class A 255,393 7,915

 

      Market
      Value
    Shares ($000)
  Eaton Vance Corp. 241,385 7,688
  Federal Realty    
  Investment Trust 67,325 7,003
  SEI Investments Co. 292,171 6,819
  Brown & Brown Inc. 255,271 6,499
  Digital Realty Trust Inc. 89,883 6,102
  CBOE Holdings Inc. 183,706 5,412
  Jones Lang LaSalle Inc. 59,986 5,035
  Raymond James    
  Financial Inc. 123,341 4,752
  Hudson City Bancorp Inc. 499,942 4,065
  LPL Financial Holdings Inc. 117,076 3,297
  Weingarten Realty    
  Investors 121,448 3,251
  Erie Indemnity Co.    
  Class A 29,702 2,056
      193,899
Health Care (15.0%)    
* Cerner Corp. 305,971 23,755
* Mylan Inc. 853,049 23,442
* DaVita HealthCare    
  Partners Inc. 207,471 22,932
  AmerisourceBergen Corp.    
  Class A 529,180 22,850
* Edwards    
  Lifesciences Corp. 243,306 21,939
* Forest Laboratories Inc. 558,751 19,735
  Perrigo Co. 186,765 19,429
* Vertex    
  Pharmaceuticals Inc. 453,834 19,034
* Laboratory Corp. of    
  America Holdings 201,662 17,468
  CR Bard Inc. 167,471 16,369
* Varian Medical    
  Systems Inc. 232,799 16,352
* Waters Corp. 184,293 16,055
* Henry Schein Inc. 186,091 14,973
* Illumina Inc. 258,609 14,376
* BioMarin    
  Pharmaceutical Inc. 259,647 12,787
* Mettler-Toledo    
  International Inc. 65,183 12,600
  ResMed Inc. 299,994 12,471
  DENTSPLY    
  International Inc. 297,963 11,802
* IDEXX Laboratories Inc. 119,418 11,082
* Onyx Pharmaceuticals Inc. 136,826 10,334
  Cooper Cos. Inc. 100,585 9,302
* Medivation Inc. 154,723 7,916
* Pharmacyclics Inc. 117,013 6,775
  Patterson Cos. Inc. 183,133 6,269
  Warner Chilcott plc    
  Class A 448,063 5,395
  Universal Health    
  Services Inc. Class B 94,202 4,555

 

60


 

Mid-Cap Growth Index Fund

      Market
      Value
    Shares ($000)
* Covance Inc. 75,338 4,352
* Allscripts Healthcare    
  Solutions Inc. 343,435 3,235
* Bio-Rad Laboratories Inc.    
  Class A 26,879 2,824
      390,408
Industrials (15.3%)    
  Roper Industries Inc. 205,667 22,928
  ADT Corp. 486,649 22,624
* Delta Air Lines Inc. 1,788,167 21,226
  Kansas City Southern 231,321 19,311
  AMETEK Inc. 509,983 19,160
* Stericycle Inc. 180,114 16,799
* United Continental    
  Holdings Inc. 698,835 16,339
  Flowserve Corp. 107,439 15,772
* Verisk Analytics Inc.    
  Class A 296,409 15,117
  Pall Corp. 244,314 14,722
  Textron Inc. 591,079 14,653
  TransDigm Group Inc. 102,709 14,005
  JB Hunt Transport    
  Services Inc. 197,581 11,798
* IHS Inc. Class A 117,567 11,286
* B/E Aerospace Inc. 218,414 10,790
* Fortune Brands Home &    
  Security Inc. 337,651 9,866
  Donaldson Co. Inc. 297,215 9,760
  Joy Global Inc. 144,573 9,221
  Wabtec Corp. 100,570 8,804
* WABCO Holdings Inc. 134,282 8,754
* Owens Corning 236,571 8,751
  Waste Connections Inc. 245,883 8,308
  Masco Corp. 491,525 8,189
* Nielsen Holdings NV 265,608 8,125
  Southwest Airlines Co. 779,065 7,978
  Nordson Corp. 121,141 7,646
  Dun & Bradstreet Corp. 94,317 7,418
  MSC Industrial    
  Direct Co. Inc. Class A 98,110 7,395
  Gardner Denver Inc. 102,672 7,033
* Sensata Technologies    
  Holding NV 206,569 6,709
* Copart Inc. 227,174 6,702
  Babcock & Wilcox Co. 224,152 5,873
* Foster Wheeler AG 226,879 5,518
  Robert Half    
  International Inc. 141,704 4,509
  IDEX Corp. 87,688 4,080
      397,169
Information Technology (18.9%)  
* Fiserv Inc. 285,350 22,551
* Teradata Corp. 354,497 21,940
  Amphenol Corp. Class A 338,468 21,899
* Red Hat Inc. 405,868 21,495

 

      Market
      Value
    Shares ($000)
* Equinix Inc. 101,349 20,898
  Xilinx Inc. 551,441 19,797
* LinkedIn Corp. Class A 167,634 19,248
* Rackspace Hosting Inc. 228,082 16,940
* Autodesk Inc. 476,651 16,850
  Avago Technologies Ltd.    
  Class A 516,237 16,344
* F5 Networks Inc. 166,131 16,140
* Trimble Navigation Ltd. 264,343 15,802
* Akamai Technologies Inc. 372,914 15,256
* Alliance Data    
  Systems Corp. 104,862 15,180
* Micron Technology Inc. 2,138,378 13,579
* BMC Software Inc. 335,279 13,297
* ANSYS Inc. 194,122 13,072
* VeriSign Inc. 328,586 12,756
* Nuance    
  Communications Inc. 517,539 11,551
* Gartner Inc. 196,236 9,031
* LSI Corp. 1,173,631 8,309
* Skyworks Solutions Inc. 401,810 8,157
  IAC/InterActiveCorp 171,816 8,127
  NVIDIA Corp. 649,487 7,982
* Cree Inc. 230,975 7,849
  Solera Holdings Inc. 146,619 7,840
  FactSet Research    
  Systems Inc. 88,948 7,833
* SanDisk Corp. 177,235 7,720
  Global Payments Inc. 165,378 7,492
* TIBCO Software Inc. 339,858 7,480
* MICROS Systems Inc. 168,187 7,138
  FLIR Systems Inc. 317,799 7,090
* Informatica Corp. 227,512 6,898
* VeriFone Systems Inc. 226,917 6,735
* Riverbed Technology Inc. 319,307 6,297
* Atmel Corp. 926,446 6,068
* Fortinet Inc. 265,325 5,590
* Synopsys Inc. 156,894 4,995
* Lam Research Corp. 134,194 4,848
* NetSuite Inc. 59,739 4,020
* Electronic Arts Inc. 235,076 3,416
* Flextronics    
  International Ltd. 491,354 3,051
* Vantiv Inc. Class A 148,861 3,040
  Dolby Laboratories Inc.    
  Class A 100,422 2,945
* ServiceNow Inc. 79,120 2,376
* Palo Alto Networks Inc. 28,628 1,532
* Freescale    
  Semiconductor Ltd. 104,657 1,152
      489,606
Materials (5.6%)    
  FMC Corp. 288,681 16,894
  Celanese Corp. Class A 334,780 14,908
  Ball Corp. 309,046 13,830

 

61


 

Mid-Cap Growth Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Sigma-Aldrich Corp. 165,036 12,143
  Albemarle Corp. 188,033 11,681
* Crown Holdings Inc. 313,029 11,523
  Valspar Corp. 182,115 11,364
  Royal Gold Inc. 135,019 10,978
* WR Grace & Co. 149,537 10,053
  CF Industries Holdings Inc. 46,138 9,373
  Vulcan Materials Co. 176,719 9,198
  Rock-Tenn Co. Class A 74,446 5,205
  Scotts Miracle-Gro Co.    
  Class A 90,295 3,978
  Aptargroup Inc. 49,124 2,344
  Westlake Chemical Corp. 21,077 1,671
      145,143
Telecommunication Services (1.1%)  
* SBA    
  Communications Corp.    
  Class A 255,730 18,162
* Level 3    
  Communications Inc. 318,587 7,362
* MetroPCS    
  Communications Inc. 325,811 3,239
      28,763
Utilities (0.5%)    
  ITC Holdings Corp. 108,197 8,321
* Calpine Corp. 317,913 5,764
      14,085
Total Common Stocks    
(Cost $2,331,323)   2,595,356
Temporary Cash Investment (0.3%)  
Money Market Fund (0.3%)    
1,2 Vanguard Market Liquidity    
  Fund, 0.162%    
  (Cost $6,702) 6,702,601 6,702
Total Investments (100.3%)    
(Cost $2,338,025)   2,602,058
Other Assets and Liabilities (-0.3%)  
Other Assets   8,230
Liabilities2   (14,742)
      (6,512)
Net Assets (100%)   2,595,546

 

At December 31, 2012, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 2,735,301
Overdistributed Net Investment Income (1,494)
Accumulated Net Realized Losses (402,294)
Unrealized Appreciation (Depreciation) 264,033
Net Assets 2,595,546
 
 
Investor Shares—Net Assets  
Applicable to 17,892,945 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 482,912
Net Asset Value Per Share—  
Investor Shares $26.99
 
 
Admiral Shares—Net Assets  
Applicable to 30,884,025 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 912,590
Net Asset Value Per Share—  
Admiral Shares $29.55
 
 
ETF Shares—Net Assets  
Applicable to 17,482,309 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 1,200,044
Net Asset Value Per Share—  
ETF Shares $68.64

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $6,477,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $6,702,000 of collateral received for securities on loan.
See accompanying Notes, which are an integral part of the Financial Statements.

62


 

Mid-Cap Growth Index Fund  
 
 
Statement of Operations  
 
  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 19,936
Interest1 5
Security Lending 365
Total Income 20,306
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 249
Management and Administrative—Investor Shares 964
Management and Administrative—Admiral Shares 538
Management and Administrative—ETF Shares 587
Marketing and Distribution—Investor Shares 165
Marketing and Distribution—Admiral Shares 114
Marketing and Distribution—ETF Shares 340
Custodian Fees 67
Auditing Fees 31
Shareholders’ Reports—Investor Shares 23
Shareholders’ Reports—Admiral Shares 16
Shareholders’ Reports—ETF Shares 97
Trustees’ Fees and Expenses 2
Total Expenses 3,193
Net Investment Income 17,113
Realized Net Gain (Loss) on Investment Securities Sold 78,605
Change in Unrealized Appreciation (Depreciation) of Investment Securities 236,438
Net Increase (Decrease) in Net Assets Resulting from Operations 332,156
1 Interest income from an affiliated company of the fund was $5,000.

 

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

63


 

Mid-Cap Growth Index Fund    
 
 
Statement of Changes in Net Assets    
 
  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 17,113 9,684
Realized Net Gain (Loss) 78,605 272,301
Change in Unrealized Appreciation (Depreciation) 236,438 (383,998)
Net Increase (Decrease) in Net Assets Resulting from Operations 332,156 (102,013)
Distributions    
Net Investment Income    
Investor Shares (2,603) (1,969)
Admiral Shares (6,255) (2,103)
ETF Shares (8,280) (5,864)
Realized Capital Gain    
Investor Shares
Admiral Shares
ETF Shares
Total Distributions (17,138) (9,936)
Capital Share Transactions    
Investor Shares (90,935) (410,088)
Admiral Shares 299,717 529,290
ETF Shares (51,292) 128,191
Net Increase (Decrease) from Capital Share Transactions 157,490 247,393
Total Increase (Decrease) 472,508 135,444
Net Assets    
Beginning of Period 2,123,038 1,987,594
End of Period1 2,595,546 2,123,038

 

1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,494,000) and ($1,469,000).

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

64


 

Mid-Cap Growth Index Fund          
 
 
Financial Highlights          
 
 
Investor Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $23.43 $24.46 $19.05 $13.43 $25.50
Investment Operations          
Net Investment Income .146 .087 .1041 .084 .059
Net Realized and Unrealized Gain (Loss)          
on Investments 3.559 (1.027) 5.408 5.629 (12.065)
Total from Investment Operations 3.705 (.940) 5.512 5.713 (12.006)
Distributions          
Dividends from Net Investment Income (.145) (.090) (.102) (.093) (.064)
Distributions from Realized Capital Gains
Total Distributions (.145) (.090) (.102) (.093) (.064)
Net Asset Value, End of Period $26.99 $23.43 $24.46 $19.05 $13.43
 
Total Return2 15.81% -3.84% 28.93% 42.54% -47.07%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $483 $503 $958 $546 $275
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.30% 0.25%
Ratio of Net Investment Income to          
Average Net Assets 0.58% 0.35% 0.57%1 0.55% 0.37%
Portfolio Turnover Rate3 38% 41% 38% 43% 54%

 

1 Net investment income per share and the ratio of net investment income to average net assets include $0.011 and 0.06%, respectively, resulting from a special dividend from VeriSign Inc. in December 2010.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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.

65


 

Mid-Cap Growth Index Fund    
 
 
Financial Highlights    
 
 
Admiral Shares    
  Year Sept. 27,
  Ended 20111 to
  Dec. 31, Dec. 31,
For a Share Outstanding Throughout Each Period 2012 2011
Net Asset Value, Beginning of Period $25.66 $25.00
Investment Operations    
Net Investment Income .205 .027
Net Realized and Unrealized Gain (Loss) on Investments 3.889 0.736
Total from Investment Operations 4.094 0.763
Distributions    
Dividends from Net Investment Income (.204) (.103)
Distributions from Realized Capital Gains
Total Distributions (.204) (.103)
Net Asset Value, End of Period $29.55 $25.66
 
Total Return2 15.96% 3.05%
 
Ratios/Supplemental Data    
Net Assets, End of Period (Millions) $913 $525
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%3
Ratio of Net Investment Income to Average Net Assets 0.72% 0.49%3
Portfolio Turnover Rate4 38% 41%

 

1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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.

66


 

Mid-Cap Growth Index Fund          
 
 
Financial Highlights          
 
 
ETF Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $59.61 $62.23 $48.45 $34.12 $64.85
Investment Operations          
Net Investment Income .474 .316 .3261 .267 .214
Net Realized and Unrealized Gain (Loss)          
on Investments 9.029 (2.617) 13.776 14.353 (30.717)
Total from Investment Operations 9.503 (2.301) 14.102 14.620 (30.503)
Distributions          
Dividends from Net Investment Income (.473) (.319) (.322) (.290) (.227)
Distributions from Realized Capital Gains
Total Distributions (.473) (.319) (.322) (.290) (.227)
Net Asset Value, End of Period $68.64 $59.61 $62.23 $48.45 $34.12
 
Total Return 15.94% -3.70% 29.11% 42.85% -47.02%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,200 $1,095 $1,030 $646 $413
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.12%
Ratio of Net Investment Income to          
Average Net Assets 0.72% 0.49% 0.71%1 0.71% 0.50%
Portfolio Turnover Rate2 38% 41% 38% 43% 54%

 

1 Net investment income per share and the ratio of net investment income to average net assets include $0.028 and 0.06%, respectively, resulting from a special dividend from VeriSign Inc. in December 2010.
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.

67


 

Mid-Cap Growth Index Fund

Notes to Financial Statements

Vanguard Mid-Cap Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and ETF 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. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

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

2. Federal Income Taxes: The fund intends to 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 (December 31, 2009–2012), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

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

4. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed capital of $348,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.14% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

68


 

Mid-Cap Growth Index Fund

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At December 31, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.

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

During the year ended December 31, 2012, the fund realized $167,898,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $329,000 of ordinary income available for distribution. At December 31, 2012, the fund had available capital losses totaling $402,254,000 to offset future net capital gains. Of this amount, $286,740,000 is subject to expiration dates; $203,722,000 may be used to offset future net capital gains through December 31, 2017, and $83,018,000 through December 31, 2018. Capital losses of $115,514,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $2,338,065,000. Net unrealized appreciation of investment securities for tax purposes was $263,993,000, consisting of unrealized gains of $394,561,000 on securities that had risen in value since their purchase and $130,568,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the year ended December 31, 2012, the fund purchased $1,595,861,000 of investment securities and sold $1,438,434,000 of investment securities, other than temporary cash investments. Purchases and sales include $461,821,000 and $506,452,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

69


 

Mid-Cap Growth Index Fund

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 214,387 8,282 462,807 18,463
Issued in Lieu of Cash Distributions 2,430 90 1,880 80
Redeemed (307,752) (11,934) (874,775) (36,253)
Net Increase (Decrease) —Investor Shares (90,935) (3,562) (410,088) (17,710)
Admiral Shares1        
Issued 514,031 17,978 550,971 21,302
Issued in Lieu of Cash Distributions 5,791 196 1,910 74
Redeemed (220,105) (7,742) (23,591) (924)
Net Increase (Decrease)—Admiral Shares 299,717 10,432 529,290 20,452
ETF Shares        
Issued 464,982 7,004 714,408 10,935
Issued in Lieu of Cash Distributions
Redeemed (516,274) (7,900) (586,217) (9,100)
Net Increase (Decrease)—ETF Shares (51,292) (896) 128,191 1,835
1 Inception was September 27, 2011, for Admiral Shares.

 

G. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced an upcoming change in the fund’s benchmark index from the MSCI US Mid Cap Growth Index to the CRSP US Mid Cap Growth Index. The fund’s investment objective is not changing. The transition to the new benchmark is expected to be completed over several months, and will require some turnover of holdings with resulting transaction costs. Vanguard will seek to minimize trading impact through efficient portfolio trading.

70


 

Mid-Cap Value Index Fund      
 
 
Fund Profile      
As of December 31, 2012      
 
Share-Class Characteristics      
  Investor Admiral ETF
  Shares Shares Shares
Ticker Symbol VMVIX VMVAX VOE
Expense Ratio1 0.24% 0.10% 0.10%
30-Day SEC Yield 2.37% 2.51% 2.51%

 

Portfolio Characteristics    
      DJ U.S.
      Total
    MSCI US Market
    Mid Cap FA
  Fund Value Index Index
Number of Stocks 255 255 3,604
Median Market Cap $6.1B $6.1B $35.1B
Price/Earnings Ratio 15.9x 15.9x 16.8x
Price/Book Ratio 1.5x 1.5x 2.1x
Return on Equity 10.9% 10.9% 17.1%
Earnings Growth Rate 3.9% 3.9% 9.7%
Dividend Yield 2.6% 2.6% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 33%
Short-Term Reserves 0.2%

 

Volatility Measures    
    DJ U.S.
    Total
  MSCI US Market
  Mid Cap FA
  Value Index Index
R-Squared 1.00 0.97
Beta 1.00 1.04

These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.

 

Ten Largest Holdings (% of total net assets)
Mattel Inc. Leisure Products 1.0%
Host Hotels & Resorts    
Inc. Specialized REITs 0.9
Watson Pharmaceuticals    
Inc. Pharmaceuticals 0.9
Seagate Technology plc Computer Storage &  
  Peripherals 0.9
Bunge Ltd. Agricultural Products 0.9
Eastman Chemical Co. Diversified Chemicals 0.9
DTE Energy Co. Multi-Utilities 0.8
Pentair Ltd. Industrial Machinery 0.8
Regions Financial Corp. Regional Banks 0.8
American Capital Agency    
Corp. Mortgage REITs 0.8
Top Ten   8.7%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% for ETF Shares.

71


 

Mid-Cap Value Index Fund

Sector Diversification (% of equity exposure)
      DJ U.S.
      Total
    MSCI US Market
    Mid Cap FA
  Fund Value Index Index
Consumer Discretionary 13.1% 13.1% 12.3%
Consumer Staples 7.6 7.6 9.3
Energy 6.6 6.6 10.2
Financials 27.0 27.0 16.9
Health Care 5.2 5.2 11.7
Industrials 9.8 9.8 11.1
Information Technology 10.1 10.1 18.3
Materials 8.4 8.4 4.0
Telecommunication      
Services 0.9 0.9 2.7
Utilities 11.3 11.3 3.5

 

72


 

Mid-Cap 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: August 24, 2006, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
 
      Since Final Value
  One Five Inception of a $10,000
  Year Years (8/24/2006) Investment
 
Mid-Cap Value Index Fund Investor        
Shares 15.91% 4.12% 4.41% $13,154
 
MSCI US Mid Cap Value Index 16.09 4.33 4.59 13,296
 
Mid-Cap Value Funds Average 16.71 2.64 4.11 12,919
 
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 4.26 13,038

Mid-Cap Value Funds Average: Derived from data provided by Lipper Inc.

"Since Inception" performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standards.

    Since Final Value
  One Inception of a $10,000
  Year (9/27/2011) Investment
Mid-Cap Value Index Fund Admiral Shares 16.02% 20.73% $12,680
MSCI US Mid Cap Value Index 16.09 20.80 12,689
Dow Jones U.S. Total Stock Market      
Float-Adjusted Index 16.38 19.56 12,525

"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.

See Financial Highlights for dividend and capital gains information.

73


 

Mid-Cap Value Index Fund        
 
 
 
 
    Average Annual Total Returns  
  Periods Ended December 31, 2012  
 
      Since Final Value
  One Five Inception of a $10,000
  Year Years (8/17/2006) Investment
Mid-Cap Value Index Fund        
ETF Shares Net Asset Value 16.04% 4.26% 4.44% $13,190
MSCI US Mid Cap Value Index 16.09 4.33 4.48 13,224
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 4.20 12,997

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

Cumulative Returns of ETF Shares: August 17, 2006, Through December 31, 2012  
 
      Since
  One Five Inception
  Year Years (8/17/2006)
Mid-Cap Value Index Fund ETF Shares      
Market Price 16.00% 23.41% 31.91%
Mid-Cap Value Index Fund ETF Shares Net      
Asset Value 16.04 23.20 31.90
MSCI US Mid Cap Value Index 16.09 23.63 32.24

"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

Fiscal-Year Total Returns (%): August 24, 2006, Through December 31, 2012


Mid-Cap Value Index Fund Investor Shares
MSCI US Mid Cap Value Index

 

74


 

Mid-Cap Value Index Fund

Financial Statements

Statement of Net Assets
As of December 31, 2012

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

      Market
      Value
    Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (13.1%)  
  Mattel Inc. 662,116 24,247
  Genuine Parts Co. 301,217 19,151
  Nordstrom Inc. 312,344 16,710
  Whirlpool Corp. 150,651 15,329
  Autoliv Inc. 185,356 12,491
  Newell Rubbermaid Inc. 560,874 12,491
  Expedia Inc. 191,057 11,740
  Darden Restaurants Inc. 249,055 11,225
  DR Horton Inc. 558,115 11,039
* TRW Automotive    
  Holdings Corp. 201,471 10,801
* Mohawk Industries Inc. 113,929 10,307
  H&R Block Inc. 526,515 9,777
  Foot Locker Inc. 294,457 9,458
  Royal Caribbean    
  Cruises Ltd. 274,481 9,332
^ Garmin Ltd. 226,626 9,251
  Lear Corp. 189,938 8,897
  Hasbro Inc. 227,700 8,174
  Gannett Co. Inc. 449,533 8,096
  Abercrombie & Fitch Co. 160,009 7,676
  Leggett & Platt Inc. 273,147 7,435
  International Game    
  Technology 517,285 7,330
  American Eagle    
  Outfitters Inc. 343,667 7,049
  Best Buy Co. Inc. 559,466 6,630
  Virgin Media Inc. 173,088 6,361
  Interpublic Group of    
  Cos. Inc. 550,260 6,064
  GameStop Corp. Class A 241,098 6,049
  Lennar Corp. Class A 154,538 5,976
* Jarden Corp. 95,610 4,943
  Williams-Sonoma Inc. 112,873 4,940
* Toll Brothers Inc. 103,473 3,345
  Washington Post Co.    
  Class B 9,123 3,332

 

      Market
      Value
    Shares ($000)
  Guess? Inc. 131,434 3,225
  Tupperware Brands Corp. 38,136 2,445
  Harman International    
  Industries Inc. 45,742 2,042
* Hyatt Hotels Corp.    
  Class A 45,128 1,741
* Lamar Advertising Co.    
  Class A 42,724 1,656
* Apollo Group Inc. Class A 69,164 1,447
      308,202
Consumer Staples (7.6%)    
  Bunge Ltd. 283,688 20,621
  JM Smucker Co. 214,537 18,502
  Coca-Cola Enterprises Inc. 571,902 18,146
  Dr Pepper Snapple    
  Group Inc. 408,880 18,064
  Clorox Co. 239,158 17,511
  Beam Inc. 276,865 16,914
  Molson Coors Brewing Co.    
  Class B 289,663 12,395
  Tyson Foods Inc. Class A 566,987 11,000
  Energizer Holdings Inc. 125,171 10,011
  Ingredion Inc. 147,682 9,515
  Safeway Inc. 465,151 8,415
  Church & Dwight Co. Inc. 134,952 7,229
* Smithfield Foods Inc. 280,663 6,054
  McCormick & Co. Inc. 81,814 5,198
      179,575
Energy (6.6%)    
  HollyFrontier Corp. 375,596 17,484
  Peabody Energy Corp. 521,110 13,867
* Denbury Resources Inc. 759,751 12,308
  Tesoro Corp. 271,553 11,962
* Plains Exploration &    
  Production Co. 250,579 11,762
  Helmerich & Payne Inc. 205,324 11,500
  Cimarex Energy Co. 166,683 9,623
* Kinder Morgan    
  Management LLC 127,237 9,601

 

75


 

Mid-Cap Value Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* Nabors Industries Ltd. 564,051 8,150
* Oil States International Inc. 106,390 7,611
* Newfield Exploration Co. 261,427 7,001
* Superior Energy    
  Services Inc. 304,322 6,306
  Energen Corp. 139,782 6,303
* WPX Energy Inc. 385,513 5,736
  Patterson-UTI Energy Inc. 293,932 5,476
* McDermott    
  International Inc. 458,086 5,048
* Rowan Cos. plc Class A 121,241 3,791
* Cobalt International    
  Energy Inc. 126,295 3,102
      156,631
Financials (26.9%)    
  Host Hotels &    
  Resorts Inc. 1,403,170 21,988
  Regions Financial Corp. 2,744,578 19,541
  American Capital    
  Agency Corp. 663,341 19,197
  Principal Financial    
  Group Inc. 573,175 16,347
  SLM Corp. 911,601 15,616
  KeyCorp 1,832,182 15,427
  Kimco Realty Corp. 790,374 15,270
  Macerich Co. 258,538 15,073
  NYSE Euronext 477,759 15,068
  XL Group plc Class A 593,731 14,879
  Lincoln National Corp. 542,213 14,043
  Plum Creek    
  Timber Co. Inc. 313,708 13,919
  SL Green Realty Corp. 175,104 13,422
  Rayonier Inc. 238,466 12,360
  Cincinnati Financial Corp. 299,931 11,745
  UDR Inc. 485,984 11,557
  Comerica Inc. 375,853 11,403
  Unum Group 544,060 11,327
  Willis Group Holdings plc 336,260 11,275
  New York Community    
  Bancorp Inc. 852,867 11,173
  Camden Property Trust 162,395 11,077
  Everest Re Group Ltd. 100,658 11,067
  Huntington    
  Bancshares Inc. 1,667,089 10,653
  Digital Realty Trust Inc. 154,026 10,457
  Realty Income Corp. 259,172 10,421
  Essex Property Trust Inc. 70,754 10,376
  PartnerRe Ltd. 120,878 9,729
  Leucadia National Corp. 403,777 9,606
  Torchmark Corp. 184,892 9,553
  Fidelity National    
  Financial Inc. Class A 391,948 9,230
  WR Berkley Corp. 226,439 8,546
  Alexandria Real Estate    
  Equities Inc. 121,720 8,438

 

      Market
      Value
    Shares ($000)
  Ares Capital Corp. 474,013 8,295
* Alleghany Corp. 24,602 8,252
  People’s United    
  Financial Inc. 680,564 8,228
  Regency Centers Corp. 174,309 8,213
  Liberty Property Trust 227,731 8,146
  Arthur J Gallagher & Co. 234,775 8,135
  Senior Housing    
  Properties Trust 341,908 8,083
  RenaissanceRe    
  Holdings Ltd. 97,964 7,961
  Axis Capital Holdings Ltd. 222,742 7,716
* Markel Corp. 17,719 7,680
  Zions Bancorporation 357,746 7,656
  Reinsurance Group of    
  America Inc. Class A 142,899 7,648
  DDR Corp. 472,652 7,402
  HCC Insurance    
  Holdings Inc. 195,627 7,279
  Duke Realty Corp. 523,836 7,266
* Genworth Financial Inc.    
  Class A 954,901 7,171
  Federal Realty    
  Investment Trust 62,144 6,464
  NASDAQ OMX Group Inc. 242,445 6,064
  Legg Mason Inc. 235,587 6,059
  Piedmont Office Realty    
  Trust Inc. Class A 327,095 5,904
  Cullen/Frost Bankers Inc. 107,077 5,811
  First Republic Bank 177,135 5,806
  Hospitality    
  Properties Trust 239,324 5,605
  White Mountains    
  Insurance Group Ltd. 10,843 5,584
  Assurant Inc. 157,537 5,467
  American Financial    
  Group Inc. 136,529 5,396
  Validus Holdings Ltd. 155,963 5,393
  Commerce    
  Bancshares Inc. 151,603 5,315
  Chimera Investment Corp. 1,995,485 5,208
  Jefferies Group Inc. 256,773 4,768
  Raymond James    
  Financial Inc. 114,278 4,403
  Hudson City Bancorp Inc. 463,956 3,772
  WP Carey Inc. 60,166 3,138
  Weingarten Realty    
  Investors 112,531 3,012
  BOK Financial Corp. 53,279 2,902
  Jones Lang LaSalle Inc. 30,023 2,520
  Erie Indemnity Co.    
  Class A 27,593 1,910
      635,415

 

76


 

Mid-Cap Value Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
Health Care (5.2%)    
* Watson    
  Pharmaceuticals Inc. 247,961 21,325
  Quest Diagnostics Inc. 308,283 17,964
* Life Technologies Corp. 340,483 16,711
* CareFusion Corp. 431,013 12,318
  Coventry Health Care Inc. 260,045 11,658
* Hologic Inc. 514,134 10,298
* Hospira Inc. 320,692 10,018
  Omnicare Inc. 216,687 7,822
* Endo Health Solutions Inc. 226,364 5,947
  Universal Health    
  Services Inc. Class B 86,932 4,203
* Covance Inc. 37,668 2,176
* Bio-Rad Laboratories Inc.    
  Class A 13,495 1,418
      121,858
Industrials (9.9%)    
  Pentair Ltd. 407,018 20,005
  Rockwell Collins Inc. 262,319 15,259
  L-3 Communications    
  Holdings Inc. 187,527 14,368
  Equifax Inc. 232,840 12,601
* Quanta Services Inc. 406,363 11,090
* Jacobs Engineering    
  Group Inc. 252,024 10,729
* Hertz Global Holdings Inc. 613,382 9,980
  Xylem Inc. 360,470 9,769
* AGCO Corp. 188,392 9,254
  Cintas Corp. 221,251 9,049
  Snap-on Inc. 112,984 8,925
  Iron Mountain Inc. 276,121 8,574
  Hubbell Inc. Class B 101,130 8,559
  KBR Inc. 285,485 8,542
  Timken Co. 160,287 7,666
  Southwest Airlines Co. 721,708 7,390
  SPX Corp. 98,296 6,895
  Avery Dennison Corp. 196,500 6,862
  Manpower Inc. 153,644 6,521
  Towers Watson & Co.    
  Class A 113,915 6,403
  URS Corp. 148,858 5,844
  Joy Global Inc. 72,193 4,604
  Pitney Bowes Inc. 391,623 4,167
  Robert Half    
  International Inc. 130,858 4,164
  Masco Corp. 245,888 4,096
* Spirit Aerosystems    
  Holdings Inc. Class A 233,322 3,959
  IDEX Corp. 81,385 3,787
  RR Donnelley & Sons Co. 351,992 3,168
      232,230
Information Technology (10.1%)  
  Seagate Technology plc 694,296 21,162
  Western Digital Corp. 432,144 18,362

 

      Market
      Value
    Shares ($000)
  Maxim Integrated    
  Products Inc. 566,705 16,661
  Fidelity National    
  Information Services Inc. 457,756 15,934
  KLA-Tencor Corp. 323,383 15,445
  Linear Technology Corp. 447,206 15,339
* SanDisk Corp. 304,899 13,281
  Microchip Technology Inc. 376,202 12,260
  Computer Sciences Corp. 301,690 12,083
  Harris Corp. 219,998 10,771
* Avnet Inc. 273,886 8,384
* Lam Research Corp. 229,595 8,295
* Arrow Electronics Inc. 210,826 8,028
  NVIDIA Corp. 601,617 7,394
  Jabil Circuit Inc. 358,140 6,909
  Marvell Technology    
  Group Ltd. 930,207 6,753
  Total System Services Inc. 309,605 6,632
* ON Semiconductor Corp. 882,284 6,220
  SAIC Inc. 529,549 5,994
* Electronic Arts Inc. 400,797 5,824
* Flextronics    
  International Ltd. 840,362 5,219
* Synopsys Inc. 144,858 4,612
  Molex Inc. 130,613 3,570
  Molex Inc. Class A 142,144 3,173
      238,305
Materials (8.4%)    
  Eastman Chemical Co. 296,995 20,211
  CF Industries Holdings Inc. 79,172 16,085
  Ashland Inc. 152,593 12,270
  Airgas Inc. 127,259 11,617
  MeadWestvaco Corp. 337,250 10,748
  Cliffs Natural    
  Resources Inc. 276,762 10,672
  International Flavors &    
  Fragrances Inc. 158,317 10,534
  Reliance Steel &    
  Aluminum Co. 146,261 9,083
  Martin Marietta    
  Materials Inc. 88,903 8,382
  Rockwood Holdings Inc. 144,537 7,149
  Bemis Co. Inc. 200,670 6,714
  United States Steel Corp. 279,583 6,674
* Owens-Illinois Inc. 304,678 6,481
  Huntsman Corp. 400,734 6,372
  Sealed Air Corp. 357,173 6,254
  Sigma-Aldrich Corp. 81,961 6,031
  Allegheny    
  Technologies Inc. 197,212 5,987
  Sonoco Products Co. 194,986 5,797
  Domtar Corp. 67,967 5,677
  Steel Dynamics Inc. 404,467 5,553
  Rock-Tenn Co. Class A 68,809 4,810
  Vulcan Materials Co. 88,166 4,589

 

77


 

Mid-Cap Value Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Walter Energy Inc. 121,462 4,358
  Aptargroup Inc. 83,865 4,002
  Westlake Chemical Corp. 19,424 1,540
      197,590
Telecommunication Services (0.9%)  
  Windstream Corp. 1,141,995 9,456
  Frontier    
  Communications Corp. 1,939,366 8,300
* MetroPCS    
  Communications Inc. 301,565 2,998
* United States    
  Cellular Corp. 25,289 891
      21,645
Utilities (11.3%)    
  DTE Energy Co. 333,595 20,032
  Wisconsin Energy Corp. 447,553 16,492
  ONEOK Inc. 378,342 16,174
  CenterPoint Energy Inc. 788,490 15,178
  Ameren Corp. 471,275 14,478
  NRG Energy Inc. 625,905 14,390
  NiSource Inc. 553,281 13,771
  AES Corp. 1,234,702 13,211
  American Water    
  Works Co. Inc. 342,640 12,722
  CMS Energy Corp. 514,649 12,547
  SCANA Corp. 242,249 11,056
  Pinnacle West    
  Capital Corp. 212,807 10,849
  OGE Energy Corp. 191,645 10,792
  Alliant Energy Corp. 215,544 9,465

 

    Market
    Value
  Shares ($000)
AGL Resources Inc. 228,268 9,124
Pepco Holdings Inc. 444,550 8,718
NV Energy Inc. 457,229 8,294
Integrys Energy Group Inc. 151,723 7,923
MDU Resources Group Inc. 347,600 7,383
UGI Corp. 218,518 7,148
National Fuel Gas Co. 137,264 6,958
Aqua America Inc. 271,442 6,900
TECO Energy Inc. 398,510 6,679
* Calpine Corp. 293,904 5,328
    265,612
Total Common Stocks    
(Cost $2,180,956)   2,357,063
Temporary Cash Investment (0.4%)  
Money Market Fund (0.4%)    
1,2 Vanguard Market Liquidity    
Fund, 0.162%    
(Cost $9,484) 9,484,175 9,484
Total Investments (100.4%)    
(Cost $2,190,440)   2,366,547
Other Assets and Liabilities (-0.4%)  
Other Assets   17,863
Liabilities2   (26,225)
    (8,362)
Net Assets (100%)   2,358,185

 

78


 

Mid-Cap Value Index Fund

At December 31, 2012, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 2,328,888
Overdistributed Net Investment Income (825)
Accumulated Net Realized Losses (145,985)
Unrealized Appreciation (Depreciation) 176,107
Net Assets 2,358,185
 
 
Investor Shares—Net Assets  
Applicable to 21,029,065 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 486,956
Net Asset Value Per Share—  
Investor Shares $23.16
 
 
Admiral Shares—Net Assets  
Applicable to 23,777,390 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 724,489
Net Asset Value Per Share—  
Admiral Shares $30.47
 
 
ETF Shares—Net Assets  
Applicable to 19,495,118 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 1,146,740
Net Asset Value Per Share—  
ETF Shares $58.82

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $5,107,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $5,129,000 of collateral received for securities on loan.
See accompanying Notes, which are an integral part of the Financial Statements.

79


 

Mid-Cap Value Index Fund  
 
 
Statement of Operations  
 
  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 46,714
Interest1 5
Security Lending 369
Total Income 47,088
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 207
Management and Administrative—Investor Shares 888
Management and Administrative—Admiral Shares 317
Management and Administrative—ETF Shares 458
Marketing and Distribution—Investor Shares 141
Marketing and Distribution—Admiral Shares 69
Marketing and Distribution—ETF Shares 255
Custodian Fees 71
Auditing Fees 32
Shareholders’ Reports—Investor Shares 17
Shareholders’ Reports—Admiral Shares 8
Shareholders’ Reports—ETF Shares 110
Trustees’ Fees and Expenses 2
Total Expenses 2,575
Net Investment Income 44,513
Realized Net Gain (Loss) on Investment Securities Sold 51,474
Change in Unrealized Appreciation (Depreciation) of Investment Securities 177,898
Net Increase (Decrease) in Net Assets Resulting from Operations 273,885
1 Interest income from an affiliated company of the fund was $5,000.  

 

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

80


 

Mid-Cap Value Index Fund    
 
 
Statement of Changes in Net Assets    
 
  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 44,513 31,590
Realized Net Gain (Loss) 51,474 200,637
Change in Unrealized Appreciation (Depreciation) 177,898 (238,822)
Net Increase (Decrease) in Net Assets Resulting from Operations 273,885 (6,595)
Distributions    
Net Investment Income    
Investor Shares (8,569) (9,082)
Admiral Shares (13,598) (5,368)
ETF Shares (22,017) (17,269)
Realized Capital Gain    
Investor Shares
Admiral Shares
ETF Shares
Total Distributions (44,184) (31,719)
Capital Share Transactions    
Investor Shares (27,139) (211,717)
Admiral Shares 405,667 265,475
ETF Shares 242,249 63,346
Net Increase (Decrease) from Capital Share Transactions 620,777 117,104
Total Increase (Decrease) 850,478 78,790
Net Assets    
Beginning of Period 1,507,707 1,428,917
End of Period1 2,358,185 1,507,707

 

1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($825,000) and ($1,154,000).

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

81


 

Mid-Cap Value Index Fund          
 
 
Financial Highlights          
 
 
Investor Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $20.34 $20.85 $17.45 $12.92 $20.95
Investment Operations          
Net Investment Income .423 .417 .371 .300 .4661
Net Realized and Unrealized Gain (Loss)          
on Investments 2.813 (.509) 3.403 4.551 (8.156)
Total from Investment Operations 3.236 (.092) 3.774 4.851 (7.690)
Distributions          
Dividends from Net Investment Income (.416) (.418) (.374) (.321) (.340)
Distributions from Realized Capital Gains
Total Distributions (.416) (.418) (.374) (.321) (.340)
Net Asset Value, End of Period $23.16 $20.34 $20.85 $17.45 $12.92
 
Total Return2 15.91% -0.44% 21.63% 37.61% -36.64%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $487 $455 $683 $459 $217
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.30% 0.25%
Ratio of Net Investment Income to          
Average Net Assets 2.21% 1.97% 1.99% 2.14% 2.73%
Portfolio Turnover Rate3 33% 41% 37% 47% 45%

 

1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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.

82


 

Mid-Cap Value Index Fund    
 
 
Financial Highlights    
 
 
Admiral Shares    
  Year Sept. 27,
  Ended 20111 to
  Dec. 31, Dec. 31,
For a Share Outstanding Throughout Each Period 2012 2011
Net Asset Value, Beginning of Period $26.77 $25.00
Investment Operations    
Net Investment Income .598 .157
Net Realized and Unrealized Gain (Loss) on Investments 3.692 2.165
Total from Investment Operations 4.290 2.322
Distributions    
Dividends from Net Investment Income (.590) (.552)
Distributions from Realized Capital Gains
Total Distributions (.590) (.552)
Net Asset Value, End of Period $30.47 $26.77
 
Total Return2 16.02% 9.29%
 
Ratios/Supplemental Data    
Net Assets, End of Period (Millions) $724 $268
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%3
Ratio of Net Investment Income to Average Net Assets 2.35% 2.11%3
Portfolio Turnover Rate4 33% 41%

 

1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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.

83


 

Mid-Cap Value Index Fund          
 
 
Financial Highlights          
 
 
ETF Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $51.67 $52.97 $44.31 $32.80 $53.16
Investment Operations          
Net Investment Income 1.156 1.134 1.004 .812 1.2611
Net Realized and Unrealized Gain (Loss)          
on Investments 7.130 (1.297) 8.669 11.562 (20.716)
Total from Investment Operations 8.286 (.163) 9.673 12.374 (19.455)
Distributions          
Dividends from Net Investment Income (1.136) (1.137) (1.013) (.864) (.905)
Distributions from Realized Capital Gains
Total Distributions (1.136) (1.137) (1.013) (.864) (.905)
Net Asset Value, End of Period $58.82 $51.67 $52.97 $44.31 $32.80
 
Total Return 16.04% -0.32% 21.83% 37.75% -36.53%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,147 $785 $746 $583 $359
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.12%
Ratio of Net Investment Income to          
Average Net Assets 2.35% 2.11% 2.13% 2.30% 2.86%
Portfolio Turnover Rate2 33% 41% 37% 47% 45%

 

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

84


 

Mid-Cap Value Index Fund

Notes to Financial Statements

Vanguard Mid-Cap Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and ETF 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. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

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

2. Federal Income Taxes: The fund intends to 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 (December 31, 2009–2012), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

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

4. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed capital of $313,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.13% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

85


 

Mid-Cap Value Index Fund

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At December 31, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.

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

During the year ended December 31, 2012, the fund realized $58,057,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $613,000 of ordinary income available for distribution. At December 31, 2012, the fund had available capital losses totaling $145,970,000 to offset future net capital gains. Of this amount, $139,259,000 is subject to expiration dates; $75,804,000 may be used to offset future net capital gains through December 31, 2017, and $63,455,000 through December 31, 2018. Capital losses of $6,711,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $2,190,455,000. Net unrealized appreciation of investment securities for tax purposes was $176,092,000, consisting of unrealized gains of $259,519,000 on securities that had risen in value since their purchase and $83,427,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the year ended December 31, 2012, the fund purchased $1,471,672,000 of investment securities and sold $845,818,000 of investment securities, other than temporary cash investments. Purchases and sales include $462,310,000 and $212,885,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

86


 

Mid-Cap Value Index Fund

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 213,885 9,661 248,024 11,928
Issued in Lieu of Cash Distributions 7,667 331 8,381 412
Redeemed (248,691) (11,345) (468,122) (22,720)
Net Increase (Decrease) —Investor Shares (27,139) (1,353) (211,717) (10,380)
Admiral Shares1        
Issued 484,978 16,495 267,766 10,093
Issued in Lieu of Cash Distributions 12,287 403 4,590 172
Redeemed (91,598) (3,125) (6,881) (261)
Net Increase (Decrease) —Admiral Shares 405,667 13,773 265,475 10,004
ETF Shares        
Issued 465,481 8,210 406,887 7,509
Issued in Lieu of Cash Distributions
Redeemed (223,232) (3,900) (343,541) (6,400)
Net Increase (Decrease)—ETF Shares 242,249 4,310 63,346 1,109
1 Inception was September 27, 2011, for Admiral Shares.

 

G. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced an upcoming change in the fund’s benchmark index from the MSCI US Mid Cap Value Index to the CRSP US Mid Cap Value Index. The fund’s investment objective is not changing. The transition to the new benchmark is expected to be completed over several months, and will require some turnover of holdings with resulting transaction costs. Vanguard will seek to minimize trading impact through efficient portfolio trading.

87


 

Report of Independent Registered
Public Accounting Firm

To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund: In our opinion, the accompanying statement of net assets—investments summary and statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) at December 31, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodians and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania

February 11, 2013

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Special 2012 tax information (unaudited) for Vanguard U.S. Stock Index Funds
(Mid-Capitalization Portfolios)

 

This information for the fiscal year ended December 31, 2012, is included pursuant to provisions of the Internal Revenue Code.

The funds distributed qualified dividend income to shareholders during the fiscal year as follows:

  Qualified Dividend Income
Fund ($000)
Extended Market Index Fund 309,705
Mid-Cap Index Fund 394,956
Mid-Cap Growth Index Fund 17,138
Mid-Cap Value Index Fund 37,154

 

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
Extended Market Index Fund 75.7%
Mid-Cap Index Fund 79.7
Mid-Cap Growth Index Fund 95.3
Mid-Cap Value Index Fund 76.5

 

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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.(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 Investor 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: U.S. Stock Index Funds Mid-Capitalization Portfolios
Periods Ended December 31, 2012

  One Five Ten
  Year Years Years
Extended Market Index Fund      
Returns Before Taxes 18.31% 4.08% 10.58%
Returns After Taxes on Distributions 17.99 3.84 10.34
Returns After Taxes on Distributions and Sale of Fund Shares 12.19 3.42 9.38
 
 
  One Five Ten
  Year Years Years
Mid-Cap Index Fund Investor Shares      
Returns Before Taxes 15.80% 3.01% 9.90%
Returns After Taxes on Distributions 15.55 2.78 9.67
Returns After Taxes on Distributions and Sale of Fund Shares 10.52 2.51 8.77
 
      Since
  One Five Inception
  Year Years (8/24/2006)
Mid-Cap Growth Index Fund Investor Shares      
Returns Before Taxes 15.81% 1.61% 5.31%
Returns After Taxes on Distributions 15.72 1.54 5.23
Returns After Taxes on Distributions and Sale of Fund Shares 10.40 1.36 4.58

 

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Average Annual Total Returns: U.S. Stock Index Funds Mid-Capitalization Portfolios
Periods Ended December 31, 2012

      Since
  One Five Inception
  Year Years (8/24/2006)
Mid-Cap Value Index Fund Investor Shares      
Returns Before Taxes 15.91% 4.12% 4.41%
Returns After Taxes on Distributions 15.54 3.74 4.03
Returns After Taxes on Distributions and Sale of Fund Shares 10.68 3.42 3.68

 

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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 December 31, 2012      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  6/30/2012 12/31/2012 Period
Based on Actual Fund Return      
Extended Market Index Fund      
Investor Shares $1,000.00 $1,088.29 $1.26
Admiral Shares 1,000.00 1,089.07 0.53
Signal Shares 1,000.00 1,089.15 0.53
Institutional Shares 1,000.00 1,089.00 0.42
Institutional Plus Shares 1,000.00 1,089.26 0.32
ETF Shares 1,000.00 1,089.01 0.53
Mid-Cap Index Fund      
Investor Shares $1,000.00 $1,080.84 $1.26
Admiral Shares 1,000.00 1,081.88 0.52
Signal Shares 1,000.00 1,081.93 0.52
Institutional Shares 1,000.00 1,081.94 0.42
Institutional Plus Shares 1,000.00 1,082.18 0.31
ETF Shares 1,000.00 1,081.84 0.52
Mid-Cap Growth Index Fund      
Investor Shares $1,000.00 $1,072.07 $1.25
Admiral Shares 1,000.00 1,072.85 0.52
ETF Shares 1,000.00 1,072.91 0.52
Mid-Cap Value Index Fund      
Investor Shares $1,000.00 $1,089.85 $1.26
Admiral Shares 1,000.00 1,090.46 0.53
ETF Shares 1,000.00 1,090.61 0.53

 

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Six Months Ended December 31, 2012      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  6/30/2012 12/31/2012 Period
Based on Hypothetical 5% Yearly Return      
Extended Market Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
Signal Shares 1,000.00 1,024.70 0.51
Institutional Shares 1,000.00 1,024.80 0.41
Institutional Plus Shares 1,000.00 1,024.90 0.31
ETF Shares 1,000.00 1,024.70 0.51
Mid-Cap Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
Signal Shares 1,000.00 1,024.70 0.51
Institutional Shares 1,000.00 1,024.80 0.41
Institutional Plus Shares 1,000.00 1,024.90 0.31
ETF Shares 1,000.00 1,024.70 0.51
Mid-Cap Growth Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
ETF Shares 1,000.00 1,024.70 0.51
Mid-Cap Value Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
ETF Shares 1,000.00 1,024.70 0.51

 

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 Extended Market Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Mid-Cap Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Mid-Cap Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% 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.

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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.

Benchmark Information

Spliced Extended Market Index: Dow Jones Wilshire 4500 Index through June 17, 2005; S&P Transitional Completion Index through September 16, 2005; S&P Completion Index thereafter.

Spliced Mid-Cap Index: S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter.

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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 180 Vanguard funds.

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

InterestedTrustee1 and Delphi Automotive LLP (automotive components);
  Senior Advisor at New Mountain Capital; Trustee of
F. William McNabb III The Conference Board.
Born 1957. Trustee Since July 2009. Chairman of the  
Board. Principal Occupation(s) During the Past Five Amy Gutmann
Years: Chairman of the Board of The Vanguard Group, Born 1949. Trustee Since June 2006. Principal
Inc., and of each of the investment companies served Occupation(s) During the Past Five Years: President
by The Vanguard Group, since January 2010; Director of the University of Pennsylvania; Christopher H.
of The Vanguard Group since 2008; Chief Executive Browne Distinguished Professor of Political Science
Officer and President of The Vanguard Group and of in the School of Arts and Sciences with secondary
each of the investment companies served by The appointments at the Annenberg School for
Vanguard Group since 2008; Director of Vanguard Communication and the Graduate School of Education
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Member of the
Vanguard Group (1995–2008). National Commission on the Humanities and Social
  Sciences; Trustee of Carnegie Corporation of New
  York and of the National Constitution Center; Chair
IndependentTrustees  of the U. S. Presidential Commission for the Study
  of Bioethical Issues.
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal JoAnn Heffernan Heisen
Occupation(s) During the Past Five Years: Executive Born 1950. Trustee Since July 1998. Principal
Chief Staff and Marketing Officer for North America Occupation(s) During the Past Five Years: Corporate
and Corporate Vice President (retired 2008) of Xerox Vice President and Chief Global Diversity Officer
Corporation (document management products and (retired 2008) and Member of the Executive
services); Executive in Residence and 2010 Committee (1997–2008) of Johnson & Johnson
Distinguished Minett Professor at the Rochester (pharmaceuticals/medical devices/consumer
Institute of Technology; Director of SPX Corporation products); Director of Skytop Lodge Corporation
(multi-industry manufacturing), the United Way of (hotels), the University Medical Center at Princeton,
Rochester, Amerigroup Corporation (managed health the Robert Wood Johnson Foundation, and the Center
care), the University of Rochester Medical Center, for Talent Innovation; Member of the Advisory Board
Monroe Community College Foundation, and North of the Maxwell School of Citizenship and Public Affairs
Carolina A&T University. at Syracuse University.
Rajiv L. Gupta F. Joseph Loughrey
Born 1945. Trustee Since December 2001.2 Born 1949. Trustee Since October 2009. Principal
Principal Occupation(s) During the Past Five Years: Occupation(s) During the Past Five Years: President
Chairman and Chief Executive Officer (retired 2009) and Chief Operating Officer (retired 2009) of Cummins
and President (2006–2008) of Rohm and Haas Co. Inc. (industrial machinery); Director of SKF AB
(chemicals); Director of Tyco International, Ltd. (industrial machinery), Hillenbrand, Inc. (specialized
(diversified manufacturing and services), Hewlett- consumer services), the Lumina Foundation for
Packard Co. (electronic computer manufacturing),

 


 

Education, and Oxfam America; Chairman of the Executive Officers  
Advisory Council for the College of Arts and Letters    
and Member of the Advisory Board to the Kellogg Glenn Booraem  
Institute for International Studies at the University Born 1967. Controller Since July 2010. Principal
of Notre Dame. Occupation(s) During the Past Five Years: Principal
  of The Vanguard Group, Inc.; Controller of each of
Mark Loughridge the investment companies served by The Vanguard
Born 1953. Trustee Since March 2012. Principal Group; Assistant Controller of each of the investment
Occupation(s) During the Past Five Years: Senior Vice companies served by The Vanguard Group (2001–2010).
President and Chief Financial Officer at IBM (information    
technology services); Fiduciary Member of IBM’s Thomas J. Higgins  
Retirement Plan Committee. Born 1957. Chief Financial Officer Since September
  2008. Principal Occupation(s) During the Past Five
Scott C. Malpass Years: Principal of The Vanguard Group, Inc.; Chief
Born 1962. Trustee Since March 2012. Principal Financial Officer of each of the investment companies
Occupation(s) During the Past Five Years: Chief served by The Vanguard Group; Treasurer of each of
Investment Officer and Vice President at the University the investment companies served by The Vanguard
of Notre Dame; Assistant Professor of Finance at the Group (1998–2008).  
Mendoza College of Business at Notre Dame; Member    
of the Notre Dame 403(b) Investment Committee; Kathryn J. Hyatt  
Director of TIFF Advisory Services, Inc. (investment Born 1955. Treasurer Since November 2008. Principal
advisor); Member of the Investment Advisory Occupation(s) During the Past Five Years: Principal of
Committees of the Financial Industry Regulatory The Vanguard Group, Inc.; Treasurer of each of the
Authority (FINRA) and of Major League Baseball. investment companies served by The Vanguard
  Group; Assistant Treasurer of each of the investment
André F. Perold companies served by The Vanguard Group (1988–2008).
Born 1952. Trustee Since December 2004. Principal    
Occupation(s) During the Past Five Years: George Heidi Stam  
Gund Professor of Finance and Banking at the Harvard Born 1956. Secretary Since July 2005. Principal
Business School (retired 2011); Chief Investment Occupation(s) During the Past Five Years: Managing
Officer and Managing Partner of HighVista Strategies Director of The Vanguard Group, Inc.; General Counsel
LLC (private investment firm); Director of Rand of The Vanguard Group; Secretary of The Vanguard
Merchant Bank; Overseer of the Museum of Fine Group and of each of the investment companies
Arts Boston. served by The Vanguard Group; Director and Senior
  Vice President of Vanguard Marketing Corporation.
Alfred M. Rankin, Jr.    
Born 1941. Trustee Since January 1993. Principal    
Occupation(s) During the Past Five Years: Chairman, Vanguard Senior ManagementTeam
President, and Chief Executive Officer of NACCO    
Industries, Inc. (forklift trucks/housewares/lignite); Mortimer J. Buckley Michael S. Miller
Director of Goodrich Corporation (industrial products/ Kathleen C. Gubanich James M. Norris
aircraft systems and services) and the National Paul A. Heller Glenn W. Reed
Association of Manufacturers; Chairman of the Board Martha G. King George U. Sauter
of the Federal Reserve Bank of Cleveland and of Chris D. McIsaac  
University Hospitals of Cleveland; Advisory Chairman    
of the Board of The Cleveland Museum of Art.    
  Chairman Emeritus and Senior Advisor
Peter F. Volanakis    
Born 1955. Trustee Since July 2009. Principal John J. Brennan  
Occupation(s) During the Past Five Years: President Chairman, 1996–2009  
and Chief Operating Officer (retired 2010) of Corning Chief Executive Officer and President, 1996–2008  
Incorporated (communications equipment); Director    
of SPX Corporation (multi-industry manufacturing); Founder
Overseer of the Amos Tuck School of Business    
Administration at Dartmouth College; Advisor to the John C. Bogle  
Norris Cotton Cancer Center. Chairman and Chief Executive Officer, 1974–1996  
   

 

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


 

 

 
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find out more about this public service, call the SEC at  
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  Vanguard Marketing Corporation, Distributor.
 
  Q980 022013

 


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.6%)1    
Consumer Discretionary (15.7%)    
* General Motors Co. 6,294,892 181,482
  Las Vegas Sands Corp. 2,913,822 134,502
* Liberty Media Corp. - Liberty Capital Class A 921,877 106,947
* Liberty Global Inc. 1,373,190 80,675
  Sirius XM Radio Inc. 27,023,444 78,098
  DISH Network Corp. Class A 1,878,522 68,378
  PVH Corp. 581,317 64,532
* LKQ Corp. 2,445,895 51,608
  Tractor Supply Co. 581,784 51,406
  Ulta Salon Cosmetics & Fragrance Inc. 484,595 47,616
* TRW Automotive Holdings Corp. 837,599 44,904
  Polaris Industries Inc. 529,702 44,574
  Advance Auto Parts Inc. 603,657 43,675
* Mohawk Industries Inc. 477,315 43,183
* Liberty Global Inc. Class A 659,261 41,527
  Royal Caribbean Cruises Ltd. 1,188,563 40,411
  Foot Locker Inc. 1,245,401 40,002
* Toll Brothers Inc. 1,236,416 39,973
  Lear Corp. 800,308 37,486
* Panera Bread Co. Class A 232,467 36,923
  Dick's Sporting Goods Inc. 807,544 36,735
* MGM Resorts International 3,062,631 35,649
  Signet Jewelers Ltd. 667,051 35,621
* NVR Inc. 38,049 35,005
* Jarden Corp. 606,535 31,358
  Williams-Sonoma Inc. 713,333 31,223
* Under Armour Inc. Class A 637,293 30,928
  American Eagle Outfitters Inc. 1,487,663 30,512
* Sally Beauty Holdings Inc. 1,293,124 30,479
  Tupperware Brands Corp. 455,493 29,197
* Hanesbrands Inc. 811,266 29,060
* Charter Communications Inc. Class A 374,539 28,555
  Six Flags Entertainment Corp. 441,555 27,023
* Penn National Gaming Inc. 542,738 26,654
  Chico's FAS Inc. 1,380,505 25,484
* Warnaco Group Inc. 340,026 24,336
  Service Corp. International 1,752,190 24,198
* AMC Networks Inc. Class A 476,458 23,585
* Visteon Corp. 437,966 23,571
* Carter's Inc. 421,896 23,479
* Madison Square Garden Co. Class A 502,709 22,295
  Gentex Corp. 1,182,857 22,261
  Cinemark Holdings Inc. 849,979 22,082
  Brunswick Corp. 743,562 21,630
  Dillard's Inc. Class A 254,755 21,341
  Domino's Pizza Inc. 471,703 20,543
  GNC Holdings Inc. Class A 609,911 20,298
  Dunkin' Brands Group Inc. 604,630 20,062
*,^ Tesla Motors Inc. 589,305 19,960
  Dana Holding Corp. 1,227,513 19,161
* Ascena Retail Group Inc. 1,025,298 18,958
  Sotheby's 563,862 18,957
  Brinker International Inc. 605,565 18,766
  Pier 1 Imports Inc. 898,410 17,968
* Hyatt Hotels Corp. Class A 461,770 17,810
* Lamar Advertising Co. Class A 458,262 17,758
* Tenneco Inc. 499,655 17,543
  DSW Inc. Class A 266,805 17,526
  Wolverine World Wide Inc. 406,424 16,655
  Rent-A-Center Inc. 484,134 16,635
  Aaron's Inc. 586,191 16,577

 

1


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  HSN Inc. 300,407 16,546
  Pool Corp. 388,408 16,437
* Life Time Fitness Inc. 332,969 16,385
  Vail Resorts Inc. 297,433 16,088
* Cabela's Inc. 383,500 16,011
* Tempur-Pedic International Inc. 495,625 15,607
* Bally Technologies Inc. 339,638 15,185
  John Wiley & Sons Inc. Class A 389,786 15,174
* Steven Madden Ltd. 339,152 14,336
* Vitamin Shoppe Inc. 246,959 14,166
  Thor Industries Inc. 365,148 13,667
  Cheesecake Factory Inc. 415,345 13,590
  Ryland Group Inc. 371,986 13,577
* ANN Inc. 393,618 13,320
  Cooper Tire & Rubber Co. 522,129 13,241
* Coinstar Inc. 249,297 12,966
* Iconix Brand Group Inc. 567,673 12,670
  Guess? Inc. 509,946 12,514
*,^ Sears Holdings Corp. 300,992 12,449
  Cracker Barrel Old Country Store Inc. 193,080 12,407
  Men's Wearhouse Inc. 396,859 12,366
* Select Comfort Corp. 467,739 12,241
* Lumber Liquidators Holdings Inc. 226,269 11,954
  MDC Holdings Inc. 321,587 11,822
  Hillenbrand Inc. 520,594 11,771
  Morningstar Inc. 186,928 11,745
*,^ Deckers Outdoor Corp. 291,527 11,740
* Fifth & Pacific Cos. Inc. 940,781 11,713
  Weight Watchers International Inc. 222,021 11,625
  DeVry Inc. 478,875 11,364
* Hibbett Sports Inc. 214,355 11,297
* Buffalo Wild Wings Inc. 154,518 11,252
* Genesco Inc. 202,028 11,112
  Group 1 Automotive Inc. 178,113 11,041
  Wendy's Co. 2,339,925 10,998
*,^ Groupon Inc. 2,242,097 10,941
* Live Nation Entertainment Inc. 1,171,865 10,910
* Express Inc. 722,207 10,898
* Crocs Inc. 750,504 10,800
  Penske Automotive Group Inc. 353,114 10,625
^ Meredith Corp. 299,868 10,330
^ Buckle Inc. 229,310 10,236
* Jack in the Box Inc. 354,586 10,141
  KB Home 636,626 10,059
  Arbitron Inc. 215,212 10,046
* DreamWorks Animation SKG Inc. Class A 599,958 9,941
* Jos A Bank Clothiers Inc. 232,226 9,888
* Marriott Vacations Worldwide Corp. 237,172 9,883
* Meritage Homes Corp. 256,158 9,568
  Bob Evans Farms Inc. 233,805 9,399
  Regal Entertainment Group Class A 654,392 9,129
*,^ Saks Inc. 855,029 8,986
* Helen of Troy Ltd. 264,154 8,820
* Children's Place Retail Stores Inc. 198,443 8,789
* Orient-Express Hotels Ltd. Class A 741,360 8,666
* New York Times Co. Class A 1,012,985 8,641
  Burger King Worldwide Inc. 523,863 8,612
* DineEquity Inc. 128,100 8,583
  Valassis Communications Inc. 331,003 8,533
* Aeropostale Inc. 652,879 8,494
  Monro Muffler Brake Inc. 242,567 8,483
* Asbury Automotive Group Inc. 261,155 8,365
* Grand Canyon Education Inc. 351,347 8,246
  Texas Roadhouse Inc. Class A 487,597 8,192

 

2


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Regis Corp. 479,140 8,107
* Papa John's International Inc. 146,833 8,067
  Finish Line Inc. Class A 422,412 7,996
* WMS Industries Inc. 452,701 7,922
  Dorman Products Inc. 223,936 7,914
* Office Depot Inc. 2,399,748 7,871
* Pinnacle Entertainment Inc. 490,217 7,760
  Choice Hotels International Inc. 230,718 7,757
* Shutterfly Inc. 254,451 7,600
*,^ Francesca's Holdings Corp. 289,462 7,514
  Matthews International Corp. Class A 232,326 7,458
  Ameristar Casinos Inc. 278,480 7,307
*,^ Pandora Media Inc. 789,801 7,250
^ Sturm Ruger & Co. Inc. 159,392 7,236
  OfficeMax Inc. 722,285 7,050
  Churchill Downs Inc. 105,714 7,025
  Jones Group Inc. 634,888 7,022
* SHFL Entertainment Inc. 474,198 6,876
* BJ's Restaurants Inc. 206,581 6,797
* Standard Pacific Corp. 919,936 6,762
* Ascent Capital Group Inc. Class A 108,912 6,746
  National CineMedia Inc. 475,175 6,714
  Lithia Motors Inc. Class A 174,459 6,528
  Stage Stores Inc. 263,316 6,525
  Sonic Automotive Inc. Class A 310,030 6,477
  Scholastic Corp. 217,881 6,441
* American Axle & Manufacturing Holdings Inc. 566,217 6,342
*,^ K12 Inc. 308,669 6,309
  Brown Shoe Co. Inc. 339,801 6,242
  Interval Leisure Group Inc. 320,685 6,218
  La-Z-Boy Inc. 439,416 6,218
  Cato Corp. Class A 224,051 6,146
  Belo Corp. Class A 774,173 5,938
  International Speedway Corp. Class A 212,597 5,872
* Skechers U.S.A. Inc. Class A 316,851 5,862
* HomeAway Inc. 266,111 5,854
  Ethan Allen Interiors Inc. 220,726 5,675
  Strayer Education Inc. 100,702 5,656
  Sinclair Broadcast Group Inc. Class A 441,642 5,574
*,^ Hovnanian Enterprises Inc. Class A 792,768 5,549
* American Public Education Inc. 152,768 5,516
  Columbia Sportswear Co. 103,132 5,503
  Oxford Industries Inc. 118,550 5,496
* Quiksilver Inc. 1,264,546 5,374
* Steiner Leisure Ltd. 108,754 5,241
^ Allison Transmission Holdings Inc. 256,335 5,234
* Krispy Kreme Doughnuts Inc. 554,745 5,204
* AFC Enterprises Inc. 197,637 5,164
  True Religion Apparel Inc. 202,279 5,142
  Drew Industries Inc. 156,032 5,032
* Conn's Inc. 159,232 4,885
*,^ Barnes & Noble Inc. 321,537 4,852
* Biglari Holdings Inc. 12,250 4,778
  Stewart Enterprises Inc. Class A 623,359 4,762
* Sonic Corp. 455,088 4,737
* Smith & Wesson Holding Corp. 550,033 4,642
  Movado Group Inc. 150,864 4,629
  CEC Entertainment Inc. 139,450 4,628
  Core-Mark Holding Co. Inc. 97,207 4,603
* G-III Apparel Group Ltd. 132,953 4,551
* M/I Homes Inc. 168,792 4,473
*,^ Vera Bradley Inc. 177,986 4,467
^ American Greetings Corp. Class A 263,482 4,450
  Pep Boys-Manny Moe & Jack 447,254 4,397

 

3


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Blue Nile Inc. 112,556 4,333
  Fred's Inc. Class A 323,405 4,305
* Scientific Games Corp. Class A 495,015 4,292
* Denny's Corp. 879,245 4,291
* Winnebago Industries Inc. 248,849 4,263
* iRobot Corp. 223,615 4,191
* Ruby Tuesday Inc. 522,418 4,106
* Beazer Homes USA Inc. 240,441 4,061
* Red Robin Gourmet Burgers Inc. 114,230 4,031
  Superior Industries International Inc. 195,877 3,996
* Maidenform Brands Inc. 200,353 3,905
* Tile Shop Holdings Inc. 230,760 3,884
  Hot Topic Inc. 398,810 3,849
  Standard Motor Products Inc. 165,259 3,672
* Zumiez Inc. 186,198 3,614
* Arctic Cat Inc. 107,629 3,594
* rue21 inc 124,139 3,524
* Capella Education Co. 120,460 3,401
  Callaway Golf Co. 504,286 3,278
  NACCO Industries Inc. Class A 54,003 3,277
* Multimedia Games Holding Co. Inc. 219,521 3,229
* Boyd Gaming Corp. 476,695 3,165
* Modine Manufacturing Co. 386,424 3,142
* LeapFrog Enterprises Inc. 363,928 3,141
* Exide Technologies 860,031 2,941
* EW Scripps Co. Class A 268,351 2,901
  Haverty Furniture Cos. Inc. 176,442 2,878
  Destination Maternity Corp. 131,888 2,844
* Tumi Holdings Inc. 132,215 2,757
  Big 5 Sporting Goods Corp. 209,306 2,742
* Libbey Inc. 141,568 2,739
* Gentherm Inc. 204,442 2,719
  PetMed Express Inc. 241,230 2,678
* America's Car-Mart Inc. 64,432 2,611
  Speedway Motorsports Inc. 142,232 2,537
  Harte-Hanks Inc. 428,775 2,530
*,^ Digital Generation Inc. 228,003 2,476
* Universal Electronics Inc. 126,999 2,457
  JAKKS Pacific Inc. 194,839 2,439
  Clear Channel Outdoor Holdings Inc. Class A 347,002 2,436
* Overstock.com Inc. 168,056 2,405
* Cavco Industries Inc. 46,829 2,341
  World Wrestling Entertainment Inc. Class A 295,341 2,330
* Rentrak Corp. 117,503 2,290
* Sears Hometown and Outlet Stores Inc. 69,497 2,263
* Fuel Systems Solutions Inc. 152,844 2,247
* ITT Educational Services Inc. 129,763 2,246
  Nutrisystem Inc. 272,592 2,233
  Shoe Carnival Inc. 107,564 2,204
  Marcus Corp. 175,766 2,192
* Fiesta Restaurant Group Inc. 140,488 2,152
* Caribou Coffee Co. Inc. 132,605 2,147
* Ruth's Hospitality Group Inc. 284,730 2,070
* Wet Seal Inc. Class A 739,052 2,040
* LIN TV Corp. Class A 268,677 2,023
^ RadioShack Corp. 922,324 1,955
  Saga Communications Inc. Class A 41,637 1,936
* Unifi Inc. 148,248 1,929
* Tuesday Morning Corp. 292,240 1,827
  Universal Technical Institute Inc. 179,528 1,802
* Journal Communications Inc. Class A 322,915 1,747
* Career Education Corp. 493,841 1,738
  Stein Mart Inc. 230,431 1,737
* Five Below Inc. 53,032 1,699

 

4


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Bridgepoint Education Inc. 163,944 1,689
* Christopher & Banks Corp. 309,051 1,684
* Corinthian Colleges Inc. 688,283 1,679
* Steinway Musical Instruments Inc. 78,762 1,666
* Kirkland's Inc. 155,873 1,651
* Citi Trends Inc. 118,810 1,635
  Town Sports International Holdings Inc. 153,252 1,632
* MarineMax Inc. 181,578 1,623
  Spartan Motors Inc. 327,815 1,616
^ Blyth Inc. 103,861 1,615
* Carmike Cinemas Inc. 106,046 1,591
* Federal-Mogul Corp. 189,566 1,520
* Nexstar Broadcasting Group Inc. Class A 142,699 1,511
  Perry Ellis International Inc. 75,857 1,510
* VOXX International Corp. Class A 209,728 1,411
* Zagg Inc. 179,266 1,319
  Strattec Security Corp. 50,676 1,308
* Morgans Hotel Group Co. 233,387 1,293
  Bassett Furniture Industries Inc. 102,310 1,276
* Cumulus Media Inc. Class A 477,426 1,275
*,^ Dex One Corp. 802,143 1,267
  CSS Industries Inc. 56,771 1,243
  Cherokee Inc. 89,643 1,229
* Bravo Brio Restaurant Group Inc. 91,494 1,229
  Culp Inc. 81,545 1,224
  Weyco Group Inc. 50,898 1,189
* Stoneridge Inc. 231,241 1,184
  Carriage Services Inc. Class A 98,455 1,169
* Rocky Brands Inc. 89,284 1,162
  Ambassadors Group Inc. 271,886 1,158
  Flexsteel Industries Inc. 53,373 1,145
* Bloomin' Brands Inc. 73,000 1,142
* hhgregg Inc. 159,657 1,121
* McClatchy Co. Class A 335,741 1,098
  Marine Products Corp. 190,656 1,091
  AH Belo Corp. Class A 233,064 1,084
* Luby's Inc. 161,382 1,080
  Lifetime Brands Inc. 101,660 1,079
* Mattress Firm Holding Corp. 43,900 1,077
  RG Barry Corp. 75,240 1,066
  Hooker Furniture Corp. 73,115 1,062
  Fisher Communications Inc. 38,819 1,048
* West Marine Inc. 96,752 1,040
* Casual Male Retail Group Inc. 246,387 1,035
  Lincoln Educational Services Corp. 185,115 1,035
^ Bon-Ton Stores Inc. 85,107 1,031
* Coldwater Creek Inc. 211,173 1,016
  bebe stores inc 251,059 1,002
* Jamba Inc. 443,769 994
* Red Lion Hotels Corp. 123,596 975
* MTR Gaming Group Inc. 232,053 968
  Entravision Communications Corp. Class A 581,230 965
  Tandy Leather Factory Inc. 173,075 955
* Entercom Communications Corp. Class A 134,221 937
* Nautilus Inc. 259,223 910
  Mac-Gray Corp. 72,024 904
*,^ Caesars Entertainment Corp. 125,324 867
* Famous Dave's Of America Inc. 94,060 864
* Zale Corp. 204,966 842
* Carrols Restaurant Group Inc. 140,629 841
  Winmark Corp. 14,711 839
*,^ Education Management Corp. 190,783 836
* Isle of Capri Casinos Inc. 148,818 833
* 1-800-Flowers.com Inc. Class A 225,149 826

 

5


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Full House Resorts Inc. 222,501 768
* K-Swiss Inc. Class A 223,569 751
* Rick's Cabaret International Inc. 93,202 750
* Pacific Sunwear of California Inc. 464,513 739
  Systemax Inc. 76,163 735
* Monarch Casino & Resort Inc. 66,625 727
* New York & Co. Inc. 189,432 722
  Ark Restaurants Corp. 42,283 712
* Body Central Corp. 70,799 705
* Charles & Colvard Ltd. 179,486 704
  Trans World Entertainment Corp. 194,851 678
* Nathan's Famous Inc. 20,071 676
* Black Diamond Inc. 80,322 659
* Martha Stewart Living Omnimedia Class A 262,978 644
  Beasley Broadcasting Group Inc. Class A 130,678 639
* Geeknet Inc. 39,271 632
* Gaiam Inc. Class A 198,738 628
* Learning Tree International Inc. 115,061 627
* Crown Media Holdings Inc. Class A 335,758 621
  Collectors Universe 61,701 619
  Outdoor Channel Holdings Inc. 81,230 617
  Shiloh Industries Inc. 59,757 615
* Joe's Jeans Inc. 612,767 613
* Delta Apparel Inc. 43,044 602
* Emmis Communications Corp. Class A 301,213 593
  Frisch's Restaurants Inc. 31,659 586
* Sealy Corp. 268,101 582
  Escalade Inc. 105,152 557
*,^ Skullcandy Inc. 71,227 555
  Dover Downs Gaming & Entertainment Inc. 243,855 536
* Orbitz Worldwide Inc. 197,059 536
* Ballantyne Strong Inc. 159,759 527
* Media General Inc. Class A 117,797 507
* Teavana Holdings Inc. 32,537 504
* Insignia Systems Inc. 291,212 489
* Premier Exhibitions Inc. 178,455 484
  Gaming Partners International Corp. 69,066 481
* Vitacost.com Inc. 66,827 453
* ReachLocal Inc. 34,250 442
* Tilly's Inc. Class A 32,700 441
* Dixie Group Inc. 132,074 437
* Gordmans Stores Inc. 29,057 436
* Emerson Radio Corp. 246,030 426
  Dover Motorsports Inc. 242,923 411
* Navarre Corp. 226,028 402
* Kona Grill Inc. 44,367 385
* Lakes Entertainment Inc. 128,112 384
* Furniture Brands International Inc. 356,226 378
* Century Casinos Inc. 130,616 371
* Motorcar Parts of America Inc. 56,445 371
* Heelys Inc. 159,516 356
* Johnson Outdoors Inc. Class A 17,506 349
* Tower International Inc. 42,997 346
* Stanley Furniture Co. Inc. 76,192 343
* Hollywood Media Corp. 237,174 320
* ALCO Stores Inc. 34,995 307
* Reading International Inc. Class A 50,208 302
* Perfumania Holdings Inc. 59,718 294
* Cache Inc. 112,504 272
* Books-A-Million Inc. 101,558 270
* Chuy's Holdings Inc. 11,900 266
* Forward Industries Inc. 190,865 265
* Harris Interactive Inc. 204,712 246
  Einstein Noah Restaurant Group Inc. 19,920 243

 

6


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* UQM Technologies Inc. 302,115 230
* Valuevision Media Inc. Class A 118,937 214
  Superior Uniform Group Inc. 17,995 206
* Summer Infant Inc. 115,095 200
* Gray Television Inc. 89,453 197
* Cobra Electronics Corp. 49,421 186
* Skyline Corp. 45,314 184
* Spanish Broadcasting System Inc. 73,134 181
* Cambium Learning Group Inc. 117,787 131
* Nobility Homes Inc. 25,811 125
* CafePress Inc. 18,473 107
* Cosi Inc. 126,640 99
* Cybex International Inc. 39,150 97
* Kid Brands Inc. 43,645 68
* Comstock Holding Cos. Inc. Class A 55,853 65
* NTN Buzztime Inc. 287,989 60
*,^ SuperMedia Inc. 17,573 60
* SPAR Group Inc. 33,227 58
* American Apparel Inc. 55,904 56
* US Auto Parts Network Inc. 29,615 54
* LifeLock Inc. 5,200 42
* Bluefly Inc. 46,269 42
* Entertainment Gaming Asia Inc. 17,721 34
* Appliance Recycling Centers of America Inc. 24,098 32
* Shutterstock Inc. 1,200 31
* Nevada Gold & Casinos Inc. 30,913 24
* dELiA*s Inc. 17,892 21
* Radio One Inc. 25,533 19
* Hallwood Group Inc. 1,737 16
* Dial Global Inc. 34,256 9
* Sport Chalet Inc. Class A 5,160 8
* Meade Instruments Corp. 4,548 8
* Lee Enterprises Inc. 6,500 7
      3,684,313
Consumer Staples (3.5%)    
  Bunge Ltd. 1,202,304 87,395
  Church & Dwight Co. Inc. 1,150,999 61,659
*,^ Green Mountain Coffee Roasters Inc. 1,017,926 42,101
  Energizer Holdings Inc. 511,356 40,898
  Ingredion Inc. 633,363 40,808
* Ralcorp Holdings Inc. 452,981 40,610
^ Herbalife Ltd. 892,195 29,389
  Hillshire Brands Co. 1,004,197 28,258
* Smithfield Foods Inc. 1,032,116 22,263
  Flowers Foods Inc. 944,724 21,984
* United Natural Foods Inc. 406,455 21,782
* Hain Celestial Group Inc. 369,338 20,026
  Casey's General Stores Inc. 318,662 16,921
* Fresh Market Inc. 338,997 16,302
  Nu Skin Enterprises Inc. Class A 436,353 16,167
  Harris Teeter Supermarkets Inc. 410,865 15,843
* Darling International Inc. 978,058 15,688
* TreeHouse Foods Inc. 300,735 15,677
  B&G Foods Inc. 431,844 12,226
  PriceSmart Inc. 152,739 11,769
  Lancaster Colony Corp. 161,068 11,144
  Universal Corp. 194,390 9,702
  Snyders-Lance Inc. 399,274 9,626
* Boston Beer Co. Inc. Class A 70,682 9,503
* Elizabeth Arden Inc. 209,927 9,449
* Post Holdings Inc. 271,378 9,295
  Spectrum Brands Holdings Inc. 188,379 8,464

 

7


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Prestige Brands Holdings Inc. 420,152 8,416
  Fresh Del Monte Produce Inc. 318,603 8,395
  Sanderson Farms Inc. 166,477 7,916
  J&J Snack Foods Corp. 123,793 7,915
* Rite Aid Corp. 5,748,388 7,818
  Vector Group Ltd. 481,216 7,156
* Smart Balance Inc. 500,799 6,460
  Andersons Inc. 143,944 6,175
  WD-40 Co. 123,492 5,818
* Susser Holdings Corp. 149,948 5,172
  Cal-Maine Foods Inc. 118,062 4,748
* Pilgrim's Pride Corp. 619,042 4,488
  Tootsie Roll Industries Inc. 171,898 4,456
* Central Garden and Pet Co. Class A 423,010 4,420
^ SUPERVALU Inc. 1,779,455 4,395
  Weis Markets Inc. 96,338 3,774
* Medifast Inc. 142,875 3,770
  Spartan Stores Inc. 215,431 3,309
* Dole Food Co. Inc. 270,371 3,101
* Chiquita Brands International Inc. 363,310 2,997
  Calavo Growers Inc. 114,866 2,896
*,^ Star Scientific Inc. 1,074,311 2,879
* Alliance One International Inc. 730,352 2,658
  Inter Parfums Inc. 135,354 2,634
^ Diamond Foods Inc. 186,570 2,550
  Coca-Cola Bottling Co. Consolidated 36,337 2,416
* Pantry Inc. 184,433 2,237
  Nash Finch Co. 103,425 2,201
*,^ Annie's Inc. 61,464 2,055
  National Beverage Corp. 136,762 1,995
* WhiteWave Foods Co. 124,900 1,941
  Ingles Markets Inc. Class A 109,651 1,893
* Seneca Foods Corp. Class A 60,462 1,838
* Revlon Inc. Class A 125,942 1,826
*,^ USANA Health Sciences Inc. 49,457 1,629
  Village Super Market Inc. Class A 47,108 1,548
  John B Sanfilippo & Son Inc. 82,011 1,491
  Oil-Dri Corp. of America 52,194 1,441
  Alico Inc. 36,199 1,326
  Nutraceutical International Corp. 77,436 1,281
*,^ Central European Distribution Corp. 581,546 1,262
  Limoneira Co. 59,884 1,161
  Rocky Mountain Chocolate Factory Inc. 109,605 1,157
* Lifevantage Corp. 519,700 1,138
  Female Health Co. 150,945 1,084
  United-Guardian Inc. 55,816 1,082
* Farmer Bros Co. 73,219 1,057
* Harbinger Group Inc. 101,188 778
* Omega Protein Corp. 126,528 774
  Lifeway Foods Inc. 86,865 759
  Orchids Paper Products Co. 37,259 753
* Chefs' Warehouse Inc. 46,020 728
  Arden Group Inc. 8,037 723
  Nature's Sunshine Products Inc. 49,551 718
  MGP Ingredients Inc. 153,372 525
* Overhill Farms Inc. 118,661 514
* Natural Alternatives International Inc. 102,101 501
* Synutra International Inc. 100,515 465
  Roundy's Inc. 101,693 453
* Inventure Foods Inc. 68,541 445
* Natural Grocers by Vitamin Cottage Inc. 19,836 379
* Craft Brew Alliance Inc. 54,007 350
* S&W Seed Co. 43,914 339
* Crumbs Bake Shop Inc. 82,203 254

 

8


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
*,^ Pizza Inn Holdings Inc. 37,376 128
* IGI Laboratories Inc. 88,519 92
* Primo Water Corp. 58,242 69
  Reliv International Inc. 44,259 58
* Mannatech Inc. 7,432 42
* Reed's Inc. 2,832 16
* Crystal Rock Holdings Inc. 12,492 13
      814,200
Energy (6.1%)    
  HollyFrontier Corp. 1,667,019 77,600
* Concho Resources Inc. 861,580 69,409
* Plains Exploration & Production Co. 1,065,062 49,994
  Oceaneering International Inc. 891,073 47,931
* Whiting Petroleum Corp. 971,577 42,137
  Core Laboratories NV 385,351 42,123
  Cimarex Energy Co. 714,700 41,260
* Cobalt International Energy Inc. 1,458,014 35,809
* Dresser-Rand Group Inc. 626,171 35,153
* Cheniere Energy Inc. 1,834,626 34,454
* Continental Resources Inc. 468,228 34,410
* Oil States International Inc. 451,677 32,313
  SM Energy Co. 541,369 28,265
* Superior Energy Services Inc. 1,306,442 27,069
  Energen Corp. 593,702 26,770
  World Fuel Services Corp. 593,223 24,423
  Patterson-UTI Energy Inc. 1,241,382 23,127
* Ultra Petroleum Corp. 1,258,456 22,816
* Dril-Quip Inc. 302,211 22,076
* Atwood Oceanics Inc. 472,557 21,638
* McDermott International Inc. 1,961,226 21,613
  Energy XXI Bermuda Ltd. 652,765 21,012
* Rosetta Resources Inc. 436,239 19,788
* Kodiak Oil & Gas Corp. 2,189,647 19,378
* Gulfport Energy Corp. 489,624 18,713
* Oasis Petroleum Inc. 588,098 18,702
  Tidewater Inc. 414,460 18,518
*,^ SandRidge Energy Inc. 2,900,105 18,416
* Alpha Natural Resources Inc. 1,829,936 17,824
* Helix Energy Solutions Group Inc. 814,146 16,804
  Lufkin Industries Inc. 279,570 16,251
* Unit Corp. 359,557 16,198
  Bristow Group Inc. 297,128 15,944
  SEACOR Holdings Inc. 165,593 13,877
* SemGroup Corp. Class A 348,419 13,616
* McMoRan Exploration Co. 835,589 13,411
  Western Refining Inc. 474,412 13,374
  Arch Coal Inc. 1,764,967 12,920
  CARBO Ceramics Inc. 163,233 12,788
  Targa Resources Corp. 239,860 12,674
  Berry Petroleum Co. Class A 375,219 12,589
* Exterran Holdings Inc. 539,408 11,824
* Cloud Peak Energy Inc. 511,443 9,886
* Geospace Technologies Corp. 106,300 9,447
* Hornbeck Offshore Services Inc. 264,982 9,099
* Key Energy Services Inc. 1,252,216 8,703
* Stone Energy Corp. 411,997 8,454
* PDC Energy Inc. 253,396 8,415
* Northern Oil and Gas Inc. 492,352 8,281
  EXCO Resources Inc. 1,207,616 8,176
* Hercules Offshore Inc. 1,304,993 8,065
* C&J Energy Services Inc. 362,632 7,775
* Bill Barrett Corp. 403,089 7,171
  Gulfmark Offshore Inc. 204,773 7,054
* Approach Resources Inc. 275,410 6,888

 

9


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
*,^ Clean Energy Fuels Corp. 543,106 6,762
^ RPC Inc. 547,721 6,704
* Forest Oil Corp. 998,164 6,678
* EPL Oil & Gas Inc. 290,976 6,561
* ION Geophysical Corp. 999,780 6,509
* Carrizo Oil & Gas Inc. 302,927 6,337
* CVR Energy Inc. 123,184 6,010
* Newpark Resources Inc. 733,855 5,761
* Comstock Resources Inc. 373,468 5,651
* Swift Energy Co. 364,277 5,606
* Bonanza Creek Energy Inc. 190,878 5,304
* Magnum Hunter Resources Corp. 1,322,347 5,276
  Crosstex Energy Inc. 350,138 5,021
* TETRA Technologies Inc. 661,479 5,021
  Rentech Inc. 1,885,457 4,959
* Halcon Resources Corp. 701,911 4,857
  W&T Offshore Inc. 296,269 4,749
*,^ Heckmann Corp. 1,150,078 4,635
* Rex Energy Corp. 354,406 4,614
* Parker Drilling Co. 997,528 4,589
  Contango Oil & Gas Co. 108,223 4,584
* Vaalco Energy Inc. 482,665 4,175
* Pioneer Energy Services Corp. 521,912 3,789
*,^ BPZ Resources Inc. 1,149,880 3,622
  Gulf Island Fabrication Inc. 136,960 3,291
* Harvest Natural Resources Inc. 360,767 3,272
  Delek US Holdings Inc. 127,502 3,228
* Matrix Service Co. 275,997 3,174
* Forum Energy Technologies Inc. 125,873 3,115
* Quicksilver Resources Inc. 1,049,911 3,003
* Vantage Drilling Co. 1,564,008 2,862
* Basic Energy Services Inc. 241,609 2,757
* Laredo Petroleum Holdings Inc. 148,599 2,699
* Triangle Petroleum Corp. 431,861 2,587
* Resolute Energy Corp. 299,058 2,431
* PHI Inc. 75,566 2,380
* PetroQuest Energy Inc. 474,802 2,350
*,^ Endeavour International Corp. 445,407 2,307
* Abraxas Petroleum Corp. 1,010,593 2,213
* Goodrich Petroleum Corp. 224,930 2,096
* Willbros Group Inc. 385,973 2,069
* Clayton Williams Energy Inc. 50,172 2,007
* Matador Resources Co. 243,200 1,994
* Tesco Corp. 167,200 1,904
* Dawson Geophysical Co. 67,963 1,793
* Warren Resources Inc. 623,405 1,752
  Alon USA Energy Inc. 94,506 1,710
  Penn Virginia Corp. 382,107 1,685
* FX Energy Inc. 405,808 1,668
* Solazyme Inc. 210,634 1,656
* Mitcham Industries Inc. 118,187 1,611
*,^ Miller Energy Resources Inc. 401,903 1,592
* Uranium Energy Corp. 618,183 1,583
* Callon Petroleum Co. 323,373 1,520
*,^ Hyperdynamics Corp. 2,533,312 1,515
* Cal Dive International Inc. 837,149 1,448
* Natural Gas Services Group Inc. 82,983 1,363
  Bolt Technology Corp. 93,504 1,334
*,^ James River Coal Co. 404,981 1,296
* Evolution Petroleum Corp. 158,134 1,286
  Panhandle Oil and Gas Inc. Class A 44,536 1,257
* Diamondback Energy Inc. 57,700 1,103
* Sanchez Energy Corp. 59,762 1,076
* Midstates Petroleum Co. Inc. 149,775 1,032

 

10


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
*,^ USEC Inc. 1,835,154 973
* Westmoreland Coal Co. 92,320 862
* REX American Resources Corp. 38,548 744
* Synergy Resources Corp. 137,753 742
* Green Plains Renewable Energy Inc. 91,988 728
  TGC Industries Inc. 84,198 690
* Verenium Corp. 288,951 627
*,^ ZaZa Energy Corp. 298,283 611
* Amyris Inc. 193,501 604
* Isramco Inc. 5,553 577
*,^ KiOR Inc. 89,657 575
* RigNet Inc. 25,935 530
* PHI Inc. 15,799 529
*,^ Royale Energy Inc. 195,681 505
* Double Eagle Petroleum Co. 116,717 460
* Crimson Exploration Inc. 164,025 449
  Adams Resources & Energy Inc. 11,853 416
*,^ Uranium Resources Inc. 1,260,621 403
* Emerald Oil Inc. 75,381 395
  Hallador Energy Co. 47,085 389
* US Energy Corp. Wyoming 217,963 327
* Tengasco Inc. 536,406 322
* Syntroleum Corp. 798,486 315
* CAMAC Energy Inc. 527,891 311
* Magellan Petroleum Corp. 330,649 305
* Global Geophysical Services Inc. 69,805 269
*,^ Zion Oil & Gas Inc. 135,459 240
* Pyramid Oil Co. 53,643 215
* Saratoga Resources Inc. 53,421 189
*,^ GMX Resources Inc. 368,151 184
* Barnwell Industries Inc. 46,909 151
* Lucas Energy Inc. 101,112 149
* FieldPoint Petroleum Corp. 35,558 137
*,^ GreenHunter Energy Inc. 80,468 130
*,^ BioFuel Energy Corp. 26,620 98
* Uranerz Energy Corp. 66,300 92
* Gevo Inc. 44,098 68
* PostRock Energy Corp. 41,993 62
*,^ Cubic Energy Inc. 270,766 54
* Forbes Energy Services Ltd. 12,212 31
* FieldPoint Petroleum Corp. Warrants Exp. 03/23/2017 33,558 28
* Recovery Energy Inc. 1,200 2
* GeoPetro Resources Co. 31,100 2
* Ceres Inc. 52
* Magnum Hunter Resources Corp. Warrants Exp. 10/14/2013 79,783
      1,426,708
Financials (21.7%)    
  General Growth Properties Inc. 3,708,606 73,616
  Digital Realty Trust Inc. 1,013,249 68,789
  Macerich Co. 1,122,190 65,424
* CIT Group Inc. 1,652,868 63,867
  SL Green Realty Corp. 744,395 57,058
* Affiliated Managers Group Inc. 426,343 55,489
  Federal Realty Investment Trust 532,465 55,387
  Rayonier Inc. 1,016,676 52,694
  UDR Inc. 2,065,727 49,123
  New York Community Bancorp Inc. 3,625,229 47,491
  Camden Property Trust 694,545 47,375
  Everest Re Group Ltd. 425,889 46,827
* Alleghany Corp. 139,581 46,818
  Realty Income Corp. 1,103,348 44,366
  Essex Property Trust Inc. 300,573 44,079

 

11


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Fidelity National Financial Inc. Class A 1,743,085 41,050
Taubman Centers Inc. 510,559 40,191
American Campus Communities Inc. 855,494 39,464
Alexandria Real Estate Equities Inc. 521,866 36,176
Ares Capital Corp. 2,045,502 35,796
Arthur J Gallagher & Co. 1,021,735 35,403
Raymond James Financial Inc. 918,095 35,374
Regency Centers Corp. 747,694 35,231
Liberty Property Trust 976,771 34,939
Senior Housing Properties Trust 1,454,385 34,382
WR Berkley Corp. 908,730 34,295
* Ocwen Financial Corp. 956,393 33,082
Reinsurance Group of America Inc. Class A 607,696 32,524
RenaissanceRe Holdings Ltd. 397,843 32,329
* Markel Corp. 74,448 32,267
BRE Properties Inc. 632,982 32,174
TD Ameritrade Holding Corp. 1,893,042 31,822
* American Capital Ltd. 2,605,122 31,261
HCC Insurance Holdings Inc. 837,493 31,163
* MSCI Inc. Class A 1,004,693 31,135
Duke Realty Corp. 2,241,465 31,089
DDR Corp. 1,970,961 30,865
Lazard Ltd. Class A 1,034,081 30,857
Extra Space Storage Inc. 843,677 30,701
Jones Lang LaSalle Inc. 362,737 30,448
Eaton Vance Corp. 948,916 30,223
Kilroy Realty Corp. 614,961 29,131
Validus Holdings Ltd. 834,220 28,847
National Retail Properties Inc. 899,727 28,071
CBL & Associates Properties Inc. 1,318,188 27,959
Cullen/Frost Bankers Inc. 505,748 27,447
* Signature Bank 381,301 27,202
Tanger Factory Outlet Centers 773,556 26,456
SEI Investments Co. 1,118,456 26,105
Home Properties Inc. 420,972 25,810
Douglas Emmett Inc. 1,081,066 25,189
Piedmont Office Realty Trust Inc. Class A 1,387,220 25,039
Brown & Brown Inc. 976,191 24,854
East West Bancorp Inc. 1,155,842 24,839
American Financial Group Inc. 626,110 24,744
Waddell & Reed Financial Inc. Class A 706,683 24,607
Weingarten Realty Investors 918,674 24,593
BioMed Realty Trust Inc. 1,269,889 24,547
WP Carey Inc. 469,541 24,487
Hospitality Properties Trust 1,026,854 24,049
White Mountains Insurance Group Ltd. 45,507 23,436
First Niagara Financial Group Inc. 2,901,825 23,011
Assured Guaranty Ltd. 1,612,802 22,950
Allied World Assurance Co. Holdings AG 291,159 22,943
Commerce Bancshares Inc. 646,370 22,662
Post Properties Inc. 450,677 22,511
Mid-America Apartment Communities Inc. 343,426 22,237
Hancock Holding Co. 697,641 22,143
Equity Lifestyle Properties Inc. 323,075 21,740
Omega Healthcare Investors Inc. 904,994 21,584
Highwoods Properties Inc. 645,052 21,577
ProAssurance Corp. 510,246 21,527
First American Financial Corp. 884,284 21,302
CBOE Holdings Inc. 718,189 21,158
Old Republic International Corp. 1,985,659 21,147
* SVB Financial Group 369,360 20,673
Alterra Capital Holdings Ltd. 705,515 19,888
LaSalle Hotel Properties 780,883 19,827
Jefferies Group Inc. 1,053,061 19,555

 

12


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
City National Corp. 392,106 19,417
Aspen Insurance Holdings Ltd. 590,554 18,945
Protective Life Corp. 658,468 18,819
Associated Banc-Corp 1,426,691 18,718
First Republic Bank 562,270 18,431
* Forest City Enterprises Inc. Class A 1,140,064 18,412
EPR Properties 389,296 17,950
Mack-Cali Realty Corp. 684,273 17,866
* Popular Inc. 855,737 17,791
* St. Joe Co. 768,792 17,744
CNO Financial Group Inc. 1,875,431 17,498
RLJ Lodging Trust 886,963 17,180
Healthcare Realty Trust Inc. 714,778 17,162
* Howard Hughes Corp. 233,574 17,056
Ryman Hospitality Properties 430,693 16,564
Corporate Office Properties Trust 661,061 16,513
TCF Financial Corp. 1,354,560 16,458
Bank of Hawaii Corp. 370,226 16,308
Prospect Capital Corp. 1,496,570 16,268
Susquehanna Bancshares Inc. 1,550,183 16,246
Synovus Financial Corp. 6,541,723 16,027
Fulton Financial Corp. 1,640,284 15,763
Federated Investors Inc. Class B 770,400 15,585
* Realogy Holdings Corp. 368,708 15,471
Valley National Bancorp 1,643,327 15,283
Sovran Self Storage Inc. 245,937 15,273
Prosperity Bancshares Inc. 363,503 15,267
American Realty Capital Trust Inc. 1,316,203 15,202
* Texas Capital Bancshares Inc. 333,837 14,963
* Portfolio Recovery Associates Inc. 140,003 14,961
Washington Federal Inc. 874,129 14,747
Erie Indemnity Co. Class A 212,646 14,719
Colonial Properties Trust 688,078 14,704
DiamondRock Hospitality Co. 1,622,116 14,599
Brandywine Realty Trust 1,192,969 14,542
Washington REIT 551,770 14,429
DCT Industrial Trust Inc. 2,215,126 14,376
Endurance Specialty Holdings Ltd. 361,057 14,330
Hanover Insurance Group Inc. 369,179 14,302
CubeSmart 977,321 14,240
Apollo Investment Corp. 1,688,491 14,116
Webster Financial Corp. 667,924 13,726
Capitol Federal Financial Inc. 1,162,752 13,593
Medical Properties Trust Inc. 1,132,094 13,540
StanCorp Financial Group Inc. 366,626 13,444
Kemper Corp. 453,045 13,365
CapitalSource Inc. 1,758,425 13,329
Janus Capital Group Inc. 1,558,152 13,275
* Stifel Financial Corp. 414,035 13,237
Potlatch Corp. 335,317 13,141
EastGroup Properties Inc. 242,836 13,067
Glimcher Realty Trust 1,171,964 12,997
FirstMerit Corp. 902,305 12,804
^ Lexington Realty Trust 1,221,846 12,768
DuPont Fabros Technology Inc. 526,222 12,714
Platinum Underwriters Holdings Ltd. 271,035 12,468
FNB Corp. 1,162,049 12,341
* Walter Investment Management Corp. 285,317 12,274
Trustmark Corp. 538,762 12,101
* Sunstone Hotel Investors Inc. 1,125,503 12,054
Mercury General Corp. 303,355 12,040
BOK Financial Corp. 220,963 12,034
Iberiabank Corp. 244,837 12,026
Cathay General Bancorp 609,624 11,888

 

13


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
UMB Financial Corp. 270,646 11,865
Primerica Inc. 379,965 11,403
National Health Investors Inc. 201,564 11,394
Pebblebrook Hotel Trust 490,230 11,324
Greenhill & Co. Inc. 217,156 11,290
Wintrust Financial Corp. 301,979 11,083
CommonWealth REIT 697,242 11,044
Umpqua Holdings Corp. 930,074 10,966
MarketAxess Holdings Inc. 310,118 10,947
* First Cash Financial Services Inc. 219,272 10,880
* PHH Corp. 476,313 10,836
Equity One Inc. 512,210 10,762
Montpelier Re Holdings Ltd. 463,581 10,597
* First Industrial Realty Trust Inc. 751,425 10,580
* Alexander & Baldwin Inc. 354,010 10,397
* Altisource Portfolio Solutions SA 118,441 10,264
Acadia Realty Trust 408,089 10,235
BancorpSouth Inc. 695,788 10,117
Old National Bancorp 851,690 10,110
Northwest Bancshares Inc. 812,775 9,867
Education Realty Trust Inc. 922,046 9,811
^ First Financial Bankshares Inc. 248,627 9,699
PS Business Parks Inc. 149,247 9,698
Westamerica Bancorporation 226,151 9,632
Cash America International Inc. 239,314 9,494
* Strategic Hotels & Resorts Inc. 1,477,805 9,458
* Financial Engines Inc. 338,159 9,384
BankUnited Inc. 383,660 9,377
United Bankshares Inc. 384,949 9,362
National Penn Bancshares Inc. 997,898 9,300
* MBIA Inc. 1,178,151 9,249
RLI Corp. 142,018 9,183
Sun Communities Inc. 227,441 9,073
Community Bank System Inc. 328,632 8,991
MB Financial Inc. 455,249 8,991
LTC Properties Inc. 255,240 8,982
Glacier Bancorp Inc. 601,434 8,847
Selective Insurance Group Inc. 459,062 8,846
LPL Financial Holdings Inc. 305,626 8,606
Government Properties Income Trust 358,354 8,590
Symetra Financial Corp. 645,113 8,374
Bank of the Ozarks Inc. 244,449 8,182
International Bancshares Corp. 452,845 8,174
* World Acceptance Corp. 108,873 8,118
PrivateBancorp Inc. 520,097 7,968
* Credit Acceptance Corp. 77,786 7,909
First Midwest Bancorp Inc. 630,489 7,894
American Assets Trust Inc. 279,156 7,797
Fifth Street Finance Corp. 746,829 7,782
Pennsylvania REIT 438,560 7,736
* Enstar Group Ltd. 68,459 7,666
First Citizens BancShares Inc. Class A 46,822 7,655
BBCN Bancorp Inc. 656,517 7,596
CVB Financial Corp. 730,001 7,592
* Ezcorp Inc. Class A 376,043 7,468
Franklin Street Properties Corp. 597,755 7,358
Hersha Hospitality Trust Class A 1,438,118 7,191
First Financial Bancorp 486,229 7,109
Argo Group International Holdings Ltd. 210,344 7,065
Main Street Capital Corp. 231,086 7,050
Investors Bancorp Inc. 395,687 7,035
Sabra Health Care REIT Inc. 313,865 6,817
Radian Group Inc. 1,112,609 6,798
Provident Financial Services Inc. 455,428 6,795

 

14


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Park National Corp. 104,612 6,761
Chesapeake Lodging Trust 321,629 6,716
Investors Real Estate Trust 763,615 6,666
PacWest Bancorp 268,574 6,655
Associated Estates Realty Corp. 412,496 6,649
Evercore Partners Inc. Class A 219,615 6,630
* DFC Global Corp. 358,108 6,629
* TFS Financial Corp. 681,510 6,556
Horace Mann Educators Corp. 328,121 6,549
Amtrust Financial Services Inc. 226,176 6,489
* Citizens Republic Bancorp Inc. 341,843 6,485
Nelnet Inc. Class A 216,541 6,451
CNA Financial Corp. 228,725 6,407
Astoria Financial Corp. 679,545 6,361
Cousins Properties Inc. 755,876 6,312
Home BancShares Inc. 191,043 6,308
American Equity Investment Life Holding Co. 508,275 6,206
ViewPoint Financial Group Inc. 294,459 6,166
PennantPark Investment Corp. 552,378 6,073
Columbia Banking System Inc. 336,870 6,043
Boston Private Financial Holdings Inc. 664,465 5,987
* Western Alliance Bancorp 568,372 5,985
* Virtus Investment Partners Inc. 49,091 5,937
Triangle Capital Corp. 230,983 5,888
* Encore Capital Group Inc. 192,045 5,880
First Commonwealth Financial Corp. 845,266 5,765
* Greenlight Capital Re Ltd. Class A 248,200 5,728
NBT Bancorp Inc. 282,264 5,722
Alexander's Inc. 17,287 5,719
Infinity Property & Casualty Corp. 97,330 5,669
* National Financial Partners Corp. 327,786 5,618
Chemical Financial Corp. 232,730 5,530
Inland Real Estate Corp. 657,574 5,510
Independent Bank Corp. 189,322 5,481
Universal Health Realty Income Trust 108,173 5,475
Ashford Hospitality Trust Inc. 517,249 5,436
First Potomac Realty Trust 433,231 5,355
Employers Holdings Inc. 257,118 5,292
Ramco-Gershenson Properties Trust 391,491 5,211
* Pinnacle Financial Partners Inc. 276,509 5,209
STAG Industrial Inc. 288,711 5,188
Tower Group Inc. 288,241 5,122
* Forestar Group Inc. 292,501 5,069
Brookline Bancorp Inc. 595,244 5,060
* iStar Financial Inc. 616,764 5,027
SCBT Financial Corp. 124,997 5,022
* MGIC Investment Corp. 1,876,022 4,990
Oritani Financial Corp. 324,719 4,975
Coresite Realty Corp. 178,642 4,941
Safety Insurance Group Inc. 105,895 4,889
Sterling Financial Corp. 233,264 4,871
City Holding Co. 139,336 4,856
BlackRock Kelso Capital Corp. 482,470 4,854
Kennedy-Wilson Holdings Inc. 346,046 4,838
Hudson Pacific Properties Inc. 229,167 4,826
Retail Opportunity Investments Corp. 371,225 4,774
WesBanco Inc. 213,264 4,739
* eHealth Inc. 172,048 4,728
Oriental Financial Group Inc. 352,976 4,712
Hercules Technology Growth Capital Inc. 422,744 4,705
Excel Trust Inc. 370,038 4,688
Saul Centers Inc. 109,301 4,677
Interactive Brokers Group Inc. 339,475 4,644
Cohen & Steers Inc. 152,181 4,637

 

15


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
S&T Bancorp Inc. 254,443 4,598
Getty Realty Corp. 252,801 4,566
* Navigators Group Inc. 89,232 4,557
KBW Inc. 294,969 4,513
* Hanmi Financial Corp. 330,384 4,490
Home Loan Servicing Solutions Ltd. 237,036 4,480
Berkshire Hills Bancorp Inc. 187,431 4,472
* Hilltop Holdings Inc. 326,092 4,415
Maiden Holdings Ltd. 477,523 4,388
^ Healthcare Trust of America Inc. Class A 442,955 4,385
Community Trust Bancorp Inc. 132,395 4,340
State Bank Financial Corp. 270,114 4,289
* AMERISAFE Inc. 157,252 4,285
* FelCor Lodging Trust Inc. 917,476 4,285
Flushing Financial Corp. 274,841 4,216
TrustCo Bank Corp. NY 798,456 4,216
FBL Financial Group Inc. Class A 121,943 4,172
West Coast Bancorp 188,237 4,169
Apollo Residential Mortgage Inc. 203,580 4,110
Renasant Corp. 213,563 4,088
* Piper Jaffray Cos. 127,155 4,086
United Fire Group Inc. 186,945 4,083
* ICG Group Inc. 355,462 4,063
Duff & Phelps Corp. Class A 256,294 4,003
Stewart Information Services Corp. 153,554 3,992
* Nationstar Mortgage Holdings Inc. 128,117 3,969
* PICO Holdings Inc. 193,013 3,912
American National Insurance Co. 57,196 3,906
* Wilshire Bancorp Inc. 660,183 3,875
HFF Inc. Class A 258,708 3,855
Simmons First National Corp. Class A 149,417 3,789
Cardinal Financial Corp. 232,837 3,788
* Eagle Bancorp Inc. 188,104 3,756
Urstadt Biddle Properties Inc. Class A 189,390 3,727
Dime Community Bancshares Inc. 264,953 3,680
* Citizens Inc. 330,282 3,650
National Interstate Corp. 125,289 3,611
* Bancorp Inc. 327,509 3,593
Spirit Realty Capital Inc. 195,420 3,475
Banner Corp. 113,016 3,473
* Ameris Bancorp 271,832 3,395
Campus Crest Communities Inc. 276,062 3,385
Monmouth Real Estate Investment Corp. Class A 325,904 3,376
Agree Realty Corp. 125,103 3,352
MCG Capital Corp. 725,705 3,338
Sandy Spring Bancorp Inc. 170,479 3,311
Tompkins Financial Corp. 83,300 3,302
TowneBank 198,813 3,080
* Safeguard Scientifics Inc. 208,390 3,074
* Central Pacific Financial Corp. 196,526 3,064
* Tejon Ranch Co. 108,741 3,053
* Taylor Capital Group Inc. 169,158 3,053
* Investment Technology Group Inc. 337,255 3,035
* OmniAmerican Bancorp Inc. 131,198 3,035
* Flagstar Bancorp Inc. 153,617 2,980
Washington Trust Bancorp Inc. 112,759 2,967
Lakeland Financial Corp. 114,411 2,956
National Western Life Insurance Co. Class A 18,736 2,955
* Knight Capital Group Inc. Class A 837,466 2,940
Rouse Properties Inc. 173,019 2,927
Parkway Properties Inc. 207,955 2,909
Winthrop Realty Trust 262,286 2,898
Federal Agricultural Mortgage Corp. 89,065 2,895
* NewStar Financial Inc. 205,924 2,885

 

16


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  TICC Capital Corp. 283,166 2,866
  First Financial Corp. 93,118 2,816
  Southside Bancshares Inc. 132,584 2,792
* Beneficial Mutual Bancorp Inc. 291,089 2,765
  Rockville Financial Inc. 213,527 2,755
* Park Sterling Corp. 524,279 2,742
  Great Southern Bancorp Inc. 107,647 2,740
  Epoch Holding Corp. 97,882 2,731
* Southwest Bancorp Inc. 239,373 2,681
  First Merchants Corp. 178,304 2,646
  Bancfirst Corp. 61,618 2,610
  Summit Hotel Properties Inc. 273,303 2,596
* United Community Banks Inc. 274,170 2,583
* BofI Holding Inc. 91,601 2,553
  Meadowbrook Insurance Group Inc. 437,229 2,527
  Provident New York Bancorp 270,103 2,515
  OneBeacon Insurance Group Ltd. Class A 178,001 2,474
* MetroCorp Bancshares Inc. 224,297 2,465
* Guaranty Bancorp 1,262,340 2,462
  Kite Realty Group Trust 434,462 2,429
  German American Bancorp Inc. 111,699 2,426
  Heartland Financial USA Inc. 92,309 2,414
* Virginia Commerce Bancorp Inc. 269,456 2,412
* Netspend Holdings Inc. 202,028 2,388
  FXCM Inc. Class A 236,391 2,380
* First California Financial Group Inc. 305,075 2,355
  StellarOne Corp. 166,021 2,348
  KCAP Financial Inc. 255,337 2,347
* Walker & Dunlop Inc. 140,841 2,346
* Metro Bancorp Inc. 176,634 2,335
  Arrow Financial Corp. 92,971 2,320
  SY Bancorp Inc. 103,434 2,319
  Univest Corp. of Pennsylvania 134,808 2,305
  MainSource Financial Group Inc. 181,577 2,301
  MVC Capital Inc. 189,071 2,297
  Retail Properties of America Inc. 191,784 2,296
  WSFS Financial Corp. 54,310 2,295
  One Liberty Properties Inc. 111,859 2,270
  BGC Partners Inc. Class A 651,211 2,253
  First Busey Corp. 476,601 2,216
  Golub Capital BDC Inc. 137,698 2,200
  GAMCO Investors Inc. 41,435 2,199
* Green Dot Corp. Class A 180,169 2,198
* WisdomTree Investments Inc. 356,852 2,184
*,^ Zillow Inc. Class A 77,769 2,158
  1st United Bancorp Inc. 340,701 2,129
  Republic Bancorp Inc. Class A 100,765 2,129
  CapLease Inc. 381,014 2,122
* Sun Bancorp Inc. 598,060 2,117
  West Bancorporation Inc. 195,869 2,111
  Capital Southwest Corp. 21,146 2,107
  Gladstone Commercial Corp. 116,880 2,098
  Arlington Asset Investment Corp. Class A 100,933 2,096
* Preferred Bank 145,306 2,063
  Kearny Financial Corp. 211,140 2,059
  SeaBright Holdings Inc. 185,867 2,058
  Financial Institutions Inc. 110,076 2,051
  First Connecticut Bancorp Inc. 148,552 2,043
  Cedar Realty Trust Inc. 386,192 2,039
  Camden National Corp. 59,286 2,014
  EverBank Financial Corp. 134,663 2,008
  Union First Market Bankshares Corp. 126,378 1,993
  OceanFirst Financial Corp. 142,055 1,953
* Global Indemnity plc 87,809 1,943

 

17


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Washington Banking Co. 142,412 1,940
Baldwin & Lyons Inc. 81,252 1,939
* INTL. FCStone Inc. 110,820 1,929
Territorial Bancorp Inc. 83,964 1,919
Franklin Financial Corp. 115,532 1,916
Sterling Bancorp 208,606 1,900
* Suffolk Bancorp 143,798 1,884
National Bankshares Inc. 58,026 1,879
* Heritage Oaks Bancorp 317,393 1,841
Northfield Bancorp Inc. 119,062 1,816
Mercantile Bank Corp. 109,930 1,814
Calamos Asset Management Inc. Class A 171,309 1,811
* Heritage Commerce Corp. 259,111 1,809
Westwood Holdings Group Inc. 44,216 1,808
Thomas Properties Group Inc. 333,706 1,805
Tree.com Inc. 99,831 1,800
First Bancorp 140,118 1,796
United Financial Bancorp Inc. 113,497 1,784
Westfield Financial Inc. 246,152 1,780
Lakeland Bancorp Inc. 174,560 1,777
Hudson Valley Holding Corp. 113,125 1,761
Bank Mutual Corp. 409,180 1,759
Medallion Financial Corp. 149,014 1,749
Marlin Business Services Corp. 86,388 1,733
Peoples Bancorp Inc. 82,875 1,693
* Seacoast Banking Corp. of Florida 1,040,726 1,676
CoBiz Financial Inc. 222,812 1,664
Oppenheimer Holdings Inc. Class A 95,496 1,649
* Phoenix Cos. Inc. 66,649 1,648
* First Financial Northwest Inc. 215,650 1,628
First Interstate Bancsystem Inc. 104,709 1,616
* First BanCorp 351,901 1,612
Homeowners Choice Inc. 77,512 1,611
GFI Group Inc. 497,355 1,611
* North Valley Bancorp 113,434 1,610
Crawford & Co. Class B 197,436 1,576
* Bridge Capital Holdings 100,827 1,569
State Auto Financial Corp. 104,882 1,567
* Meridian Interstate Bancorp Inc. 93,305 1,566
First Community Bancshares Inc. 97,966 1,565
Citizens & Northern Corp. 82,176 1,553
Northrim BanCorp Inc. 68,441 1,550
Bryn Mawr Bank Corp. 68,990 1,536
Heritage Financial Corp. 103,024 1,513
1st Source Corp. 67,698 1,495
* Ladenburg Thalmann Financial Services Inc. 1,067,331 1,494
* HomeStreet Inc. 58,257 1,488
EMC Insurance Group Inc. 61,953 1,479
Asta Funding Inc. 153,816 1,463
Kansas City Life Insurance Co. 38,258 1,460
* Doral Financial Corp. 2,013,381 1,458
Consolidated-Tomoka Land Co. 46,605 1,445
Centerstate Banks Inc. 168,828 1,440
Eastern Insurance Holdings Inc. 83,657 1,429
* BSB Bancorp Inc. 116,727 1,428
Century Bancorp Inc. Class A 42,568 1,403
* Orrstown Financial Services Inc. 142,869 1,402
* Macatawa Bank Corp. 484,725 1,401
* HomeTrust Bancshares Inc. 102,894 1,390
First of Long Island Corp. 48,411 1,371
* Pacific Mercantile Bancorp 214,453 1,349
* NewBridge Bancorp 288,045 1,334
Chatham Lodging Trust 86,635 1,332
Provident Financial Holdings Inc. 75,794 1,326

 

18


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* Capital City Bank Group Inc. 115,456 1,313
Cape Bancorp Inc. 150,272 1,306
* Gramercy Capital Corp. 434,160 1,276
Home Federal Bancorp Inc. 101,725 1,264
* Cowen Group Inc. Class A 507,773 1,244
* Waterstone Financial Inc. 158,662 1,238
BankFinancial Corp. 165,745 1,230
Trico Bancshares 73,177 1,226
Simplicity Bancorp Inc. 81,702 1,221
Fidus Investment Corp. 74,124 1,219
First Financial Holdings Inc. 93,161 1,219
MicroFinancial Inc. 166,298 1,211
ESSA Bancorp Inc. 111,135 1,210
Donegal Group Inc. Class B 63,194 1,183
Merchants Bancshares Inc. 44,131 1,181
* Intervest Bancshares Corp. Class A 302,638 1,177
* United Community Financial Corp. 405,843 1,173
* FBR & Co. 297,704 1,152
Select Income REIT 46,249 1,146
* AmeriServ Financial Inc. 378,247 1,139
Pzena Investment Management Inc. Class A 208,338 1,125
* SWS Group Inc. 212,343 1,123
Penns Woods Bancorp Inc. 29,983 1,122
Clifton Savings Bancorp Inc. 99,139 1,117
Center Bancorp Inc. 96,047 1,112
Gladstone Capital Corp. 136,192 1,111
* Harris & Harris Group Inc. 334,378 1,103
ESB Financial Corp. 79,124 1,097
Terreno Realty Corp. 71,028 1,097
* Unity Bancorp Inc. 174,680 1,088
Fox Chase Bancorp Inc. 64,911 1,081
Gladstone Investment Corp. 154,905 1,078
Diamond Hill Investment Group Inc. 15,822 1,074
Enterprise Financial Services Corp. 81,745 1,068
Pulaski Financial Corp. 118,335 1,059
NGP Capital Resources Co. 146,067 1,055
New Mountain Finance Corp. 69,179 1,031
* Hampton Roads Bankshares Inc. 858,238 1,021
American National Bankshares Inc. 50,208 1,014
First Bancorp Inc. 61,084 1,006
Whitestone REIT 70,360 989
* American Safety Insurance Holdings Ltd. 52,143 987
* Chicopee Bancorp Inc. 61,071 970
UMH Properties Inc. 93,697 968
Manning & Napier Inc. 75,297 949
Meta Financial Group Inc. 41,575 948
MutualFirst Financial Inc. 80,909 943
Nicholas Financial Inc. 75,110 931
* First South Bancorp Inc. 189,016 907
* Imperial Holdings Inc. 203,613 906
* Fidelity Southern Corp. 93,178 890
* MPG Office Trust Inc. 288,542 889
Heritage Financial Group Inc. 63,161 871
* Timberland Bancorp Inc. 124,072 861
* Yadkin Valley Financial Corp. 285,441 839
CNB Financial Corp. 50,414 826
* ZipRealty Inc. 293,133 821
* Riverview Bancorp Inc. 473,263 800
Peoples Federal Bancshares Inc. 45,713 795
* BBX Capital Corp. 117,471 787
JMP Group Inc. 127,771 776
American Realty Capital Properties Inc. 58,447 774
Bridge Bancorp Inc. 37,769 768
* WSB Holdings Inc. 130,862 767

 

19


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* MBT Financial Corp. 322,411 764
* Republic First Bancorp Inc. 366,190 758
Bank of Commerce Holdings 162,760 749
* AV Homes Inc. 52,575 748
Federated National Holding Co. 137,066 743
Bank of Marin Bancorp 19,763 740
* NASB Financial Inc. 34,583 739
Gyrodyne Co. of America Inc. 10,246 738
Alliance Financial Corp. 16,941 737
Ocean Shore Holding Co. 49,411 731
TF Financial Corp. 30,391 724
Artio Global Investors Inc. Class A 378,899 720
* Farmers Capital Bank Corp. 58,359 715
Universal Insurance Holdings Inc. 162,411 711
Donegal Group Inc. Class A 50,040 703
Ames National Corp. 32,056 702
New Hampshire Thrift Bancshares Inc. 53,896 690
Urstadt Biddle Properties Inc. 38,700 689
* First United Corp. 95,206 683
Pacific Continental Corp. 69,517 676
CFS Bancorp Inc. 107,332 670
Roma Financial Corp. 44,060 666
Peapack Gladstone Financial Corp. 47,218 665
* Pacific Premier Bancorp Inc. 64,825 664
* Firstcity Financial Corp. 66,475 647
Middleburg Financial Corp. 35,897 634
Peoples Bancorp of North Carolina Inc. 68,148 631
* Consumer Portfolio Services Inc. 117,078 628
* Altisource Residential Corp. 39,153 620
Gain Capital Holdings Inc. 150,633 616
* Community Bankers Trust Corp. 228,642 606
First Defiance Financial Corp. 31,095 597
Tower Financial Corp. 49,761 591
* Southcoast Financial Corp. 116,033 589
* Asset Acceptance Capital Corp. 130,270 586
* Louisiana Bancorp Inc. 33,680 566
PMC Commercial Trust 75,358 535
Sierra Bancorp 46,020 526
Independence Holding Co. 55,094 525
* Oak Valley Bancorp 64,647 518
* American River Bankshares 72,581 514
Harleysville Savings Financial Corp. 33,268 503
* Hallmark Financial Services 53,386 501
BCB Bancorp Inc. 52,135 492
US Global Investors Inc. Class A 122,258 490
* Capital Bank Financial Corp. 28,200 481
* Citizens Community Bancorp Inc. 81,210 481
Firstbank Corp. 46,094 479
CorEnergy Infrastructure Trust 76,033 458
QC Holdings Inc. 140,879 456
* Home Bancorp Inc. 24,204 442
* United Security Bancshares 171,197 442
Bank of Kentucky Financial Corp. 17,658 437
First Pactrust Bancorp Inc. 35,575 437
* ASB Bancorp Inc. 28,136 431
Citizens Holding Co. 21,952 424
* OBA Financial Services Inc. 23,617 415
Berkshire Bancorp Inc. 49,914 409
* Cascade Bancorp 62,684 392
Ohio Valley Banc Corp. 20,650 388
Investors Title Co. 6,127 368
Bar Harbor Bankshares 10,605 357
* Maui Land & Pineapple Co. Inc. 84,328 350
Teche Holding Co. 9,159 346

 

20


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* 1st Constitution Bancorp 38,838 345
* PVF Capital Corp. 157,346 345
^ BNC Bancorp 42,022 337
* BancTrust Financial Group Inc. 119,121 331
Hampden Bancorp Inc. 21,407 321
* First Federal Bancshares of Arkansas Inc. 32,937 321
Shore Bancshares Inc. 59,095 318
* Newport Bancorp Inc. 19,119 315
Federal Agricultural Mortgage Corp. Class A 12,788 314
* Summit Financial Group Inc. 63,567 311
Hawthorn Bancshares Inc. 39,307 309
* Atlanticus Holdings Corp. 91,683 307
* Prudential Bancorp Inc. of Pennsylvania 41,906 296
Southern National Bancorp of Virginia Inc. 36,675 293
* Camco Financial Corp. 143,739 293
* First Marblehead Corp. 369,881 287
MidWestOne Financial Group Inc. 13,213 271
Preferred Apartment Communities Inc. Class A 34,681 270
* BRT Realty Trust 39,982 262
* Colony Bankcorp Inc. 70,241 256
* Community Financial Corp. 43,748 255
Norwood Financial Corp. 8,044 239
* Stratus Properties Inc. 27,459 238
C&F Financial Corp. 5,997 234
* Guaranty Federal Bancshares Inc. 33,020 228
* CIFC Corp. 27,508 220
FedFirst Financial Corp. 13,576 219
* Supertel Hospitality Inc. 210,925 215
MHI Hospitality Corp. 62,614 209
* FNB United Corp. 17,787 206
Monarch Financial Holdings Inc. 24,417 201
* Jefferson Bancshares Inc. 70,123 193
National Bank Holdings Corp. Class A 9,900 188
Premier Financial Bancorp Inc. 17,139 186
* First Acceptance Corp. 147,208 184
* Parke Bancorp Inc. 34,129 171
* Xenith Bankshares Inc. 36,661 167
* Investors Capital Holdings Ltd. 44,609 161
* Gleacher & Co. Inc. 212,450 159
* HMN Financial Inc. 45,747 159
First Citizens Banc Corp. 27,808 152
MidSouth Bancorp Inc. 8,999 147
* Community Partners Bancorp 26,379 146
Codorus Valley Bancorp Inc. 9,666 145
First Bancshares Inc. 15,369 144
* ECB Bancorp Inc. 10,000 144
Old Point Financial Corp. 12,862 142
* BCSB Bancorp Inc. 9,758 139
* Rurban Financial Corp. 20,212 138
Horizon Bancorp 6,816 134
Central Valley Community Bancorp 16,907 131
Valley Financial Corp. 13,798 125
* Anchor Bancorp Inc. 8,200 124
* New Century Bancorp Inc. 21,884 120
Farmers National Banc Corp. 19,378 120
First Clover Leaf Financial Corp. 18,338 117
Cheviot Financial Corp. 11,598 108
United Bancshares Inc. 10,952 107
Life Partners Holdings Inc. 40,287 107
First Savings Financial Group Inc. 5,346 104
^ Saratoga Investment Corp. 6,825 103
Wolverine Bancorp Inc. 5,854 101
* Alliance Bankshares Corp. 19,416 94
* Southern First Bancshares Inc. 9,381 92

 

21


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* IF Bancorp Inc. 6,514 90
*,^ Security National Financial Corp. Class A 9,902 87
  Glen Burnie Bancorp 7,110 85
  Enterprise Bancorp Inc. 5,047 83
  Peoples Financial Corp. 6,186 57
* Royal Bancshares of Pennsylvania Inc. 40,173 48
  Naugatuck Valley Financial Corp. 6,600 44
* First Financial Service Corp. 22,276 44
  Southwest Georgia Financial Corp. 4,435 43
  Bank of South Carolina Corp. 3,982 43
* Magyar Bancorp Inc. 10,365 41
  United Bancorp Inc. 6,054 39
* 1st Century Bancshares Inc. 7,913 36
  Oconee Federal Financial Corp. 2,383 35
* Atlantic Coast Financial Corp. 15,224 31
* First Security Group Inc. 12,328 28
  Kentucky First Federal Bancorp 3,587 27
* Malvern Bancorp Inc. 2,203 25
  Greene County Bancorp Inc. 1,080 23
* Independent Bank Corp. 6,064 21
* Severn Bancorp Inc. 5,194 18
* First Capital Bancorp Inc. 5,724 16
  United Community Bancorp 2,700 16
* Porter Bancorp Inc. 19,841 14
* State Investors Bancorp Inc. 1,013 14
  First West Virginia Bancorp 916 14
  Mid Penn Bancorp Inc. 1,284 14
* Rand Capital Corp. 5,750 13
* Eastern Virginia Bankshares Inc. 2,459 13
* Sussex Bancorp 2,400 13
* Presidential Realty Corp. Class B 46,000 10
  First Capital Inc. 510 10
  Mackinac Financial Corp. 1,100 8
* Old Second Bancorp Inc. 5,100 6
  CKX Lands Inc. 399 6
  HF Financial Corp. 373 5
  Laporte Bancorp Inc. 395 3
  Salisbury Bancorp Inc. 100 2
* Village Bank and Trust Financial Corp. 2,400 2
  Oneida Financial Corp. 188 2
* Siebert Financial Corp. 1,336 2
  Eagle Bancorp Montana Inc. 175 2
  ACNB Corp. 100 2
  River Valley Bancorp 69 1
  SI Financial Group Inc. 104 1
  Stewardship Financial Corp. 300 1
* Jacksonville Bancorp Inc. 1,210 1
* Transcontinental Realty Investors Inc. 100
* American Spectrum Realty Inc. 100
  Northeast Community Bancorp Inc. 57
  Elmira Savings Bank 1
* Camco Financial Corp. Warrants Exp. 11/06/2017 45,300
      5,106,405
Health Care (10.4%)    
* Regeneron Pharmaceuticals Inc. 620,578 106,162
* Vertex Pharmaceuticals Inc. 1,786,084 74,908
* Henry Schein Inc. 726,718 58,472
* Illumina Inc. 1,018,528 56,620
* BioMarin Pharmaceutical Inc. 1,018,908 50,181
  ResMed Inc. 1,180,162 49,059
* Mettler-Toledo International Inc. 253,122 48,928
* Hologic Inc. 2,198,797 44,042
* IDEXX Laboratories Inc. 451,587 41,907
* Onyx Pharmaceuticals Inc. 551,553 41,659

 

22


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  HCA Holdings Inc. 1,345,577 40,596
  Cooper Cos. Inc. 396,279 36,648
  Universal Health Services Inc. Class B 727,914 35,195
  Omnicare Inc. 913,024 32,960
* MEDNAX Inc. 412,765 32,823
* Medivation Inc. 611,904 31,305
* Sirona Dental Systems Inc. 455,509 29,362
* Ariad Pharmaceuticals Inc. 1,380,260 26,473
* Covance Inc. 450,327 26,015
* Endo Health Solutions Inc. 942,485 24,759
  Teleflex Inc. 339,734 24,226
* Pharmacyclics Inc. 413,329 23,932
  Community Health Systems Inc. 756,612 23,258
* Cubist Pharmaceuticals Inc. 530,842 22,327
* athenahealth Inc. 298,984 21,960
* United Therapeutics Corp. 392,124 20,947
* Brookdale Senior Living Inc. Class A 814,743 20,629
* Jazz Pharmaceuticals plc 387,134 20,596
* Health Management Associates Inc. Class A 2,129,005 19,842
* Seattle Genetics Inc. 854,059 19,814
  Techne Corp. 287,709 19,662
* Alkermes plc 1,011,004 18,724
* HMS Holdings Corp. 717,704 18,603
* Cepheid Inc. 548,804 18,555
* Thoratec Corp. 489,255 18,357
* Myriad Genetics Inc. 672,385 18,322
* Incyte Corp. Ltd. 1,087,302 18,060
* Bio-Rad Laboratories Inc. Class A 167,451 17,591
* Centene Corp. 428,545 17,570
* WellCare Health Plans Inc. 358,576 17,459
* Haemonetics Corp. 426,300 17,410
* Salix Pharmaceuticals Ltd. 415,421 16,816
  STERIS Corp. 483,240 16,783
* HealthSouth Corp. 787,200 16,618
* Align Technology Inc. 595,505 16,525
* Health Net Inc. 677,309 16,459
*,^ Arena Pharmaceuticals Inc. 1,801,605 16,250
  West Pharmaceutical Services Inc. 284,420 15,572
* LifePoint Hospitals Inc. 408,972 15,439
* VCA Antech Inc. 733,328 15,437
  Owens & Minor Inc. 528,053 15,055
* Charles River Laboratories International Inc. 399,910 14,985
* PAREXEL International Corp. 484,071 14,324
  Hill-Rom Holdings Inc. 500,332 14,259
* Allscripts Healthcare Solutions Inc. 1,424,069 13,415
^ Questcor Pharmaceuticals Inc. 485,237 12,966
* Theravance Inc. 565,932 12,603
* ViroPharma Inc. 544,544 12,394
* PSS World Medical Inc. 418,351 12,082
* Bruker Corp. 774,621 11,828
* Alere Inc. 631,449 11,682
* Vivus Inc. 844,564 11,334
* Magellan Health Services Inc. 229,239 11,233
* MWI Veterinary Supply Inc. 99,579 10,954
  Chemed Corp. 158,863 10,896
* Impax Laboratories Inc. 529,628 10,852
  Air Methods Corp. 290,214 10,706
* Medicines Co. 444,526 10,655
* Volcano Corp. 445,745 10,524
* Cyberonics Inc. 197,619 10,381
* Infinity Pharmaceuticals Inc. 269,989 9,450
* Lexicon Pharmaceuticals Inc. 4,104,409 9,112
  Masimo Corp. 432,860 9,094
* Isis Pharmaceuticals Inc. 849,214 8,883

 

23


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Immunogen Inc. 693,619 8,844
* Insulet Corp. 404,571 8,585
* Neogen Corp. 184,689 8,370
* Acorda Therapeutics Inc. 333,832 8,299
* HeartWare International Inc. 96,278 8,083
* ArthroCare Corp. 233,609 8,081
* Amsurg Corp. Class A 266,157 7,987
* DexCom Inc. 581,828 7,919
* Hanger Inc. 288,782 7,901
* Ironwood Pharmaceuticals Inc. Class A 686,972 7,619
* Auxilium Pharmaceuticals Inc. 410,141 7,600
  Analogic Corp. 101,844 7,567
* Akorn Inc. 563,991 7,535
* Medidata Solutions Inc. 186,558 7,311
* Team Health Holdings Inc. 251,323 7,231
* Nektar Therapeutics 967,819 7,172
* MedAssets Inc. 425,333 7,133
  Meridian Bioscience Inc. 347,748 7,042
*,^ Exelixis Inc. 1,539,127 7,034
* Sunrise Senior Living Inc. 488,449 7,024
* Wright Medical Group Inc. 333,715 7,005
* Dendreon Corp. 1,305,352 6,892
  CONMED Corp. 240,252 6,715
* Molina Healthcare Inc. 247,773 6,705
* NPS Pharmaceuticals Inc. 724,414 6,592
* Endologix Inc. 459,489 6,543
* ICU Medical Inc. 105,643 6,437
  Abaxis Inc. 173,210 6,426
* Integra LifeSciences Holdings Corp. 164,209 6,399
* Alnylam Pharmaceuticals Inc. 345,298 6,302
* Orthofix International NV 158,683 6,241
* Emeritus Corp. 244,315 6,039
* Bio-Reference Labs Inc. 206,650 5,929
  Quality Systems Inc. 337,125 5,852
* Affymax Inc. 305,517 5,805
* NuVasive Inc. 366,286 5,663
* Conceptus Inc. 266,150 5,592
* IPC The Hospitalist Co. Inc. 140,806 5,591
*,^ Opko Health Inc. 1,143,427 5,500
* Exact Sciences Corp. 519,026 5,496
* Luminex Corp. 318,994 5,346
* InterMune Inc. 546,557 5,296
  Cantel Medical Corp. 177,697 5,283
*,^ Accretive Health Inc. 454,161 5,250
* Sarepta Therapeutics Inc. 198,379 5,118
* BioScrip Inc. 471,424 5,077
* NxStage Medical Inc. 441,010 4,961
  Landauer Inc. 80,854 4,949
* Kindred Healthcare Inc. 448,860 4,857
^ Spectrum Pharmaceuticals Inc. 428,124 4,791
* Halozyme Therapeutics Inc. 705,549 4,734
* Merit Medical Systems Inc. 338,489 4,705
* Greatbatch Inc. 200,763 4,666
* Rigel Pharmaceuticals Inc. 709,093 4,609
  Computer Programs & Systems Inc. 89,993 4,530
* Santarus Inc. 410,866 4,511
* Momenta Pharmaceuticals Inc. 376,853 4,439
* Omnicell Inc. 297,863 4,429
*,^ MAKO Surgical Corp. 342,825 4,412
*,^ Sequenom Inc. 931,299 4,396
  Ensign Group Inc. 160,517 4,364
* Spectranetics Corp. 292,737 4,324
  Invacare Corp. 264,298 4,308
* Dynavax Technologies Corp. 1,478,174 4,228

 

24


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Genomic Health Inc. 154,195 4,203
* Quidel Corp. 222,710 4,158
* Ligand Pharmaceuticals Inc. Class B 198,317 4,113
* HealthStream Inc. 167,018 4,060
* ABIOMED Inc. 297,083 3,999
* Celldex Therapeutics Inc. 592,986 3,979
* Idenix Pharmaceuticals Inc. 818,701 3,971
* Achillion Pharmaceuticals Inc. 491,515 3,942
* Antares Pharma Inc. 1,003,691 3,824
  Select Medical Holdings Corp. 401,554 3,787
  National Healthcare Corp. 79,917 3,758
* Dyax Corp. 1,069,772 3,723
  US Physical Therapy Inc. 131,559 3,623
* Optimer Pharmaceuticals Inc. 400,094 3,621
* ExamWorks Group Inc. 258,526 3,617
* Orexigen Therapeutics Inc. 686,293 3,617
* Accuray Inc. 560,132 3,602
* Pacira Pharmaceuticals Inc. 191,784 3,350
* PharMerica Corp. 235,101 3,348
* Neurocrine Biosciences Inc. 446,778 3,342
* MAP Pharmaceuticals Inc. 211,390 3,321
* OraSure Technologies Inc. 461,465 3,313
* AMN Healthcare Services Inc. 286,085 3,304
* AVANIR Pharmaceuticals Inc. 1,246,974 3,280
* Capital Senior Living Corp. 172,935 3,232
* Corvel Corp. 70,110 3,143
* Acadia Healthcare Co. Inc. 133,409 3,112
  Universal American Corp. 357,759 3,073
* Symmetry Medical Inc. 288,078 3,031
*,^ Navidea Biopharmaceuticals Inc. 1,059,276 2,998
* LHC Group Inc. 139,047 2,962
* Depomed Inc. 472,921 2,927
  Hi-Tech Pharmacal Co. Inc. 83,290 2,913
* Curis Inc. 835,227 2,865
* Endocyte Inc. 318,941 2,864
* Emergent Biosolutions Inc. 178,158 2,858
* Healthways Inc. 266,103 2,847
* Amedisys Inc. 239,980 2,705
* Natus Medical Inc. 235,694 2,635
*,^ ZIOPHARM Oncology Inc. 627,019 2,608
* Array BioPharma Inc. 700,886 2,607
* ACADIA Pharmaceuticals Inc. 556,565 2,588
* Triple-S Management Corp. Class B 137,378 2,537
* AMAG Pharmaceuticals Inc. 170,636 2,510
* Synageva BioPharma Corp. 54,065 2,503
* SurModics Inc. 111,889 2,502
* Sangamo Biosciences Inc. 414,129 2,489
* Cambrex Corp. 216,694 2,466
* Gentiva Health Services Inc. 242,488 2,437
* Affymetrix Inc. 768,135 2,435
* XenoPort Inc. 310,926 2,416
* MannKind Corp. 1,037,943 2,398
* AngioDynamics Inc. 210,935 2,318
* Vanguard Health Systems Inc. 186,033 2,279
* AVEO Pharmaceuticals Inc. 272,324 2,192
*,^ Keryx Biopharmaceuticals Inc. 829,299 2,173
* Obagi Medical Products Inc. 154,713 2,103
* Repros Therapeutics Inc. 133,159 2,097
* Vascular Solutions Inc. 128,899 2,037
* Providence Service Corp. 119,198 2,025
* Cerus Corp. 634,793 2,006
* Vical Inc. 684,833 1,993
  Enzon Pharmaceuticals Inc. 447,368 1,982
* Synta Pharmaceuticals Corp. 217,761 1,964

 

25


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Albany Molecular Research Inc. 366,556 1,935
* Geron Corp. 1,371,904 1,934
* Immunomedics Inc. 658,841 1,924
  Atrion Corp. 9,779 1,917
* Cynosure Inc. Class A 77,243 1,862
*,^ Cytori Therapeutics Inc. 656,602 1,852
* Fluidigm Corp. 127,069 1,818
* Aegerion Pharmaceuticals Inc. 71,598 1,818
* Novavax Inc. 956,306 1,807
* Repligen Corp. 282,391 1,776
* Threshold Pharmaceuticals Inc. 420,194 1,769
  Assisted Living Concepts Inc. Class A 178,391 1,739
* Arqule Inc. 618,646 1,726
* Palomar Medical Technologies Inc. 187,022 1,722
* Furiex Pharmaceuticals Inc. 88,633 1,707
* Sciclone Pharmaceuticals Inc. 390,429 1,683
* Staar Surgical Co. 274,576 1,675
* Five Star Quality Care Inc. 334,038 1,674
  Almost Family Inc. 82,058 1,662
  CryoLife Inc. 265,116 1,652
* Cardiovascular Systems Inc. 131,280 1,648
* GenMark Diagnostics Inc. 178,815 1,609
*,^ Raptor Pharmaceutical Corp. 273,508 1,600
* Sucampo Pharmaceuticals Inc. Class A 321,870 1,577
*,^ Synergy Pharmaceuticals Inc. 299,258 1,574
* RTI Biologics Inc. 366,590 1,565
* Clovis Oncology Inc. 96,540 1,545
* Cadence Pharmaceuticals Inc. 318,809 1,527
* GTx Inc. 360,741 1,515
* XOMA Corp. 625,463 1,498
*,^ Celsion Corp. 176,862 1,449
* Cytokinetics Inc. 2,167,862 1,431
* Harvard Bioscience Inc. 321,294 1,407
  Young Innovations Inc. 35,173 1,386
*,^ Peregrine Pharmaceuticals Inc. 1,035,737 1,367
*,^ Osiris Therapeutics Inc. 151,683 1,362
*,^ Sunesis Pharmaceuticals Inc. 313,649 1,317
* Insmed Inc. 196,169 1,312
  National Research Corp. 23,383 1,267
* Astex Pharmaceuticals 433,784 1,262
* Tornier NV 75,103 1,261
  Psychemedics Corp. 115,494 1,242
* Targacept Inc. 279,807 1,226
* Rockwell Medical Technologies Inc. 151,267 1,218
* Oncothyreon Inc. 611,762 1,175
*,^ Ampio Pharmaceuticals Inc. 321,482 1,154
* Chindex International Inc. 109,390 1,149
* Cutera Inc. 122,814 1,105
* Cross Country Healthcare Inc. 224,302 1,077
* Alphatec Holdings Inc. 650,530 1,073
  Simulations Plus Inc. 239,959 1,053
* Synergetics USA Inc. 213,690 1,026
* Greenway Medical Technologies 66,307 1,018
* Vanda Pharmaceuticals Inc. 274,861 1,017
* BioDelivery Sciences International Inc. 227,777 982
* Pozen Inc. 194,041 972
* Anika Therapeutics Inc. 97,289 967
* Solta Medical Inc. 360,619 963
* Corcept Therapeutics Inc. 671,394 960
* Amicus Therapeutics Inc. 356,134 954
* Rochester Medical Corp. 94,200 950
* RadNet Inc. 373,069 944
  Pain Therapeutics Inc. 333,277 903
*,^ Hansen Medical Inc. 429,111 893

 

26


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* OncoGenex Pharmaceutical Inc. 66,063 867
* Vocera Communications Inc. 34,478 865
* Durect Corp. 921,409 848
* Skilled Healthcare Group Inc. 132,719 845
* Merge Healthcare Inc. 341,358 843
*,^ Biolase Inc. 446,682 826
* BioCryst Pharmaceuticals Inc. 570,842 811
* Omeros Corp. 155,511 807
* SIGA Technologies Inc. 301,128 789
*,^ Neuralstem Inc. 716,419 787
*,^ Cell Therapeutics Inc. 595,353 774
* Sagent Pharmaceuticals Inc. 48,026 773
*,^ Savient Pharmaceuticals Inc. 733,931 771
*,^ Neostem Inc. 1,287,145 766
  LeMaitre Vascular Inc. 132,140 758
* TearLab Corp. 182,049 746
* AtriCure Inc. 107,470 742
*,^ PhotoMedex Inc. 50,923 739
* Unilife Corp. 325,083 738
*,^ Biotime Inc. 232,517 730
* Digirad Corp. 355,865 730
* PDI Inc. 95,770 728
*,^ Galena Biopharma Inc. 450,875 690
* Exactech Inc. 39,553 670
* Chelsea Therapeutics International Ltd. 862,720 656
  Heska Corp. 80,864 655
* Alliance HealthCare Services Inc. 101,861 650
* Adcare Health Systems Inc. 135,530 644
* Progenics Pharmaceuticals Inc. 204,694 610
* NewLink Genetics Corp. 47,770 597
*,^ Cel-Sci Corp. 2,176,698 588
* Zogenix Inc. 439,635 585
* Myrexis Inc. 205,574 582
  Utah Medical Products Inc. 15,890 573
* Intercept Pharmaceuticals Inc. 16,700 572
*,^ Delcath Systems Inc. 462,625 569
* Cardica Inc. 511,062 562
* Theragenics Corp. 349,203 555
* Transcept Pharmaceuticals Inc. 121,239 540
*,^ Alexza Pharmaceuticals Inc. 104,998 520
* Biospecifics Technologies Corp. 34,496 516
* Trius Therapeutics Inc. 107,463 514
* Epocrates Inc. 58,181 513
* Zalicus Inc. 775,238 504
*,^ PharmAthene Inc. 441,466 494
* Columbia Laboratories Inc. 776,381 493
* Derma Sciences Inc. 44,372 493
* EnteroMedics Inc. 174,898 490
* Icad Inc. 101,374 486
*,^ Aastrom Biosciences Inc. 381,111 480
*,^ Synthetic Biologics Inc. 270,376 476
* Supernus Pharmaceuticals Inc. 65,911 473
* Iridex Corp. 124,315 470
*,^ Cyclacel Pharmaceuticals Inc. 76,778 468
*,^ Apricus Biosciences Inc. 231,334 460
*,^ MELA Sciences Inc. 244,940 438
* Hemispherx Biopharma Inc. 1,716,241 430
*,^ Acura Pharmaceuticals Inc. 185,714 412
* Agenus Inc. 98,951 406
*,^ Bacterin International Holdings Inc. 315,883 395
* Inovio Pharmaceuticals Inc. 789,837 395
* Nanosphere Inc. 131,869 380
* Coronado Biosciences Inc. 82,807 373
*,^ BSD Medical Corp. 245,667 371

 

27


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Cleveland Biolabs Inc. 270,959 360
  Maxygen Inc. 131,270 323
* Adolor Corp. Rights Exp. 07/01/2019 596,841 310
* Anacor Pharmaceuticals Inc. 59,591 310
* Cumberland Pharmaceuticals Inc. 73,721 310
* Uroplasty Inc. 95,482 308
* Bovie Medical Corp. 127,296 308
* Puma Biotechnology Inc. 15,600 293
* Zeltiq Aesthetics Inc. 61,638 285
*,^ Medgenics Inc. 38,245 285
*,^ Oculus Innovative Sciences Inc. 436,057 275
* IsoRay Inc. 354,737 273
* ImmunoCellular Therapeutics Ltd. 138,968 267
*,^ iBio Inc. 423,689 263
* Vision Sciences Inc. 219,728 261
* BioMimetic Therapeutics Inc. 36,084 261
  Biota Pharmaceuticals Inc. 62,654 250
*,^ Rexahn Pharmaceuticals Inc. 779,754 242
* Discovery Laboratories Inc. 113,266 239
*,^ ADVENTRX Pharmaceuticals Inc. 400,748 228
* Horizon Pharma Inc. 98,006 228
* Medical Action Industries Inc. 83,183 224
* Lannett Co. Inc. 44,423 220
* Codexis Inc. 99,359 220
* Strategic Diagnostics Inc. 188,663 202
* LCA-Vision Inc. 69,009 197
*,^ Authentidate Holding Corp. 197,599 186
* Hooper Holmes Inc. 466,668 185
* TranS1 Inc. 67,672 168
* Complete Genomics Inc. 51,245 161
* Urologix Inc. 222,218 151
*,^ MEI Pharma Inc. 20,986 147
* pSivida Corp. 121,317 147
* Sharps Compliance Corp. 63,085 143
*,^ Anthera Pharmaceuticals Inc. 224,777 139
* Cornerstone Therapeutics Inc. 28,390 134
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 131,308 125
* Ventrus Biosciences Inc. 53,128 115
* Bioanalytical Systems Inc. 86,496 112
* Entremed Inc. 81,264 112
*,^ Athersys Inc. 98,648 105
* AcelRx Pharmaceuticals Inc. 23,537 101
*,^ Opexa Therapeutics Inc. 87,158 99
* VirtualScopics Inc. 161,804 94
* Novabay Pharmaceuticals Inc. 81,026 92
* CardioNet Inc. 40,415 92
* Biodel Inc. 37,730 89
* MGC Diagnostics Corp. 15,293 88
* Sunshine Heart Inc. 13,587 83
* MediciNova Inc. 45,442 76
* American Caresource Holdings Inc. 51,566 76
* SunLink Health Systems Inc. 59,900 71
* ProPhase Labs Inc. 52,086 71
* Catalyst Pharmaceutical Partners Inc. 156,356 68
* CAS Medical Systems Inc. 31,198 67
*,^ NuPathe Inc. 18,702 63
*,^ Cardium Therapeutics Inc. 306,488 58
* Retractable Technologies Inc. 65,262 57
* Escalon Medical Corp. 59,011 56
* Tranzyme Inc. 95,100 51
* CombiMatrix Corp. 9,624 51
* ERBA Diagnostics Inc. 54,515 49
*,^ StemCells Inc. 29,433 48
* Palatin Technologies Inc. 76,169 46

 

28


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Alimera Sciences Inc. 28,169 44
* Accelerate Diagnostics Inc. 10,200 41
* Pernix Therapeutics Holdings 5,202 40
* BG Medicine Inc. 16,110 37
* DynaVox Inc. Class A 85,592 32
*,^ Oxygen Biotherapeutics Inc. 44,208 29
* KYTHERA Biopharmaceuticals Inc. 900 27
* Merrimack Pharmaceuticals Inc. 4,329 26
* Allied Healthcare Products 9,915 26
* ARCA Biopharma Inc. 61,940 25
* PURE Bioscience Inc. 37,078 23
* Telik Inc. 14,700 19
* Ligand Pharmaceuticals Inc. Roche Contingent Value Rights 395,811 6
* Galectin Therapeutics Inc. 2,300 5
* NeuroMetrix Inc. 10,509 5
* DARA Biosciences Inc. 5,069 4
* Ligand Pharmaceuticals Inc. Glucagon Contingent Value Rights 395,811 4
* Durata Therapeutics Inc. 400 3
  Ligand Pharmaceuticals Inc. General Contingent Value Rights 395,811 3
* Enzo Biochem Inc. 897 2
* Ligand Pharmaceuticals Inc. TR Beta Contingent Value Rights 395,811 2
* Response Genetics Inc. 1,400 2
* Vermillion Inc. 100
      2,454,119
Industrials (16.0%)    
* Delta Air Lines Inc. 6,998,556 83,073
  Kansas City Southern 906,474 75,672
  AMETEK Inc. 2,001,542 75,198
* United Continental Holdings Inc. 2,744,766 64,173
* Verisk Analytics Inc. Class A 1,194,109 60,900
  TransDigm Group Inc. 371,286 50,629
  JB Hunt Transport Services Inc. 752,485 44,931
* B/E Aerospace Inc. 855,278 42,251
* Hertz Global Holdings Inc. 2,469,536 40,179
* IHS Inc. Class A 412,775 39,626
* AGCO Corp. 798,147 39,205
* Fortune Brands Home & Security Inc. 1,335,466 39,022
  Hubbell Inc. Class B 439,046 37,156
  Chicago Bridge & Iron Co. NV 800,967 37,125
  Donaldson Co. Inc. 1,114,782 36,609
  KBR Inc. 1,215,488 36,367
* Owens Corning 972,400 35,969
* United Rentals Inc. 766,260 34,880
  Wabtec Corp. 394,474 34,532
  Waste Connections Inc. 1,010,346 34,140
* WABCO Holdings Inc. 521,815 34,017
  Lincoln Electric Holdings Inc. 687,085 33,447
  IDEX Corp. 680,868 31,681
  Timken Co. 657,212 31,434
* Nielsen Holdings NV 1,020,369 31,213
  Carlisle Cos. Inc. 520,351 30,576
  Nordson Corp. 464,697 29,332
  SPX Corp. 418,028 29,325
  Corrections Corp. of America 824,264 29,237
  MSC Industrial Direct Co. Inc. Class A 382,461 28,830
* Kirby Corp. 460,005 28,470
  Gardner Denver Inc. 407,118 27,888
* Genesee & Wyoming Inc. Class A 360,369 27,417

 

29


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Manpower Inc. 645,622 27,400
  Triumph Group Inc. 411,415 26,865
  Towers Watson & Co. Class A 470,629 26,454
  Valmont Industries Inc. 192,782 26,324
  Kennametal Inc. 655,972 26,239
  Regal-Beloit Corp. 368,924 25,998
  Graco Inc. 503,089 25,904
  Babcock & Wilcox Co. 987,873 25,882
* Copart Inc. 875,720 25,834
* Shaw Group Inc. 548,731 25,576
* Terex Corp. 909,246 25,559
* Alaska Air Group Inc. 582,833 25,114
  URS Corp. 632,304 24,824
* WESCO International Inc. 359,918 24,269
* Clean Harbors Inc. 438,980 24,148
  Acuity Brands Inc. 351,959 23,838
* Sensata Technologies Holding NV 723,550 23,501
  Trinity Industries Inc. 649,516 23,266
* Colfax Corp. 553,968 22,353
* Oshkosh Corp. 752,412 22,309
* Hexcel Corp. 821,526 22,148
* AECOM Technology Corp. 893,760 21,272
* Foster Wheeler AG 873,523 21,244
  Robbins & Myers Inc. 353,931 21,041
  Toro Co. 488,501 20,996
* USG Corp. 734,360 20,613
  AO Smith Corp. 319,102 20,126
  Covanta Holding Corp. 1,090,261 20,083
  Landstar System Inc. 382,805 20,082
* Old Dominion Freight Line Inc. 581,392 19,930
  Lennox International Inc. 379,286 19,920
* Teledyne Technologies Inc. 306,033 19,914
  CLARCOR Inc. 416,684 19,909
* Middleby Corp. 154,345 19,789
  EMCOR Group Inc. 553,389 19,153
  Woodward Inc. 500,681 19,091
  Watsco Inc. 246,732 18,480
  Crane Co. 397,054 18,376
* US Airways Group Inc. 1,350,031 18,225
  ITT Corp. 768,046 18,018
*,^ Polypore International Inc. 386,628 17,978
  Huntington Ingalls Industries Inc. 411,673 17,842
  Exelis Inc. 1,552,538 17,497
* Avis Budget Group Inc. 882,306 17,487
  Manitowoc Co. Inc. 1,100,232 17,252
  Actuant Corp. Class A 605,598 16,902
  GATX Corp. 389,549 16,867
  Alliant Techsystems Inc. 271,496 16,822
* Chart Industries Inc. 248,853 16,591
  Geo Group Inc. 588,251 16,589
  Belden Inc. 366,068 16,469
* Esterline Technologies Corp. 256,509 16,317
  Harsco Corp. 672,498 15,804
* Spirit Aerosystems Holdings Inc. Class A 919,414 15,602
* Moog Inc. Class A 378,224 15,519
* EnerSys Inc. 397,737 14,967
  Applied Industrial Technologies Inc. 347,862 14,614
* Navistar International Corp. 658,678 14,339
* Tetra Tech Inc. 532,574 14,087
  Deluxe Corp. 421,123 13,577
  KAR Auction Services Inc. 669,212 13,545
* Advisory Board Co. 287,393 13,447
^ RR Donnelley & Sons Co. 1,485,188 13,367
  Corporate Executive Board Co. 280,745 13,324

 

30


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
HEICO Corp. 291,706 13,057
* Beacon Roofing Supply Inc. 391,821 13,040
Healthcare Services Group Inc. 559,707 13,002
Con-way Inc. 465,154 12,941
Brady Corp. Class A 382,827 12,786
Curtiss-Wright Corp. 385,353 12,651
* General Cable Corp. 414,106 12,593
Rollins Inc. 547,294 12,062
* Air Lease Corp. 553,707 11,905
* MasTec Inc. 473,718 11,810
Mueller Industries Inc. 234,002 11,707
UTi Worldwide Inc. 863,025 11,565
Brink's Co. 397,259 11,334
HNI Corp. 375,578 11,290
* FTI Consulting Inc. 341,614 11,273
Mine Safety Appliances Co. 257,784 11,010
Simpson Manufacturing Co. Inc. 334,993 10,984
* JetBlue Airways Corp. 1,907,920 10,894
* Acacia Research Corp. 414,562 10,634
Herman Miller Inc. 488,956 10,473
United Stationers Inc. 337,454 10,458
Franklin Electric Co. Inc. 160,935 10,005
Granite Construction Inc. 296,333 9,963
* GrafTech International Ltd. 1,058,534 9,940
* Hub Group Inc. Class A 295,395 9,925
Watts Water Technologies Inc. Class A 230,728 9,919
* Atlas Air Worldwide Holdings Inc. 219,804 9,740
* DigitalGlobe Inc. 394,521 9,642
* RBC Bearings Inc. 185,531 9,290
Allegiant Travel Co. Class A 126,447 9,282
UniFirst Corp. 126,114 9,247
TAL International Group Inc. 248,366 9,036
Armstrong World Industries Inc. 176,176 8,937
Matson Inc. 357,875 8,847
Barnes Group Inc. 390,817 8,778
Titan International Inc. 397,054 8,624
Lindsay Corp. 106,860 8,562
Forward Air Corp. 243,998 8,542
* Nortek Inc. 127,404 8,441
* II-VI Inc. 461,154 8,425
ESCO Technologies Inc. 224,330 8,392
Steelcase Inc. Class A 656,789 8,368
ABM Industries Inc. 418,978 8,359
Briggs & Stratton Corp. 391,573 8,254
Kaman Corp. 222,473 8,187
AZZ Inc. 212,138 8,152
Werner Enterprises Inc. 369,728 8,012
Raven Industries Inc. 301,410 7,945
Interface Inc. Class A 478,377 7,692
Amerco Inc. 60,409 7,660
Generac Holdings Inc. 217,000 7,445
Mueller Water Products Inc. Class A 1,325,337 7,435
* Trimas Corp. 262,811 7,348
* Aegion Corp. Class A 327,576 7,269
Knight Transportation Inc. 494,055 7,228
* On Assignment Inc. 355,084 7,201
* EnPro Industries Inc. 174,576 7,140
* ACCO Brands Corp. 952,533 6,992
Tennant Co. 157,619 6,927
* Orbital Sciences Corp. 499,782 6,882
* Spirit Airlines Inc. 384,779 6,818
Seaboard Corp. 2,637 6,671
* Mobile Mini Inc. 314,985 6,561
* Blount International Inc. 414,595 6,559

 

31


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* Huron Consulting Group Inc. 194,540 6,554
Kaydon Corp. 271,821 6,505
* Korn/Ferry International 405,765 6,435
Cubic Corp. 134,018 6,429
Universal Forest Products Inc. 167,406 6,368
Quanex Building Products Corp. 311,984 6,368
* Swift Transportation Co. 696,933 6,356
Knoll Inc. 406,747 6,248
* Exponent Inc. 111,217 6,209
AAR Corp. 329,028 6,146
Insperity Inc. 183,810 5,985
* Team Inc. 156,134 5,939
* Rush Enterprises Inc. Class A 284,905 5,889
* GeoEye Inc. 191,520 5,885
CIRCOR International Inc. 148,026 5,860
Aircastle Ltd. 465,336 5,835
Astec Industries Inc. 173,711 5,790
Apogee Enterprises Inc. 240,294 5,760
Sun Hydraulics Corp. 220,094 5,740
McGrath RentCorp 191,555 5,559
Standex International Corp. 107,747 5,526
G&K Services Inc. Class A 160,145 5,469
Albany International Corp. 239,841 5,440
* MRC Global Inc. 194,523 5,404
* TrueBlue Inc. 342,615 5,396
SkyWest Inc. 426,368 5,313
* Dycom Industries Inc. 268,195 5,310
* Wabash National Corp. 581,076 5,212
Sauer-Danfoss Inc. 96,792 5,166
* Sykes Enterprises Inc. 332,388 5,059
Heartland Express Inc. 384,914 5,031
Encore Wire Corp. 158,044 4,790
* Taser International Inc. 534,321 4,777
Griffon Corp. 415,400 4,760
Resources Connection Inc. 398,334 4,756
Comfort Systems USA Inc. 386,696 4,702
* Navigant Consulting Inc. 420,911 4,697
John Bean Technologies Corp. 264,180 4,694
Altra Holdings Inc. 209,978 4,630
* Trex Co. Inc. 123,908 4,613
Cascade Corp. 71,563 4,602
* GenCorp Inc. 502,639 4,599
American Science & Engineering Inc. 70,184 4,577
* Rexnord Corp. 213,710 4,552
Viad Corp. 166,904 4,533
* DXP Enterprises Inc. 92,075 4,518
Great Lakes Dredge & Dock Corp. 489,796 4,374
* Federal Signal Corp. 532,289 4,051
Celadon Group Inc. 223,756 4,043
Gorman-Rupp Co. 131,644 3,927
* MYR Group Inc. 174,626 3,885
* Gibraltar Industries Inc. 242,085 3,854
US Ecology Inc. 162,696 3,830
* Meritor Inc. 809,443 3,829
Quad/Graphics Inc. 181,608 3,703
AAON Inc. 176,612 3,686
H&E Equipment Services Inc. 243,955 3,676
Kforce Inc. 253,534 3,633
Primoris Services Corp. 241,141 3,627
* Layne Christensen Co. 148,506 3,604
* ICF International Inc. 151,852 3,559
Kelly Services Inc. Class A 225,555 3,550
Hyster-Yale Materials Handling Inc. 72,666 3,546
* Titan Machinery Inc. 143,161 3,536

 

32


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* InnerWorkings Inc. 250,489 3,452
* Greenbrier Cos. Inc. 208,333 3,369
* Tutor Perini Corp. 243,999 3,343
  LB Foster Co. Class A 76,507 3,323
* Standard Parking Corp. 148,350 3,262
^ National Presto Industries Inc. 47,204 3,262
  Ennis Inc. 210,108 3,250
  SeaCube Container Leasing Ltd. 171,272 3,228
* Consolidated Graphics Inc. 89,788 3,135
* Aerovironment Inc. 143,450 3,119
* Kadant Inc. 116,905 3,099
* Columbus McKinnon Corp. 178,013 2,941
* Powell Industries Inc. 70,348 2,922
  Barrett Business Services Inc. 76,080 2,898
* American Woodmark Corp. 103,487 2,879
*,^ XPO Logistics Inc. 164,691 2,862
  Heidrick & Struggles International Inc. 179,249 2,735
* Kratos Defense & Security Solutions Inc. 534,246 2,687
* Mistras Group Inc. 108,794 2,686
  FreightCar America Inc. 117,187 2,627
* Lydall Inc. 180,938 2,595
  HEICO Corp. Class A 80,937 2,588
  Marten Transport Ltd. 139,572 2,567
  Douglas Dynamics Inc. 177,787 2,558
* CBIZ Inc. 432,668 2,557
  CDI Corp. 148,700 2,547
  Kimball International Inc. Class B 216,687 2,516
* Hawaiian Holdings Inc. 380,885 2,502
  Multi-Color Corp. 103,631 2,486
  Arkansas Best Corp. 258,560 2,469
* Capstone Turbine Corp. 2,772,433 2,467
  Aceto Corp. 244,427 2,454
* Wesco Aircraft Holdings Inc. 183,229 2,420
* Saia Inc. 103,972 2,404
* GP Strategies Corp. 113,548 2,345
  Houston Wire & Cable Co. 187,923 2,306
* EnergySolutions Inc. 726,050 2,265
* Northwest Pipe Co. 94,113 2,246
* Thermon Group Holdings Inc. 99,307 2,237
*,^ Odyssey Marine Exploration Inc. 726,887 2,159
  Global Power Equipment Group Inc. 123,300 2,115
  American Railcar Industries Inc. 65,282 2,071
* NCI Building Systems Inc. 142,434 1,980
* Engility Holdings Inc. 101,383 1,953
* Swisher Hygiene Inc. 1,101,703 1,928
* Proto Labs Inc. 48,320 1,905
* Park-Ohio Holdings Corp. 86,852 1,851
  Michael Baker Corp. 72,559 1,809
* Ducommun Inc. 111,290 1,800
  Ampco-Pittsburgh Corp. 89,660 1,791
* EnerNOC Inc. 151,091 1,775
* Echo Global Logistics Inc. 98,710 1,774
* CAI International Inc. 80,432 1,765
* Republic Airways Holdings Inc. 306,257 1,740
* Air Transport Services Group Inc. 427,744 1,715
  Alamo Group Inc. 52,018 1,698
* KEYW Holding Corp. 133,532 1,695
  Pike Electric Corp. 176,366 1,684
* Accuride Corp. 517,028 1,660
  Insteel Industries Inc. 131,897 1,646
* Astronics Corp. 71,112 1,627
* Commercial Vehicle Group Inc. 197,947 1,625
* CRA International Inc. 80,431 1,590
* Builders FirstSource Inc. 284,611 1,588

 

33


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Graham Corp. 81,273 1,585
* LMI Aerospace Inc. 80,595 1,559
* Orion Marine Group Inc. 213,052 1,557
* Furmanite Corp. 287,605 1,544
* Roadrunner Transportation Systems Inc. 83,806 1,520
Dynamic Materials Corp. 108,645 1,510
* NN Inc. 163,862 1,501
Ceco Environmental Corp. 149,590 1,488
* Franklin Covey Co. 113,349 1,462
* Cenveo Inc. 513,177 1,386
* Edgen Group Inc. 193,733 1,368
Schawk Inc. Class A 102,757 1,352
* AT Cross Co. Class A 122,440 1,320
VSE Corp. 53,516 1,312
* Pendrell Corp. 1,020,487 1,296
Miller Industries Inc. 82,479 1,258
* Pacer International Inc. 321,490 1,254
LSI Industries Inc. 177,466 1,244
* Sterling Construction Co. Inc. 125,149 1,244
* Energy Recovery Inc. 352,703 1,199
NL Industries Inc. 104,096 1,192
Met-Pro Corp. 122,891 1,191
* Ameresco Inc. Class A 121,222 1,189
Twin Disc Inc. 67,964 1,185
* FuelCell Energy Inc. 1,279,651 1,173
* American Superconductor Corp. 438,882 1,150
* Dolan Co. 285,601 1,111
* Flow International Corp. 314,628 1,101
* BlueLinx Holdings Inc. 387,821 1,090
Coleman Cable Inc. 116,803 1,083
* Vicor Corp. 198,685 1,077
* RPX Corp. 117,769 1,065
Preformed Line Products Co. 17,704 1,052
Universal Truckload Services Inc. 57,202 1,044
* Willis Lease Finance Corp. 70,407 1,008
* Patriot Transportation Holding Inc. 34,975 994
Argan Inc. 54,705 985
Intersections Inc. 103,045 977
* CPI Aerostructures Inc. 96,915 970
International Shipholding Corp. 56,822 936
* Hurco Cos. Inc. 40,210 925
* Zipcar Inc. 111,800 921
* Casella Waste Systems Inc. Class A 209,903 919
* PowerSecure International Inc. 112,688 880
* Rand Logistics Inc. 131,355 854
* PMFG Inc. 93,659 851
* Patrick Industries Inc. 53,856 838
Allied Motion Technologies Inc. 123,824 807
^ Acorn Energy Inc. 103,247 806
PAM Transportation Services Inc. 76,330 781
* TRC Cos. Inc. 133,600 778
* Hudson Technologies Inc. 212,882 775
* Quality Distribution Inc. 121,052 726
* Hudson Global Inc. 161,853 725
SIFCO Industries Inc. 45,688 720
Courier Corp. 62,828 691
* American Reprographics Co. 267,739 685
Lawson Products Inc. 67,897 672
Hardinge Inc. 66,364 660
Baltic Trading Ltd. 210,827 628
* Genco Shipping & Trading Ltd. 179,192 625
* Tecumseh Products Co. Class A 132,467 612
* Active Power Inc. 174,715 585
* TMS International Corp. Class A 42,938 538

 

34


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* WageWorks Inc. 29,217 520
  Ecology and Environment Inc. 45,100 520
* Hill International Inc. 138,438 507
  Eastern Co. 31,545 499
* API Technologies Corp. 168,654 496
* Fuel Tech Inc. 116,591 490
* Virco Manufacturing Corp. 188,287 488
* Magnetek Inc. 44,543 459
* Metalico Inc. 233,872 458
* Supreme Industries Inc. Class A 131,023 447
  Providence and Worcester Railroad Co. 31,838 443
* Integrated Electrical Services Inc. 93,524 436
* Astronics Corp. Class B 18,109 415
* Xerium Technologies Inc. 134,172 409
* Key Technology Inc. 38,521 402
  Innovative Solutions & Support Inc. 115,439 397
* USA Truck Inc. 108,609 373
* Heritage-Crystal Clean Inc. 23,754 357
  LS Starrett Co. Class A 36,454 354
  Omega Flex Inc. 28,118 348
* Ultralife Corp. 97,212 315
* Gencor Industries Inc. 41,010 309
* Manitex International Inc. 38,900 278
* Astrotech Corp. 304,120 271
*,^ Ocean Power Technologies Inc. 121,181 262
* PGT Inc. 57,637 259
* Mfri Inc. 45,537 258
  Sypris Solutions Inc. 62,848 249
  RCM Technologies Inc. 47,961 242
* Innotrac Corp. 74,579 227
* Covenant Transportation Group Inc. Class A 39,032 216
* UniTek Global Services Inc. 59,208 214
* Frozen Food Express Industries 240,329 214
* Perma-Fix Environmental Services 305,178 208
* Taylor Devices Inc. 23,333 200
* AMREP Corp. 12,689 191
* Lightbridge Corp. 126,943 179
* Arotech Corp. 169,158 174
* American Electric Technologies Inc. 34,790 174
* Versar Inc. 42,809 165
* Orion Energy Systems Inc. 95,135 158
  Servotronics Inc. 19,802 154
* Transcat Inc. 25,176 148
*,^ YRC Worldwide Inc. 19,877 134
* Breeze-Eastern Corp. 15,515 122
* Ascent Solar Technologies Inc. 168,632 105
* Rush Enterprises Inc. Class B 5,550 96
* Enphase Energy Inc. 25,653 94
* ZBB Energy Corp. 271,560 90
* Essex Rental Corp. 22,346 76
  Mastech Holdings Inc. 12,664 62
* Real Goods Solar Inc. Class A 78,497 59
* Tecumseh Products Co. Class B 11,900 55
* Lime Energy Co. 88,932 52
* Adept Technology Inc. 19,136 50
  Hubbell Inc. Class A 500 39
* Industrial Services of America Inc. 13,228 31
* Altair Nanotechnologies Inc. 10,269 23
* Luna Innovations Inc. 17,858 21
* Revolution Lighting Technologies Inc. 30,477 20
* DLH Holdings Corp. 17,157 12
*,^ Spherix Inc. 1,456 11
* Ecotality Inc. 25,078 11
* Innovaro Inc. 36,380 9

 

35


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Sparton Corp. 500 7
* Universal Power Group Inc. 800 1
      3,766,535
Information Technology (15.4%)    
* Facebook Inc. Class A 4,093,041 108,998
* Equinix Inc. 400,337 82,549
  Maxim Integrated Products Inc. 2,399,507 70,546
* Rackspace Hosting Inc. 898,148 66,705
* VMware Inc. Class A 703,605 66,237
* LinkedIn Corp. Class A 556,045 63,845
* Trimble Navigation Ltd. 1,040,897 62,225
* Alliance Data Systems Corp. 410,231 59,385
  Avago Technologies Ltd. Class A 1,774,962 56,195
* ANSYS Inc. 763,109 51,388
* Nuance Communications Inc. 2,052,992 45,823
* Synopsys Inc. 1,228,378 39,112
  Activision Blizzard Inc. 3,491,905 37,084
* Gartner Inc. 770,677 35,467
* Avnet Inc. 1,133,588 34,699
* NCR Corp. 1,322,450 33,696
* Arrow Electronics Inc. 875,310 33,332
* Cree Inc. 956,843 32,514
* Skyworks Solutions Inc. 1,586,170 32,199
  IAC/InterActiveCorp 669,890 31,686
* Cadence Design Systems Inc. 2,284,477 30,863
  Solera Holdings Inc. 568,427 30,394
  FactSet Research Systems Inc. 335,339 29,530
  Global Payments Inc. 649,729 29,433
* TIBCO Software Inc. 1,280,457 28,183
* MICROS Systems Inc. 660,922 28,050
  Jack Henry & Associates Inc. 709,050 27,837
* Informatica Corp. 887,940 26,922
* SolarWinds Inc. 505,372 26,507
* VeriFone Systems Inc. 887,171 26,331
* ON Semiconductor Corp. 3,702,323 26,101
* Riverbed Technology Inc. 1,317,597 25,983
* Concur Technologies Inc. 374,834 25,309
* CommVault Systems Inc. 347,673 24,236
* WEX Inc. 318,449 24,001
* Atmel Corp. 3,617,946 23,698
* Cymer Inc. 258,257 23,354
  Broadridge Financial Solutions Inc. 1,009,525 23,098
* Fortinet Inc. 1,091,676 23,002
* NeuStar Inc. Class A 546,074 22,897
* Parametric Technology Corp. 987,493 22,228
* CoreLogic Inc. 810,231 21,811
* Aspen Technology Inc. 768,785 21,249
*,^ 3D Systems Corp. 395,716 21,111
* Ingram Micro Inc. 1,247,225 21,103
* Ultimate Software Group Inc. 222,430 21,000
  AOL Inc. 688,743 20,394
  National Instruments Corp. 785,079 20,263
* Brocade Communications Systems Inc. 3,801,401 20,261
* CoStar Group Inc. 223,021 19,931
* Compuware Corp. 1,770,762 19,248
* Aruba Networks Inc. 886,733 18,400
* FleetCor Technologies Inc. 340,635 18,275
  MAXIMUS Inc. 280,472 17,731
  FEI Co. 313,548 17,389
  Lender Processing Services Inc. 704,333 17,341
* Zebra Technologies Corp. 423,607 16,639
  Diebold Inc. 525,684 16,091
* Semtech Corp. 547,975 15,864

 

36


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  IPG Photonics Corp. 237,880 15,855
* Cirrus Logic Inc. 537,178 15,562
* Microsemi Corp. 738,408 15,536
* NetSuite Inc. 229,979 15,478
  DST Systems Inc. 255,274 15,470
* Fairchild Semiconductor International Inc. Class A 1,053,432 15,169
* Polycom Inc. 1,445,223 15,117
  Convergys Corp. 901,993 14,802
* Itron Inc. 327,502 14,590
* Palo Alto Networks Inc. 267,752 14,330
* Tech Data Corp. 314,095 14,301
* ACI Worldwide Inc. 326,265 14,255
  Anixter International Inc. 221,096 14,146
* Arris Group Inc. 942,099 14,075
* Hittite Microwave Corp. 225,506 14,004
  InterDigital Inc. 338,426 13,909
* Silicon Laboratories Inc. 319,754 13,369
* QLIK Technologies Inc. 611,919 13,291
* Rovi Corp. 861,063 13,286
* Mentor Graphics Corp. 777,335 13,230
* Ciena Corp. 837,947 13,156
  Plantronics Inc. 351,667 12,966
* Cavium Inc. 414,403 12,934
* ViaSat Inc. 329,495 12,817
* Fusion-io Inc. 558,153 12,798
* TiVo Inc. 1,036,625 12,771
* NETGEAR Inc. 316,427 12,474
  Lexmark International Inc. Class A 536,154 12,433
* Finisar Corp. 761,477 12,412
  Cognex Corp. 331,913 12,221
  Fair Isaac Corp. 281,699 11,840
  Cypress Semiconductor Corp. 1,087,390 11,787
* Sourcefire Inc. 249,311 11,772
  Dolby Laboratories Inc. Class A 400,041 11,733
* Vishay Intertechnology Inc. 1,098,036 11,672
* ValueClick Inc. 587,365 11,401
  MKS Instruments Inc. 439,299 11,325
  Littelfuse Inc. 182,978 11,292
* EchoStar Corp. Class A 328,533 11,242
* Progress Software Corp. 532,032 11,167
  j2 Global Inc. 356,990 10,917
* Acxiom Corp. 623,692 10,890
* Entegris Inc. 1,151,692 10,573
* Acme Packet Inc. 475,924 10,527
* Tyler Technologies Inc. 216,332 10,479
* Workday Inc. Class A 190,860 10,402
* CACI International Inc. Class A 188,581 10,378
* RF Micro Devices Inc. 2,301,574 10,311
* Dealertrack Technologies Inc. 358,844 10,306
  ADTRAN Inc. 526,315 10,284
* International Rectifier Corp. 576,384 10,219
*,^ VirnetX Holding Corp. 348,718 10,210
* OSI Systems Inc. 155,498 9,958
  Coherent Inc. 196,483 9,946
* Manhattan Associates Inc. 163,830 9,886
* Sapient Corp. 926,653 9,785
* Veeco Instruments Inc. 328,951 9,711
* Euronet Worldwide Inc. 397,252 9,375
  Heartland Payment Systems Inc. 313,998 9,263
* OpenTable Inc. 188,298 9,189
* Zynga Inc. Class A 3,848,118 9,120
* Integrated Device Technology Inc. 1,206,574 8,808
  Intersil Corp. Class A 1,059,707 8,785
* PMC - Sierra Inc. 1,675,727 8,731

 

37


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* Cardtronics Inc. 367,662 8,728
Blackbaud Inc. 378,633 8,644
* Universal Display Corp. 336,475 8,620
* BroadSoft Inc. 232,776 8,457
* Ultratech Inc. 222,384 8,295
* Take-Two Interactive Software Inc. 749,505 8,252
* Synaptics Inc. 274,606 8,230
* Liquidity Services Inc. 201,386 8,229
* Bottomline Technologies Inc. 311,797 8,228
Power Integrations Inc. 240,438 8,081
NIC Inc. 488,949 7,989
* SS&C Technologies Holdings Inc. 337,949 7,813
* Benchmark Electronics Inc. 467,598 7,771
* Netscout Systems Inc. 297,850 7,741
* Plexus Corp. 296,206 7,642
* QLogic Corp. 784,155 7,630
* Cornerstone OnDemand Inc. 257,638 7,608
* SYNNEX Corp. 220,699 7,588
Syntel Inc. 141,203 7,567
* Sanmina Corp. 681,222 7,541
* Electronics for Imaging Inc. 394,100 7,484
* ScanSource Inc. 233,747 7,426
* Ixia 435,994 7,403
* Kulicke & Soffa Industries Inc. 616,669 7,394
* Vantiv Inc. Class A 354,549 7,240
Tessera Technologies Inc. 436,447 7,166
* Guidewire Software Inc. 238,487 7,088
* Comverse Technology Inc. 1,845,132 7,085
Cabot Microelectronics Corp. 194,941 6,922
* Rogers Corp. 138,312 6,869
* MicroStrategy Inc. Class A 71,827 6,707
* TriQuint Semiconductor Inc. 1,365,282 6,608
MTS Systems Corp. 129,066 6,573
Tellabs Inc. 2,871,501 6,547
* Insight Enterprises Inc. 374,532 6,506
* RealPage Inc. 298,937 6,448
* Unisys Corp. 371,004 6,418
* MEMC Electronic Materials Inc. 1,961,746 6,297
* Splunk Inc. 216,339 6,278
* OmniVision Technologies Inc. 444,695 6,261
* WebMD Health Corp. 418,653 6,003
* Advent Software Inc. 269,652 5,765
Monolithic Power Systems Inc. 258,381 5,757
Loral Space & Communications Inc. 104,708 5,723
Badger Meter Inc. 120,550 5,715
* ExlService Holdings Inc. 214,274 5,678
* ATMI Inc. 271,038 5,659
* Verint Systems Inc. 191,989 5,637
EarthLink Inc. 871,387 5,629
* Spansion Inc. Class A 400,760 5,575
* Monster Worldwide Inc. 984,528 5,533
* Infoblox Inc. 305,744 5,494
* LivePerson Inc. 417,084 5,480
* Infinera Corp. 933,109 5,421
* Emulex Corp. 738,189 5,389
Blucora Inc. 340,328 5,347
* Diodes Inc. 303,873 5,272
* Comverse Inc. 183,456 5,234
Mantech International Corp. Class A 197,669 5,128
* FARO Technologies Inc. 143,454 5,118
* CSG Systems International Inc. 280,882 5,106
* Rofin-Sinar Technologies Inc. 231,114 5,011
Monotype Imaging Holdings Inc. 311,497 4,978
* Synchronoss Technologies Inc. 231,539 4,883

 

38


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Harmonic Inc. 952,796 4,831
* Advanced Energy Industries Inc. 339,976 4,695
* Websense Inc. 305,806 4,599
* Rambus Inc. 937,381 4,574
  Park Electrochemical Corp. 176,850 4,550
* Intermec Inc. 460,902 4,544
  Brooks Automation Inc. 562,068 4,525
* Digital River Inc. 312,952 4,503
  Micrel Inc. 466,706 4,434
* Cray Inc. 274,787 4,383
* Measurement Specialties Inc. 126,960 4,362
  AVX Corp. 404,447 4,360
* TNS Inc. 209,431 4,342
* Dice Holdings Inc. 471,568 4,329
  Ebix Inc. 267,599 4,300
* Applied Micro Circuits Corp. 510,507 4,288
  United Online Inc. 764,886 4,276
* Accelrys Inc. 470,872 4,261
* Power-One Inc. 1,034,028 4,250
* Newport Corp. 314,489 4,230
  Booz Allen Hamilton Holding Corp. 302,934 4,217
* Exar Corp. 467,475 4,161
* Freescale Semiconductor Ltd. 377,154 4,152
* Checkpoint Systems Inc. 385,981 4,145
* comScore Inc. 298,903 4,119
  Comtech Telecommunications Corp. 161,332 4,095
* LogMeIn Inc. 181,967 4,078
* Sonus Networks Inc. 2,393,487 4,069
* Bankrate Inc. 326,821 4,069
* TTM Technologies Inc. 440,313 4,051
* Global Cash Access Holdings Inc. 512,779 4,020
* TeleTech Holdings Inc. 225,816 4,020
* iGATE Corp. 254,860 4,019
* Entropic Communications Inc. 751,393 3,975
* Lattice Semiconductor Corp. 992,555 3,960
* Silicon Image Inc. 794,713 3,942
  EPIQ Systems Inc. 307,685 3,932
* Interactive Intelligence Group Inc. 115,088 3,860
  Daktronics Inc. 348,572 3,859
*,^ RealD Inc. 339,369 3,804
* Rudolph Technologies Inc. 279,948 3,765
* Volterra Semiconductor Corp. 214,977 3,691
* Constant Contact Inc. 258,251 3,670
* Web.com Group Inc. 243,926 3,610
*,^ Amkor Technology Inc. 832,957 3,540
  Black Box Corp. 144,002 3,505
  CTS Corp. 325,921 3,465
  Forrester Research Inc. 127,647 3,421
* Internap Network Services Corp. 489,416 3,397
* Stamps.com Inc. 133,805 3,372
  Methode Electronics Inc. 333,142 3,341
  Cass Information Systems Inc. 77,557 3,273
* MIPS Technologies Inc. Class A 417,618 3,266
* Ceva Inc. 204,868 3,227
* SPS Commerce Inc. 86,452 3,222
  Pegasystems Inc. 140,570 3,188
* Perficient Inc. 265,354 3,126
* Virtusa Corp. 187,324 3,078
* GT Advanced Technologies Inc. 1,005,905 3,038
* ExactTarget Inc. 150,156 3,003
* Move Inc. 392,919 2,982
* Anaren Inc. 149,338 2,905
* Silicon Graphics International Corp. 280,754 2,872
*,^ Higher One Holdings Inc. 271,609 2,863

 

39


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Vocus Inc. 163,685 2,845
* Oplink Communications Inc. 178,305 2,778
* PROS Holdings Inc. 148,380 2,714
  Electro Scientific Industries Inc. 270,978 2,696
* XO Group Inc. 289,671 2,694
* Procera Networks Inc. 144,256 2,676
* LTX-Credence Corp. 406,750 2,668
* DTS Inc. 159,287 2,660
  IXYS Corp. 289,317 2,644
* Saba Software Inc. 301,933 2,639
* Computer Task Group Inc. 142,649 2,600
* SciQuest Inc. 162,831 2,582
* Super Micro Computer Inc. 252,010 2,571
* Photronics Inc. 426,446 2,542
* Extreme Networks 691,905 2,519
* PDF Solutions Inc. 175,070 2,412
* Nanometrics Inc. 166,956 2,408
  Electro Rent Corp. 156,468 2,406
  Cohu Inc. 218,903 2,373
* Quantum Corp. 1,908,272 2,366
* Actuate Corp. 419,302 2,348
* InvenSense Inc. 210,100 2,334
* Tangoe Inc. 194,993 2,315
* Angie's List Inc. 192,740 2,311
* FormFactor Inc. 495,624 2,260
* ServiceNow Inc. 75,083 2,255
* NVE Corp. 40,614 2,254
* Mercury Systems Inc. 244,470 2,249
* Seachange International Inc. 227,004 2,195
* Callidus Software Inc. 476,225 2,162
* Bazaarvoice Inc. 229,588 2,147
* support.com Inc. 511,464 2,138
* Aviat Networks Inc. 637,300 2,097
* Lionbridge Technologies Inc. 497,644 2,001
* Imperva Inc. 63,300 1,996
* Guidance Software Inc. 167,934 1,993
* Jive Software Inc. 136,673 1,986
  Keynote Systems Inc. 140,826 1,984
* Demand Media Inc. 212,092 1,970
* Avid Technology Inc. 259,582 1,968
* Zygo Corp. 122,627 1,925
* Multi-Fineline Electronix Inc. 94,665 1,913
  Telular Corp. 201,113 1,905
  Supertex Inc. 106,211 1,864
* Maxwell Technologies Inc. 224,814 1,864
* Kemet Corp. 369,802 1,860
* Digi International Inc. 195,949 1,856
* Yelp Inc. 97,490 1,838
* CalAmp Corp. 220,631 1,836
* Globecomm Systems Inc. 161,852 1,829
* Envestnet Inc. 130,833 1,825
* Integrated Silicon Solution Inc. 201,874 1,817
* STEC Inc. 367,050 1,810
* Symmetricom Inc. 308,961 1,783
* Calix Inc. 231,264 1,778
* VASCO Data Security International Inc. 217,264 1,773
* Kopin Corp. 531,168 1,769
* ServiceSource International Inc. 302,197 1,768
* SunPower Corp. Class A 313,857 1,764
*,^ Neonode Inc. 362,094 1,760
* Agilysys Inc. 205,365 1,719
* Fabrinet 130,602 1,716
* CIBER Inc. 508,687 1,699
* Pericom Semiconductor Corp. 210,854 1,693

 

40


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* KVH Industries Inc. 120,963 1,691
* QuinStreet Inc. 250,081 1,681
* Limelight Networks Inc. 749,981 1,665
* Oclaro Inc. 1,042,346 1,636
  American Software Inc. Class A 209,086 1,623
* PRGX Global Inc. 245,240 1,582
* Zix Corp. 559,817 1,567
* MoneyGram International Inc. 114,888 1,527
* Pervasive Software Inc. 170,783 1,522
* Key Tronic Corp. 147,774 1,513
* DSP Group Inc. 259,897 1,497
* ANADIGICS Inc. 590,266 1,487
* Travelzoo Inc. 74,379 1,412
* Sigma Designs Inc. 272,726 1,405
* Aeroflex Holding Corp. 198,393 1,389
* Immersion Corp. 201,617 1,385
*,^ OCZ Technology Group Inc. 720,926 1,377
* Ellie Mae Inc. 49,573 1,376
* Datalink Corp. 159,005 1,359
* Ipass Inc. 733,921 1,343
* IntraLinks Holdings Inc. 217,396 1,341
* RealNetworks Inc. 176,887 1,337
* Mindspeed Technologies Inc. 285,629 1,337
* Market Leader Inc. 204,005 1,336
*,^ Glu Mobile Inc. 560,441 1,283
* EPAM Systems Inc. 69,763 1,263
  Unwired Planet Inc. 1,030,545 1,237
* PLX Technology Inc. 338,354 1,228
* GSI Group Inc. 141,006 1,221
* Vishay Precision Group Inc. 91,965 1,216
  Richardson Electronics Ltd. 107,140 1,213
  PC Connection Inc. 104,063 1,197
* ModusLink Global Solutions Inc. 411,762 1,194
* Inphi Corp. 123,350 1,182
* MoSys Inc. 339,210 1,180
  Bel Fuse Inc. Class B 59,073 1,155
  Aware Inc. 207,242 1,136
* Reis Inc. 86,411 1,126
* Brightcove Inc. 123,882 1,120
* Active Network Inc. 227,827 1,119
* NAPCO Security Technologies Inc. 305,202 1,111
* Imation Corp. 237,674 1,110
* ShoreTel Inc. 250,186 1,061
  MOCON Inc. 73,392 1,056
  Mesa Laboratories Inc. 20,790 1,042
* FalconStor Software Inc. 438,875 1,023
^ Ubiquiti Networks Inc. 82,500 1,002
* Demandware Inc. 36,603 1,000
  QAD Inc. Class A 69,282 998
* Official Payments Holdings Inc. Class B 172,709 974
  Transact Technologies Inc. 130,847 945
* AXT Inc. 331,833 932
  Marchex Inc. Class B 225,315 926
* Axcelis Technologies Inc. 656,001 912
* Millennial Media Inc. 71,336 894
* Telenav Inc. 111,094 887
* Ikanos Communications Inc. 546,808 886
*,^ Research Frontiers Inc. 232,843 871
* Rubicon Technology Inc. 139,163 850
* STR Holdings Inc. 335,323 845
  Hackett Group Inc. 196,636 842
* Innodata Inc. 213,797 808
* Intevac Inc. 175,890 804
* PC Mall Inc. 128,872 800

 

41


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* TeleCommunication Systems Inc. Class A 321,751 795
  PC-Tel Inc. 110,067 792
  Digimarc Corp. 37,954 786
* Radisys Corp. 260,627 777
* Responsys Inc. 129,700 773
  ePlus Inc. 18,444 762
* Rosetta Stone Inc. 60,839 751
* Ultra Clean Holdings 152,882 751
* Dynamics Research Corp. 123,887 725
*,^ Wave Systems Corp. Class A 1,009,737 724
* QuickLogic Corp. 328,053 712
  Frequency Electronics Inc. 86,235 708
*,^ Carbonite Inc. 76,227 705
  Communications Systems Inc. 64,813 674
* Echelon Corp. 270,675 663
  Astro-Med Inc. 65,498 662
*,^ Mitek Systems Inc. 196,565 631
  Evolving Systems Inc. 103,262 615
* ID Systems Inc. 102,416 596
* IEC Electronics Corp. 88,059 595
* Parkervision Inc. 292,404 594
* Proofpoint Inc. 46,400 571
*,^ MeetMe Inc. 161,825 565
* Bsquare Corp. 190,133 561
  Rimage Corp. 81,535 545
* Westell Technologies Inc. Class A 290,049 537
* GSI Technology Inc. 85,463 536
* CVD Equipment Corp. 55,575 534
* Eloqua Inc. 21,600 510
* CyberOptics Corp. 65,536 486
  Sycamore Networks Inc. 216,285 484
*,^ Local Corp. 233,905 480
* M/A-COM Technology Solutions Holdings Inc. 31,519 472
  Tessco Technologies Inc. 20,862 462
* Autobytel Inc. 114,548 456
* Numerex Corp. Class A 33,658 442
  Optical Cable Corp. 112,281 422
*,^ Vringo Inc. 146,595 421
* Cinedigm Digital Cinema Corp. Class A 289,659 406
* Pfsweb Inc. 142,662 405
* Onvia Inc. 107,083 392
* MaxLinear Inc. 75,936 381
* Analysts International Corp. 117,780 378
* GSE Systems Inc. 174,603 377
* Pixelworks Inc. 148,862 333
* Amtech Systems Inc. 103,389 333
* PAR Technology Corp. 67,179 329
  Internet Patents Corp. 92,100 324
* LoJack Corp. 114,677 320
  TheStreet Inc. 191,079 319
* Meru Networks Inc. 119,079 316
*,^ Document Security Systems Inc. 142,899 310
* Emcore Corp. 68,578 295
* Data I/O Corp. 180,066 281
  eMagin Corp. 78,635 281
* Video Display Corp. 71,008 272
* Cascade Microtech Inc. 46,248 259
*,^ Parametric Sound Corp. 37,674 258
* TechTarget Inc. 45,592 253
* LGL Group Inc. 47,780 253
* Dot Hill Systems Corp. 265,303 249
* Wireless Telecom Group Inc. 206,636 248
  Alliance Fiber Optic Products Inc. 19,897 239
* LRAD Corp. 217,401 239

 

42


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Majesco Entertainment Co. 224,458 236
*,^ USA Technologies Inc. 132,530 231
* BTU International Inc. 113,437 226
* Mattson Technology Inc. 252,809 212
* Information Services Group Inc. 181,847 209
* Newtek Business Services Inc. 110,003 205
* Edgewater Technology Inc. 52,896 201
  QAD Inc. Class B 14,091 189
* NCI Inc. Class A 39,778 187
* Looksmart Ltd. 208,579 186
  Crexendo Inc. 63,993 181
* Viasystems Group Inc. 14,076 172
  Soundbite Communications Inc. 58,556 167
* Sonic Foundry Inc. 26,731 155
* FriendFinder Networks Inc. 249,825 155
* Novatel Wireless Inc. 114,788 154
* Selectica Inc. 24,332 154
* Mattersight Corp. 30,556 152
* Intermolecular Inc. 17,006 151
* Hauppauge Digital Inc. 158,139 147
* Performance Technologies Inc. 174,654 142
* NetSol Technologies Inc. 23,422 139
* Intellicheck Mobilisa Inc. 205,151 133
* Park City Group Inc. 41,521 125
* Rainmaker Systems Inc. 168,376 123
* Infosonics Corp. 187,832 121
* Planar Systems Inc. 82,659 118
* Lantronix Inc. 57,568 113
* Aetrium Inc. 215,721 99
  Bel Fuse Inc. Class A 5,719 98
* Inuvo Inc. 96,105 89
* MEMSIC Inc. 26,585 89
* Interphase Corp. 34,145 88
  Concurrent Computer Corp. 14,690 84
  TSR Inc. 27,043 81
* World Energy Solutions Inc. 18,497 80
* Uni-Pixel Inc. 5,500 75
* Netlist Inc. 100,323 74
* Digital Ally Inc. 18,621 65
* eGain Communications Corp. 14,253 64
* TigerLogic Corp. 31,480 63
* Identive Group Inc. 41,724 63
* iGO Inc. 237,443 62
* ClearOne Inc. 14,744 60
* Lightpath Technologies Inc. Class A 62,358 55
* Overland Storage Inc. 52,557 55
* WebMediaBrands Inc. 27,418 55
* Asure Software Inc. 9,186 54
* Superconductor Technologies Inc. 174,088 52
* Bridgeline Digital Inc. 34,410 50
* Zhone Technologies Inc. 102,188 48
* MakeMusic Inc. 12,456 47
* Datawatch Corp. 3,257 45
* WidePoint Corp. 118,428 44
* Wireless Ronin Technologies Inc. 21,347 43
* Relm Wireless Corp. 25,722 43
  Globalscape Inc. 27,890 40
* BroadVision Inc. 4,343 39
* SED International Holdings Inc. 15,000 36
* Crossroads Systems Inc. 12,450 36
* Spire Corp. 69,782 35
* Advanced Photonix Inc. Class A 71,159 33
* Microvision Inc. 15,299 29
* Daegis Inc. 24,694 26

 

43


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Sutron Corp. 3,900 20
* Marlborough Software Development Holdings Inc. 131,616 19
* ClearSign Combustion Corp. 3,777 18
*,^ Remark Media Inc. 9,192 16
* Synacor Inc. 2,900 16
* NeoPhotonics Corp. 2,348 13
* Qualstar Corp. 9,220 13
* Dialogic Inc. 7,443 10
* Transwitch Corp. 15,891 10
* Hutchinson Technology Inc. 3,812 8
* DayStar Technologies Inc. 3,222 5
* Envivio Inc. 1,718 3
* Sevcon Inc. 500 2
* StarTek Inc. 100
* Spark Networks Inc. 6
      3,635,114
Materials (6.0%)    
  Celanese Corp. Class A 1,316,515 58,624
  Ashland Inc. 603,219 48,505
  Albemarle Corp. 736,818 45,771
* Crown Holdings Inc. 1,190,290 43,815
  Valspar Corp. 697,143 43,502
  Royal Gold Inc. 532,935 43,333
  Rock-Tenn Co. Class A 588,272 41,126
* WR Grace & Co. 585,919 39,391
  Reliance Steel & Aluminum Co. 621,691 38,607
  Martin Marietta Materials Inc. 378,088 35,646
  RPM International Inc. 1,096,041 32,180
  Rockwood Holdings Inc. 639,612 31,635
  Packaging Corp. of America 808,941 31,120
  Aptargroup Inc. 550,771 26,283
  Cytec Industries Inc. 378,244 26,034
  Huntsman Corp. 1,582,753 25,166
  Sonoco Products Co. 836,429 24,867
  Steel Dynamics Inc. 1,804,156 24,771
  Domtar Corp. 291,247 24,325
  NewMarket Corp. 89,125 23,369
  Eagle Materials Inc. 382,119 22,354
* Louisiana-Pacific Corp. 1,144,643 22,114
  Compass Minerals International Inc. 275,384 20,574
* Allied Nevada Gold Corp. 680,498 20,503
  Cabot Corp. 495,099 19,700
  Carpenter Technology Corp. 367,468 18,972
  Walter Energy Inc. 519,953 18,656
* Coeur d'Alene Mines Corp. 737,107 18,133
* Chemtura Corp. 805,118 17,117
  Silgan Holdings Inc. 404,346 16,817
  PolyOne Corp. 736,471 15,039
  Sensient Technologies Corp. 414,533 14,741
  Commercial Metals Co. 968,953 14,399
  Olin Corp. 662,879 14,312
  HB Fuller Co. 410,468 14,292
  Scotts Miracle-Gro Co. Class A 320,875 14,134
  Hecla Mining Co. 2,373,616 13,838
  Westlake Chemical Corp. 166,260 13,184
* Stillwater Mining Co. 964,456 12,326
  Georgia Gulf Corp. 287,011 11,848
  Minerals Technologies Inc. 292,734 11,686
  Worthington Industries Inc. 434,705 11,298
  Greif Inc. Class A 253,536 11,282
* Resolute Forest Products 825,350 10,928
  Schweitzer-Mauduit International Inc. 259,358 10,123

 

44


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Intrepid Potash Inc. 446,830 9,513
  Buckeye Technologies Inc. 318,316 9,139
* SunCoke Energy Inc. 583,528 9,097
  Balchem Corp. 242,943 8,843
*,^ Texas Industries Inc. 172,738 8,811
  Kaiser Aluminum Corp. 139,490 8,605
  Innophos Holdings Inc. 181,827 8,455
* McEwen Mining Inc. 2,180,171 8,350
  Stepan Co. 137,378 7,630
*,^ Molycorp Inc. 802,544 7,576
* Clearwater Paper Corp. 190,905 7,476
  Globe Specialty Metals Inc. 530,794 7,298
  A Schulman Inc. 247,963 7,174
* RTI International Metals Inc. 257,261 7,090
  KapStone Paper and Packaging Corp. 319,286 7,085
* Graphic Packaging Holding Co. 1,082,644 6,994
* Calgon Carbon Corp. 482,630 6,844
  AMCOL International Corp. 213,782 6,559
  Deltic Timber Corp. 92,424 6,527
  Koppers Holdings Inc. 169,318 6,459
* Kraton Performance Polymers Inc. 268,198 6,445
  PH Glatfelter Co. 356,044 6,224
  American Vanguard Corp. 198,400 6,164
* OM Group Inc. 276,027 6,128
  Boise Inc. 761,332 6,053
  Quaker Chemical Corp. 109,994 5,924
  Schnitzer Steel Industries Inc. 194,938 5,912
* LSB Industries Inc. 157,475 5,578
  Haynes International Inc. 104,299 5,410
  Materion Corp. 197,105 5,081
  AK Steel Holding Corp. 1,104,424 5,080
* Headwaters Inc. 586,553 5,021
* Flotek Industries Inc. 371,769 4,536
  Neenah Paper Inc. 157,610 4,487
  Myers Industries Inc. 284,817 4,315
  Tredegar Corp. 208,350 4,254
* Century Aluminum Co. 453,732 3,975
^ Kronos Worldwide Inc. 195,467 3,812
  Tronox Ltd. Class A 205,415 3,749
  Wausau Paper Corp. 426,052 3,690
* Horsehead Holding Corp. 345,151 3,524
  Noranda Aluminum Holding Corp. 576,583 3,523
  Hawkins Inc. 81,412 3,146
* Ferro Corp. 721,366 3,015
* OMNOVA Solutions Inc. 428,422 3,003
  Zep Inc. 206,582 2,983
* Berry Plastics Group Inc. 179,800 2,891
* General Moly Inc. 683,101 2,739
  Olympic Steel Inc. 121,472 2,689
* Spartech Corp. 287,226 2,605
* AEP Industries Inc. 43,386 2,570
* AM Castle & Co. 135,823 2,006
* Universal Stainless & Alloy 54,338 1,998
* Mercer International Inc. 242,539 1,737
* Landec Corp. 181,012 1,718
  FutureFuel Corp. 144,899 1,716
* ADA-ES Inc. 97,391 1,644
^ US Silica Holdings Inc. 96,666 1,617
  Metals USA Holdings Corp. 90,811 1,588
* Zoltek Cos. Inc. 204,228 1,583
* Paramount Gold and Silver Corp. 676,300 1,569
* Handy & Harman Ltd. 67,082 1,011
  Synalloy Corp. 70,419 924
* United States Lime & Minerals Inc. 18,000 848

 

45


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  KMG Chemicals Inc. 41,173 723
* Senomyx Inc. 411,172 691
* American Pacific Corp. 44,346 685
* Penford Corp. 84,376 623
* TOR Minerals International Inc. 55,075 596
* Solitario Exploration & Royalty Corp. 350,916 589
*,^ Comstock Mining Inc. 255,867 583
  Chase Corp. 29,762 554
* Arabian American Development Co. 49,424 411
* Core Molding Technologies Inc. 56,974 376
* Mod-Pac Corp. 49,498 335
* Material Sciences Corp. 30,243 273
*,^ US Antimony Corp. 127,742 225
*,^ Silver Bull Resources Inc. 463,119 199
* Mines Management Inc. 186,037 192
* Midway Gold Corp. 117,095 163
* US Concrete Inc. 17,391 157
*,^ Clean Diesel Technologies Inc. 51,075 111
* Timberline Resources Corp. 366,815 80
* GSE Holding Inc. 12,504 77
  Great Northern Iron Ore Properties 600 40
* Verso Paper Corp. 37,309 40
      1,414,173
Telecommunication Services (1.1%)    
* SBA Communications Corp. Class A 1,038,409 73,748
* tw telecom inc Class A 1,245,499 31,723
* Level 3 Communications Inc. 1,331,946 30,781
  Telephone & Data Systems Inc. 839,737 18,592
* Clearwire Corp. Class A 3,661,259 10,581
*,^ NII Holdings Inc. 1,427,957 10,181
* Cincinnati Bell Inc. 1,642,379 9,000
  Cogent Communications Group Inc. 358,881 8,125
  Consolidated Communications Holdings Inc. 305,316 4,861
* 8x8 Inc. 639,959 4,729
* Premiere Global Services Inc. 462,917 4,527
* United States Cellular Corp. 122,500 4,317
* Leap Wireless International Inc. 547,826 3,643
* Iridium Communications Inc. 488,598 3,293
* General Communication Inc. Class A 337,398 3,236
  Shenandoah Telecommunications Co. 194,017 2,970
  Atlantic Tele-Network Inc. 76,737 2,817
  USA Mobility Inc. 222,260 2,596
* Cbeyond Inc. 275,583 2,491
* Vonage Holdings Corp. 1,045,252 2,477
*,^ Fairpoint Communications Inc. 296,262 2,352
  Lumos Networks Corp. 162,002 1,623
  NTELOS Holdings Corp. 120,687 1,582
* inContact Inc. 298,076 1,544
  IDT Corp. Class B 158,975 1,517
* ORBCOMM Inc. 386,562 1,515
  HickoryTech Corp. 136,657 1,330
* Hawaiian Telcom Holdco Inc. 48,209 940
* Towerstream Corp. 261,065 849
  Neutral Tandem Inc. 279,731 719
  Alaska Communications Systems Group Inc. 351,378 682
  Warwick Valley Telephone Co. 55,401 574
  Primus Telecommunications Group Inc. 41,555 452
*,^ Elephant Talk Communications Corp. 442,889 443
* Boingo Wireless Inc. 37,447 283
* Multiband Corp. 92,814 153
  NTS Inc. 48,081 41
      251,287
Utilities (3.7%)    
* Calpine Corp. 3,229,217 58,546

 

46


 

Vanguard® Extended Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  American Water Works Co. Inc. 1,458,717 54,162
  OGE Energy Corp. 812,575 45,756
  Alliant Energy Corp. 916,803 40,257
  NV Energy Inc. 1,937,267 35,142
  National Fuel Gas Co. 686,838 34,816
  MDU Resources Group Inc. 1,563,034 33,199
  ITC Holdings Corp. 424,470 32,646
  UGI Corp. 927,457 30,337
  Westar Energy Inc. 1,041,724 29,814
  Aqua America Inc. 1,151,596 29,274
  Questar Corp. 1,451,848 28,688
  Atmos Energy Corp. 742,612 26,081
  Great Plains Energy Inc. 1,260,593 25,603
  Hawaiian Electric Industries Inc. 806,854 20,284
  Cleco Corp. 504,850 20,199
  Vectren Corp. 682,572 20,068
  Piedmont Natural Gas Co. Inc. 598,289 18,732
  IDACORP Inc. 417,722 18,108
  Portland General Electric Co. 628,227 17,188
  WGL Holdings Inc. 428,840 16,806
  Southwest Gas Corp. 383,655 16,271
  UIL Holdings Corp. 421,478 15,093
  UNS Energy Corp. 343,310 14,563
  New Jersey Resources Corp. 346,062 13,711
  PNM Resources Inc. 662,619 13,590
  Black Hills Corp. 368,669 13,397
*,^ Dynegy Inc. 698,201 13,357
  South Jersey Industries Inc. 257,620 12,966
  Avista Corp. 491,946 11,861
  ALLETE Inc. 286,833 11,754
  NorthWestern Corp. 309,107 10,735
  El Paso Electric Co. 333,427 10,640
  Northwest Natural Gas Co. 225,048 9,947
  MGE Energy Inc. 194,334 9,901
  CH Energy Group Inc. 125,537 8,188
  American States Water Co. 159,727 7,664
  Otter Tail Corp. 303,594 7,590
  Empire District Electric Co. 356,958 7,275
  Laclede Group Inc. 174,247 6,728
  California Water Service Group 355,332 6,520
  Chesapeake Utilities Corp. 92,556 4,202
  Ormat Technologies Inc. 183,899 3,546
  Middlesex Water Co. 147,068 2,877
  SJW Corp. 104,003 2,766
  Unitil Corp. 103,075 2,672
  Connecticut Water Service Inc. 68,897 2,052
  York Water Co. 92,265 1,621
  Delta Natural Gas Co. Inc. 74,012 1,447
  Artesian Resources Corp. Class A 59,342 1,331
  Genie Energy Ltd. Class B 147,785 1,049
* Cadiz Inc. 104,884 831
* Pure Cycle Corp. 87,292 247
*,^ US Geothermal Inc. 514,441 186
* Synthesis Energy Systems Inc. 145,152 155
* American DG Energy Inc. 49,512 114
      882,553
Total Common Stocks (Cost $20,620,104)   23,435,407

 

47


 

Vanguard® Extended Market Index Fund        
Schedule of Investments        
December 31, 2012        
 
  Coupon   Shares  
Temporary Cash Investments (1.2%)1        
Money Market Fund (1.2%)        
2,3 Vanguard Market Liquidity Fund 0.162%   270,684,131 270,684
 
      Face  
    Maturity Amount  
    Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
4,5 Fannie Mae Discount Notes 0.097% 3/27/13 4,750 4,749
Total Temporary Cash Investments (Cost $275,433)       275,433
Total Investments (100.8%) (Cost $20,895,537)       23,710,840
Other Assets and Liabilities—Net (-0.8%)3,5       (191,885)
Net Assets (100%)       23,518,955

 

Securities with a market value of less than $500 are displayed with a dash.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $175,819,000.
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 0.8%, 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 $187,921,000 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 $4,749,000 and cash of $4,750,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.

48


 

Report of Independent Registered Public Accounting Firm

To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund:

We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements (not presented herein) of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) as of December 31, 2012 and for the period then ended and have issued our unqualified report thereon dated February 11, 2013. Our audits included audits of the Funds' schedules of investments as of December 31, 2012. These schedules of investments are the responsibility of the Funds' management. Our responsibility is to express an opinion on these schedules of investments based on our audits.

In our opinion, the accompanying schedules of investments referred to above, when read in conjunction with the financial statements of the Funds referred to above, presents fairly, in all material respects, the information set forth therein.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 11, 2013

49


 

© 2012 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.

SNA 980 022013


 

 

Annual Report | December 31, 2012
 
Vanguard U.S. Stock Index Funds
Large-Capitalization Portfolios
 
 
 
Vanguard Growth Index Fund
Vanguard Value Index Fund
Vanguard Large-Cap Index Fund

 



 

> For the year ended December 31, 2012, returns for Investor Shares of Vanguard’s large-capitalization U.S. stock index funds ranged from 15.00% for Vanguard Value Index Fund to 16.89% for Vanguard Growth Index Fund.

> The funds’ returns were in line with those of their respective target indexes.

> Vanguard Large-Cap Index Fund and the Growth Index Fund outperformed the average returns of their respective peer groups; the Value Index Fund trailed its peer-group average.

Contents  
Your Fund’s Total Returns. 1
Chairman’s Letter. 4
Growth Index Fund. 10
Value Index Fund. 31
Large-Cap Index Fund. 52
Your Fund’s After-Tax Returns. 80
About Your Fund’s Expenses. 81
Glossary. 84

 


Growth Index Fund
Value Index Fund
Large-Cap Index Fund

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.


 

Your Fund’s Total Returns  
 
 
 
 
Fiscal Year Ended December 31, 2012  
 
  Total
  Returns
Vanguard Growth Index Fund  
Investor Shares 16.89%
Admiral™ Shares 17.01
Signal® Shares 17.01
Institutional Shares 17.04
ETF Shares  
Market Price 17.01
Net Asset Value 17.03
MSCI US Prime Market Growth Index 17.14
Large-Cap Growth Funds Average 15.40
Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc.  

 

Vanguard Value Index Fund  
Investor Shares 15.00%
Admiral Shares 15.18
Signal Shares 15.18
Institutional Shares 15.20
ETF Shares  
Market Price 15.15
Net Asset Value 15.19
MSCI US Prime Market Value Index 15.23
Large-Cap Value Funds Average 15.45
Large-Cap Value Funds Average: Derived from data provided by Lipper Inc.  

 

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares and Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.

1


 

Your Fund’s Total Returns  
 
 
 
 
Fiscal Year Ended December 31, 2012  
 
  Total
  Returns
Vanguard Large-Cap Index Fund  
Investor Shares 15.94%
Admiral Shares 16.06
Signal Shares 16.07
Institutional Shares 16.11
ETF Shares  
Market Price 16.10
Net Asset Value 16.09
MSCI US Prime Market 750 Index 16.18
Large-Cap Core Funds Average 14.94
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc.  

 

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares and Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.

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.

2


 

Your Fund’s Performance at a Glance    
 
 
 
 
December 31, 2011, Through December 31, 2012        
      Distributions Per Share
  Starting Ending Income Capital
  Share Price Share Price Dividends Gains
Vanguard Growth Index Fund        
Investor Shares $31.79 $36.65 $0.502 $0.000
Admiral Shares 31.79 36.64 0.552 0.000
Signal Shares 29.44 33.93 0.512 0.000
Institutional Shares 31.79 36.64 0.559 0.000
ETF Shares 61.76 71.19 1.073 0.000
Vanguard Value Index Fund        
Investor Shares $20.47 $22.93 $0.593 $0.000
Admiral Shares 20.47 22.93 0.627 0.000
Signal Shares 21.30 23.86 0.652 0.000
Institutional Shares 20.47 22.93 0.631 0.000
ETF Shares 52.48 58.79 1.608 0.000
Vanguard Large-Cap Index Fund        
Investor Shares $23.16 $26.32 $0.520 $0.000
Admiral Shares 28.96 32.90 0.697 0.000
Signal Shares 25.26 28.70 0.607 0.000
Institutional Shares 119.18 135.42 2.897 0.000
ETF Shares 57.34 65.15 1.380 0.000

 

3


 

 

 

 

Chairman’s Letter

Dear Shareholder,

Vanguard’s three large-capitalization stock index funds produced strong returns for 2012, as U.S. stocks bounced back from a lackluster 2011.

For the fiscal year ended December 31, 2012, Vanguard Growth Index Fund returned 16.89%, outpacing Vanguard Value Index Fund’s 15.00% return. Vanguard Large-Cap Index Fund, which includes both growth and value stocks, fell in between, returning 15.94%. (All returns are for the funds’ Investor Shares.)

All three funds closely tracked their target indexes for the year. Vanguard Large-Cap Index Fund and the Growth Index Fund surpassed the average returns of their respective peer groups; the Value Index Fund trailed its peer-group average.

If you hold any of these funds in a taxable account, you may wish to review the after-tax returns that appear later in this report.

With help from central banks, stocks posted strong results
Stocks around the world recorded double-digit gains for the 12 months ended December 31, with international stocks faring even better than their U.S. counterparts.

European stocks shook off investors’ concerns to deliver some of the best results, rising about 19% compared with about 16% for U.S. stocks. The rally came as European central bankers moved to

4


 

address worries about the finances of governments and banks. Still, Vanguard economists expect Europe to remain a trouble spot, with occasional spikes in market volatility, as fiscal tightening persists in the face of weak economic growth.

In the United States, the Federal Reserve continued buying bonds and mortgage-backed securities to try to stimulate growth. The Fed’s actions seemed to buoy both stock and bond returns.

Attention to the nation’s considerable budget challenges intensified as 2012 drew to a close. The focus on the “fiscal cliff” led to nervousness in the markets before policymakers reached a limited tax-rate agreement on the cusp of the new year. The compromise legislation, which President Barack Obama signed into law on January 2, addressed some immediate concerns, but a credible long-term deficit-reduction strategy had yet to be crafted to resolve the nation’s fiscal imbalance and open the way for growth.

Bond returns were solid, but challenges lie ahead
The broad U.S. taxable bond market returned about 4% for the 12 months. Municipal bonds performed especially well, returning more than 6%.

As bond prices rose, the yield of the 10-year U.S. Treasury note slipped to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite

Market Barometer      
 
    Average Annual Total Returns
  Periods Ended December 31, 2012
  One Three Five
  Year Years Years
Stocks      
Russell 1000 Index (Large-caps) 16.42% 11.12% 1.92%
Russell 2000 Index (Small-caps) 16.35 12.25 3.56
Russell 3000 Index (Broad U.S. market) 16.42 11.20 2.04
MSCI All Country World Index ex USA (International) 16.83 3.87 -2.89
 
Bonds      
Barclays U.S. Aggregate Bond Index (Broad taxable market) 4.21% 6.19% 5.95%
Barclays Municipal Bond Index (Broad tax-exempt market) 6.78 6.57 5.91
Citigroup Three-Month U.S. Treasury Bill Index 0.07 0.08 0.44
 
CPI      
Consumer Price Index 1.74% 2.06% 1.80%

 

5


 

directions.) By the end of the period, the yield had climbed, but it remained exceptionally low by historical standards.

Although bonds can provide critical diversification benefits to a portfolio, their prospects look much less promising than the results achieved in recent years. As yields have tumbled, the opportunity for future bond price appreciation has greatly diminished. (You can read more about our expectations for bond and stock returns in Vanguard’s Economic and Investment Outlook, available at vanguard.com/ research.)

As it has since late 2008, the Fed held its target for short-term interest rates between 0% and 0.25%, which kept a tight lid on returns from money market funds and savings accounts.

Growth stocks topped the large-cap category
The broad U.S. stock market began the year with its best first-quarter performance in more than a decade. With the U.S. economy showing promising growth and the European debt crisis seemingly under control, large-cap stocks of all styles rose in the first half of the year.

Expense Ratios            
Your Fund Compared With Its Peer Group            
            Peer
  Investor Admiral Signal Institutional ETF Group
  Shares Shares Shares Shares Shares Average
Growth Index Fund 0.24% 0.10% 0.10% 0.08% 0.10% 1.37%
Value Index Fund 0.24 0.10 0.10 0.08 0.10 1.23
Large-Cap Index Fund 0.24 0.10 0.10 0.08 0.10 1.19

 

The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the funds’ expense ratios were: for the Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; for the Value Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; and for the Large-Cap Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2011.

Peer groups: For the Growth Index Fund, Large-Cap Growth Funds; for the Value Index Fund, Large-Cap Value Funds; for the Large-Cap Index Fund, Large-Cap Core Funds.

6


 

However, it was far from smooth sailing the rest of the year. Stocks in the United States and abroad rose and fell amid renewed concerns about the U.S. economy and the future of the Eurozone. Still, large-cap stocks maintained their earlier gains and ended the year with a much stronger performance than a year ago, when returns hovered around 1%.

The Growth Index Fund benefited most from its outsized allocation to information technology stocks, which contributed a third of its return for the period. Computer hardware companies did exceptionally well, thanks to consumers’ seemingly unquenchable thirst for smartphones and tablet computers. The fund’s consumer discretionary stocks, such as media companies, also turned in impressive results. In health care, biotech firms, health care equipment suppliers, and service providers delivered strong results.

The Large-Cap Index Fund also benefited from its large allotment to tech (albeit a smaller proportion than that of the Growth Index Fund) and consumer discretionary

Total Returns  
Ten Years Ended December 31, 2012  
  Average
  Annual Return
Growth Index Fund Investor Shares 7.36%
Spliced Growth Index 7.56
Large-Cap Growth Funds Average 6.19
For a benchmark description, see the Glossary.  
Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc.  
 
Value Index Fund Investor Shares 7.33%
Spliced Value Index 7.42
Large-Cap Value Funds Average 6.02
For a benchmark description, see the Glossary.  
Large-Cap Value Funds Average: Derived from data provided by Lipper Inc.  
 
Large-Cap Index Fund Investor Shares (Returns since inception: 1/30/2004) 5.05%
MSCI US Prime Market 750 Index 5.22
Large-Cap Core Funds Average 3.48
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc.  

 

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.

7


 

stocks. The fund’s biggest gains came from financials, which enjoyed a remarkable turnaround in performance from a year ago. Banks and other diversified financial services providers returned nearly 30% as capital levels rose, lending improved, and the U.S. housing market continued its recovery.

As I mentioned, the Value Index Fund trailed the other two funds but still produced a gain of about 15%. Its largest sector holding, financials, contributed most to its returns. The Value Index’s weakest sector overall was information technology, which returned –3% for the period. Because the fund’s target benchmark only focuses on value-oriented tech stocks, the fund didn’t hold some of the best performers in the sector, including makers of smartphones and tablet computers. Instead it was saddled with the stocks of weaker-performing personal computer, office electronics, and semiconductor manufacturers.

The funds have produced a solid long-term record
For the decade ended December 31, 2012, the Growth Index Fund and the Value Index Fund recorded average annual returns of 7.36% and 7.33%, respectively. The Large-Cap Index Fund, which does not yet have a full decade of performance, has posted an average annual return of 5.05% since its inception in early 2004.

Each of the three large-cap funds has tracked its index closely, even though the benchmarks’ returns reflect no operating or transaction costs. In addition, each fund’s average annual return has surpassed that of its peer group.

The funds’ success in this regard is a tribute to their investment advisor, Vanguard Equity Investment Group, whose sophisticated portfolio construction and management techniques reflect more than 30 years of indexing experience. The advisor has been aided in this task by each fund’s low expenses.

Funds will seek to track new benchmark indexes
In early October, we announced that the three funds in this report would adopt new target benchmarks as part of a broader transition affecting 22 of our index funds. This transition, which we plan to complete by the middle of the year, is expected to produce significant long-term savings for Vanguard clients. As of January 31, we had already completed the transition for Vanguard Large-Cap Index Fund.

The new benchmarks for the three funds are supplied by the University of Chicago’s Center for Research in Security Prices (CRSP). CRSP is one of 11 research centers at the University of Chicago Booth School of Business. In 1960, the research organization pioneered the development of U.S. stock market data that are widely used in academic and investment research today.

8


 

Gus Sauter united traditional values with pioneering investment acumen
When I was interviewing for a job at Vanguard in the mid-1980s, Jack Brennan, who would go on to become our chairman and CEO and is now chairman emeritus, described Vanguard as “a company with the intellectual rigor of Wall Street but with Midwestern values.”

I’m reminded of that when I think about Gus Sauter’s 25-year career at Vanguard. Gus retired as our chief investment officer at the end of December, having set the highest of standards for both intellectual achievement and devotion to doing the right thing for clients, colleagues, and the community.

Gus played a pivotal role in transforming indexing from a novelty to an investing mainstay, a change that has benefited all investors. In addition, he developed our active quantitative equity strategies, oversaw the growth of our industry-leading expertise in fixed income, and ultimately helped Vanguard to become a global investment manager responsible for $2 trillion in client assets.

As for the Midwestern values, Gus—a native of Ohio, incidentally—served our clients with a dedication to thrift, candor, and common sense that has helped make Vanguard what it is. His colleagues knew that in any situation they could count on Gus to keep a level-headed, long-term outlook. Just two weeks after he started at Vanguard, Gus helped guide us through the stock market crash of 1987. Some 20 years later, he helped us navigate the financial crisis of 2008–2009.

An important aspect of Gus’s legacy is the team of world-class investment professionals that he cultivated at Vanguard. That team is now led by Tim Buckley, who oversaw our services for individual investors before becoming chief investment officer. I am confident that Tim will not only carry on Gus’s legacy, but also—as Gus himself put it—take Vanguard investment management to the next level.

As always, thank you for investing with Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
January 31, 2013

9


 

Growth Index Fund

Fund Profile
As of December 31, 2012

Share-Class Characteristics          
  Investor Admiral Signal Institutional ETF
  Shares Shares Shares Shares Shares
Ticker Symbol VIGRX VIGAX VIGSX VIGIX VUG
Expense Ratio1 0.24% 0.10% 0.10% 0.08% 0.10%
30-Day SEC Yield 1.27% 1.41% 1.41% 1.43% 1.41%

 

Portfolio Characteristics    
    MSCI US DJ U.S.
    Prime Market Total
    Growth Market
  Fund Index FA Index
Number of Stocks 416 415 3,604
Median Market Cap $43.5B $43.5B $35.1B
Price/Earnings Ratio 18.3x 18.3x 16.8x
Price/Book Ratio 3.7x 3.7x 2.1x
Return on Equity 22.2% 22.2% 17.1%
Earnings Growth Rate 18.0% 18.0% 9.7%
Dividend Yield 1.5% 1.5% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 21%
Short-Term Reserves 0.1%

 

Volatility Measures    
    DJ
    U.S.
  MSCI US Total
  Prime Market Market
  Growth FA
  Index Index
R-Squared 1.00 0.97
Beta 1.00 1.02

These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.

 

Ten Largest Holdings (% of total net assets)
Apple Inc. Computer Hardware 7.2%
International Business IT Consulting &  
Machines Corp. Other Services 3.0
Google Inc. Class A Internet Software &  
  Services 2.7
Coca-Cola Co. Soft Drinks 2.1
Philip Morris    
International Inc. Tobacco 2.0
Oracle Corp. Systems Software 1.9
Wal-Mart Stores Inc. Hypermarkets &  
  Super Centers 1.8
QUALCOMM Inc. Communications  
  Equipment 1.5
Comcast Corp. Cable & Satellite 1.4
Home Depot Inc. Home Improvement  
  Retail 1.3
Top Ten   24.9%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.

10


 

Growth Index Fund

Sector Diversification (% of equity exposure)
    MSCI US  
    Prime DJ U.S.
    Market Total
    Growth  Market FA
  Fund Index Index
Consumer Discretionary 20.2% 20.2% 12.3%
Consumer Staples 12.4 12.4 9.3
Energy 5.8 5.8 10.2
Financials 6.0 6.0 16.9
Health Care 10.8 10.8 11.7
Industrials 12.1 12.1 11.1
Information Technology 28.8 28.8 18.3
Materials 3.2 3.2 4.0
Telecommunication      
Services 0.6 0.6 2.7
Utilities 0.1 0.1 3.5

 

11


 

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: December 31, 2002, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Growth Index Fund Investor Shares 16.89% 3.17% 7.36% $20,346
Spliced Growth Index 17.14 3.38 7.56 20,716
Large-Cap Growth Funds Average 15.40 0.98 6.19 18,239
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

For a benchmark description, see the Glossary.

Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc.

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Growth Index Fund Admiral Shares 17.01% 3.31% 7.49% $20,591
Spliced Growth Index 17.14 3.38 7.56 20,716
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

 

See Financial Highlights for dividend and capital gains information.

12


 

Growth Index Fund

    Average Annual Total Returns  
  Periods Ended December 31, 2012  
      Since Final Value
  One Five Inception of a $10,000
  Year Years (6/4/2007) Investment
Growth Index Fund Signal Shares 17.01% 3.31% 3.41% $12,055
MSCI US Prime Market Growth Index 17.14 3.38 3.48 12,099
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 1.23 10,707
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.

 

        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Growth Index Fund Institutional Shares 17.04% 3.35% 7.53% $10,332,291
Spliced Growth Index 17.14 3.38 7.56 10,358,041
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 10,742,011

 

      Since Final Value
  One Five Inception of a $10,000
  Year Years (1/26/2004) Investment
Growth Index Fund        
ETF Shares Net Asset Value 17.03% 3.31% 5.13% $15,625
MSCI US Prime Market Growth Index 17.14 3.38 5.19 15,712
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.11 15,611
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

Cumulative Returns of ETF Shares: January 26, 2004, Through December 31, 2012  
      Since
  One Five Inception
  Year Years (1/26/2004)
Growth Index Fund ETF Shares Market Price 17.01% 17.74% 56.25%
Growth Index Fund ETF Shares Net Asset      
Value 17.03 17.71 56.25
MSCI US Prime Market Growth Index 17.14 18.08 57.12
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard.

 

13


 

Growth Index Fund

Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012


Growth Index Fund Investor Shares
Spliced Growth Index

 

For a benchmark description, see the Glossary.

14


 

Growth Index Fund

Financial Statements

Statement of Net Assets
As of December 31, 2012

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

      Market
      Value
    Shares ($000)
Common Stocks (100.1%)    
Consumer Discretionary (20.2%)  
  Home Depot Inc. 5,863,119 362,634
* Amazon.com Inc. 1,406,642 353,264
  McDonald’s Corp. 3,922,226 345,980
  Comcast Corp. Class A 9,037,153 337,809
  Walt Disney Co. 6,629,836 330,099
  Lowe’s Cos. Inc. 4,576,795 162,568
  Starbucks Corp. 2,956,010 158,501
  News Corp. Class A 6,089,628 155,529
  NIKE Inc. Class B 2,831,420 146,101
  Target Corp. 2,419,799 143,179
* DIRECTV 2,442,032 122,492
  TJX Cos. Inc. 2,863,039 121,536
* priceline.com Inc. 193,793 120,384
  Yum! Brands Inc. 1,773,030 117,729
  Time Warner Cable Inc. 1,191,520 115,804
  Viacom Inc. Class B 1,802,513 95,065
  CBS Corp. Class B 2,321,340 88,327
  Las Vegas Sands Corp. 1,600,357 73,872
  Ford Motor Co. 4,840,832 62,689
  Coach Inc. 1,109,211 61,572
  Macy’s Inc. 1,565,612 61,090
  McGraw-Hill Cos. Inc. 980,814 53,621
  VF Corp. 341,883 51,614
  Omnicom Group Inc. 1,033,049 51,611
  Comcast Corp. 1,432,935 51,514
* Bed Bath & Beyond Inc. 904,161 50,552
  Ross Stores Inc. 877,317 47,507
* AutoZone Inc. 131,035 46,443
* Delphi Automotive plc 1,193,418 45,648
* Dollar General Corp. 1,021,882 45,055
  News Corp. Class B 1,708,509 44,831
  Limited Brands Inc. 950,141 44,714
  Starwood Hotels &    
  Resorts Worldwide Inc. 764,115 43,830
  Harley-Davidson Inc. 886,336 43,289
  Sirius XM Radio Inc. 14,909,452 43,088
* O’Reilly Automotive Inc. 462,355 41,344

 

      Market
      Value
    Shares ($000)
* Liberty Interactive Corp.    
  Class A 2,003,705 39,433
  Gap Inc. 1,215,822 37,739
  Marriott International Inc.    
  Class A 1,004,247 37,428
* Chipotle Mexican Grill Inc.    
  Class A 123,223 36,654
* Dollar Tree Inc. 895,767 36,332
* Discovery Communications    
  Inc. Class A 567,206 36,006
  Wynn Resorts Ltd. 312,698 35,175
  Ralph Lauren Corp. Class A 234,548 35,163
* Liberty Global Inc. 593,682 34,879
* CarMax Inc. 888,089 33,339
* BorgWarner Inc. 445,047 31,874
* Liberty Media Corp. -    
  Liberty Capital Class A 263,522 30,571
  PVH Corp. 273,690 30,382
  DISH Network Corp.    
  Class A 825,772 30,058
* Lululemon Athletica Inc. 392,100 29,890
  Wyndham Worldwide Corp. 552,959 29,423
  PetSmart Inc. 420,968 28,769
  Tiffany & Co. 492,779 28,256
  Family Dollar Stores Inc. 386,275 24,494
* PulteGroup Inc. 1,343,317 24,395
  Tractor Supply Co. 275,806 24,370
* LKQ Corp. 1,152,361 24,315
  Virgin Media Inc. 645,542 23,724
* Liberty Global Inc. Class A 373,534 23,529
  Ulta Salon Cosmetics &    
  Fragrance Inc. 232,607 22,856
* Discovery    
  Communications Inc. 368,614 21,564
  Polaris Industries Inc. 252,997 21,290
  Advance Auto Parts Inc. 285,190 20,633
  Scripps Networks    
  Interactive Inc. Class A 334,640 19,382
* Netflix Inc. 205,273 19,045
* Fossil Inc. 201,129 18,725

 

15


 

Growth Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* TripAdvisor Inc. 428,173 17,966
* Urban Outfitters Inc. 450,852 17,746
* NVR Inc. 19,019 17,497
* Panera Bread Co. Class A 109,940 17,462
  Dick’s Sporting Goods Inc. 375,054 17,061
  Signet Jewelers Ltd. 314,631 16,801
* MGM Resorts    
  International 1,426,877 16,609
* Sally Beauty Holdings Inc. 700,729 16,516
* Under Armour Inc.    
  Class A 305,559 14,829
  Dunkin’ Brands Group Inc. 410,510 13,621
* Goodyear Tire &    
  Rubber Co. 952,391 13,152
  JC Penney Co. Inc. 637,890 12,573
* Toll Brothers Inc. 382,915 12,380
  Lennar Corp. Class A 310,679 12,014
* Charter Communications    
  Inc. Class A 156,752 11,951
  Cablevision Systems    
  Corp. Class A 743,438 11,107
  Gentex Corp. 562,573 10,588
  Tupperware Brands Corp. 140,842 9,028
  Harman International    
  Industries Inc. 169,761 7,578
* Tempur-Pedic    
  International Inc. 231,528 7,291
  Interpublic Group of    
  Cos. Inc. 594,900 6,556
* Lamar Advertising Co.    
  Class A 158,691 6,149
*,^ Sears Holdings Corp. 144,881 5,992
  Weight Watchers    
  International Inc. 108,150 5,663
* AutoNation Inc. 140,871 5,593
* Apollo Group Inc. Class A 256,860 5,373
* Jarden Corp. 103,244 5,338
  Williams-Sonoma Inc. 121,573 5,321
  Burger King    
  Worldwide Inc. 272,236 4,476
* Hyatt Hotels Corp. Class A 89,555 3,454
^ Allison Transmission    
  Holdings Inc. 141,212 2,884
      5,461,147
Consumer Staples (12.4%)    
  Coca-Cola Co. 15,794,148 572,538
  Philip Morris    
  International Inc. 6,556,628 548,396
  Wal-Mart Stores Inc. 7,238,170 493,860
  Altria Group Inc. 7,906,701 248,429
  CVS Caremark Corp. 4,948,308 239,251
  Colgate-Palmolive Co. 1,844,246 192,797
  Costco Wholesale Corp. 1,681,581 166,090
  PepsiCo Inc. 2,118,517 144,970
  Kraft Foods Group Inc. 2,183,738 99,295

 

      Market
      Value
    Shares ($000)
  Whole Foods Market Inc. 682,260 62,311
  Estee Lauder Cos. Inc.    
  Class A 915,649 54,811
  Kroger Co. 2,012,591 52,368
  Mead Johnson    
  Nutrition Co. 792,504 52,218
  General Mills Inc. 1,260,706 50,945
  Kimberly-Clark Corp. 537,488 45,380
  Walgreen Co. 1,218,048 45,080
  Hershey Co. 612,298 44,220
* Monster Beverage Corp. 583,202 30,840
  Brown-Forman Corp.    
  Class B 475,295 30,062
  Lorillard Inc. 253,917 29,625
* Green Mountain Coffee    
  Roasters Inc. 514,430 21,277
* Constellation Brands Inc.    
  Class A 598,148 21,168
  McCormick & Co. Inc. 304,028 19,315
* Ralcorp Holdings Inc. 214,859 19,262
  Kellogg Co. 341,029 19,046
  Hormel Foods Corp. 563,838 17,597
  Church & Dwight Co. Inc. 270,817 14,508
  Herbalife Ltd. 435,262 14,338
  Hillshire Brands Co. 462,096 13,003
      3,363,000
Energy (5.8%)    
  Schlumberger Ltd. 5,161,476 357,639
  EOG Resources Inc. 1,050,221 126,856
  Halliburton Co. 3,608,415 125,176
  National Oilwell Varco Inc. 1,658,555 113,362
  Kinder Morgan Inc. 2,512,372 88,762
  Williams Cos. Inc. 2,621,751 85,836
  Noble Energy Inc. 691,609 70,364
* Cameron    
  International Corp. 957,897 54,083
  Pioneer Natural    
  Resources Co. 454,547 48,450
* Southwestern Energy Co. 1,357,812 45,364
  Cabot Oil & Gas Corp. 816,720 40,624
* FMC Technologies Inc. 927,154 39,710
  Range Resources Corp. 631,927 39,704
  Ensco plc Class A 586,443 34,764
  EQT Corp. 581,810 34,315
* Concho Resources Inc. 385,327 31,042
  CONSOL Energy Inc. 885,313 28,419
  Oceaneering    
  International Inc. 419,675 22,574
  QEP Resources Inc. 691,682 20,937
  Core Laboratories NV 183,987 20,112
* Whiting Petroleum Corp. 457,480 19,841
  Diamond Offshore    
  Drilling Inc. 270,306 18,370
* Dresser-Rand Group Inc. 294,368 16,526
  SM Energy Co. 253,423 13,231

 

16


 

Growth Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* Continental Resources Inc. 176,279 12,955
* Weatherford    
  International Ltd. 1,033,046 11,560
* Cobalt International    
  Energy Inc. 467,376 11,479
* Ultra Petroleum Corp. 595,131 10,790
* Kinder Morgan    
  Management LLC 137,448 10,372
*,^ SandRidge Energy Inc. 1,433,220 9,101
* Rowan Cos. plc Class A 241,652 7,556
* Laredo Petroleum    
  Holdings Inc. 149,788 2,720
      1,572,594
Financials (6.0%)    
  American Express Co. 3,968,324 228,099
  Simon Property Group Inc. 766,785 121,221
  American Tower    
  Corporation 1,536,889 118,755
* Berkshire Hathaway Inc.    
  Class B 1,257,018 112,755
  Discover Financial    
  Services 2,002,730 77,205
  Marsh & McLennan    
  Cos. Inc. 2,116,566 72,958
  Franklin Resources Inc. 578,776 72,752
  Aon plc 1,191,230 66,232
  T. Rowe Price Group Inc. 987,188 64,296
  Public Storage 368,614 53,434
  Northern Trust Corp. 841,861 42,228
  Moody’s Corp. 778,162 39,157
  Morgan Stanley 2,016,953 38,564
  Weyerhaeuser Co. 1,359,541 37,822
* IntercontinentalExchange    
  Inc. 282,926 35,029
  General Growth    
  Properties Inc. 1,642,146 32,597
  AvalonBay    
  Communities Inc. 218,154 29,580
* CIT Group Inc. 742,016 28,671
* Affiliated Managers    
  Group Inc. 199,628 25,982
  Equity Residential 438,148 24,830
* CBRE Group Inc. Class A 1,212,685 24,132
* Arch Capital Group Ltd. 530,464 23,351
  Boston Properties Inc. 205,141 21,706
  Charles Schwab Corp. 1,474,263 21,170
  Taubman Centers Inc. 240,063 18,898
  American Campus    
  Communities Inc. 407,751 18,810
  Vornado Realty Trust 227,628 18,228
* Ocwen Financial Corp. 446,108 15,431
* MSCI Inc. Class A 473,958 14,688
  TD Ameritrade    
  Holding Corp. 850,582 14,298
  Eaton Vance Corp. 448,244 14,277

 

      Market
      Value
    Shares ($000)
  Federal Realty    
  Investment Trust 124,708 12,972
  SEI Investments Co. 540,318 12,611
  Brown & Brown Inc. 473,939 12,066
  Digital Realty Trust Inc. 166,243 11,286
  CBOE Holdings Inc. 339,633 10,006
  Jones Lang LaSalle Inc. 111,412 9,352
  Raymond James    
  Financial Inc. 228,315 8,797
  Hudson City Bancorp Inc. 924,893 7,519
  LPL Financial Holdings Inc. 215,971 6,082
  Weingarten Realty    
  Investors 223,930 5,995
  Erie Indemnity Co. Class A 55,153 3,818
      1,627,660
Health Care (10.9%)    
  Amgen Inc. 2,997,821 258,772
  UnitedHealth Group Inc. 4,016,624 217,862
* Gilead Sciences Inc. 2,942,675 216,140
* Express Scripts    
  Holding Co. 3,153,349 170,281
  Baxter International Inc. 2,128,423 141,881
* Celgene Corp. 1,678,011 132,093
* Biogen Idec Inc. 873,249 128,079
  Allergan Inc. 1,196,134 109,721
  Covidien plc 1,867,284 107,817
  Thermo Fisher    
  Scientific Inc. 1,421,738 90,679
  McKesson Corp. 917,906 89,000
* Intuitive Surgical Inc. 155,319 76,164
* Alexion    
  Pharmaceuticals Inc. 750,861 70,438
  Stryker Corp. 1,183,747 64,893
  Becton Dickinson and Co. 776,085 60,682
  Cigna Corp. 1,121,501 59,955
  Agilent Technologies Inc. 1,351,580 55,334
* Regeneron    
  Pharmaceuticals Inc. 292,351 50,013
  Zimmer Holdings Inc. 679,422 45,290
  St. Jude Medical Inc. 1,221,150 44,132
* Cerner Corp. 565,874 43,935
* Mylan Inc. 1,578,643 43,381
* DaVita HealthCare    
  Partners Inc. 383,760 42,417
  AmerisourceBergen Corp.    
  Class A 978,690 42,260
* Edwards Lifesciences Corp. 449,988 40,575
* Forest Laboratories Inc. 1,033,387 36,499
  Perrigo Co. 345,406 35,933
* Vertex Pharmaceuticals Inc. 839,321 35,201
* Laboratory Corp. of    
  America Holdings 372,932 32,303
  CR Bard Inc. 309,748 30,275
* Varian Medical    
  Systems Inc. 430,612 30,246

 

17


 

Growth Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* Waters Corp. 340,946 29,703
* Henry Schein Inc. 344,353 27,707
* Illumina Inc. 478,614 26,606
  HCA Holdings Inc. 861,287 25,985
* BioMarin    
  Pharmaceutical Inc. 480,840 23,681
* Mettler-Toledo    
  International Inc. 120,730 23,337
  ResMed Inc. 555,242 23,081
  DENTSPLY    
  International Inc. 551,497 21,845
* IDEXX Laboratories Inc. 221,159 20,524
* Onyx Pharmaceuticals Inc. 253,243 19,127
  Cooper Cos. Inc. 186,280 17,227
* Medivation Inc. 286,595 14,662
* Pharmacyclics Inc. 216,404 12,530
  Patterson Cos. Inc. 338,692 11,593
  Warner Chilcott plc    
  Class A 828,469 9,975
  Universal Health Services    
  Inc. Class B 174,304 8,428
* Covance Inc. 139,216 8,043
* Allscripts Healthcare    
  Solutions Inc. 632,997 5,963
* Bio-Rad Laboratories Inc.    
  Class A 49,846 5,236
      2,937,504
Industrials (12.1%)    
  United Technologies Corp. 3,369,025 276,294
  3M Co. 2,554,440 237,180
  Union Pacific Corp. 1,842,073 231,585
  Boeing Co. 2,777,902 209,343
  United Parcel Service Inc.    
  Class B 2,825,066 208,292
  Emerson Electric Co. 2,828,921 149,820
  Caterpillar Inc. 1,651,524 147,943
  Danaher Corp. 2,298,877 128,507
  Deere & Co. 1,447,148 125,063
  Precision Castparts Corp. 565,270 107,073
  FedEx Corp. 1,160,399 106,432
  PACCAR Inc. 1,306,169 59,052
  Ingersoll-Rand plc 1,198,867 57,498
  Tyco International Ltd. 1,788,643 52,318
  CSX Corp. 2,629,280 51,876
  Fastenal Co. 1,094,274 51,092
  Cummins Inc. 457,252 49,543
  Lockheed Martin Corp. 536,212 49,487
  WW Grainger Inc. 230,381 46,622
  Rockwell Automation Inc. 548,925 46,104
  Roper Industries Inc. 380,372 42,404
  ADT Corp. 900,100 41,846
  CH Robinson    
  Worldwide Inc. 627,967 39,700
* Delta Air Lines Inc. 3,307,227 39,257
  Fluor Corp. 649,364 38,144

 

      Market
      Value
    Shares ($000)
  Kansas City Southern 427,838 35,716
  AMETEK Inc. 943,267 35,439
  Expeditors International    
  of Washington Inc. 819,020 32,392
* Stericycle Inc. 333,195 31,077
* United Continental    
  Holdings Inc. 1,293,308 30,238
  Flowserve Corp. 198,842 29,190
* Verisk Analytics Inc.    
  Class A 548,489 27,973
  Pall Corp. 451,960 27,235
  Textron Inc. 1,092,635 27,086
  Norfolk Southern Corp. 435,158 26,910
  TransDigm Group Inc. 190,072 25,918
  JB Hunt Transport    
  Services Inc. 365,999 21,854
* IHS Inc. Class A 217,463 20,876
* B/E Aerospace Inc. 404,383 19,976
* Fortune Brands Home    
  & Security Inc. 625,526 18,278
  Donaldson Co. Inc. 550,227 18,069
  Joy Global Inc. 267,642 17,070
  Wabtec Corp. 186,268 16,306
* WABCO Holdings Inc. 248,553 16,203
* Owens Corning 437,826 16,195
  Waste Connections Inc. 455,437 15,389
  Masco Corp. 910,233 15,164
* Nielsen Holdings NV 491,909 15,047
  Southwest Airlines Co. 1,445,632 14,803
  Nordson Corp. 224,474 14,169
  Dun & Bradstreet Corp. 174,683 13,739
  MSC Industrial Direct Co.    
  Inc. Class A 181,859 13,709
  Gardner Denver Inc. 190,599 13,056
* Sensata Technologies    
  Holding NV 382,050 12,409
* Copart Inc. 420,610 12,408
  Babcock & Wilcox Co. 416,091 10,902
* Foster Wheeler AG 419,727 10,208
  Robert Half    
  International Inc. 261,914 8,334
  IDEX Corp. 162,124 7,544
      3,263,357
Information Technology (28.8%)  
  Apple Inc. 3,646,053 1,943,456
  International Business    
  Machines Corp. 4,222,529 808,825
* Google Inc. Class A 1,018,937 722,803
  Oracle Corp. 15,192,439 506,212
  QUALCOMM Inc. 6,625,113 410,890
  Visa Inc. Class A 2,051,409 310,953
  Microsoft Corp. 10,271,225 274,550
* eBay Inc. 4,510,994 230,151
* EMC Corp. 8,162,967 206,523
  Mastercard Inc. Class A 418,953 205,823

 

18


 

Growth Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Accenture plc Class A 2,468,967 164,186
* Facebook Inc. Class A 3,848,686 102,491
* Yahoo! Inc. 4,377,177 87,106
* Salesforce.com Inc. 513,548 86,327
* Cognizant Technology    
  Solutions Corp. Class A 1,161,209 85,988
* Adobe Systems Inc. 1,912,674 72,070
  Automatic Data    
  Processing Inc. 1,224,876 69,830
  Texas Instruments Inc. 2,212,636 68,459
  Broadcom Corp. Class A 1,971,937 65,488
  Intuit Inc. 1,085,071 64,562
  Motorola Solutions Inc. 1,002,146 55,799
* Symantec Corp. 2,730,169 51,354
  Analog Devices Inc. 1,162,555 48,897
* Citrix Systems Inc. 727,202 47,814
* NetApp Inc. 1,413,043 47,408
  Altera Corp. 1,244,303 42,854
* Fiserv Inc. 527,601 41,696
* Teradata Corp. 655,678 40,580
  Amphenol Corp. Class A 626,123 40,510
* Juniper Networks Inc. 2,048,163 40,287
* Red Hat Inc. 750,714 39,758
* Equinix Inc. 187,445 38,651
  Xilinx Inc. 1,019,852 36,613
* LinkedIn Corp. Class A 310,109 35,607
  Western Union Co. 2,342,980 31,888
* Rackspace Hosting Inc. 421,851 31,331
* Autodesk Inc. 881,897 31,175
  Avago Technologies Ltd.    
  Class A 955,189 30,241
* VMware Inc. Class A 319,650 30,092
* F5 Networks Inc. 307,399 29,864
* Trimble Navigation Ltd. 488,825 29,222
* Akamai Technologies Inc. 689,912 28,224
* Alliance Data    
  Systems Corp. 194,035 28,089
* Micron Technology Inc. 3,958,425 25,136
* BMC Software Inc. 620,572 24,612
* ANSYS Inc. 359,280 24,194
* VeriSign Inc. 608,638 23,627
* Nuance    
  Communications Inc. 957,921 21,381
* Gartner Inc. 363,295 16,719
* LSI Corp. 2,169,440 15,360
* Skyworks Solutions Inc. 742,305 15,069
  IAC/InterActiveCorp 318,022 15,042
  NVIDIA Corp. 1,205,210 14,812
* Cree Inc. 428,659 14,566
  Solera Holdings Inc. 272,227 14,556
  FactSet Research    
  Systems Inc. 164,241 14,463
* SanDisk Corp. 328,984 14,331
  Global Payments Inc. 307,029 13,908
* TIBCO Software Inc. 630,732 13,882

 

      Market
      Value
    Shares ($000)
  Paychex Inc. 444,618 13,845
* MICROS Systems Inc. 312,102 13,246
  FLIR Systems Inc. 587,836 13,115
* Informatica Corp. 422,360 12,806
* VeriFone Systems Inc. 419,626 12,454
* Riverbed Technology Inc. 592,833 11,691
* Atmel Corp. 1,712,672 11,218
* Fortinet Inc. 492,548 10,378
* Synopsys Inc. 290,180 9,239
* Lam Research Corp. 248,362 8,973
* NetSuite Inc. 110,374 7,428
* Electronic Arts Inc. 433,328 6,296
* Flextronics    
  International Ltd. 906,297 5,628
* Vantiv Inc. Class A 274,453 5,604
  Dolby Laboratories Inc.    
  Class A 185,121 5,430
* ServiceNow Inc. 145,808 4,379
* Palo Alto Networks Inc. 52,812 2,826
* Freescale    
  Semiconductor Ltd. 192,685 2,121
      7,802,982
Materials (3.2%)    
  Monsanto Co. 2,072,862 196,196
  Praxair Inc. 1,159,736 126,933
  Ecolab Inc. 1,137,655 81,797
  PPG Industries Inc. 593,822 80,374
  Newmont Mining Corp. 1,254,314 58,250
  Sherwin-Williams Co. 339,228 52,180
  FMC Corp. 534,028 31,251
  Celanese Corp. Class A 619,242 27,575
  Ball Corp. 571,988 25,597
  Sigma-Aldrich Corp. 305,391 22,471
  Albemarle Corp. 348,252 21,634
* Crown Holdings Inc. 579,745 21,341
  Valspar Corp. 337,156 21,039
  Royal Gold Inc. 250,084 20,334
* WR Grace & Co. 277,082 18,628
  CF Industries Holdings Inc. 85,417 17,353
  Vulcan Materials Co. 327,076 17,024
  Rock-Tenn Co. Class A 137,784 9,633
  Scotts Miracle-Gro Co.    
  Class A 166,492 7,334
  Aptargroup Inc. 90,798 4,333
  Westlake Chemical Corp. 38,933 3,087
      864,364
Telecommunication Services (0.6%)  
* Crown Castle    
  International Corp. 1,139,750 82,244
* SBA Communications    
  Corp. Class A 472,933 33,588
* Sprint Nextel Corp. 5,834,996 33,084
* Level 3    
  Communications Inc. 591,676 13,674

 

19


 

Growth Index Fund    
 
 
 
    Market
    Value
  Shares ($000)
* MetroPCS    
Communications Inc. 600,516 5,969
    168,559
Utilities (0.1%)    
ITC Holdings Corp. 200,416 15,414
* Calpine Corp. 590,116 10,699
    26,113
Total Common Stocks    
(Cost $20,543,392)   27,087,280
Temporary Cash Investment (0.1%)  
Money Market Fund (0.1%)    
1,2 Vanguard Market    
Liquidity Fund, 0.162%    
(Cost $32,490) 32,489,961 32,490
Total Investments (100.2%)    
(Cost $20,575,882)   27,119,770
Other Assets and Liabilities (-0.2%)  
Other Assets   84,373
Liabilities2   (128,845)
    (44,472)
Net Assets (100%)   27,075,298

 

At December 31, 2012, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 21,567,877
Overdistributed Net Investment Income (26,251)
Accumulated Net Realized Losses (1,010,216)
Unrealized Appreciation (Depreciation) 6,543,888
Net Assets 27,075,298
 
 
Investor Shares—Net Assets  
Applicable to 84,731,351 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 3,105,233
Net Asset Value Per Share—  
Investor Shares $36.65
 
 
Admiral Shares—Net Assets  
Applicable to 157,571,659 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 5,774,151
Net Asset Value Per Share—  
Admiral Shares $36.64
 
 
Signal Shares—Net Assets  
Applicable to 104,329,400 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 3,540,117
Net Asset Value Per Share—  
Signal Shares $33.93
 
 
Institutional Shares—Net Assets  
Applicable to 168,886,148 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 6,188,525
Net Asset Value Per Share—  
Institutional Shares $36.64
 
 
ETF Shares—Net Assets  
Applicable to 118,941,648 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 8,467,272
Net Asset Value Per Share—  
ETF Shares $71.19

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $6,952,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $7,327,000 of collateral received for securities on loan.
See accompanying Notes, which are an integral part of the Financial Statements.

20


 

Growth Index Fund

Statement of Operations

  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 418,047
Interest1 45
Security Lending 2,951
Total Income 421,043
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,459
Management and Administrative—Investor Shares 6,372
Management and Administrative—Admiral Shares 4,169
Management and Administrative—Signal Shares 2,036
Management and Administrative—Institutional Shares 2,658
Management and Administrative—ETF Shares 5,056
Marketing and Distribution—Investor Shares 835
Marketing and Distribution—Admiral Shares 831
Marketing and Distribution—Signal Shares 787
Marketing and Distribution—Institutional Shares 1,435
Marketing and Distribution—ETF Shares 1,712
Custodian Fees 303
Auditing Fees 30
Shareholders’ Reports—Investor Shares 124
Shareholders’ Reports—Admiral Shares 57
Shareholders’ Reports—Signal Shares 30
Shareholders’ Reports—Institutional Shares 49
Shareholders’ Reports—ETF Shares 262
Trustees’ Fees and Expenses 24
Total Expenses 28,229
Net Investment Income 392,814
Realized Net Gain (Loss) on Investment Securities Sold 367,593
Change in Unrealized Appreciation (Depreciation) of Investment Securities 2,908,364
Net Increase (Decrease) in Net Assets Resulting from Operations 3,668,771
1 Interest income from an affiliated company of the fund was $45,000.  

 

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

21


 

Growth Index Fund

Statement of Changes in Net Assets

  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 392,814 249,232
Realized Net Gain (Loss) 367,593 667,210
Change in Unrealized Appreciation (Depreciation) 2,908,364 (560,599)
Net Increase (Decrease) in Net Assets Resulting from Operations 3,668,771 355,843
Distributions    
Net Investment Income    
Investor Shares (43,607) (35,179)
Admiral Shares (85,446) (58,907)
Signal Shares (49,314) (26,483)
Institutional Shares (91,233) (56,292)
ETF Shares (121,121) (71,129)
Realized Capital Gain    
Investor Shares
Admiral Shares
Signal Shares
Institutional Shares
ETF Shares
Total Distributions (390,721) (247,990)
Capital Share Transactions    
Investor Shares (226,956) (991,858)
Admiral Shares 220,246 79,431
Signal Shares 749,005 744,319
Institutional Shares 715,804 773,669
ETF Shares 1,450,303 929,167
Net Increase (Decrease) from Capital Share Transactions 2,908,402 1,534,728
Total Increase (Decrease) 6,186,452 1,642,581
Net Assets    
Beginning of Period 20,888,846 19,246,265
End of Period1 27,075,298 20,888,846
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($26,251,000) and ($28,344,000).

 

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

22


 

Growth Index Fund

Financial Highlights

Investor Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $31.79 $31.60 $27.32 $20.29 $33.23
Investment Operations          
Net Investment Income .509 .351 .315 .276 .261
Net Realized and Unrealized Gain (Loss)          
on Investments 4.853 .183 4.284 7.035 (12.939)
Total from Investment Operations 5.362 .534 4.599 7.311 (12.678)
Distributions          
Dividends from Net Investment Income (.502) (.344) (.319) (.281) (.262)
Distributions from Realized Capital Gains
Total Distributions (.502) (.344) (.319) (.281) (.262)
Net Asset Value, End of Period $36.65 $31.79 $31.60 $27.32 $20.29
 
Total Return1 16.89% 1.71% 16.96% 36.29% -38.32%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,105 $2,897 $3,843 $5,770 $4,279
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.28% 0.23%
Ratio of Net Investment Income to          
Average Net Assets 1.45% 1.10% 1.13% 1.20% 0.93%
Portfolio Turnover Rate2 21% 23% 26% 29% 27%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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


 

Growth Index Fund

Financial Highlights

Admiral Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $31.79 $31.60 $27.32 $20.30 $33.23
Investment Operations          
Net Investment Income .560 .399 .357 .308 .294
Net Realized and Unrealized Gain (Loss)          
on Investments 4.842 .185 4.282 7.027 (12.929)
Total from Investment Operations 5.402 .584 4.639 7.335 (12.635)
Distributions          
Dividends from Net Investment Income (.552) (.394) (.359) (.315) (.295)
Distributions from Realized Capital Gains
Total Distributions (.552) (.394) (.359) (.315) (.295)
Net Asset Value, End of Period $36.64 $31.79 $31.60 $27.32 $20.30
 
Total Return1 17.01% 1.87% 17.12% 36.42% -38.22%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $5,774 $4,819 $4,712 $1,641 $1,296
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.11%
Ratio of Net Investment Income to          
Average Net Assets 1.59% 1.24% 1.27% 1.34% 1.05%
Portfolio Turnover Rate2 21% 23% 26% 29% 27%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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


 

Growth Index Fund

Financial Highlights

Signal Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $29.44 $29.26 $25.30 $18.80 $30.77
Investment Operations          
Net Investment Income .519 .369 .331 .286 .273
Net Realized and Unrealized Gain (Loss)          
on Investments 4.483 .175 3.963 6.507 (11.970)
Total from Investment Operations 5.002 .544 4.294 6.793 (11.697)
Distributions          
Dividends from Net Investment Income (.512) (.364) (.334) (.293) (.273)
Distributions from Realized Capital Gains
Total Distributions (.512) (.364) (.334) (.293) (.273)
Net Asset Value, End of Period $33.93 $29.44 $29.26 $25.30 $18.80
 
Total Return 17.01% 1.88% 17.11% 36.42% -38.21%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,540 $2,402 $1,658 $1,428 $941
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.11%
Ratio of Net Investment Income to          
Average Net Assets 1.59% 1.24% 1.27% 1.34% 1.05%
Portfolio Turnover Rate1 21% 23% 26% 29% 27%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

25


 

Growth Index Fund

Financial Highlights

Institutional Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $31.79 $31.60 $27.32 $20.30 $33.23
Investment Operations          
Net Investment Income .567 .405 .369 .322 .305
Net Realized and Unrealized Gain (Loss)          
on Investments 4.842 .186 4.283 7.027 (12.930)
Total from Investment Operations 5.409 .591 4.652 7.349 (12.625)
Distributions          
Dividends from Net Investment Income (.559) (.401) (.372) (.329) (.305)
Distributions from Realized Capital Gains
Total Distributions (.559) (.401) (.372) (.329) (.305)
Net Asset Value, End of Period $36.64 $31.79 $31.60 $27.32 $20.30
 
Total Return 17.04% 1.89% 17.17% 36.50% -38.19%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $6,189 $4,726 $3,934 $2,913 $2,016
Ratio of Total Expenses to          
Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.07%
Ratio of Net Investment Income to          
Average Net Assets 1.61% 1.26% 1.31% 1.40% 1.09%
Portfolio Turnover Rate1 21% 23% 26% 29% 27%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

26


 

Growth Index Fund

Financial Highlights

ETF Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $61.76 $61.39 $53.08 $39.43 $64.56
Investment Operations          
Net Investment Income 1.087 .776 .695 .598 .579
Net Realized and Unrealized Gain (Loss)          
on Investments 9.416 .360 8.315 13.666 (25.132)
Total from Investment Operations 10.503 1.136 9.010 14.264 (24.553)
Distributions          
Dividends from Net Investment Income (1.073) (.766) (.700) (.614) (.577)
Distributions from Realized Capital Gains
Total Distributions (1.073) (.766) (.700) (.614) (.577)
Net Asset Value, End of Period $71.19 $61.76 $61.39 $53.08 $39.43
 
Total Return 17.03% 1.87% 17.11% 36.46% -38.22%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $8,467 $6,046 $5,099 $3,917 $2,736
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.10%
Ratio of Net Investment Income to          
Average Net Assets 1.59% 1.24% 1.27% 1.34% 1.06%
Portfolio Turnover Rate1 21% 23% 26% 29% 27%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

27


 

Growth Index Fund

Notes to Financial Statements

Vanguard Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

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

2. Federal Income Taxes: The fund intends to 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 (December 31, 2009–2012), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

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

4. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed

28


 

Growth Index Fund

capital of $3,710,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.48% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At December 31, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.

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

During the year ended December 31, 2012, the fund realized $275,174,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $4,372,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $194,220,000 to offset capital gains realized during the year ended December 31, 2012. At December 31, 2012, the fund had available capital losses totaling $1,007,038,000 to offset future net capital gains. Of this amount, $802,533,000 is subject to expiration on December 31, 2017. Capital losses of $204,505,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $20,576,556,000. Net unrealized appreciation of investment securities for tax purposes was $6,543,214,000, consisting of unrealized gains of $6,969,544,000 on securities that had risen in value since their purchase and $426,330,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the year ended December 31, 2012, the fund purchased $9,397,727,000 of investment securities and sold $6,465,359,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,723,029,000 and $1,255,980,000 respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

29


 

Growth Index Fund

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 602,050 16,845 625,642 19,333
Issued in Lieu of Cash Distributions 41,832 1,150 33,926 1,080
Redeemed (870,838) (24,381) (1,651,426) (50,905)
Net Increase (Decrease) —Investor Shares (226,956) (6,386) (991,858) (30,492)
Admiral Shares        
Issued 827,142 22,980 575,870 17,919
Issued in Lieu of Cash Distributions 78,877 2,167 54,388 1,732
Redeemed (685,773) (19,175) (550,827) (17,170)
Net Increase (Decrease)—Admiral Shares 220,246 5,972 79,431 2,481
Signal Shares        
Issued 1,479,198 44,790 1,405,009 47,180
Issued in Lieu of Cash Distributions 41,899 1,242 22,037 758
Redeemed (772,092) (23,287) (682,727) (23,016)
Net Increase (Decrease)—Signal Shares 749,005 22,745 744,319 24,922
Institutional Shares        
Issued 1,572,068 44,246 1,729,154 54,199
Issued in Lieu of Cash Distributions 80,278 2,205 49,732 1,586
Redeemed (936,542) (26,228) (1,005,217) (31,596)
Net Increase (Decrease) —Institutional Shares 715,804 20,223 773,669 24,189
ETF Shares        
Issued 2,733,537 39,551 1,079,150 17,330
Issued in Lieu of Cash Distributions
Redeemed (1,283,234) (18,500) (149,983) (2,500)
Net Increase (Decrease)—ETF Shares 1,450,303 21,051 929,167 14,830

 

G. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced an upcoming change in the fund’s benchmark index from the MSCI US Prime Market Growth Index to the CRSP US Large Cap Growth Index. The fund’s investment objective is not changing. The transition to the new benchmark is expected to be completed over several months, and will require some turnover of holdings with resulting transaction costs. Vanguard will seek to minimize trading impact through efficient portfolio trading.

30


 

Value Index Fund

Fund Profile
As of December 31, 2012

Share-Class Characteristics          
  Investor Admiral Signal Institutional ETF
  Shares Shares Shares Shares Shares
Ticker Symbol VIVAX VVIAX VVISX VIVIX VTV
Expense Ratio1 0.24% 0.10% 0.10% 0.08% 0.10%
30-Day SEC Yield 2.75% 2.89% 2.89% 2.91% 2.89%

 

Portfolio Characteristics    
      DJ U.S.
    MSCI US Total
    Prime Market Market
  Fund Value Index FA Index
Number of Stocks 414 414 3,604
Median Market Cap $47.9B $47.9B $35.1B
Price/Earnings Ratio 14.5x 14.5x 16.8x
Price/Book Ratio 1.5x 1.5x 2.1x
Return on Equity 14.7% 14.7% 17.1%
Earnings Growth Rate 2.1% 2.1% 9.7%
Dividend Yield 2.9% 2.9% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 22%
Short-Term Reserves 0.0%

 

Volatility Measures    
    DJ
    U.S.
    Total
  MSCI US Market
  Prime Market FA
  Value Index Index
R-Squared 1.00 0.97
Beta 1.00 0.93

These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.

 

Ten Largest Holdings (% of total net assets)
Exxon Mobil Corp. Integrated Oil & Gas 5.7%
General Electric Co. Industrial  
  Conglomerates 3.2
Chevron Corp. Integrated Oil & Gas 3.0
AT&T Inc. Integrated  
  Telecommunication  
  Services 2.8
Johnson & Johnson Pharmaceuticals 2.8
Pfizer Inc. Pharmaceuticals 2.7
Procter & Gamble Co. Household Products 2.7
Wells Fargo & Co. Diversified Banks 2.5
JPMorgan Chase & Co. Other Diversified  
  Financial Services 2.4
Microsoft Corp. Systems Software 1.9
Top Ten   29.7%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.

31


 

Value Index Fund

Sector Diversification (% of equity exposure)
    MSCI US DJ U.S.
    Prime Total
    Market Market FA
  Fund Value Index Index
Consumer Discretionary 4.5% 4.5% 12.3%
Consumer Staples 8.0 8.0 9.3
Energy 15.7 15.7 10.2
Financials 25.2 25.2 16.9
Health Care 12.7 12.7 11.7
Industrials 8.8 8.8 11.1
Information Technology 8.7 8.7 18.3
Materials 4.5 4.5 4.0
Telecommunication      
Services 5.2 5.2 2.7
Utilities 6.7 6.7 3.5

 

32


 

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: December 31, 2002, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Value Index Fund Investor Shares 15.00% 0.32% 7.33% $20,286
Spliced Value Index 15.23 0.44 7.42 20,460
Large-Cap Value Funds Average 15.45 -0.27 6.02 17,947
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

For a benchmark description, see the Glossary.

Large-Cap Value Funds Average: Derived from data provided by Lipper Inc.

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Value Index Fund Admiral Shares 15.18% 0.46% 7.45% $20,519
Spliced Value Index 15.23 0.44 7.42 20,460
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 21,484

 

See Financial Highlights for dividend and capital gains information.

33


 

Value Index Fund

    Average Annual Total Returns  
  Periods Ended December 31, 2012  
      Since Final Value
  One Five Inception of a $10,000
  Year Years (6/4/2007) Investment
Value Index Fund Signal Shares 15.18% 0.45% -1.20% $9,348
MSCI US Prime Market Value Index 15.23 0.44 -1.21 9,342
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 1.23 10,707
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.

 

        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Value Index Fund Institutional Shares 15.20% 0.49% 7.49% $10,295,576
Spliced Value Index 15.23 0.44 7.42 10,230,230
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 7.95 10,742,011

 

      Since Final Value
  One Five Inception of a $10,000
  Year Years (1/26/2004) Investment
Value Index Fund        
ETF Shares Net Asset Value 15.19% 0.46% 4.62% $14,967
MSCI US Prime Market Value Index 15.23 0.44 4.64 14,988
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.11 15,611
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

Cumulative Returns of ETF Shares: January 26, 2004, Through December 31, 2012  
      Since
  One Five Inception
  Year Years (1/26/2004)
Value Index Fund ETF Shares Market Price 15.15% 2.29% 49.62%
Value Index Fund ETF Shares Net Asset      
Value 15.19 2.33 49.67
MSCI US Prime Market Value Index 15.23 2.22 49.88
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard.

 

34


 

Value Index Fund

Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012


Value Index Fund Investor Shares
Spliced Value Index

 

For a benchmark description, see the Glossary.

35


 

Value Index Fund

Financial Statements

Statement of Net Assets
As of December 31, 2012

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

      Market
      Value
    Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (4.5%)  
  Time Warner Inc. 2,499,797 119,565
  Ford Motor Co. 6,088,930 78,852
* General Motors Co. 2,062,553 59,463
  Johnson Controls Inc. 1,801,540 55,307
  Carnival Corp. 1,177,924 43,312
  Mattel Inc. 898,088 32,888
  Genuine Parts Co. 408,775 25,990
  Kohl’s Corp. 587,112 25,234
  Nordstrom Inc. 423,748 22,671
  Whirlpool Corp. 204,195 20,777
  Staples Inc. 1,798,549 20,503
  Newell Rubbermaid Inc. 761,152 16,951
  Autoliv Inc. 251,417 16,943
  Expedia Inc. 259,198 15,928
  Darden Restaurants Inc. 337,900 15,229
  DR Horton Inc. 757,317 14,980
* TRW Automotive    
  Holdings Corp. 273,315 14,652
* Mohawk Industries Inc. 154,476 13,975
  H&R Block Inc. 714,464 13,268
  Foot Locker Inc. 399,414 12,829
  Royal Caribbean    
  Cruises Ltd. 373,268 12,691
^ Garmin Ltd. 307,781 12,564
  Lear Corp. 258,221 12,095
* Liberty Media Corp. -    
  Liberty Capital Class A 96,168 11,156
  Hasbro Inc. 308,803 11,086
  Gannett Co. Inc. 609,839 10,983
  Abercrombie & Fitch Co. 217,572 10,437
  Leggett & Platt Inc. 370,473 10,084
  International    
  Game Technology 703,248 9,965
  American Eagle    
  Outfitters Inc. 466,240 9,563
  Best Buy Co. Inc. 761,418 9,023
  Virgin Media Inc. 235,362 8,650

 

      Market
      Value
    Shares ($000)
  Interpublic Group of    
  Cos. Inc. 748,806 8,252
  GameStop Corp. Class A 327,636 8,220
  Lennar Corp. Class A 210,128 8,126
* Jarden Corp. 129,860 6,714
  Williams-Sonoma Inc. 152,917 6,693
* Toll Brothers Inc. 139,347 4,505
  Washington Post Co.    
  Class B 12,265 4,479
  Guess? Inc. 177,317 4,351
  Tupperware Brands Corp. 51,557 3,305
  Harman International    
  Industries Inc. 61,603 2,750
* Hyatt Hotels Corp. Class A 60,948 2,351
* Lamar Advertising Co.    
  Class A 58,081 2,251
* Apollo Group Inc. Class A 94,008 1,967
      831,578
Consumer Staples (8.0%)    
  Procter & Gamble Co. 7,263,912 493,147
  PepsiCo Inc. 2,664,794 182,352
  Mondelez International    
  Inc. Class A 4,441,307 113,120
  Kimberly-Clark Corp. 676,106 57,084
  Walgreen Co. 1,532,079 56,702
  Sysco Corp. 1,545,299 48,924
  HJ Heinz Co. 843,523 48,654
  Archer-Daniels-Midland Co. 1,734,974 47,521
  Reynolds American Inc. 893,469 37,016
  General Mills Inc. 853,852 34,504
  ConAgra Foods Inc. 1,069,361 31,546
  Bunge Ltd. 384,547 27,953
  JM Smucker Co. 291,074 25,102
  Coca-Cola Enterprises Inc. 776,155 24,627
  Dr Pepper Snapple    
  Group Inc. 554,928 24,517
  Kellogg Co. 428,968 23,958
  Clorox Co. 324,538 23,763
  Beam Inc. 375,675 22,950
  Lorillard Inc. 171,963 20,063

 

36


 

Value Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Campbell Soup Co. 499,721 17,435
  Molson Coors Brewing    
  Co. Class B 392,920 16,813
  Avon Products Inc. 1,138,775 16,353
  Tyson Foods Inc. Class A 769,383 14,926
  Energizer Holdings Inc. 169,672 13,570
  Ingredion Inc. 200,752 12,934
^ Safeway Inc. 630,544 11,407
  Church & Dwight Co. Inc. 183,360 9,823
* Smithfield Foods Inc. 381,342 8,226
  McCormick & Co. Inc. 110,735 7,035
      1,472,025
Energy (15.7%)    
  Exxon Mobil Corp. 12,160,262 1,052,471
  Chevron Corp. 5,169,008 558,977
  ConocoPhillips 3,039,594 176,266
  Occidental    
  Petroleum Corp. 2,133,692 163,462
  Anadarko    
  Petroleum Corp. 1,316,244 97,810
  Phillips 66 1,568,894 83,308
  Apache Corp. 1,030,554 80,898
  Marathon Oil Corp. 1,858,310 56,976
  Marathon Petroleum Corp. 891,122 56,141
  Devon Energy Corp. 1,012,236 52,677
  Valero Energy Corp. 1,453,006 49,577
  Baker Hughes Inc. 1,157,921 47,289
  Spectra Energy Corp. 1,719,851 47,089
  Hess Corp. 809,631 42,878
  Chesapeake Energy Corp. 1,752,676 29,129
  Murphy Oil Corp. 486,328 28,961
  HollyFrontier Corp. 509,596 23,722
  Noble Corp. 665,743 23,181
  Peabody Energy Corp. 707,232 18,819
* Denbury Resources Inc. 1,030,978 16,702
  Tesoro Corp. 368,372 16,227
* Plains Exploration &    
  Production Co. 339,602 15,941
  Helmerich & Payne Inc. 278,483 15,598
* Weatherford    
  International Ltd. 1,299,314 14,539
  Cimarex Energy Co. 226,614 13,082
* Kinder Morgan    
  Management LLC 172,757 13,036
  Ensco plc Class A 213,932 12,682
* Nabors Industries Ltd. 765,303 11,059
* Oil States International Inc. 144,193 10,316
* Newfield Exploration Co. 355,658 9,524
* Superior Energy    
  Services Inc. 414,123 8,581
  Energen Corp. 190,059 8,570
* WPX Energy Inc. 524,524 7,805
  Patterson-UTI Energy Inc. 399,720 7,447
* McDermott    
  International Inc. 621,122 6,845

 

      Market
      Value
    Shares ($000)
* Rowan Cos. plc Class A 163,521 5,113
* Cobalt International    
  Energy Inc. 169,788 4,170
      2,886,868
Financials (25.2%)    
  Wells Fargo & Co. 13,219,588 451,846
  JPMorgan Chase & Co. 10,007,354 440,023
  Bank of America Corp. 28,390,703 329,332
  Citigroup Inc. 7,725,254 305,611
  US Bancorp 4,992,930 159,474
  Goldman Sachs    
  Group Inc. 1,199,781 153,044
* Berkshire Hathaway Inc.    
  Class B 1,581,201 141,834
* American International    
  Group Inc. 3,694,677 130,422
  Capital One    
  Financial Corp. 1,530,548 88,665
  PNC Financial Services    
  Group Inc. 1,394,623 81,320
  Bank of New York    
  Mellon Corp. 3,111,924 79,976
  MetLife Inc. 2,238,653 73,741
  Travelers Cos. Inc. 1,015,142 72,908
  BlackRock Inc. 352,312 72,826
  ACE Ltd. 893,282 71,284
  Aflac Inc. 1,233,562 65,527
  Prudential Financial Inc. 1,222,263 65,183
  State Street Corp. 1,262,047 59,329
  HCP Inc. 1,193,000 53,900
  BB&T Corp. 1,841,673 53,611
  Chubb Corp. 700,265 52,744
  Allstate Corp. 1,277,398 51,313
  Ventas Inc. 778,032 50,354
  Morgan Stanley 2,536,944 48,506
  Prologis Inc. 1,213,482 44,280
  Simon Property Group Inc. 279,640 44,208
  CME Group Inc. 832,093 42,195
  Health Care REIT Inc. 671,975 41,185
  SunTrust Banks Inc. 1,418,468 40,214
  Fifth Third Bancorp 2,420,592 36,769
  Annaly Capital    
  Management Inc. 2,567,680 36,050
  Ameriprise Financial Inc. 555,056 34,763
  Loews Corp. 833,660 33,972
  Progressive Corp. 1,524,389 32,165
  Equity Residential 550,581 31,201
  Invesco Ltd. 1,172,803 30,598
  Host Hotels &    
  Resorts Inc. 1,902,827 29,817
  M&T Bank Corp. 300,486 29,589
  Boston Properties Inc. 258,118 27,311
  Charles Schwab Corp. 1,853,558 26,617
  Regions Financial Corp. 3,722,425 26,504

 

37


 

Value Index Fund    
 
 
 
    Market
    Value
  Shares ($000)
American Capital    
Agency Corp. 899,431 26,030
Hartford Financial Services    
Group Inc. 1,091,237 24,487
Vornado Realty Trust 286,433 22,938
Principal Financial    
Group Inc. 777,169 22,165
SLM Corp. 1,236,092 21,174
KeyCorp 2,486,663 20,938
Kimco Realty Corp. 1,072,630 20,723
Macerich Co. 350,873 20,456
NYSE Euronext 648,310 20,448
XL Group plc Class A 805,747 20,192
AvalonBay    
Communities Inc. 147,732 20,031
Public Storage 134,517 19,500
Lincoln National Corp. 735,784 19,057
Plum Creek Timber Co. Inc. 425,715 18,889
SL Green Realty Corp. 237,533 18,207
Rayonier Inc. 323,481 16,766
Cincinnati Financial Corp. 406,877 15,933
UDR Inc. 659,447 15,682
Comerica Inc. 509,909 15,471
Unum Group 738,334 15,372
Willis Group Holdings plc 456,252 15,298
New York Community    
Bancorp Inc. 1,157,327 15,161
Camden Property Trust 220,234 15,022
Everest Re Group Ltd. 136,500 15,008
Huntington    
Bancshares Inc. 2,262,413 14,457
Digital Realty Trust Inc. 208,943 14,185
Realty Income Corp. 351,709 14,142
Essex Property Trust Inc. 95,948 14,071
Weyerhaeuser Co. 496,050 13,800
PartnerRe Ltd. 163,752 13,180
Leucadia National Corp. 547,934 13,035
Torchmark Corp. 251,365 12,988
Fidelity National Financial    
Inc. Class A 531,811 12,524
WR Berkley Corp. 307,127 11,591
Alexandria Real Estate    
Equities Inc. 165,437 11,468
Ares Capital Corp. 644,731 11,283
* Alleghany Corp. 33,467 11,226
People’s United    
Financial Inc. 925,698 11,192
Regency Centers Corp. 237,026 11,169
Liberty Property Trust 309,732 11,079
Arthur J Gallagher & Co. 319,399 11,067
Senior Housing    
Properties Trust 465,005 10,993
RenaissanceRe    
Holdings Ltd. 133,179 10,822
Axis Capital Holdings Ltd. 302,135 10,466

 

      Market
      Value
    Shares ($000)
* Markel Corp. 24,089 10,441
  Reinsurance Group of    
  America Inc. Class A 194,177 10,392
  Zions Bancorporation 485,256 10,385
  DDR Corp. 641,234 10,042
  HCC Insurance    
  Holdings Inc. 265,308 9,872
  Duke Realty Corp. 710,750 9,858
* Genworth Financial Inc.    
  Class A 1,295,588 9,730
  Federal Realty    
  Investment Trust 84,391 8,778
  NASDAQ OMX Group Inc. 329,855 8,250
  Legg Mason Inc. 320,272 8,237
  Piedmont Office Realty    
  Trust Inc. Class A 445,040 8,033
  Cullen/Frost Bankers Inc. 145,529 7,898
  First Republic Bank 239,845 7,862
  Hospitality    
  Properties Trust 325,455 7,622
  White Mountains    
  Insurance Group Ltd. 14,752 7,597
  Assurant Inc. 213,551 7,410
  Validus Holdings Ltd. 211,860 7,326
  American Financial    
  Group Inc. 185,352 7,325
  Commerce    
  Bancshares Inc. 206,655 7,245
  Chimera Investment Corp. 2,705,976 7,063
  Jefferies Group Inc. 348,134 6,465
  Raymond James    
  Financial Inc. 154,469 5,952
  Hudson City Bancorp Inc. 625,580 5,086
^ WP Carey Inc. 81,014 4,225
  Weingarten    
  Realty Investors 151,277 4,050
  BOK Financial Corp. 71,529 3,896
  Jones Lang LaSalle Inc. 40,674 3,414
  Erie Indemnity Co.    
  Class A 37,441 2,592
      4,646,943
Health Care (12.7%)    
  Johnson & Johnson 7,263,108 509,144
  Pfizer Inc. 19,677,540 493,513
  Merck & Co. Inc. 8,023,321 328,475
  Abbott Laboratories 4,134,215 270,791
  Bristol-Myers Squibb Co. 4,423,150 144,150
  Eli Lilly & Co. 2,751,211 135,690
  Medtronic Inc. 2,700,248 110,764
  WellPoint Inc. 856,559 52,181
  Aetna Inc. 880,564 40,770
  Cardinal Health Inc. 898,291 36,992
  Humana Inc. 425,831 29,225
* Watson    
  Pharmaceuticals Inc. 336,239 28,916

 

38


 

Value Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Quest Diagnostics Inc. 418,420 24,381
* Life Technologies Corp. 462,007 22,675
* Boston Scientific Corp. 3,740,083 21,431
* CareFusion Corp. 584,851 16,715
  Coventry Health Care Inc. 352,769 15,815
* Hologic Inc. 697,593 13,973
* Hospira Inc. 435,107 13,593
  Omnicare Inc. 293,899 10,610
* Endo Health Solutions Inc. 307,831 8,087
  Universal Health Services    
  Inc. Class B 117,932 5,702
* Covance Inc. 50,960 2,944
* Bio-Rad Laboratories Inc.    
  Class A 18,213 1,913
      2,338,450
Industrials (8.8%)    
  General Electric Co. 27,816,271 583,864
  Honeywell    
  International Inc. 1,953,412 123,983
  Illinois Tool Works Inc. 1,111,430 67,586
  Eaton Corp. plc 1,220,276 66,139
  General Dynamics Corp. 789,931 54,719
  Caterpillar Inc. 602,301 53,954
  Raytheon Co. 874,545 50,339
  Northrop Grumman Corp. 618,659 41,809
  Waste Management Inc. 1,159,997 39,138
  Norfolk Southern Corp. 546,895 33,820
  Lockheed Martin Corp. 363,102 33,511
  Parker Hannifin Corp. 393,597 33,479
  Dover Corp. 481,535 31,642
  Stanley Black &    
  Decker Inc. 420,592 31,111
  Pentair Ltd. 552,377 27,149
  Republic Services Inc.    
  Class A 818,351 24,002
  Rockwell Collins Inc. 355,862 20,700
  L-3 Communications    
  Holdings Inc. 254,296 19,484
  CSX Corp. 959,379 18,929
  Cummins Inc. 166,865 18,080
  Equifax Inc. 315,889 17,096
* Quanta Services Inc. 551,345 15,046
* Jacobs Engineering    
  Group Inc. 341,862 14,553
* Hertz Global Holdings Inc. 832,381 13,543
  Xylem Inc. 489,074 13,254
* AGCO Corp. 256,188 12,584
  Cintas Corp. 300,072 12,273
  Snap-on Inc. 153,236 12,104
  Hubbell Inc. Class B 137,525 11,639
  Iron Mountain Inc. 374,588 11,631
  KBR Inc. 388,265 11,617
  Timken Co. 218,006 10,427
  Southwest Airlines Co. 979,176 10,027
  SPX Corp. 133,619 9,373

 

      Market
      Value
    Shares ($000)
  Avery Dennison Corp. 267,365 9,336
  Manpower Inc. 208,968 8,869
  Towers Watson & Co.    
  Class A 154,862 8,705
  URS Corp. 202,451 7,948
  Joy Global Inc. 97,546 6,221
  Robert Half    
  International Inc. 177,289 5,641
  Pitney Bowes Inc. 527,783 5,616
  Masco Corp. 331,504 5,523
* Spirit Aerosystems    
  Holdings Inc. Class A 314,368 5,335
  IDEX Corp. 109,633 5,101
^ RR Donnelley & Sons Co. 473,967 4,266
      1,621,166
Information Technology (8.7%)  
  Microsoft Corp. 12,919,795 345,346
  Cisco Systems Inc. 14,112,062 277,302
  Intel Corp. 13,179,787 271,899
  Hewlett-Packard Co. 5,194,396 74,020
  Corning Inc. 3,922,512 49,502
  Texas Instruments Inc. 1,498,559 46,365
  TE Connectivity Ltd. 1,126,883 41,830
  Dell Inc. 3,884,028 39,345
  Applied Materials Inc. 3,259,897 37,293
  Seagate Technology plc 941,491 28,697
  Automatic Data    
  Processing Inc. 446,466 25,453
  Western Digital Corp. 586,490 24,920
  Xerox Corp. 3,445,420 23,498
  Maxim Integrated    
  Products Inc. 769,166 22,614
  Fidelity National    
  Information Services Inc. 621,142 21,622
  KLA-Tencor Corp. 438,849 20,959
  Linear Technology Corp. 606,891 20,816
  CA Inc. 865,344 19,020
* SanDisk Corp. 413,341 18,005
  Paychex Inc. 559,278 17,416
  Microchip Technology Inc. 510,435 16,635
  Computer Sciences Corp. 409,324 16,393
  Harris Corp. 298,389 14,609
  Activision Blizzard Inc. 1,171,304 12,439
* Avnet Inc. 372,421 11,400
* Lam Research Corp. 312,249 11,282
* Arrow Electronics Inc. 286,719 10,918
  NVIDIA Corp. 816,242 10,032
  Jabil Circuit Inc. 487,346 9,401
  Marvell Technology    
  Group Ltd. 1,262,083 9,163
  Total System    
  Services Inc. 421,285 9,024
* ON Semiconductor Corp. 1,200,594 8,464
  SAIC Inc. 720,313 8,154
* Electronic Arts Inc. 545,120 7,921

 

39


 

Value Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* Flextronics    
  International Ltd. 1,139,428 7,076
* Synopsys Inc. 196,357 6,252
  Molex Inc. 175,868 4,806
  Molex Inc. Class A 191,294 4,270
      1,604,161
Materials (4.5%)    
  EI du Pont de Nemours    
  & Co. 2,450,930 110,218
  Dow Chemical Co. 3,156,155 102,007
  Freeport-McMoRan    
  Copper & Gold Inc. 2,500,625 85,521
  LyondellBasell Industries    
  NV Class A 833,028 47,558
  Air Products &    
  Chemicals Inc. 557,600 46,850
  Mosaic Co. 813,748 46,083
  International Paper Co. 1,094,416 43,602
  Nucor Corp. 836,196 36,107
  Eastman Chemical Co. 402,674 27,402
  Alcoa Inc. 2,809,059 24,383
  CF Industries    
  Holdings Inc. 107,409 21,821
  Newmont Mining Corp. 457,696 21,255
  Ashland Inc. 206,942 16,640
  Airgas Inc. 172,539 15,751
  MeadWestvaco Corp. 457,529 14,581
  Cliffs Natural    
  Resources Inc. 375,555 14,481
  International Flavors    
  & Fragrances Inc. 214,682 14,285
  Reliance Steel &    
  Aluminum Co. 198,321 12,316
  Martin Marietta    
  Materials Inc. 120,814 11,390
  Rockwood Holdings Inc. 195,981 9,693
  Bemis Co. Inc. 272,156 9,106
  United States Steel Corp. 379,272 9,053
* Owens-Illinois Inc. 413,200 8,789
  Huntsman Corp. 545,294 8,670
  Sealed Air Corp. 486,041 8,511
  Sigma-Aldrich Corp. 111,331 8,192
  Allegheny    
  Technologies Inc. 268,129 8,140
  Sonoco Products Co. 265,101 7,881
  Domtar Corp. 92,293 7,708
  Steel Dynamics Inc. 548,395 7,530
  Rock-Tenn Co. Class A 93,177 6,514
  Vulcan Materials Co. 119,279 6,209
  Walter Energy Inc. 164,510 5,903
  Aptargroup Inc. 113,812 5,431
  Westlake Chemical Corp. 26,396 2,093
      831,674

 

    Market
    Value
  Shares ($000)
Telecommunication Services (5.2%)  
AT&T Inc. 15,197,819 512,319
Verizon    
Communications Inc. 7,505,048 324,743
CenturyLink Inc. 1,640,217 64,165
* Sprint Nextel Corp. 3,954,077 22,420
Windstream Corp. 1,548,216 12,819
Frontier    
Communications Corp. 2,631,618 11,263
* MetroPCS    
Communications Inc. 405,932 4,035
* United States Cellular Corp. 34,136 1,203
    952,967
Utilities (6.7%)    
Duke Energy Corp. 1,854,901 118,343
Southern Co. 2,304,499 98,656
Dominion Resources Inc. 1,510,374 78,237
NextEra Energy Inc. 1,057,994 73,203
Exelon Corp. 2,248,511 66,871
American Electric Power    
Co. Inc. 1,277,320 54,516
FirstEnergy Corp. 1,101,634 46,004
PG&E Corp. 1,123,371 45,137
PPL Corp. 1,529,825 43,799
Sempra Energy 604,849 42,908
Consolidated Edison Inc. 771,533 42,851
Public Service Enterprise    
Group Inc. 1,332,646 40,779
Edison International 815,310 36,844
Xcel Energy Inc. 1,284,279 34,303
Northeast Utilities 826,628 32,305
Entergy Corp. 467,297 29,790
DTE Energy Co. 452,626 27,180
Wisconsin Energy Corp. 607,393 22,382
ONEOK Inc. 513,453 21,950
CenterPoint Energy Inc. 1,070,153 20,600
Ameren Corp. 639,426 19,643
NRG Energy Inc. 849,452 19,529
NiSource Inc. 750,927 18,691
AES Corp. 1,675,723 17,930
American Water Works    
Co. Inc. 464,956 17,264
CMS Energy Corp. 698,413 17,027
SCANA Corp. 328,759 15,004
Pinnacle West Capital Corp. 288,694 14,718
OGE Energy Corp. 259,972 14,639
Alliant Energy Corp. 292,444 12,841
AGL Resources Inc. 309,641 12,376
Pepco Holdings Inc. 603,155 11,828
NV Energy Inc. 621,952 11,282
Integrys Energy Group Inc. 206,320 10,774
MDU Resources Group Inc. 472,731 10,041
UGI Corp. 296,340 9,693

 

40


 

Value Index Fund    
 
 
 
    Market
    Value
  Shares ($000)
National Fuel Gas Co. 186,559 9,457
Aqua America Inc. 368,097 9,357
TECO Energy Inc. 542,158 9,087
* Calpine Corp. 399,405 7,241
    1,245,080
Total Common Stocks    
(Cost $17,819,776)   18,430,912
Temporary Cash Investment (0.1%)  
Money Market Fund (0.1%)    
1,2 Vanguard Market    
Liquidity Fund, 0.162%    
(Cost $13,786) 13,785,508 13,786
Total Investments (100.1%)    
(Cost $17,833,562)   18,444,698
Other Assets and Liabilities (-0.1%)  
Other Assets   65,473
Liabilities2   (82,029)
    (16,556)
Net Assets (100%)   18,428,142

 

At December 31, 2012, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 19,359,537
Overdistributed Net Investment Income (16,519)
Accumulated Net Realized Losses (1,526,012)
Unrealized Appreciation (Depreciation) 611,136
Net Assets 18,428,142
 
 
Investor Shares—Net Assets  
Applicable to 64,613,089 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 1,481,862
Net Asset Value Per Share—  
Investor Shares $22.93

 

  Amount
  ($000)
Admiral Shares—Net Assets  
Applicable to 154,351,795 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 3,539,490
Net Asset Value Per Share—  
Admiral Shares $22.93
 
 
Signal Shares—Net Assets  
Applicable to 84,280,684 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 2,011,031
Net Asset Value Per Share—  
Signal Shares $23.86
 
 
Institutional Shares—Net Assets  
Applicable to 190,517,353 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 4,368,778
Net Asset Value Per Share—  
Institutional Shares $22.93
 
 
ETF Shares—Net Assets  
Applicable to 119,534,485 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 7,026,981
Net Asset Value Per Share—  
ETF Shares $58.79

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $10,613,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $10,842,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.

41


 

Value Index Fund

Statement of Operations

  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 499,376
Interest1 8
Security Lending 1,312
Total Income 500,696
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,049
Management and Administrative—Investor Shares 3,190
Management and Administrative—Admiral Shares 2,533
Management and Administrative—Signal Shares 1,123
Management and Administrative—Institutional Shares 1,986
Management and Administrative—ETF Shares 3,888
Marketing and Distribution—Investor Shares 450
Marketing and Distribution—Admiral Shares 517
Marketing and Distribution—Signal Shares 457
Marketing and Distribution—Institutional Shares 926
Marketing and Distribution—ETF Shares 1,515
Custodian Fees 320
Auditing Fees 30
Shareholders’ Reports—Investor Shares 59
Shareholders’ Reports—Admiral Shares 31
Shareholders’ Reports—Signal Shares 14
Shareholders’ Reports—Institutional Shares 70
Shareholders’ Reports—ETF Shares 193
Trustees’ Fees and Expenses 16
Total Expenses 18,367
Net Investment Income 482,329
Realized Net Gain (Loss) on Investment Securities Sold 583,872
Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,269,213
Net Increase (Decrease) in Net Assets Resulting from Operations 2,335,414
1 Interest income from an affiliated company of the fund was $8,000.  

 

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

42


 

Value Index Fund

Statement of Changes in Net Assets

  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 482,329 392,460
Realized Net Gain (Loss) 583,872 1,096,053
Change in Unrealized Appreciation (Depreciation) 1,269,213 (1,314,951)
Net Increase (Decrease) in Net Assets Resulting from Operations 2,335,414 173,562
Distributions    
Net Investment Income    
Investor Shares (40,486) (49,270)
Admiral Shares (95,460) (82,151)
Signal Shares (50,325) (35,324)
Institutional Shares (120,114) (92,665)
ETF Shares (176,096) (130,797)
Realized Capital Gain    
Investor Shares
Admiral Shares
Signal Shares
Institutional Shares
ETF Shares
Total Distributions (482,481) (390,207)
Capital Share Transactions    
Investor Shares (538,521) (493,934)
Admiral Shares 49,830 76,079
Signal Shares 357,771 479,877
Institutional Shares 484,020 48,177
ETF Shares 1,327,951 803,624
Net Increase (Decrease) from Capital Share Transactions 1,681,051 913,823
Total Increase (Decrease) 3,533,984 697,178
Net Assets    
Beginning of Period 14,894,158 14,196,980
End of Period1 18,428,142 14,894,158
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($16,519,000) and ($16,367,000).

 

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

43


 

Value Index Fund

Financial Highlights

Investor Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $20.47 $20.79 $18.63 $16.08 $25.94
Investment Operations          
Net Investment Income .595 .521 .459 .498 .660
Net Realized and Unrealized Gain (Loss)          
on Investments 2.458 (.325) 2.163 2.561 (9.863)
Total from Investment Operations 3.053 .196 2.622 3.059 (9.203)
Distributions          
Dividends from Net Investment Income (.593) (.516) (.462) (.509) (.657)
Distributions from Realized Capital Gains
Total Distributions (.593) (.516) (.462) (.509) (.657)
Net Asset Value, End of Period $22.93 $20.47 $20.79 $18.63 $16.08
 
Total Return1 15.00% 1.00% 14.28% 19.58% -35.97%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,482 $1,814 $2,317 $3,357 $2,618
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.26% 0.21%
Ratio of Net Investment Income to          
Average Net Assets 2.71% 2.52% 2.43% 3.09% 3.14%
Portfolio Turnover Rate2 22% 23% 27% 31% 27%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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.

44


 

Value Index Fund

Financial Highlights

Admiral Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $20.47 $20.79 $18.63 $16.08 $25.94
Investment Operations          
Net Investment Income .629 .551 .488 .517 .681
Net Realized and Unrealized Gain (Loss)          
on Investments 2.458 (.325) 2.162 2.562 (9.863)
Total from Investment Operations 3.087 .226 2.650 3.079 (9.182)
Distributions          
Dividends from Net Investment Income (.627) (.546) (.490) (.529) (.678)
Distributions from Realized Capital Gains
Total Distributions (.627) (.546) (.490) (.529) (.678)
Net Asset Value, End of Period $22.93 $20.47 $20.79 $18.63 $16.08
 
Total Return1 15.18% 1.14% 14.45% 19.72% -35.90%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,539 $3,116 $3,082 $1,421 $1,262
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.11%
Ratio of Net Investment Income to          
Average Net Assets 2.85% 2.66% 2.57% 3.21% 3.24%
Portfolio Turnover Rate2 22% 23% 27% 31% 27%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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


 

Value Index Fund

Financial Highlights

Signal Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $21.30 $21.63 $19.38 $16.73 $27.00
Investment Operations          
Net Investment Income .654 .574 .508 .538 .710
Net Realized and Unrealized Gain (Loss)          
on Investments 2.558 (.335) 2.252 2.663 (10.274)
Total from Investment Operations 3.212 .239 2.760 3.201 (9.564)
Distributions          
Dividends from Net Investment Income (.652) (.569) (.510) (.551) (.706)
Distributions from Realized Capital Gains
Total Distributions (.652) (.569) (.510) (.551) (.706)
Net Asset Value, End of Period $23.86 $21.30 $21.63 $19.38 $16.73
 
Total Return 15.18% 1.16% 14.46% 19.70% -35.93%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,011 $1,467 $1,018 $907 $638
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.11%
Ratio of Net Investment Income to          
Average Net Assets 2.85% 2.66% 2.57% 3.21% 3.24%
Portfolio Turnover Rate1 22% 23% 27% 31% 27%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

46


 

Value Index Fund

Financial Highlights

Institutional Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $20.47 $20.79 $18.63 $16.08 $25.94
Investment Operations          
Net Investment Income .633 .556 .496 .527 .690
Net Realized and Unrealized Gain (Loss)          
on Investments 2.458 (.325) 2.162 2.562 (9.864)
Total from Investment Operations 3.091 .231 2.658 3.089 (9.174)
Distributions          
Dividends from Net Investment Income (.631) (.551) (.498) (.539) (.686)
Distributions from Realized Capital Gains
Total Distributions (.631) (.551) (.498) (.539) (.686)
Net Asset Value, End of Period $22.93 $20.47 $20.79 $18.63 $16.08
 
Total Return 15.20% 1.17% 14.49% 19.79% -35.88%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $4,369 $3,449 $3,450 $2,812 $1,992
Ratio of Total Expenses to          
Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.07%
Ratio of Net Investment Income to          
Average Net Assets 2.87% 2.68% 2.61% 3.27% 3.28%
Portfolio Turnover Rate1 22% 23% 27% 31% 27%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

47


 

Value Index Fund

Financial Highlights

ETF Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $52.48 $53.29 $47.75 $41.21 $66.51
Investment Operations          
Net Investment Income 1.613 1.414 1.252 1.324 1.754
Net Realized and Unrealized Gain (Loss)          
on Investments 6.305 (.821) 5.545 6.573 (25.311)
Total from Investment Operations 7.918 .593 6.797 7.897 (23.557)
Distributions          
Dividends from Net Investment Income (1.608) (1.403) (1.257) (1.357) (1.743)
Distributions from Realized Capital Gains
Total Distributions (1.608) (1.403) (1.257) (1.357) (1.743)
Net Asset Value, End of Period $58.79 $52.48 $53.29 $47.75 $41.21
 
Total Return 15.19% 1.16% 14.45% 19.72% -35.91%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $7,027 $5,049 $4,330 $3,145 $2,165
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.14% 0.10%
Ratio of Net Investment Income to          
Average Net Assets 2.85% 2.66% 2.57% 3.21% 3.25%
Portfolio Turnover Rate1 22% 23% 27% 31% 27%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

48


 

Value Index Fund

Notes to Financial Statements

Vanguard Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

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

2. Federal Income Taxes: The fund intends to 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 (December 31, 2009–2012), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

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

4. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed

49


 

Value Index Fund

capital of $2,472,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.99% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

At December 31, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.

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

During the year ended December 31, 2012, the fund realized $524,026,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $4,414,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $67,045,000 to offset taxable capital gains realized during the year ended December 31, 2012. At December 31, 2012, the fund had available capital losses totaling $1,525,636,000 to offset future net capital gains. Of this amount, $1,518,501,000 is subject to expiration on December 31, 2017. Capital losses of $7,135,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $17,833,939,000. Net unrealized appreciation of investment securities for tax purposes was $610,759,000, consisting of unrealized gains of $2,019,083,000 on securities that had risen in value since their purchase and $1,408,324,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the year ended December 31, 2012, the fund purchased $7,331,815,000 of investment securities and sold $5,631,612,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,217,619,000 and $1,906,998,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

50


 

Value Index Fund

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 263,810 11,888 368,539 17,523
Issued in Lieu of Cash Distributions 38,404 1,711 47,218 2,327
Redeemed (840,735) (37,593) (909,691) (42,688)
Net Increase (Decrease) —Investor Shares (538,521) (23,994) (493,934) (22,838)
Admiral Shares        
Issued 398,762 17,922 417,107 20,195
Issued in Lieu of Cash Distributions 84,832 3,775 73,106 3,613
Redeemed (433,764) (19,522) (414,134) (19,900)
Net Increase (Decrease) —Admiral Shares 49,830 2,175 76,079 3,908
Signal Shares        
Issued 740,791 32,096 828,438 37,846
Issued in Lieu of Cash Distributions 41,738 1,783 30,038 1,431
Redeemed (424,758) (18,449) (378,599) (17,473)
Net Increase (Decrease)—Signal Shares 357,771 15,430 479,877 21,804
Institutional Shares        
Issued 1,186,579 53,648 647,946 30,995
Issued in Lieu of Cash Distributions 114,935 5,113 86,882 4,295
Redeemed (817,494) (36,688) (686,651) (32,819)
Net Increase (Decrease) —Institutional Shares 484,020 22,073 48,177 2,471
ETF Shares        
Issued 3,242,989 57,134 1,423,420 26,848
Issued in Lieu of Cash Distributions
Redeemed (1,915,038) (33,800) (619,796) (11,900)
Net Increase (Decrease)—ETF Shares 1,327,951 23,334 803,624 14,948

 

G. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced an upcoming change in the fund’s benchmark index from the MSCI US Prime Market Value Index to the CRSP US Large Cap Value Index. The fund’s investment objective is not changing. The transition to the new benchmark is expected to be completed over several months, and will require some turnover of holdings with resulting transaction costs. Vanguard will seek to minimize trading impact through efficient portfolio trading.

51


 

Large-Cap Index Fund

Fund Profile
As of December 31, 2012

Share-Class Characteristics          
  Investor Admiral Signal Institutional ETF
  Shares Shares Shares Shares Shares
Ticker Symbol VLACX VLCAX VLCSX VLISX VV
Expense Ratio1 0.24% 0.10% 0.10% 0.08% 0.10%
30-Day SEC Yield 1.99% 2.13% 2.13% 2.15% 2.13%

 

Portfolio Characteristics    
      DJ U.S.
    MSCI US Total
    Prime Market Market
  Fund 750 Index FA Index
Number of Stocks 753 753 3,604
Median Market Cap $46.0B $46.0B $35.1B
Price/Earnings Ratio 16.2x 16.2x 16.8x
Price/Book Ratio 2.2x 2.2x 2.1x
Return on Equity 18.2% 18.2% 17.1%
Earnings Growth Rate 10.1% 10.1% 9.7%
Dividend Yield 2.2% 2.2% 2.1%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate 8%
Short-Term Reserves 0.1%

 

Volatility Measures    
    DJ
    U.S.
    Total
  MSCI US Market
  Prime Market FA
  750 Index Index
R-Squared 1.00 1.00
Beta 1.00 0.98

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. Computer Hardware 3.6%
Exxon Mobil Corp. Integrated Oil & Gas 2.9
General Electric Co. Industrial  
  Conglomerates 1.6
Chevron Corp. Integrated Oil & Gas 1.5
International Business IT Consulting &  
Machines Corp. Other Services 1.5
Microsoft Corp. Systems Software 1.4
AT&T Inc. Integrated  
  Telecommunication  
  Services 1.4
Johnson & Johnson Pharmaceuticals 1.4
Pfizer Inc. Pharmaceuticals 1.3
Procter & Gamble Co. Household Products 1.3
Top Ten   17.9%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.

52


 

Large-Cap Index Fund

Sector Diversification (% of equity exposure)
    MSCI US DJ U.S.
    Prime Total
    Market Market FA
  Fund 750 Index Index
Consumer Discretionary 12.3% 12.3% 12.3%
Consumer Staples 10.2 10.2 9.3
Energy 10.8 10.8 10.2
Financials 15.6 15.6 16.9
Health Care 11.8 11.8 11.7
Industrials 10.4 10.4 11.1
Information Technology 18.7 18.7 18.3
Materials 3.9 3.9 4.0
Telecommunication      
Services 2.9 2.9 2.7
Utilities 3.4 3.4 3.5

 

53


 

Large-Cap 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: January 30, 2004, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
 
      Since Final Value
  One Five Inception of a $10,000
  Year Years (1/30/2004) Investment
Large-Cap Index Fund Investor        
Shares 15.94% 1.77% 5.05% $15,518
MSCI US Prime Market 750 Index 16.18 1.95 5.22 15,741
Large-Cap Core Funds Average 14.94 0.50 3.48 13,572
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.38 15,962

Large-Cap Core Funds Average: Derived from data provided by Lipper Inc.

"Since Inception" performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standards.

      Since Final Value
  One Five Inception of a $10,000
  Year Years (2/2/2004) Investment
Large-Cap Index Fund Admiral Shares 16.06% 1.90% 5.14% $15,625
MSCI US Prime Market 750 Index 16.18 1.95 5.18 15,688
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.35 15,916
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.

 

See Financial Highlights for dividend and capital gains information.

54


 

Large-Cap Index Fund

    Average Annual Total Returns  
  Periods Ended December 31, 2012  
      Since Final Value
  One Five Inception of a $10,000
  Year Years (8/30/2007) Investment
Large-Cap Index Fund Signal Shares 16.07% 1.91% 2.14% $11,194
MSCI US Prime Market 750 Index 16.18 1.95 2.17 11,214
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 2.34 11,313
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.

 

      Since Final Value
  One Five Inception of a $5,000,000
  Year Years (6/30/2005) Investment
Large-Cap Index Fund Institutional Shares 16.11% 1.94% 4.97% $7,195,797
MSCI US Prime Market 750 Index 16.18 1.95 4.98 7,201,946
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.08 7,250,891
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.

 

      Since Final Value
  One Five Inception of a $10,000
  Year Years (1/27/2004) Investment
Large-Cap Index Fund        
ETF Shares Net Asset Value 16.09% 1.91% 5.05% $15,524
MSCI US Prime Market 750 Index 16.18 1.95 5.08 15,567
Dow Jones U.S. Total Stock Market        
Float-Adjusted Index 16.38 2.21 5.23 15,758
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

55


 

Large-Cap Index Fund

Cumulative Returns of ETF Shares: January 27, 2004, Through December 31, 2012

      Since
  One Five Inception
  Year Years (1/27/2004)
Large-Cap Index Fund ETF Shares Market      
Price 16.10% 10.13% 55.20%
Large-Cap Index Fund ETF Shares Net Asset      
Value 16.09 9.93 55.24
MSCI US Prime Market 750 Index 16.18 10.11 55.67
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard.  

 

Fiscal-Year Total Returns (%): January 30, 2004, Through December 31, 2012


Large-Cap Index Fund Investor Shares
MSCI US Prime Market 750 Index

 

56


 

Large-Cap Index Fund

Financial Statements

Statement of Net Assets
As of December 31, 2012

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 (12.3%)  
  Home Depot Inc. 671,947 41,560
* Amazon.com Inc. 161,215 40,488
  McDonald’s Corp. 449,494 39,650
  Walt Disney Co. 760,006 37,841
  Comcast Corp. Class A 908,576 33,963
  News Corp. Class A 846,493 21,619
  Ford Motor Co. 1,585,543 20,533
  Time Warner Inc. 423,186 20,241
  Lowe’s Cos. Inc. 524,753 18,639
  Starbucks Corp. 338,915 18,173
  NIKE Inc. Class B 324,664 16,753
  Target Corp. 277,476 16,418
* DIRECTV 279,954 14,043
  TJX Cos. Inc. 328,279 13,935
* priceline.com Inc. 22,225 13,806
  Yum! Brands Inc. 203,273 13,497
  Time Warner Cable Inc. 136,662 13,282
  Viacom Inc. Class B 206,709 10,902
  Comcast Corp. 291,383 10,475
  CBS Corp. Class B 265,853 10,116
* General Motors Co. 348,790 10,056
  Johnson Controls Inc. 304,612 9,352
  Las Vegas Sands Corp. 183,521 8,471
  Carnival Corp. 199,136 7,322
  Coach Inc. 126,981 7,049
  Macy’s Inc. 179,299 6,996
  McGraw-Hill Cos. Inc. 112,288 6,139
  VF Corp. 39,147 5,910
  Omnicom Group Inc. 118,249 5,908
* Bed Bath & Beyond Inc. 103,543 5,789
  Mattel Inc. 151,815 5,559
  Ross Stores Inc. 100,474 5,441
* Liberty Media Corp. -    
  Liberty Capital Class A 46,429 5,386
* AutoZone Inc. 15,003 5,318
* Delphi Automotive plc 136,638 5,226
* Dollar General Corp. 117,005 5,159

 

      Market
      Value
    Shares ($000)
  Limited Brands Inc. 108,757 5,118
  Starwood Hotels &    
  Resorts Worldwide Inc. 87,503 5,019
  Harley-Davidson Inc. 101,480 4,956
  Sirius XM Radio Inc. 1,707,670 4,935
* O’Reilly Automotive Inc. 53,077 4,746
* Liberty Interactive Corp.    
  Class A 229,460 4,516
  Genuine Parts Co. 69,078 4,392
  Gap Inc. 139,168 4,320
  Marriott International Inc.    
  Class A 114,943 4,284
  Kohl’s Corp. 99,235 4,265
* Chipotle Mexican Grill Inc.    
  Class A 14,114 4,198
  Virgin Media Inc. 113,652 4,177
* Dollar Tree Inc. 102,553 4,160
* Discovery Communications    
  Inc. Class A 64,917 4,121
  Ralph Lauren Corp. Class A 26,910 4,034
  Wynn Resorts Ltd. 35,816 4,029
* Liberty Global Inc. Class A 61,068 3,847
  Nordstrom Inc. 71,584 3,830
* CarMax Inc. 101,685 3,817
* BorgWarner Inc. 50,960 3,650
  Whirlpool Corp. 34,501 3,510
  PVH Corp. 31,483 3,495
  Staples Inc. 303,925 3,465
  DISH Network Corp.    
  Class A 94,489 3,439
* Lululemon Athletica Inc. 44,852 3,419
  Wyndham Worldwide Corp. 63,268 3,366
  PetSmart Inc. 48,127 3,289
  Tiffany & Co. 56,382 3,233
* Liberty Global Inc. 49,584 2,913
  Newell Rubbermaid Inc. 128,607 2,864
  Autoliv Inc. 42,435 2,860
  Family Dollar Stores Inc. 44,239 2,805
* PulteGroup Inc. 153,833 2,794
  Tractor Supply Co. 31,553 2,788

 

57


 

Large-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* LKQ Corp. 131,938 2,784
  Lennar Corp. Class A 71,001 2,746
  Expedia Inc. 43,728 2,687
  Ulta Salon Cosmetics &    
  Fragrance Inc. 26,616 2,615
  Darden Restaurants Inc. 57,032 2,570
  DR Horton Inc. 127,962 2,531
* TRW Automotive    
  Holdings Corp. 46,151 2,474
* Discovery    
  Communications Inc. 42,180 2,468
  Polaris Industries Inc. 28,927 2,434
* Mohawk Industries Inc. 26,316 2,381
  Advance Auto Parts Inc. 32,604 2,359
  H&R Block Inc. 121,289 2,252
  Scripps Networks    
  Interactive Inc. Class A 38,426 2,226
* Toll Brothers Inc. 67,723 2,189
* Netflix Inc. 23,499 2,180
  Foot Locker Inc. 67,481 2,167
* Fossil Inc. 23,210 2,161
  Interpublic Group of    
  Cos. Inc. 195,633 2,156
  Royal Caribbean Cruises Ltd. 63,362 2,154
^ Garmin Ltd. 52,006 2,123
* TripAdvisor Inc. 49,006 2,056
* Urban Outfitters Inc. 52,058 2,049
  Lear Corp. 43,562 2,040
* Panera Bread Co. Class A 12,627 2,006
* NVR Inc. 2,174 2,000
  Dick’s Sporting Goods Inc. 43,302 1,970
  Signet Jewelers Ltd. 36,007 1,923
* MGM Resorts International 164,128 1,910
* Sally Beauty Holdings Inc. 80,134 1,889
  Hasbro Inc. 52,105 1,871
  Gannett Co. Inc. 103,002 1,855
  Abercrombie & Fitch Co. 36,766 1,764
* Jarden Corp. 33,770 1,746
  Williams-Sonoma Inc. 39,736 1,739
* Under Armour Inc. Class A 35,338 1,715
  Leggett & Platt Inc. 62,579 1,703
  International Game    
  Technology 118,953 1,686
  American Eagle    
  Outfitters Inc. 78,739 1,615
  Tupperware Brands Corp. 24,949 1,599
  Dunkin’ Brands Group Inc. 46,909 1,556
  Best Buy Co. Inc. 129,604 1,536
* Goodyear Tire & Rubber Co. 108,908 1,504
  JC Penney Co. Inc. 72,914 1,437
  GameStop Corp. Class A 55,771 1,399
* Charter Communications    
  Inc. Class A 17,901 1,365
  Harman International    
  Industries Inc. 30,097 1,344

 

      Market
      Value
    Shares ($000)
  Cablevision Systems Corp.    
  Class A 85,758 1,281
  News Corp. Class B 47,467 1,246
  Gentex Corp. 64,946 1,222
* Lamar Advertising Co.    
  Class A 28,169 1,092
* Apollo Group Inc. Class A 45,903 960
* Tempur-Pedic    
  International Inc. 26,854 846
* Hyatt Hotels Corp. Class A 20,879 805
  Washington Post Co.    
  Class B 2,104 768
  Guess? Inc. 30,697 753
* Sears Holdings Corp. 16,922 700
  Weight Watchers    
  International Inc. 12,681 664
* AutoNation Inc. 16,257 645
  Burger King Worldwide Inc. 31,718 521
  Allison Transmission    
  Holdings Inc. 16,531 338
      766,444
Consumer Staples (10.2%)    
  Procter & Gamble Co. 1,229,139 83,446
  Coca-Cola Co. 1,810,188 65,619
  Philip Morris    
  International Inc. 751,445 62,851
  Wal-Mart Stores Inc. 829,576 56,602
  PepsiCo Inc. 693,755 47,474
  Altria Group Inc. 906,415 28,480
  CVS Caremark Corp. 567,305 27,429
  Colgate-Palmolive Co. 211,446 22,105
  Mondelez International    
  Inc. Class A 751,748 19,147
  Costco Wholesale Corp. 192,793 19,042
  Kimberly-Clark Corp. 176,107 14,869
  Walgreen Co. 398,962 14,766
  General Mills Inc. 289,142 11,684
  Kraft Foods Group Inc. 250,384 11,385
  Sysco Corp. 261,289 8,272
  HJ Heinz Co. 142,795 8,236
  Archer-Daniels-Midland Co. 293,402 8,036
  Whole Foods Market Inc. 78,263 7,148
  Lorillard Inc. 58,149 6,784
  Estee Lauder Cos. Inc.    
  Class A 104,834 6,275
  Reynolds American Inc. 151,139 6,262
  Kellogg Co. 111,557 6,230
  Kroger Co. 230,496 5,998
  Mead Johnson Nutrition Co. 90,707 5,977
  ConAgra Foods Inc. 180,806 5,334
  Hershey Co. 70,089 5,062
  Bunge Ltd. 64,986 4,724
  JM Smucker Co. 49,196 4,243
  Coca-Cola Enterprises Inc. 131,154 4,162

 

58


 

Large-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Dr Pepper Snapple    
  Group Inc. 93,794 4,144
  Clorox Co. 54,769 4,010
  Beam Inc. 63,440 3,876
* Monster Beverage Corp. 66,783 3,532
  Brown-Forman Corp.    
  Class B 54,358 3,438
  McCormick & Co. Inc. 53,460 3,396
  Church & Dwight Co. Inc. 61,984 3,320
  Campbell Soup Co. 84,417 2,945
  Molson Coors Brewing Co.    
  Class B 66,405 2,841
  Avon Products Inc. 192,368 2,762
  Tyson Foods Inc. Class A 129,983 2,522
* Green Mountain Coffee    
  Roasters Inc. 58,826 2,433
* Constellation Brands Inc.    
  Class A 68,463 2,423
  Energizer Holdings Inc. 28,622 2,289
* Ralcorp Holdings Inc. 24,700 2,214
  Ingredion Inc. 33,911 2,185
  Hormel Foods Corp. 65,068 2,031
  Safeway Inc. 106,610 1,929
  Herbalife Ltd. 50,172 1,653
  Hillshire Brands Co. 52,893 1,488
* Smithfield Foods Inc. 64,972 1,401
      634,474
Energy (10.7%)    
  Exxon Mobil Corp. 2,057,654 178,090
  Chevron Corp. 874,658 94,586
  Schlumberger Ltd. 591,549 40,988
  ConocoPhillips 514,343 29,827
  Occidental    
  Petroleum Corp. 361,075 27,662
  Anadarko Petroleum Corp. 222,860 16,561
  EOG Resources Inc. 120,415 14,545
  Halliburton Co. 413,703 14,351
  Phillips 66 265,604 14,104
  Apache Corp. 174,515 13,699
  National Oilwell Varco Inc. 190,218 13,001
  Kinder Morgan Inc. 287,716 10,165
  Williams Cos. Inc. 300,269 9,831
  Marathon Oil Corp. 314,260 9,635
  Marathon Petroleum Corp. 150,920 9,508
  Devon Energy Corp. 171,405 8,920
  Valero Energy Corp. 245,734 8,384
  Noble Energy Inc. 79,351 8,073
  Baker Hughes Inc. 195,778 7,996
  Spectra Energy Corp. 290,815 7,963
  Hess Corp. 136,915 7,251
* Cameron    
  International Corp. 109,672 6,192
  Ensco plc Class A 103,350 6,127
  Pioneer Natural    
  Resources Co. 52,051 5,548

 

      Market
      Value
    Shares ($000)
* Southwestern Energy Co. 155,450 5,194
  Chesapeake Energy Corp. 296,374 4,926
  Murphy Oil Corp. 82,188 4,894
  Cabot Oil & Gas Corp. 93,530 4,652
* FMC Technologies Inc. 106,107 4,545
  Range Resources Corp. 72,294 4,542
  HollyFrontier Corp. 86,090 4,007
  EQT Corp. 66,636 3,930
  Noble Corp. 112,515 3,918
* Weatherford    
  International Ltd. 337,819 3,780
* Concho Resources Inc. 44,071 3,550
* Kinder Morgan    
  Management LLC 44,920 3,390
  CONSOL Energy Inc. 101,314 3,252
  Peabody Energy Corp. 119,444 3,178
* Denbury Resources Inc. 174,182 2,822
  Tesoro Corp. 62,240 2,742
* Plains Exploration &    
  Production Co. 57,452 2,697
  Helmerich & Payne Inc. 46,993 2,632
  Oceaneering    
  International Inc. 47,981 2,581
  QEP Resources Inc. 79,095 2,394
  Core Laboratories NV 21,068 2,303
* Whiting Petroleum Corp. 52,297 2,268
  Cimarex Energy Co. 38,250 2,208
  Diamond Offshore    
  Drilling Inc. 30,892 2,099
* Cobalt International    
  Energy Inc. 82,847 2,035
* Dresser-Rand Group Inc. 33,835 1,899
* Nabors Industries Ltd. 129,986 1,878
* Rowan Cos. plc Class A 55,828 1,746
* Oil States International Inc. 24,300 1,738
* Newfield Exploration Co. 60,028 1,608
  SM Energy Co. 28,937 1,511
* Continental Resources Inc. 20,284 1,491
* Superior Energy    
  Services Inc. 70,643 1,464
  Energen Corp. 32,098 1,447
* WPX Energy Inc. 88,559 1,318
  Patterson-UTI Energy Inc. 68,063 1,268
* Ultra Petroleum Corp. 68,077 1,234
* McDermott    
  International Inc. 105,976 1,168
* SandRidge Energy Inc. 166,512 1,057
* Laredo Petroleum    
  Holdings Inc. 17,564 319
      668,692
Financials (15.6%)    
  Wells Fargo & Co. 2,236,884 76,457
  JPMorgan Chase & Co. 1,693,391 74,458
  Bank of America Corp. 4,804,060 55,727
  Citigroup Inc. 1,307,217 51,714

 

59


 

Large-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* Berkshire Hathaway Inc.    
  Class B 411,736 36,933
  US Bancorp 845,057 26,991
  American Express Co. 454,988 26,153
  Goldman Sachs Group Inc. 203,105 25,908
* American International    
  Group Inc. 625,368 22,075
  Simon Property Group Inc. 135,254 21,382
  Capital One Financial Corp. 259,075 15,008
  PNC Financial Services    
  Group Inc. 236,089 13,766
  American Tower    
  Corporation 176,229 13,617
  Bank of New York    
  Mellon Corp. 526,303 13,526
  Morgan Stanley 660,078 12,621
  MetLife Inc. 378,923 12,482
  Travelers Cos. Inc. 171,898 12,346
  BlackRock Inc. 59,637 12,328
  ACE Ltd. 151,068 12,055
  Aflac Inc. 208,871 11,095
  Prudential Financial Inc. 206,699 11,023
  State Street Corp. 213,443 10,034
  Public Storage 65,092 9,436
  HCP Inc. 201,702 9,113
  BB&T Corp. 311,422 9,065
  Chubb Corp. 118,578 8,931
  Discover Financial Services 229,364 8,842
  Allstate Corp. 216,039 8,678
  Ventas Inc. 131,587 8,516
  Marsh & McLennan    
  Cos. Inc. 242,362 8,354
  Franklin Resources Inc. 66,450 8,353
  Equity Residential 143,260 8,119
  Aon plc 136,380 7,583
  Prologis Inc. 205,185 7,487
  T. Rowe Price Group Inc. 113,034 7,362
  CME Group Inc. 140,639 7,132
  Boston Properties Inc. 67,160 7,106
  Health Care REIT Inc. 113,603 6,963
  Charles Schwab Corp. 482,388 6,927
  SunTrust Banks Inc. 239,824 6,799
  AvalonBay    
  Communities Inc. 50,122 6,796
  Weyerhaeuser Co. 239,542 6,664
  Fifth Third Bancorp 409,375 6,218
  Annaly Capital    
  Management Inc. 434,149 6,095
  Vornado Realty Trust 74,459 5,963
  Ameriprise Financial Inc. 93,843 5,877
  Loews Corp. 140,944 5,743
  Progressive Corp. 257,777 5,439
  Invesco Ltd. 198,282 5,173
  Host Hotels & Resorts Inc. 321,824 5,043
  M&T Bank Corp. 50,771 4,999

 

      Market
      Value
    Shares ($000)
  Northern Trust Corp. 96,414 4,836
  Moody’s Corp. 89,117 4,484
  Regions Financial Corp. 629,564 4,483
  American Capital    
  Agency Corp. 152,179 4,404
  Hartford Financial Services    
  Group Inc. 184,419 4,138
* IntercontinentalExchange    
  Inc. 32,363 4,007
  Principal Financial    
  Group Inc. 131,402 3,748
  General Growth    
  Properties Inc. 188,051 3,733
  Digital Realty Trust Inc. 54,286 3,685
  SLM Corp. 209,040 3,581
  KeyCorp 420,240 3,538
  Kimco Realty Corp. 181,260 3,502
  NYSE Euronext 109,522 3,454
  Macerich Co. 59,240 3,454
  XL Group plc Class A 136,121 3,411
* CIT Group Inc. 84,905 3,281
  Lincoln National Corp. 124,270 3,219
  Plum Creek Timber Co. Inc. 71,882 3,189
  SL Green Realty Corp. 40,120 3,075
  Federal Realty    
  Investment Trust 28,675 2,983
* Affiliated Managers    
  Group Inc. 22,867 2,976
  Rayonier Inc. 54,607 2,830
* CBRE Group Inc. Class A 138,842 2,763
  Cincinnati Financial Corp. 68,717 2,691
* Arch Capital Group Ltd. 60,692 2,672
  UDR Inc. 111,405 2,649
  Comerica Inc. 86,185 2,615
  Unum Group 124,696 2,596
  Willis Group Holdings plc 77,037 2,583
  New York Community    
  Bancorp Inc. 195,585 2,562
  Everest Re Group Ltd. 23,160 2,546
  Camden Property Trust 37,159 2,535
  Huntington Bancshares Inc. 382,268 2,443
  Essex Property Trust Inc. 16,337 2,396
  Realty Income Corp. 59,440 2,390
  PartnerRe Ltd. 27,617 2,223
  Leucadia National Corp. 92,509 2,201
  Torchmark Corp. 42,452 2,194
  Taubman Centers Inc. 27,384 2,156
  American Campus    
  Communities Inc. 46,693 2,154
  Fidelity National Financial    
  Inc. Class A 89,885 2,117
  Raymond James    
  Financial Inc. 52,473 2,022
  WR Berkley Corp. 51,851 1,957

 

60


 

Large-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Alexandria Real Estate    
  Equities Inc. 28,198 1,955
  Ares Capital Corp. 109,453 1,915
* Alleghany Corp. 5,681 1,906
  Regency Centers Corp. 40,256 1,897
  People’s United    
  Financial Inc. 156,401 1,891
  Senior Housing    
  Properties Trust 79,219 1,873
  Liberty Property Trust 52,322 1,872
  Arthur J Gallagher & Co. 53,967 1,870
  RenaissanceRe    
  Holdings Ltd. 22,593 1,836
  Zions Bancorporation 82,771 1,771
  Reinsurance Group of    
  America Inc. Class A 33,079 1,770
  Axis Capital Holdings Ltd. 51,006 1,767
* Ocwen Financial Corp. 51,041 1,766
* Markel Corp. 4,065 1,762
  Hudson City Bancorp Inc. 213,812 1,738
  DDR Corp. 109,360 1,713
* MSCI Inc. Class A 54,226 1,680
  Duke Realty Corp. 120,844 1,676
  HCC Insurance    
  Holdings Inc. 44,843 1,669
  Jones Lang LaSalle Inc. 19,706 1,654
* Genworth Financial Inc.    
  Class A 218,944 1,644
  TD Ameritrade Holding Corp. 97,307 1,636
  Eaton Vance Corp. 51,277 1,633
  SEI Investments Co. 61,836 1,443
  Legg Mason Inc. 54,472 1,401
  NASDAQ OMX Group Inc. 55,742 1,394
  Brown & Brown Inc. 54,231 1,381
  Weingarten Realty Investors 51,294 1,373
  Piedmont Office Realty    
  Trust Inc. Class A 75,152 1,356
  Cullen/Frost Bankers Inc. 24,575 1,334
  First Republic Bank 40,561 1,330
  White Mountains Insurance    
  Group Ltd. 2,509 1,292
  Hospitality Properties Trust 54,953 1,287
  Assurant Inc. 36,560 1,269
  American Financial    
  Group Inc. 31,743 1,254
  Validus Holdings Ltd. 36,177 1,251
  Commerce Bancshares Inc. 35,325 1,238
  Chimera Investment Corp. 457,376 1,194
  CBOE Holdings Inc. 38,854 1,145
  Jefferies Group Inc. 59,713 1,109
  Erie Indemnity Co. Class A 12,748 882
  WP Carey Inc. 14,005 730
  LPL Financial Holdings Inc. 25,169 709
  BOK Financial Corp. 12,265 668
      972,885

 

      Market
      Value
    Shares ($000)
Health Care (11.7%)    
  Johnson & Johnson 1,229,007 86,153
  Pfizer Inc. 3,329,643 83,507
  Merck & Co. Inc. 1,357,657 55,582
  Abbott Laboratories 699,559 45,821
  Amgen Inc. 343,703 29,668
  UnitedHealth Group Inc. 460,450 24,975
* Gilead Sciences Inc. 337,358 24,779
  Bristol-Myers Squibb Co. 748,684 24,400
  Eli Lilly & Co. 465,745 22,970
* Express Scripts Holding Co. 361,586 19,526
  Medtronic Inc. 457,042 18,748
  Baxter International Inc. 244,083 16,271
* Celgene Corp. 192,449 15,150
* Biogen Idec Inc. 100,173 14,692
  Allergan Inc. 137,148 12,581
  Covidien plc 214,123 12,363
  Thermo Fisher    
  Scientific Inc. 163,063 10,400
  McKesson Corp. 105,135 10,194
  WellPoint Inc. 144,831 8,823
* Intuitive Surgical Inc. 17,791 8,724
* Alexion Pharmaceuticals Inc. 86,155 8,082
  Stryker Corp. 135,594 7,433
  Becton Dickinson and Co. 88,842 6,946
  Aetna Inc. 148,825 6,891
  Cigna Corp. 128,670 6,879
  Agilent Technologies Inc. 154,792 6,337
  Cardinal Health Inc. 151,932 6,257
* Regeneron    
  Pharmaceuticals Inc. 33,516 5,734
  Zimmer Holdings Inc. 77,931 5,195
  St. Jude Medical Inc. 139,851 5,054
* Cerner Corp. 64,760 5,028
* Mylan Inc. 180,751 4,967
  Humana Inc. 72,009 4,942
* Watson    
  Pharmaceuticals Inc. 56,821 4,887
* DaVita HealthCare    
  Partners Inc. 43,945 4,857
  AmerisourceBergen    
  Corp. Class A 112,019 4,837
* Edwards Lifesciences Corp. 51,538 4,647
* Forest Laboratories Inc. 118,280 4,178
  Quest Diagnostics Inc. 70,666 4,118
  Perrigo Co. 39,512 4,110
* Vertex Pharmaceuticals Inc. 96,077 4,029
* Life Technologies Corp. 78,011 3,829
* Laboratory Corp. of    
  America Holdings 42,706 3,699
* Boston Scientific Corp. 632,068 3,622
  CR Bard Inc. 35,416 3,462
* Varian Medical Systems Inc. 49,234 3,458
* Waters Corp. 38,997 3,397
* Henry Schein Inc. 39,406 3,171

 

61


 

Large-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* Illumina Inc. 54,764 3,044
  HCA Holdings Inc. 98,629 2,976
* CareFusion Corp. 98,837 2,825
* BioMarin    
  Pharmaceutical Inc. 54,971 2,707
* Mettler-Toledo    
  International Inc. 13,851 2,677
  Coventry Health Care Inc. 59,621 2,673
  ResMed Inc. 63,548 2,642
  DENTSPLY    
  International Inc. 63,085 2,499
* Hologic Inc. 117,867 2,361
* IDEXX Laboratories Inc. 25,440 2,361
* Hospira Inc. 73,861 2,307
* Onyx Pharmaceuticals Inc. 29,121 2,199
  Cooper Cos. Inc. 21,497 1,988
  Universal Health Services    
  Inc. Class B 40,209 1,944
  Omnicare Inc. 49,669 1,793
* Medivation Inc. 32,772 1,677
* Covance Inc. 24,818 1,434
* Pharmacyclics Inc. 24,693 1,430
* Endo Health Solutions Inc. 52,035 1,367
  Patterson Cos. Inc. 39,011 1,335
  Warner Chilcott plc    
  Class A 95,690 1,152
* Bio-Rad Laboratories Inc.    
  Class A 8,887 934
* Allscripts Healthcare    
  Solutions Inc. 73,439 692
      732,390
Industrials (10.4%)    
  General Electric Co. 4,706,826 98,796
  United Technologies Corp. 386,251 31,677
  3M Co. 292,756 27,182
  Union Pacific Corp. 211,148 26,546
  Caterpillar Inc. 291,318 26,096
  Boeing Co. 318,390 23,994
  United Parcel Service Inc.    
  Class B 323,875 23,879
  Honeywell    
  International Inc. 330,684 20,989
  Emerson Electric Co. 324,322 17,176
  Danaher Corp. 263,548 14,732
  Deere & Co. 165,909 14,338
  Precision Castparts Corp. 64,818 12,278
  FedEx Corp. 133,083 12,206
  Illinois Tool Works Inc. 188,191 11,444
  Lockheed Martin Corp. 122,986 11,350
  Eaton Corp. plc 206,632 11,200
  General Dynamics Corp. 133,591 9,254
  CSX Corp. 463,241 9,140
  Norfolk Southern Corp. 142,567 8,816
  Cummins Inc. 80,722 8,746
  Raytheon Co. 148,132 8,527

 

      Market
      Value
    Shares ($000)
  Northrop Grumman Corp. 104,614 7,070
  PACCAR Inc. 149,518 6,760
  Waste Management Inc. 196,160 6,618
  Ingersoll-Rand plc 137,322 6,586
  Tyco International Ltd. 204,865 5,992
  Fastenal Co. 125,329 5,852
  Parker Hannifin Corp. 66,544 5,660
  Dover Corp. 81,438 5,351
  WW Grainger Inc. 26,382 5,339
  Rockwell Automation Inc. 62,821 5,276
  Stanley Black & Decker Inc. 71,102 5,259
  Roper Industries Inc. 43,525 4,852
  ADT Corp. 103,031 4,790
  Pentair Ltd. 93,307 4,586
  CH Robinson    
  Worldwide Inc. 71,930 4,547
* Delta Air Lines Inc. 378,720 4,495
  Fluor Corp. 74,367 4,368
  Kansas City Southern 48,969 4,088
  AMETEK Inc. 107,996 4,057
  Republic Services Inc.    
  Class A 138,279 4,056
  Expeditors International of    
  Washington Inc. 93,735 3,707
* Stericycle Inc. 38,134 3,557
  Rockwell Collins Inc. 60,129 3,498
* United Continental    
  Holdings Inc. 147,990 3,460
  Southwest Airlines Co. 330,980 3,389
  Flowserve Corp. 22,892 3,361
  L-3 Communications    
  Holdings Inc. 42,923 3,289
* Verisk Analytics Inc.    
  Class A 62,714 3,198
  Pall Corp. 51,689 3,115
  Textron Inc. 125,087 3,101
  Joy Global Inc. 47,117 3,005
  TransDigm Group Inc. 21,741 2,965
  Equifax Inc. 53,344 2,887
  Masco Corp. 160,271 2,670
* Quanta Services Inc. 93,124 2,541
  JB Hunt Transport    
  Services Inc. 42,045 2,511
* Jacobs Engineering    
  Group Inc. 57,701 2,456
* IHS Inc. Class A 24,907 2,391
* B/E Aerospace Inc. 46,486 2,296
* Hertz Global Holdings Inc. 140,636 2,288
  Xylem Inc. 82,590 2,238
* AGCO Corp. 43,643 2,144
* Fortune Brands Home    
  & Security Inc. 71,900 2,101
  Donaldson Co. Inc. 63,308 2,079
  Cintas Corp. 50,674 2,073
  Snap-on Inc. 25,994 2,053

 

62


 

Large-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  Hubbell Inc. Class B 23,453 1,985
  Iron Mountain Inc. 63,617 1,975
  KBR Inc. 65,610 1,963
  Robert Half    
  International Inc. 59,973 1,908
  Wabtec Corp. 21,495 1,882
* Owens Corning 50,136 1,855
* WABCO Holdings Inc. 28,389 1,851
  Timken Co. 36,830 1,762
  Waste Connections Inc. 52,111 1,761
  IDEX Corp. 37,056 1,724
* Nielsen Holdings NV 56,260 1,721
  Nordson Corp. 25,637 1,618
  SPX Corp. 22,570 1,583
  Dun & Bradstreet Corp. 20,089 1,580
  Avery Dennison Corp. 45,174 1,578
  MSC Industrial Direct    
  Co. Inc. Class A 20,713 1,561
  Gardner Denver Inc. 21,964 1,505
  Manpower Inc. 35,267 1,497
  Towers Watson & Co.    
  Class A 26,334 1,480
* Sensata Technologies    
  Holding NV 44,069 1,431
* Copart Inc. 48,122 1,420
  URS Corp. 34,647 1,360
  Babcock & Wilcox Co. 47,582 1,247
* Foster Wheeler AG 48,452 1,178
  Pitney Bowes Inc. 90,860 967
* Spirit Aerosystems    
  Holdings Inc. Class A 53,929 915
  RR Donnelley & Sons Co. 81,827 737
      648,385
Information Technology (18.7%)  
  Apple Inc. 417,870 222,737
  International Business    
  Machines Corp. 483,952 92,701
  Microsoft Corp. 3,363,328 89,902
* Google Inc. Class A 116,778 82,839
  Oracle Corp. 1,741,218 58,017
  QUALCOMM Inc. 759,351 47,095
  Cisco Systems Inc. 2,387,959 46,923
  Intel Corp. 2,230,159 46,008
  Visa Inc. Class A 235,100 35,636
* eBay Inc. 517,175 26,386
* EMC Corp. 935,837 23,677
  Mastercard Inc. Class A 48,032 23,597
  Accenture plc Class A 283,105 18,826
  Texas Instruments Inc. 507,388 15,699
  Hewlett-Packard Co. 878,476 12,518
  Automatic Data    
  Processing Inc. 216,127 12,321
* Facebook Inc. Class A 440,815 11,739
* Yahoo! Inc. 501,315 9,976
* Salesforce.com Inc. 58,830 9,889

 

      Market
      Value
    Shares ($000)
* Cognizant Technology    
  Solutions Corp. Class A 133,133 9,859
  Corning Inc. 663,316 8,371
* Adobe Systems Inc. 219,078 8,255
  Broadcom Corp. Class A 225,815 7,499
  Intuit Inc. 124,413 7,403
  TE Connectivity Ltd. 190,498 7,071
  Dell Inc. 656,799 6,653
  Motorola Solutions Inc. 114,756 6,390
  Applied Materials Inc. 551,305 6,307
* Symantec Corp. 312,689 5,882
  Analog Devices Inc. 133,131 5,599
* Citrix Systems Inc. 83,267 5,475
* NetApp Inc. 161,803 5,429
  Altera Corp. 142,471 4,907
  Seagate Technology plc 159,272 4,855
* Fiserv Inc. 60,377 4,772
* SanDisk Corp. 107,600 4,687
* Teradata Corp. 75,042 4,644
  Amphenol Corp. Class A 71,639 4,635
* Juniper Networks Inc. 234,509 4,613
* Red Hat Inc. 85,972 4,553
  Paychex Inc. 145,444 4,529
* Equinix Inc. 21,458 4,425
  Western Digital Corp. 99,081 4,210
  Xilinx Inc. 116,744 4,191
* LinkedIn Corp. Class A 35,480 4,074
  Xerox Corp. 582,319 3,971
  Maxim Integrated    
  Products Inc. 129,942 3,820
  Fidelity National    
  Information Services Inc. 104,967 3,654
  Western Union Co. 268,268 3,651
* Rackspace Hosting Inc. 48,273 3,585
* Autodesk Inc. 100,904 3,567
  KLA-Tencor Corp. 74,089 3,539
  Linear Technology Corp. 102,510 3,516
  Avago Technologies Ltd.    
  Class A 109,300 3,460
* VMware Inc. Class A 36,574 3,443
* F5 Networks Inc. 35,319 3,431
  NVIDIA Corp. 275,885 3,391
* Trimble Navigation Ltd. 55,954 3,345
* Akamai Technologies Inc. 78,968 3,231
* Alliance Data    
  Systems Corp. 22,197 3,213
  CA Inc. 146,188 3,213
* Lam Research Corp. 81,147 2,932
* Micron Technology Inc. 453,209 2,878
* BMC Software Inc. 71,007 2,816
  Microchip Technology Inc. 86,250 2,811
  Computer Sciences Corp. 69,189 2,771
* ANSYS Inc. 41,073 2,766
* VeriSign Inc. 69,591 2,702
  Harris Corp. 50,418 2,468

 

63


 

Large-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
* Nuance    
  Communications Inc. 109,629 2,447
  Activision Blizzard Inc. 198,937 2,113
* Synopsys Inc. 66,334 2,112
* Electronic Arts Inc. 141,766 2,060
* Avnet Inc. 62,930 1,926
* Gartner Inc. 41,777 1,923
* Arrow Electronics Inc. 48,419 1,844
* Flextronics    
  International Ltd. 296,351 1,840
* LSI Corp. 248,259 1,758
  IAC/InterActiveCorp 36,742 1,738
* Skyworks Solutions Inc. 85,523 1,736
  Solera Holdings Inc. 31,132 1,665
* Cree Inc. 48,975 1,664
  FactSet Research    
  Systems Inc. 18,793 1,655
  Global Payments Inc. 35,047 1,588
  Jabil Circuit Inc. 82,269 1,587
* TIBCO Software Inc. 72,094 1,587
  Marvell Technology    
  Group Ltd. 215,343 1,563
* MICROS Systems Inc. 36,074 1,531
  Total System Services Inc. 71,130 1,524
  FLIR Systems Inc. 67,203 1,499
* Informatica Corp. 48,333 1,465
* ON Semiconductor Corp. 204,429 1,441
* VeriFone Systems Inc. 47,961 1,423
  SAIC Inc. 121,715 1,378
* Riverbed Technology Inc. 68,458 1,350
* Atmel Corp. 197,433 1,293
* Fortinet Inc. 57,126 1,204
* NetSuite Inc. 12,851 865
  Molex Inc. 30,084 822
  Molex Inc. Class A 33,033 737
* Vantiv Inc. Class A 32,107 656
  Dolby Laboratories Inc.    
  Class A 21,743 638
* ServiceNow Inc. 16,992 510
* Palo Alto Networks Inc. 6,148 329
* Freescale    
  Semiconductor Ltd. 22,509 248
      1,165,667
Materials (3.8%)    
  Monsanto Co. 237,669 22,495
  EI du Pont de Nemours    
  & Co. 414,825 18,655
  Dow Chemical Co. 534,241 17,267
  Praxair Inc. 132,977 14,554
  Freeport-McMoRan Copper    
  & Gold Inc. 423,245 14,475
  Newmont Mining Corp. 221,001 10,263
  Ecolab Inc. 130,278 9,367
  PPG Industries Inc. 68,023 9,207

 

      Market
      Value
    Shares ($000)
  LyondellBasell Industries    
  NV Class A 140,877 8,043
  Air Products &    
  Chemicals Inc. 94,272 7,921
  Mosaic Co. 137,555 7,790
  International Paper Co. 185,021 7,371
  Nucor Corp. 141,373 6,104
  Sherwin-Williams Co. 38,919 5,987
  CF Industries    
  Holdings Inc. 27,923 5,673
  Eastman Chemical Co. 68,050 4,631
  Alcoa Inc. 475,258 4,125
  Sigma-Aldrich Corp. 53,779 3,957
  FMC Corp. 61,112 3,576
  Celanese Corp. Class A 70,927 3,158
  Vulcan Materials Co. 57,625 2,999
  Ball Corp. 65,458 2,929
  Ashland Inc. 34,889 2,805
  Airgas Inc. 29,142 2,660
  Albemarle Corp. 39,819 2,474
  MeadWestvaco Corp. 77,289 2,463
  Cliffs Natural    
  Resources Inc. 63,393 2,444
* Crown Holdings Inc. 66,316 2,441
  International Flavors    
  & Fragrances Inc. 36,236 2,411
  Valspar Corp. 38,555 2,406
  Royal Gold Inc. 28,617 2,327
  Rock-Tenn Co. Class A 31,766 2,221
* WR Grace & Co. 31,662 2,129
  Reliance Steel &    
  Aluminum Co. 33,784 2,098
  Martin Marietta    
  Materials Inc. 20,381 1,922
  Rockwood Holdings Inc. 33,108 1,638
  Bemis Co. Inc. 45,951 1,537
  United States Steel Corp. 64,250 1,534
* Owens-Illinois Inc. 69,799 1,485
  Huntsman Corp. 93,274 1,483
  Sealed Air Corp. 82,123 1,438
  Aptargroup Inc. 29,877 1,426
  Allegheny    
  Technologies Inc. 45,333 1,376
  Sonoco Products Co. 44,792 1,332
  Domtar Corp. 15,784 1,318
  Steel Dynamics Inc. 92,666 1,272
  Walter Energy Inc. 28,128 1,009
  Scotts Miracle-Gro Co.    
  Class A 19,426 856
  Westlake Chemical Corp. 9,052 718
      239,770
Telecommunication Services (2.9%)  
  AT&T Inc. 2,571,691 86,692
  Verizon    
  Communications Inc. 1,269,915 54,949

 

64


 

Large-Cap Index Fund    
 
 
 
      Market
      Value
    Shares ($000)
  CenturyLink Inc. 277,360 10,850
* Crown Castle    
  International Corp. 130,701 9,431
* Sprint Nextel Corp. 1,336,676 7,579
* SBA Communications    
  Corp. Class A 54,131 3,844
  Windstream Corp. 261,897 2,169
  Frontier    
  Communications Corp. 446,995 1,913
* Level 3    
  Communications Inc. 67,688 1,564
* MetroPCS    
  Communications Inc. 137,489 1,367
* United States Cellular Corp. 5,889 208
      180,566
Utilities (3.4%)    
  Duke Energy Corp. 313,978 20,032
  Southern Co. 390,078 16,699
  Dominion Resources Inc. 255,716 13,246
  NextEra Energy Inc. 179,137 12,394
  Exelon Corp. 380,241 11,308
  American Electric    
  Power Co. Inc. 216,029 9,220
  FirstEnergy Corp. 186,235 7,777
  PG&E Corp. 189,989 7,634
  PPL Corp. 258,722 7,407
  Consolidated Edison Inc. 130,698 7,259
  Sempra Energy 102,248 7,253
  Public Service Enterprise    
  Group Inc. 225,381 6,897
  Edison International 137,808 6,228
  Xcel Energy Inc. 217,122 5,799
  Northeast Utilities 139,779 5,463
  Entergy Corp. 78,923 5,031
  DTE Energy Co. 76,436 4,590
  Wisconsin Energy Corp. 102,593 3,781
  ONEOK Inc. 86,711 3,707
  CenterPoint Energy Inc. 180,814 3,481
  Ameren Corp. 108,008 3,318
  NRG Energy Inc. 143,545 3,300
  NiSource Inc. 126,824 3,157
  AES Corp. 283,161 3,030
  American Water    
  Works Co. Inc. 78,576 2,917
  CMS Energy Corp. 117,944 2,875

 

    Market
    Value
  Shares ($000)
SCANA Corp. 55,512 2,534
Pinnacle West    
Capital Corp. 48,698 2,483
OGE Energy Corp. 44,028 2,479
* Calpine Corp. 135,100 2,449
Alliant Energy Corp. 49,838 2,188
AGL Resources Inc. 52,547 2,100
Pepco Holdings Inc. 101,866 1,998
NV Energy Inc. 105,609 1,916
Integrys Energy Group Inc. 35,124 1,834
ITC Holdings Corp. 23,146 1,780
MDU Resources Group Inc. 80,641 1,713
UGI Corp. 50,499 1,652
National Fuel Gas Co. 31,813 1,613
Aqua America Inc. 62,627 1,592
TECO Energy Inc. 91,569 1,535
    213,669
Total Common Stocks    
(Cost $5,131,183)   6,222,942
Temporary Cash Investments (0.3%)1  
Money Market Fund (0.3%)    
2,3 Vanguard Market    
Liquidity Fund,    
0.162% 15,785,044 15,785
 
  Face  
  Amount  
  ($000)  
U.S. Government and Agency Obligations (0.0%)
4,5 Federal Home Loan    
Bank Discount Notes,    
0.130%, 3/1/13 700 700
Total Temporary Cash Investments  
(Cost $16,485)   16,485
Total Investments (100.0%)    
(Cost $5,147,668)   6,239,427
Other Assets and Liabilities (0.0%)  
Other Assets   18,173
Liabilities3   (19,696)
    (1,523)
Net Assets (100%)   6,237,904

 

65


 

Large-Cap Index Fund

At December 31, 2012, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 5,363,003
Overdistributed Net Investment Income (3,791)
Accumulated Net Realized Losses (213,103)
Unrealized Appreciation (Depreciation)  
Investment Securities 1,091,759
Futures Contracts 36
Net Assets 6,237,904
 
 
Investor Shares—Net Assets  
Applicable to 11,037,400 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 290,489
Net Asset Value Per Share—  
Investor Shares $26.32
 
 
Admiral Shares—Net Assets  
Applicable to 29,824,671 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 981,340
Net Asset Value Per Share—  
Admiral Shares $32.90

 

  Amount
  ($000)
Signal Shares—Net Assets  
Applicable to 22,212,778 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 637,489
Net Asset Value Per Share—  
Signal Shares $28.70
 
 
Institutional Shares—Net Assets  
Applicable to 5,553,552 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 752,058
Net Asset Value Per Share—  
Institutional Shares $135.42
 
 
ETF Shares—Net Assets  
Applicable to 54,896,348 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 3,576,528
Net Asset Value Per Share—  
ETF Shares $65.15

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $882,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 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 $886,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $700,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.

66


 

Large-Cap Index Fund

Statement of Operations

  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 134,298
Interest1 22
Security Lending 397
Total Income 134,717
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 430
Management and Administrative—Investor Shares 588
Management and Administrative—Admiral Shares 654
Management and Administrative—Signal Shares 369
Management and Administrative—Institutional Shares 278
Management and Administrative—ETF Shares 2,339
Marketing and Distribution—Investor Shares 86
Marketing and Distribution—Admiral Shares 148
Marketing and Distribution—Signal Shares 162
Marketing and Distribution—Institutional Shares 165
Marketing and Distribution—ETF Shares 630
Custodian Fees 126
Auditing Fees 31
Shareholders’ Reports—Investor Shares 8
Shareholders’ Reports—Admiral Shares 6
Shareholders’ Reports—Signal Shares 4
Shareholders’ Reports—Institutional Shares 3
Shareholders’ Reports—ETF Shares 72
Trustees’ Fees and Expenses 5
Total Expenses 6,104
Net Investment Income 128,613
Realized Net Gain (Loss)  
Investment Securities Sold 51,468
Futures Contracts 1,574
Realized Net Gain (Loss) 53,042
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 654,958
Futures Contracts (31)
Change in Unrealized Appreciation (Depreciation) 654,927
Net Increase (Decrease) in Net Assets Resulting from Operations 836,582

 

1 Interest income from an affiliated company of the fund was $20,000.

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

67


 

Large-Cap Index Fund

Statement of Changes in Net Assets

  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 128,613 97,137
Realized Net Gain (Loss) 53,042 22,234
Change in Unrealized Appreciation (Depreciation) 654,927 (48,084)
Net Increase (Decrease) in Net Assets Resulting from Operations 836,582 71,287
Distributions    
Net Investment Income    
Investor Shares (5,943) (5,422)
Admiral Shares (19,955) (15,044)
Signal Shares (13,062) (9,503)
Institutional Shares (15,026) (8,416)
ETF Shares (74,625) (58,151)
Realized Capital Gain    
Investor Shares
Admiral Shares
Signal Shares
Institutional Shares
ETF Shares
Total Distributions (128,611) (96,536)
Capital Share Transactions    
Investor Shares (40,296) (12,404)
Admiral Shares 76,148 102,724
Signal Shares 44,049 140,784
Institutional Shares 174,593 232,084
ETF Shares 141,131 176,474
Net Increase (Decrease) from Capital Share Transactions 395,625 639,662
Total Increase (Decrease) 1,103,596 614,413
Net Assets    
Beginning of Period 5,134,308 4,519,895
End of Period1 6,237,904 5,134,308
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($3,791,000) and ($3,793,000).  

 

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

68


 

Large-Cap Index Fund

Financial Highlights

Investor Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $23.16 $23.25 $20.47 $16.41 $26.59
Investment Operations          
Net Investment Income .521 .421 .372 .387 .416
Net Realized and Unrealized Gain (Loss)          
on Investments 3.159 (.095) 2.791 4.075 (10.191)
Total from Investment Operations 3.680 .326 3.163 4.462 (9.775)
Distributions          
Dividends from Net Investment Income (.520) (.416) (.383) (.402) (.405)
Distributions from Realized Capital Gains
Total Distributions (.520) (.416) (.383) (.402) (.405)
Net Asset Value, End of Period $26.32 $23.16 $23.25 $20.47 $16.41
 
Total Return1 15.94% 1.44% 15.63% 27.60% -37.08%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $290 $293 $307 $448 $376
Ratio of Total Expenses to          
Average Net Assets 0.24% 0.24% 0.26% 0.26% 0.21%
Ratio of Net Investment Income to          
Average Net Assets 2.08% 1.81% 1.78% 2.24% 2.12%
Portfolio Turnover Rate2 8% 7% 8% 8% 9%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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.

69


 

Large-Cap Index Fund

Financial Highlights

Admiral Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $28.96 $29.07 $25.59 $20.51 $33.25
Investment Operations          
Net Investment Income .698 .569 .503 .516 .547
Net Realized and Unrealized Gain (Loss)          
on Investments 3.939 (.116) 3.495 5.097 (12.750)
Total from Investment Operations 4.637 .453 3.998 5.613 (12.203)
Distributions          
Dividends from Net Investment Income (.697) (.563) (.518) (.533) (.537)
Distributions from Realized Capital Gains
Total Distributions (.697) (.563) (.518) (.533) (.537)
Net Asset Value, End of Period $32.90 $28.96 $29.07 $25.59 $20.51
 
Total Return1 16.06% 1.60% 15.81% 27.80% -37.05%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $981 $796 $698 $328 $254
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.12% 0.10%
Ratio of Net Investment Income to          
Average Net Assets 2.22% 1.95% 1.92% 2.38% 2.23%
Portfolio Turnover Rate2 8% 7% 8% 8% 9%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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.

70


 

Large-Cap Index Fund

Financial Highlights

Signal Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $25.26 $25.36 $22.32 $17.89 $29.00
Investment Operations          
Net Investment Income .609 .495 .440 .451 .481
Net Realized and Unrealized Gain (Loss)          
on Investments 3.438 (.105) 3.052 4.446 (11.121)
Total from Investment Operations 4.047 .390 3.492 4.897 (10.640)
Distributions          
Dividends from Net Investment Income (.607) (.490) (.452) (.467) (.470)
Distributions from Realized Capital Gains
Total Distributions (.607) (.490) (.452) (.467) (.470)
Net Asset Value, End of Period $28.70 $25.26 $25.36 $22.32 $17.89
 
Total Return 16.07% 1.58% 15.83% 27.81% -37.03%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $637 $520 $381 $247 $102
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.12% 0.10%
Ratio of Net Investment Income to          
Average Net Assets 2.22% 1.95% 1.92% 2.38% 2.23%
Portfolio Turnover Rate1 8% 7% 8% 8% 9%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

71


 

Large-Cap Index Fund

Financial Highlights

Institutional Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $119.18 $119.65 $105.33 $84.43 $136.82
Investment Operations          
Net Investment Income 2.903 2.366 2.111 2.160 2.283
Net Realized and Unrealized Gain (Loss)          
on Investments 16.234 (.499) 14.383 20.973 (52.440)
Total from Investment Operations 19.137 1.867 16.494 23.133 (50.157)
Distributions          
Dividends from Net Investment Income (2.897) (2.337) (2.174) (2.233) (2.233)
Distributions from Realized Capital Gains
Total Distributions (2.897) (2.337) (2.174) (2.233) (2.233)
Net Asset Value, End of Period $135.42 $119.18 $119.65 $105.33 $84.43
 
Total Return 16.11% 1.60% 15.85% 27.84% -37.01%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $752 $504 $276 $306 $207
Ratio of Total Expenses to          
Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.07%
Ratio of Net Investment Income to          
Average Net Assets 2.24% 1.97% 1.96% 2.42% 2.26%
Portfolio Turnover Rate1 8% 7% 8% 8% 9%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

72


 

Large-Cap Index Fund

Financial Highlights

ETF Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $57.34 $57.56 $50.67 $40.61 $65.83
Investment Operations          
Net Investment Income 1.383 1.126 .996 1.022 1.098
Net Realized and Unrealized Gain (Loss)          
on Investments 7.807 (.234) 6.920 10.095 (25.243)
Total from Investment Operations 9.190 .892 7.916 11.117 (24.145)
Distributions          
Dividends from Net Investment Income (1.380) (1.112) (1.026) (1.057) (1.075)
Distributions from Realized Capital Gains
Total Distributions (1.380) (1.112) (1.026) (1.057) (1.075)
Net Asset Value, End of Period $65.15 $57.34 $57.56 $50.67 $40.61
 
Total Return 16.09% 1.58% 15.81% 27.80% -37.02%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,577 $3,021 $2,858 $2,489 $1,957
Ratio of Total Expenses to          
Average Net Assets 0.10% 0.10% 0.12% 0.12% 0.07%
Ratio of Net Investment Income to          
Average Net Assets 2.22% 1.95% 1.92% 2.38% 2.26%
Portfolio Turnover Rate1 8% 7% 8% 8% 9%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

73


 

Large-Cap Index Fund

Notes to Financial Statements

Vanguard Large-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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).

During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.

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 (December 31, 2009–2012), 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.

74


 

Large-Cap Index Fund

5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had contributed capital of $864,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.35% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant 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 6,222,942
Temporary Cash Investments 15,785 700
Futures Contracts—Assets1 351
Futures Contracts—Liabilities1 (18)
Total 6,239,060 700
1 Represents variation margin on the last day of the reporting period.

 

75


 

Large-Cap Index Fund

D. 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 35 12,426 36

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

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

During the year ended December 31, 2012, the fund realized $17,082,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $1,340,000 of ordinary income available for distribution. At December 31, 2012, the fund had available capital losses totaling $212,938,000 to offset future net capital gains. Of this amount, $194,830,000 is subject to expiration dates; $43,673,000 may be used to offset future net capital gains through December 31, 2016, $117,390,000 through December 31, 2017, and $33,767,000 through December 31, 2018. Capital losses of $18,108,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $5,147,796,000.

Net unrealized appreciation of investment securities for tax purposes was $1,091,631,000, consisting of unrealized gains of $1,403,041,000 on securities that had risen in value since their purchase and $311,410,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the year ended December 31, 2012, the fund purchased $887,010,000 of investment securities and sold $495,765,000 of investment securities, other than temporary cash investments. Purchases and sales include $182,675,000 and $42,221,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

76


 

Large-Cap Index Fund

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 81,153 3,195 161,542 6,844
Issued in Lieu of Cash Distributions 5,693 219 5,174 227
Redeemed (127,142) (5,016) (179,120) (7,629)
Net Increase (Decrease) —Investor Shares (40,296) (1,602) (12,404) (558)
Admiral Shares        
Issued 244,045 7,613 314,696 10,768
Issued in Lieu of Cash Distributions 17,079 526 13,047 456
Redeemed (184,976) (5,805) (225,019) (7,728)
Net Increase (Decrease)—Admiral Shares 76,148 2,334 102,724 3,496
Signal Shares        
Issued 231,248 8,308 272,009 10,696
Issued in Lieu of Cash Distributions 9,726 343 6,818 274
Redeemed (196,925) (7,032) (138,043) (5,420)
Net Increase (Decrease)—Signal Shares 44,049 1,619 140,784 5,550
Institutional Shares        
Issued 347,377 2,618 259,002 2,142
Issued in Lieu of Cash Distributions 13,704 102 7,483 64
Redeemed (186,488) (1,400) (34,401) (281)
Net Increase (Decrease) —Institutional Shares 174,593 1,320 232,084 1,925
ETF Shares        
Issued 183,358 2,911 306,551 5,237
Issued in Lieu of Cash Distributions
Redeemed (42,227) (700) (130,077) (2,200)
Net Increase (Decrease)—ETF Shares 141,131 2,211 176,474 3,037

 

H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Prime Market 750 Index to the CRSP US Large Cap Index. The benchmark change was effective on January 31, 2013. The fund’s investment objective has not changed.

77


 

Report of Independent Registered
Public Accounting Firm

To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Growth Index Fund, Vanguard Value Index Fund and Vanguard Large-Cap Index Fund:

In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Growth Index Fund, Vanguard Value Index Fund and Vanguard Large-Cap Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) at December 31, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodians and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania

February 11, 2013

78


 

                 
Special 2012 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Large-Capitalization Portfolios)

 

This information for the fiscal year ended December 31, 2012, is included pursuant to provisions of the Internal Revenue Code.

The funds distributed qualified dividend income to shareholders during the fiscal year as follows:

  Qualified Dividend Income
Fund ($000)
Growth Index Fund 390,721
Value Index Fund 482,481
Large-Cap Index Fund 128,611

 

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
Growth Index Fund 100.0%
Value Index Fund 95.2
Large-Cap Index Fund 97.1

 

79


 

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. (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 Investor 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: U.S. Stock Index Funds Large-Capitalization Portfolios
Periods Ended December 31, 2012

  One Five Ten
  Year Years Years
Growth Index Fund      
Returns Before Taxes 16.89% 3.17% 7.36%
Returns After Taxes on Distributions 16.65 2.99 7.20
Returns After Taxes on Distributions and Sale of Fund Shares 11.29 2.68 6.47

 

  One Five Ten
  Year Years Years
Value Index Fund Investor Shares      
Returns Before Taxes 15.00% 0.32% 7.33%
Returns After Taxes on Distributions 14.55 -0.09 6.91
Returns After Taxes on Distributions and Sale of Fund Shares 10.33 0.21 6.41

 

      Since
  One Five Inception
  Year Years (1/30/2004)
Large-Cap Index Fund Investor Shares      
Returns Before Taxes 15.94% 1.77% 5.05%
Returns After Taxes on Distributions 15.59 1.47 4.76
Returns After Taxes on Distributions and Sale of Fund Shares 10.81 1.46 4.35

 

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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 December 31, 2012      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  6/30/2012 12/31/2012 Period
Based on Actual Fund Return      
Growth Index Fund      
Investor Shares $1,000.00 $1,055.86 $1.24
Admiral Shares 1,000.00 1,056.31 0.52
Signal Shares 1,000.00 1,056.35 0.52
Institutional Shares 1,000.00 1,056.40 0.41
ETF Shares 1,000.00 1,056.53 0.52
Value Index Fund      
Investor Shares $1,000.00 $1,066.25 $1.25
Admiral Shares 1,000.00 1,067.53 0.52
Signal Shares 1,000.00 1,067.21 0.52
Institutional Shares 1,000.00 1,067.57 0.42
ETF Shares 1,000.00 1,067.59 0.52
Large-Cap Index Fund      
Investor Shares $1,000.00 $1,060.90 $1.25
Admiral Shares 1,000.00 1,061.77 0.52
Signal Shares 1,000.00 1,061.61 0.52
Institutional Shares 1,000.00 1,061.89 0.42
ETF Shares 1,000.00 1,061.79 0.52

 

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Six Months Ended December 31, 2012      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  6/30/2012 12/31/2012 Period
Based on Hypothetical 5% Yearly Return      
Growth Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
Signal Shares 1,000.00 1,024.70 0.51
Institutional Shares 1,000.00 1,024.80 0.41
ETF Shares 1,000.00 1,024.70 0.51
Value Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
Signal Shares 1,000.00 1,024.70 0.51
Institutional Shares 1,000.00 1,024.80 0.41
ETF Shares 1,000.00 1,024.70 0.51
Large-Cap Index Fund      
Investor Shares $1,000.00 $1,024.00 $1.22
Admiral Shares 1,000.00 1,024.70 0.51
Signal Shares 1,000.00 1,024.70 0.51
Institutional Shares 1,000.00 1,024.80 0.41
ETF Shares 1,000.00 1,024.70 0.51

 

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 Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; for the Value Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; and for the Large-Cap Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% 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.

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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.

Benchmark Information

Spliced Growth Index: S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth Index thereafter.

Spliced Value Index: S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value Index thereafter.

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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 180 Vanguard funds.

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

InterestedTrustee1 and Delphi Automotive LLP (automotive components);
  Senior Advisor at New Mountain Capital; Trustee of
F. William McNabb III The Conference Board.
Born 1957. Trustee Since July 2009. Chairman of the  
Board. Principal Occupation(s) During the Past Five Amy Gutmann
Years: Chairman of the Board of The Vanguard Group, Born 1949. Trustee Since June 2006. Principal
Inc., and of each of the investment companies served Occupation(s) During the Past Five Years: President
by The Vanguard Group, since January 2010; Director of the University of Pennsylvania; Christopher H.
of The Vanguard Group since 2008; Chief Executive Browne Distinguished Professor of Political Science
Officer and President of The Vanguard Group and of in the School of Arts and Sciences with secondary
each of the investment companies served by The appointments at the Annenberg School for
Vanguard Group since 2008; Director of Vanguard Communication and the Graduate School of Education
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Member of the
Vanguard Group (1995–2008). National Commission on the Humanities and Social
  Sciences; Trustee of Carnegie Corporation of New
  York and of the National Constitution Center; Chair
IndependentTrustees of the U. S. Presidential Commission for the Study
   of Bioethical Issues.
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal JoAnn Heffernan Heisen
Occupation(s) During the Past Five Years: Executive Born 1950. Trustee Since July 1998. Principal
Chief Staff and Marketing Officer for North America Occupation(s) During the Past Five Years: Corporate
and Corporate Vice President (retired 2008) of Xerox Vice President and Chief Global Diversity Officer
Corporation (document management products and (retired 2008) and Member of the Executive
services); Executive in Residence and 2010 Committee (1997–2008) of Johnson & Johnson
Distinguished Minett Professor at the Rochester (pharmaceuticals/medical devices/consumer
Institute of Technology; Director of SPX Corporation products); Director of Skytop Lodge Corporation
(multi-industry manufacturing), the United Way of (hotels), the University Medical Center at Princeton,
Rochester, Amerigroup Corporation (managed health the Robert Wood Johnson Foundation, and the Center
care), the University of Rochester Medical Center, for Talent Innovation; Member of the Advisory Board
Monroe Community College Foundation, and North of the Maxwell School of Citizenship and Public Affairs
Carolina A&T University. at Syracuse University.
Rajiv L. Gupta F. Joseph Loughrey
Born 1945. Trustee Since December 2001.2 Born 1949. Trustee Since October 2009. Principal
Principal Occupation(s) During the Past Five Years: Occupation(s) During the Past Five Years: President
Chairman and Chief Executive Officer (retired 2009) and Chief Operating Officer (retired 2009) of Cummins
and President (2006–2008) of Rohm and Haas Co. Inc. (industrial machinery); Director of SKF AB
(chemicals); Director of Tyco International, Ltd. (industrial machinery), Hillenbrand, Inc. (specialized
(diversified manufacturing and services), Hewlett- consumer services), the Lumina Foundation for
Packard Co. (electronic computer manufacturing),

 


 

Education, and Oxfam America; Chairman of the Executive Officers  
Advisory Council for the College of Arts and Letters    
and Member of the Advisory Board to the Kellogg Glenn Booraem  
Institute for International Studies at the University Born 1967. Controller Since July 2010. Principal
of Notre Dame. Occupation(s) During the Past Five Years: Principal
  of The Vanguard Group, Inc.; Controller of each of
Mark Loughridge the investment companies served by The Vanguard
Born 1953. Trustee Since March 2012. Principal Group; Assistant Controller of each of the investment
Occupation(s) During the Past Five Years: Senior Vice companies served by The Vanguard Group (2001–2010).
President and Chief Financial Officer at IBM (information    
technology services); Fiduciary Member of IBM’s Thomas J. Higgins  
Retirement Plan Committee. Born 1957. Chief Financial Officer Since September
  2008. Principal Occupation(s) During the Past Five
Scott C. Malpass Years: Principal of The Vanguard Group, Inc.; Chief
Born 1962. Trustee Since March 2012. Principal Financial Officer of each of the investment companies
Occupation(s) During the Past Five Years: Chief served by The Vanguard Group; Treasurer of each of
Investment Officer and Vice President at the University the investment companies served by The Vanguard
of Notre Dame; Assistant Professor of Finance at the Group (1998–2008).  
Mendoza College of Business at Notre Dame; Member    
of the Notre Dame 403(b) Investment Committee; Kathryn J. Hyatt  
Director of TIFF Advisory Services, Inc. (investment Born 1955. Treasurer Since November 2008. Principal
advisor); Member of the Investment Advisory Occupation(s) During the Past Five Years: Principal of
Committees of the Financial Industry Regulatory The Vanguard Group, Inc.; Treasurer of each of the
Authority (FINRA) and of Major League Baseball. investment companies served by The Vanguard
  Group; Assistant Treasurer of each of the investment
André F. Perold companies served by The Vanguard Group (1988–2008).
Born 1952. Trustee Since December 2004. Principal    
Occupation(s) During the Past Five Years: George Heidi Stam  
Gund Professor of Finance and Banking at the Harvard Born 1956. Secretary Since July 2005. Principal
Business School (retired 2011); Chief Investment Occupation(s) During the Past Five Years: Managing
Officer and Managing Partner of HighVista Strategies Director of The Vanguard Group, Inc.; General Counsel
LLC (private investment firm); Director of Rand of The Vanguard Group; Secretary of The Vanguard
Merchant Bank; Overseer of the Museum of Fine Group and of each of the investment companies
Arts Boston. served by The Vanguard Group; Director and Senior
  Vice President of Vanguard Marketing Corporation.
Alfred M. Rankin, Jr.    
Born 1941. Trustee Since January 1993. Principal    
Occupation(s) During the Past Five Years: Chairman, Vanguard Senior ManagementTeam
President, and Chief Executive Officer of NACCO    
Industries, Inc. (forklift trucks/housewares/lignite); Mortimer J. Buckley Michael S. Miller
Director of Goodrich Corporation (industrial products/ Kathleen C. Gubanich James M. Norris
aircraft systems and services) and the National Paul A. Heller Glenn W. Reed
Association of Manufacturers; Chairman of the Board Martha G. King George U. Sauter
of the Federal Reserve Bank of Cleveland and of Chris D. McIsaac  
University Hospitals of Cleveland; Advisory Chairman    
of the Board of The Cleveland Museum of Art. Chairman Emeritus and Senior Advisor  
 
Peter F. Volanakis John J. Brennan  
Born 1955. Trustee Since July 2009. Principal Chairman, 1996–2009  
Occupation(s) During the Past Five Years: President Chief Executive Officer and President, 1996–2008  
and Chief Operating Officer (retired 2010) of Corning  
Incorporated (communications equipment); Director Founder  
of SPX Corporation (multi-industry manufacturing);
Overseer of the Amos Tuck School of Business John C. Bogle  
Administration at Dartmouth College; Advisor to the  Chairman and Chief Executive Officer, 1974–1996  
Norris Cotton Cancer Center.  
   

 

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


 

 

P.O. Box 2600
Valley Forge, PA 19482-2600

 

Connect with Vanguard® > vanguard.com

Fund Information > 800-662-7447 The funds or securities referred to herein are not
Direct Investor Account Services > 800-662-2739 sponsored, endorsed, or promoted by MSCI, and MSCI
  bears no liability with respect to any such funds or
Institutional Investor Services > 800-523-1036 securities. The prospectus or the Statement of
Text Telephone for People Additional Information contains a more detailed
With Hearing Impairment > 800-749-7273 description of the limited relationship MSCI has with
  Vanguard and any related funds.
This material may be used in conjunction  
with the offering of shares of any Vanguard  
fund only if preceded or accompanied by  
the fund’s current prospectus.  
 
All comparative mutual fund data are from Lipper Inc. or  
Morningstar, Inc., unless otherwise noted.  
 
You can obtain a free copy of Vanguard’s proxy voting  
guidelines by visiting vanguard.com/proxyreporting or by  
calling Vanguard at 800-662-2739. The guidelines are  
also available from the SEC’s website, sec.gov. In  
addition, you may obtain a free report on how your fund  
voted the proxies for securities it owned during the 12  
months ended June 30. To get the report, visit either  
vanguard.com/proxyreporting or sec.gov.  
 
You can review and copy information about your fund at  
the SEC’s Public Reference Room in Washington, D.C. To  
find out more about this public service, call the SEC at  
202-551-8090. Information about your fund is also  
available on the SEC’s website, and you can receive  
copies of this information, for a fee, by sending a  
request in either of two ways: via e-mail addressed to  
publicinfo@sec.gov or via regular mail addressed to the  
Public Reference Section, Securities and Exchange  
Commission, Washington, DC 20549-1520.  
 
 
  © 2013 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
 
  Q03070 022013

 


 

 

Annual Report | December 31, 2012
Vanguard Total Stock Market Index Fund

 



 

> The broad U.S. stock market rode out another year of high uncertainty with strong gains, and Vanguard Total Stock Market Index Fund earned more than 16%.

> Banks and consumer discretionary businesses generated the highest stock returns, utility and energy firms the lowest.

> The fund’s overall return closely tracked that of its benchmark index.

Contents  
Your Fund’s Total Returns. 1
Chairman’s Letter. 2
Fund Profile. 8
Performance Summary. 10
Financial Statements. 13
Your Fund’s After-Tax Returns. 30
About Your Fund’s Expenses. 31
Glossary. 33

 


Total Stock Market Index Fund

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.


 

Your Fund’s Total Returns  
 
 
 
 
Fiscal Year Ended December 31, 2012  
 
  Total
  Returns
Vanguard Total Stock Market Index Fund  
Investor Shares 16.25%
Admiral™ Shares 16.38
Signal® Shares 16.39
Institutional Shares 16.42
ETF Shares  
Market Price 16.45
Net Asset Value 16.41
MSCI US Broad Market Index 16.44
Multi-Cap Core Funds Average 14.93
Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc.

 

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares and Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.

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.

Your Fund’s Performance at a Glance        
December 31, 2011, Through December 31, 2012        
      Distributions Per Share
  Starting Ending Income Capital
  Share Price Share Price Dividends Gains
Vanguard Total Stock Market Index Fund        
Investor Shares $31.29 $35.64 $0.720 $0.000
Admiral Shares 31.30 35.65 0.761 0.000
Signal Shares 30.21 34.41 0.735 0.000
Institutional Shares 31.30 35.66 0.762 0.000
ETF Shares 64.29 73.24 1.563 0.000

 

1


 

 

 

 

Chairman’s Letter

Dear Shareholder,

The broad U.S. stock market rode out political, economic, and fiscal uncertainty to end the year with solid returns. Twice, it seemed poised to tumble as concern flared in the spring and fall over all-too-familiar woes: the economy’s sluggish recovery, Europe’s debt predicament, Asia’s slowdown, and Washington’s fiscal gridlock. Yet throughout, the market managed to stay in positive territory.

Vanguard Total Stock Market Index Fund closely tracked its benchmark, the MSCI US Broad Market Index, which gained more than 16% for the year. The fund’s peers returned close to 15% on average.

If you own the fund in a taxable account, you may wish to review the information on after-tax returns presented later in this report.

With help from central banks, stocks posted strong results
Stocks around the world recorded double-digit gains for the 12 months ended December 31, with international stocks faring even better than their U.S. counterparts.

European stocks shook off investors’ concerns to deliver some of the best results, rising about 19% compared with about 16% for U.S. stocks. The rally came as European central bankers moved to address worries about the finances of governments and banks. Still, Vanguard economists expect Europe to remain a trouble spot, with occasional spikes in

2


 

market volatility, as fiscal tightening persists in the face of weak economic growth.

In the United States, the Federal Reserve continued buying bonds and mortgage-backed securities to try to stimulate growth. The Fed’s actions seemed to buoy both stock and bond returns.

Attention to the nation’s considerable budget challenges intensified as 2012 drew to a close. The focus on the “fiscal cliff” led to anxiety in the markets before policymakers reached a limited tax-rate agreement on the cusp of the new year. The compromise legislation, which President Barack Obama signed into law on January 2, addressed some immediate

concerns, but a credible long-term deficit-reduction strategy had yet to be crafted to resolve the nation’s fiscal imbalance and open the way for growth.

Bond returns were solid, but challenges lie ahead
The broad U.S. taxable bond market returned about 4% for the 12 months. Municipal bonds performed especially well, returning more than 6%.

As bond prices rose, the yield of the 10-year U.S. Treasury note slipped to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) By the end of the period, the yield had climbed, but it remained exceptionally low by historical standards.

Market Barometer      
 
    Average Annual Total Returns
  Periods Ended December 31, 2012
  One Three Five
  Year Years Years
Stocks      
Russell 1000 Index (Large-caps) 16.42% 11.12% 1.92%
Russell 2000 Index (Small-caps) 16.35 12.25 3.56
Russell 3000 Index (Broad U.S. market) 16.42 11.20 2.04
MSCI All Country World Index ex USA (International) 16.83 3.87 -2.89
 
Bonds      
Barclays U.S. Aggregate Bond Index (Broad taxable market) 4.21% 6.19% 5.95%
Barclays Municipal Bond Index (Broad tax-exempt market) 6.78 6.57 5.91
Citigroup Three-Month U.S. Treasury Bill Index 0.07 0.08 0.44
 
CPI      
Consumer Price Index 1.74% 2.06% 1.80%

 

3


 

Although bonds can provide critical diversification benefits to a portfolio, their prospects look much less promising than the returns achieved in recent years. As yields have tumbled, the opportunity for future bond price appreciation has greatly diminished. (You can read more about our expectations for bond and stock returns in Vanguard’s Economic and Investment Outlook, available at vanguard.com/ research.)

As it has since late 2008, the Fed held its target for short-term interest rates between 0% and 0.25%, which kept a tight lid on returns from money market funds and savings accounts.

Consumer discretionary and bank stocks led sector returns
Vanguard Total Stock Market Index Fund benefited from robust returns across much of the business landscape. While overall economic growth remained modest in 2012, the improving housing market and low interest rates were notable tonics.

Investors saw particular value in banks and in firms involved in the production and sale of discretionary consumer goods and services—two sectors heavily represented in the fund. As demand for homes picked up, investors bid up stocks related to the various nonessentials—things like new cars, TVs, cable hookups—that often go with homeownership and better times in general.

Expense Ratios            
Your Fund Compared With Its Peer Group            
            Peer
  Investor Admiral Signal Institutional ETF Group
  Shares Shares Shares Shares Shares Average
Total Stock Market Index Fund 0.18% 0.06% 0.06% 0.05% 0.06% 1.18%

 

The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the fund’s expense ratios were: 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, 0.04% for Institutional Shares, and 0.05% for ETF Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2011.

Peer group: Multi-Cap Core Funds.

4


 

This heartier investor appetite for stocks associated with economic expansion meant a modest performance for utilities stocks, which are often considered recession-resistant. Utilities’ small weighting in the fund muted the effect of their relative weakness.

Energy stocks also underperformed. Energy companies’ earnings fell in the spring as oil prices slumped amid new supplies and concern that the U.S. and global economies were about to slow sharply.

Solid long-term performance through a difficult decade
Over the past decade, Investor Shares of Vanguard Total Stock Market Index Fund had an annual average return of 7.83%, closely tracking the fund’s broad-market benchmark, which returned 7.96%. For the decade, the fund outperformed the average return of its peers by more than 1 percentage point.

Your fund will seek to track a new benchmark index
In early October, we announced that Vanguard Total Stock Market Index Fund would adopt a new target benchmark as part of a broader transition affecting 22 of our index funds. This transition, which we plan to complete by the middle of the year, is expected to produce significant long-term savings for Vanguard clients.

The new benchmark for the fund will be supplied by the University of Chicago’s Center for Research in Security Prices

Total Returns  
Ten Years Ended December 31, 2012  
  Average
  Annual Return
Total Stock Market Index Fund Investor Shares 7.83%
Spliced Total Stock Market Index 7.96
Multi-Cap Core Funds Average 6.67

For a benchmark description, see the Glossary.
Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc.

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.



 

(CRSP). CRSP is one of 11 research centers at the University of Chicago Booth School of Business. In 1960, the organization pioneered the development of U.S. stock market data that are widely used in academic and investment research today.

Gus Sauter united traditional values with pioneering investment acumen
When I was interviewing for a job at Vanguard in the mid-1980s, Jack Brennan, who would go on to become our chairman and CEO and now chairman emeritus, described Vanguard as “a company with the intellectual rigor of Wall Street but with Midwestern values.”

Im reminded of that when I think about Gus Sauter’s 25-year career at Vanguard. Gus retired as our chief investment officer at the end of December, having set the highest of standards for both intellectual achievement and devotion to doing the right thing for clients, colleagues, and community.

Gus played a pivotal role in transforming indexing from a novelty to an investing mainstay, a change that has benefited all investors. In addition, he developed our active quantitative equity strategies, oversaw the growth of our industry-leading expertise in fixed income, and ultimately helped Vanguard to become a global investment manager responsible for $2 trillion in client assets.

A note on expense ratios
The Expense Ratios table in each report’s Chairman’s Letter displays fund expense
ratios from the most recent prospectus. These figures include the funds’ actual
operating expenses. For some funds, the figures also include “acquired fund fees
and expenses,” which result from the funds’ holdings in business development
companies (BDCs).
 
Although the Securities and Exchange Commission requires that BDC costs be
included in a fund’s expense ratio, these fees are not incurred by the fund. They
have no impact on a fund’s total return or on its tracking error relative to an index.
A footnote to the Expense Ratios table reports an annualized calculation of the fund’s
actual expenses for the period, a more relevant tally of the operating costs incurred
by shareholders.

 

6


 

As for the Midwestern values, Gus—a native of Ohio, incidentally—served our clients with a dedication to thrift, candor, and common sense that has helped make Vanguard what it is. His colleagues knew that in any situation they could count on Gus to keep a level-headed, long-term outlook. Just two weeks after he started at

Vanguard, he helped guide us through the stock market crash of 1987. Some 20 years later, he helped us navigate the financial crisis of 2008–2009.

An important aspect of Gus’s legacy is the team of world-class investment professionals that he cultivated at Vanguard. That team is now led by Tim Buckley, who led our services for individual investors before becoming chief investment officer. I am confident that Tim will not only carry on Gus’s legacy, but also—as Gus himself put it—take Vanguard investment management to the next level.

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

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
January 14, 2013



 

Total Stock Market Index Fund

Fund Profile
As of December 31, 2012

Share-Class Characteristics          
  Investor Admiral Signal Institutional ETF
  Shares Shares Shares Shares Shares
Ticker Symbol VTSMX VTSAX VTSSX VITSX VTI
Expense Ratio1 0.18% 0.06% 0.06% 0.05% 0.06%
30-Day SEC Yield 1.98% 2.10% 2.10% 2.10% 2.10%

 

Portfolio Characteristics    
    MSCI US
    Broad Market
  Fund Index
Number of Stocks 3,278 3,259
Median Market Cap $35.0B $35.0B
Price/Earnings Ratio 16.7x 16.7x
Price/Book Ratio 2.1x 2.1x
Return on Equity 17.2% 17.2%
Earnings Growth Rate 9.8% 9.8%
Dividend Yield 2.1% 2.1%
Foreign Holdings 0.0% 0.0%
Turnover Rate 3%
Short-Term Reserves 0.2%

 

Volatility Measures  
  MSCI US
  Broad Market
  Index
R-Squared 1.00
Beta 1.00

These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months.

 

Ten Largest Holdings (% of total net assets)
Apple Inc. Computer Hardware 3.2%
Exxon Mobil Corp. Integrated Oil & Gas 2.5
General Electric Co. Industrial  
  Conglomerates 1.4
Chevron Corp. Integrated Oil & Gas 1.3
International Business IT Consulting &  
Machines Corp. Other Services 1.3
Microsoft Corp. Systems Software 1.3
AT&T Inc. Integrated  
  Telecommunication  
  Services 1.2
Johnson & Johnson Pharmaceuticals 1.2
Pfizer Inc. Pharmaceuticals 1.2
Procter & Gamble Co. Household Products 1.2
Top Ten   15.8%

The holdings listed exclude any temporary cash investments and equity index products.

Investment Focus


1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2012, the expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, 0.04% for Institutional Shares, and 0.05% for ETF Shares.

8


 

Total Stock Market Index Fund

Sector Diversification (% of equity exposure)
    MSCI US
    Broad Market
  Fund Index
Consumer Discretionary 12.4% 12.4%
Consumer Staples 9.4 9.4
Energy 10.2 10.1
Financials 16.5 16.6
Health Care 11.8 11.8
Industrials 11.1 11.1
Information Technology 18.5 18.5
Materials 4.0 4.0
Telecommunication Services 2.7 2.7
Utilities 3.4 3.4

 

9


 

Total Stock Market 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: December 31, 2002, Through December 31, 2012
Initial Investment of $10,000


    Average Annual Total Returns  
  Periods Ended December 31, 2012  
 
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
 
Total Stock Market Index Fund        
Investor Shares 16.25% 2.18% 7.83% $21,255
 
Spliced Total Stock Market Index 16.44 2.27 7.96 21,504
 
Multi-Cap Core Funds Average 14.93 0.66 6.67 19,077

For a benchmark description, see the Glossary.

Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc.

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Total Stock Market Index Fund Admiral        
Shares 16.38% 2.29% 7.93% $21,459
Spliced Total Stock Market Index 16.44 2.27 7.96 21,504

 

See Financial Highlights for dividend and capital gains information.

10


 

Total Stock Market Index Fund

    Average Annual Total Returns  
  Periods Ended December 31, 2012  
      Since Final Value
  One Five Inception of a $10,000
  Year Years (9/1/2006) Investment
Total Stock Market Index Fund Signal Shares 16.39% 2.29% 4.08% $12,878
MSCI US Broad Market Index 16.44 2.27 4.08 12,878
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standard.

 

        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Total Stock Market Index Fund Institutional        
Shares 16.42% 2.31% 7.96% $10,757,503
Spliced Total Stock Market Index 16.44 2.27 7.96 10,751,938

 

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Total Stock Market Index Fund        
ETF Shares Net Asset Value 16.41% 2.29% 7.94% $21,465
Spliced Total Stock Market Index 16.44 2.27 7.96 21,504

 

Cumulative Returns of ETF Shares: December 31, 2002, Through December 31, 2012  
  One Five Ten
  Year Years Years
Total Stock Market Index Fund ETF Shares      
Market Price 16.45% 12.21% 114.71%
Total Stock Market Index Fund ETF Shares      
Net Asset Value 16.41 12.00 114.65
Spliced Total Stock Market Index 16.44 11.90 115.04

 

11


 

Total Stock Market Index Fund

Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012


Total Stock Market Index Fund Investor Shares
Spliced Total Stock Market Index

 

For a benchmark description, see the Glossary.

12


 

Total Stock Market Index Fund

Financial Statements

Statement of Net Assets—Investments Summary
As of December 31, 2012

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

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 complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. 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. 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 Percentage
    Value of Net
  Shares ($000) Assets
Common Stocks      
Consumer Discretionary      
Home Depot Inc. 20,165,260 1,247,221 0.6%
* Amazon.com Inc. 4,837,853 1,214,978 0.6%
McDonald’s Corp. 13,489,940 1,189,948 0.6%
Comcast Corp. Class A 31,332,286 1,171,201 0.5%
Walt Disney Co. 22,802,062 1,135,315 0.5%
Consumer Discretionary—Other †   20,145,800 9.6%
    26,104,463 12.4%
Consumer Staples      
Procter & Gamble Co. 36,885,367 2,504,148 1.2%
Coca-Cola Co. 54,320,419 1,969,115 0.9%
Philip Morris International Inc. 22,550,112 1,886,091 0.9%
Wal-Mart Stores Inc. 24,894,086 1,698,524 0.8%
PepsiCo Inc. 20,818,464 1,424,608 0.7%
Altria Group Inc. 27,193,408 854,417 0.4%
CVS Caremark Corp. 17,018,857 822,862 0.4%
Consumer Staples—Other †   8,579,650 4.1%
    19,739,415 9.4%
Energy      
Exxon Mobil Corp. 61,747,781 5,344,270 2.5%
ChevronCorp. 26,247,701 2,838,426 1.4%
Schlumberger Ltd. 17,751,831 1,230,024 0.6%
ConocoPhillips 15,434,827 895,066 0.4%
Occidental Petroleum Corp. 10,834,776 830,052 0.4%
Energy—Other †   10,158,685 4.8%
    21,296,523 10.1%
Financials      
Wells Fargo & Co. 67,127,253 2,294,409 1.1%
JPMorgan Chase & Co. 50,816,174 2,234,387 1.0%
Bank of America Corp. 144,163,960 1,672,302 0.8%
CitigroupInc. 39,228,055 1,551,862 0.7%

 

13


 

Total Stock Market Index Fund

    Market Percentage
    Value of Net
  Shares ($000) Assets
* Berkshire Hathaway Inc. Class B 11,113,799 996,908 0.5%
US Bancorp 25,353,600 809,794 0.4%
American Express Co. 13,648,535 784,518 0.4%
Goldman Sachs Group Inc. 6,092,584 777,170 0.4%
Financials—Other†   23,491,892 11.2%
    34,613,242 16.5%
Health Care      
Johnson & Johnson 36,881,164 2,585,370 1.2%
Pfizer Inc. 99,919,849 2,505,990 1.2%
Merck & Co. Inc. 40,741,689 1,667,965 0.8%
Abbott Laboratories 20,993,156 1,375,052 0.7%
Amgen Inc. 10,310,679 890,018 0.4%
UnitedHealth Group Inc. 13,814,621 749,305 0.4%
* Gilead Sciences Inc. 10,120,765 743,370 0.3%
Bristol-Myers Squibb Co. 22,460,441 731,986 0.3%
Health Care—Other †   13,395,876 6.4%
    24,644,932 11.7%
Industrials      
General Electric Co. 141,246,422 2,964,762 1.4%
United Technologies Corp. 11,587,237 950,269 0.4%
3M Co. 8,785,486 815,732 0.4%
Union Pacific Corp. 6,335,567 796,507 0.4%
Caterpillar Inc. 8,738,894 782,830 0.4%
Industrials—Other †   16,981,684 8.1%
    23,291,784 11.1%
Information Technology      
Apple Inc. 12,539,748 6,684,062 3.2%
International Business Machines Corp. 14,522,688 2,781,821 1.3%
MicrosoftCorp. 100,930,764 2,697,879 1.3%
* GOOGLE Inc. Class A 3,504,427 2,485,935 1.2%
Oracle Corp. 52,251,020 1,741,004 0.8%
QUALCOMMInc. 22,785,895 1,413,181 0.7%
CiscoSystems Inc. 71,659,437 1,408,108 0.7%
Intel Corp. 66,925,509 1,380,673 0.6%
VisaInc. Class A 7,056,763 1,069,664 0.5%
* eBay Inc. 15,514,799 791,565 0.4%
Information Technology—Other †   16,331,092 7.7%
    38,784,984 18.4%
 
Materials †   8,438,114 4.0%
 
Telecommunication Services      
AT&T Inc. 77,172,321 2,601,479 1.2%
Verizon Communications Inc. 38,109,685 1,649,006 0.8%
Telecommunication Services—Other †   1,389,233 0.7%
    5,639,718 2.7%
 
Utilities †   7,166,611 3.4%
                                 
Total Common Stocks (Cost $175,465,722)   209,719,786 99.7%1

 

14


 

Total Stock Market Index Fund

      Market Percentage
      Value of Net
  Coupon Shares ($000) Assets
Temporary Cash Investments        
Money Market Fund        
2,3 Vanguard Market Liquidity Fund 0.162% 1,373,387,773 1,373,388 0.7%
 
4U.S. Government and Agency Obligations †     28,193 0.0%
Total Temporary Cash Investments (Cost $1,401,582)     1,401,581 0.7%1
5Total Investments (Cost $176,867,304)     211,121,367 100.4%
Other Assets and Liabilities        
Other Assets4     796,105 0.4%
Liabilities3     (1,547,815) (0.8%)
      (751,710) (0.4%)
Net Assets     210,369,657 100.0%

 

At December 31, 2012, net assets consisted of:  
  Amount
  ($000)
Paid-in Capital 179,441,306
Overdistributed Net Investment Income (126,046)
Accumulated Net Realized Losses (3,207,164)
Unrealized Appreciation (Depreciation)  
Investment Securities 34,254,063
Futures Contracts 2,936
SwapContracts 4,562
Net Assets 210,369,657
 
 
Investor Shares—Net Assets  
Applicable to 2,214,586,389 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 78,935,858
Net Asset Value Per Share—Investor Shares $35.64
 
 
Admiral Shares—Net Assets  
Applicable to 1,676,470,055 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 59,771,467
Net Asset Value Per Share—Admiral Shares $35.65
 
 
Signal Shares—Net Assets  
Applicable to 233,231,420 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 8,025,301
Net Asset Value Per Share—Signal Shares $34.41

 

15


 

Total Stock Market Index Fund

  Amount
  ($000)
Institutional Shares—Net Assets  
Applicable to 1,103,997,565 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 39,366,569
Net Asset Value Per Share—Institutional Shares $35.66
 
ETF Shares—Net Assets  
Applicable to 331,364,073 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 24,270,462
Net Asset Value Per Share—ETF Shares $73.24

 

See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
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 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 $450,537,000 of collateral received for securities on loan.
4 Securities with a value of $23,146,000 and cash of $18,200,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $428,331,000.
See accompanying Notes, which are an integral part of the Financial Statements.

16


 

Total Stock Market Index Fund

Statement of Operations

  Year Ended
  December 31, 2012
  ($000)
Investment Income  
Income  
Dividends 4,331,009
Interest1 1,415
Security Lending 48,282
Total Income 4,380,706
Expenses  
The Vanguard GroupNote B  
Investment Advisory Services 10,693
Management and Administrative—Investor Shares 100,648
Management and Administrative—Admiral Shares 15,294
Management and Administrative—Signal Shares 1,255
Management and Administrative—Institutional Shares 4,350
Management and Administrative—ETF Shares 3,599
Marketing and Distribution—Investor Shares 15,617
Marketing and Distribution—Admiral Shares 8,842
Marketing and Distribution—Signal Shares 1,874
Marketing and Distribution—Institutional Shares 9,421
Marketing and Distribution—ETF Shares 5,504
Custodian Fees 1,568
Auditing Fees 34
Shareholders’ Reports—Investor Shares 155
Shareholders’ ReportsAdmiral Shares 122
Shareholders’ Reports—Signal Shares 21
Shareholders’ Reports—Institutional Shares 15
Shareholders’ Reports—ETF Shares 373
Trustees’ Fees and Expenses 180
Total Expenses 179,565
Net Investment Income 4,201,141
Realized Net Gain (Loss)  
Investment Securities Sold 3,426,039
Futures Contracts 160,959
Swap Contracts 3,514
Realized Net Gain (Loss) 3,590,512
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 20,302,522
Futures Contracts (11,798)
Swap Contracts 4,562
Change in Unrealized Appreciation (Depreciation) 20,295,286
Net Increase (Decrease) in Net Assets Resulting from Operations 28,086,939

 

1 Interest income from an affiliated company of the fund was $1,346,000.
See accompanying Notes, which are an integral part of the Financial Statements.

17


 

Total Stock Market Index Fund

Statement of Changes in Net Assets

  Year Ended December 31,
  2012 2011
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 4,201,141 2,992,139
Realized Net Gain (Loss) 3,590,512 484,380
Change in Unrealized Appreciation (Depreciation) 20,295,286 (1,776,715)
Net Increase (Decrease) in Net Assets Resulting from Operations 28,086,939 1,699,804
Distributions    
Net Investment Income    
Investor Shares (1,512,860) (1,076,617)
Admiral Shares (1,242,985) (930,056)
SignalShares (162,769) (112,466)
Institutional Shares (803,059) (512,854)
ETF Shares (489,484) (361,091)
Realized Capital Gain    
Investor Shares
Admiral Shares
SignalShares
Institutional Shares
ETF Shares
Total Distributions (4,211,157) (2,993,084)
Capital Share Transactions    
Investor Shares 7,341,080 6,917,197
Admiral Shares 3,306,885 2,744,955
SignalShares 1,009,438 716,539
Institutional Shares 5,518,094 5,912,981
ETF Shares 2,033,357 1,847,759
Net Increase (Decrease) from Capital Share Transactions 19,208,854 18,139,431
Total Increase (Decrease) 43,084,636 16,846,151
Net Assets    
Beginning of Period 167,285,021 150,438,870
End of Period1 210,369,657 167,285,021
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($126,046,000) and ($119,544,000).

 

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

18


 

Total Stock Market Index Fund

Financial Highlights

Investor Shares          
 
 
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $31.29 $31.56 $27.45 $21.80 $35.36
Investment Operations          
Net Investment Income .720 .565 .523 .514 .592
Net Realized and Unrealized Gain (Loss)          
on Investments 4.350 (.273) 4.117 5.651 (13.566)
Total from Investment Operations 5.070 .292 4.640 6.165 (12.974)
Distributions          
Dividends from Net Investment Income (.720) (.562) (.530) (.515) (.586)
Distributions from Realized Capital Gains
Total Distributions (.720) (.562) (.530) (.515) (.586)
Net Asset Value, End of Period $35.64 $31.29 $31.56 $27.45 $21.80
 
Total Return1 16.25% 0.96% 17.09% 28.70% -37.04%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $78,936 $62,668 $56,063 $58,004 $39,440
Ratio of Total Expenses to          
Average Net Assets 0.17% 0.17% 0.17% 0.18% 0.16%
Ratio of Net Investment Income to          
Average Net Assets 2.11% 1.79% 1.85% 2.22% 2.04%
Portfolio Turnover Rate2 3% 5% 5% 5% 5%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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


 

Total Stock Market Index Fund

Financial Highlights

Admiral Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $31.30 $31.57 $27.45 $21.80 $35.36
Investment Operations          
Net Investment Income .761 .602 .554 .539 .615
Net Realized and Unrealized Gain (Loss)          
on Investments 4.350 (.273) 4.127 5.650 (13.566)
Total from Investment Operations 5.111 .329 4.681 6.189 (12.951)
Distributions          
Dividends from Net Investment Income (.761) (.599) (.561) (.539) (.609)
Distributions from Realized Capital Gains
Total Distributions (.761) (.599) (.561) (.539) (.609)
Net Asset Value, End of Period $35.65 $31.30 $31.57 $27.45 $21.80
 
Total Return1 16.38% 1.08% 17.26% 28.83% -36.99%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $59,771 $49,496 $47,190 $27,762 $18,781
Ratio of Total Expenses to          
Average Net Assets 0.05% 0.05% 0.06% 0.07% 0.08%
Ratio of Net Investment Income to          
Average Net Assets 2.23% 1.91% 1.96% 2.33% 2.12%
Portfolio Turnover Rate2 3% 5% 5% 5% 5%

 

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 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


 

Total Stock Market Index Fund

Financial Highlights

Signal Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $30.21 $30.47 $26.50 $21.04 $34.13
Investment Operations          
Net Investment Income .735 .581 .535 .520 .595
Net Realized and Unrealized Gain (Loss)          
on Investments 4.200 (.262) 3.977 5.459 (13.096)
Total from Investment Operations 4.935 .319 4.512 5.979 (12.501)
Distributions          
Dividends from Net Investment Income (.735) (.579) (.542) (.519) (.589)
Distributions from Realized Capital Gains
Total Distributions (.735) (.579) (.542) (.519) (.589)
Net Asset Value, End of Period $34.41 $30.21 $30.47 $26.50 $21.04
 
Total Return 16.39% 1.09% 17.23% 28.85% -36.99%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $8,025 $6,133 $5,471 $4,757 $3,717
Ratio of Total Expenses to          
Average Net Assets 0.05% 0.05% 0.06% 0.07% 0.08%
Ratio of Net Investment Income to          
Average Net Assets 2.23% 1.91% 1.96% 2.33% 2.12%
Portfolio Turnover Rate1 3% 5% 5% 5% 5%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

21


 

Total Stock Market Index Fund

Financial Highlights

Institutional Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 2008
Net Asset Value, Beginning of Period $31.30 $31.57 $27.46 $21.81 $35.36
Investment Operations          
Net Investment Income .763 .603 .558 .541 .624
Net Realized and Unrealized Gain (Loss)          
on Investments 4.359 (.272) 4.117 5.650 (13.557)
Total from Investment Operations 5.122 .331 4.675 6.191 (12.933)
Distributions          
Dividends from Net Investment Income (.762) (.601) (.565) (.541) (.617)
Distributions from Realized Capital Gains
Total Distributions (.762) (.601) (.565) (.541) (.617)
Net Asset Value, End of Period $35.66 $31.30 $31.57 $27.46 $21.81
 
Total Return 16.42% 1.09% 17.23% 28.83% -36.94%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $39,367 $29,467 $23,785 $16,047 $10,782
Ratio of Total Expenses to          
Average Net Assets 0.04% 0.04% 0.05% 0.06% 0.05%
Ratio of Net Investment Income to          
Average Net Assets 2.24% 1.92% 1.97% 2.34% 2.15%
Portfolio Turnover Rate1 3% 5% 5% 5% 5%

 

1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

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Total Stock Market Index Fund

Financial Highlights

ETF Shares

For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2012 2011 2010 2009 20081
Net Asset Value, Beginning of Period $64.29 $64.86 $56.39 $44.78 $72.64
Investment Operations          
Net Investment Income 1.564 1.238 1.133 1.106 1.270
Net Realized and Unrealized Gain (Loss)          
on Investments 8.949 (.575) 8.485 11.611 (27.874)
Total from Investment Operations 10.513 .663 9.618 12.717 (26.604)
Distributions          
Dividends from Net Investment Income (1.563) (1.233) (1.148) (1.107) (1.256)
Distributions from Realized Capital Gains
Total Distributions (1.563) (1.233) (1.148) (1.107) (1.256)
Net Asset Value, End of Period $73.24 $64.29 $64.86 $56.39 $44.78
 
Total Return 16.41% 1.06% 17.26% 28.82% -36.97%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $24,270 $19,521 $17,930 $13,443 $9,199
Ratio of Total Expenses to          
Average Net Assets 0.05% 0.05% 0.06% 0.07% 0.07%
Ratio of Net Investment Income to          
Average Net Assets 2.23% 1.91% 1.96% 2.33% 2.13%
Portfolio Turnover Rate2 3% 5% 5% 5% 5%

 

1 Adjusted to reflect a 2-for-1 share split as of the close of business on June 13, 2008.
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.

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Total Stock Market Index Fund

Notes to Financial Statements

Vanguard Total Stock Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on the NYSE Arca; they can be purchased and sold through a broker.

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

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

Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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).

During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.

3. Swap Contracts: The fund has entered into an equity swap contract to earn the total return on a selected reference stock in the fund’s target index. Under the terms of the swap, 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

24


 

Total Stock Market Index Fund

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 Statement of Net Assets. 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. The primary risks associated with the swaps are that a counterparty will default on its obligation to pay net amounts due to the fund, or that the fund will incur fees in the event it terminates a swap prior to the scheduled termination date. The fund’s maximum risk of loss from counterparty credit risk is the amount of unrealized appreciation on the swap contract. The fund attempts to mitigate this risk by, among other things, performing a credit analysis of counterparties, monitoring exposure to counterparties, and by requiring counterparties to post collateral to secure such exposure. 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 posted. Any securities posted as collateral for open contracts are noted in the Statement of Net Assets.

During the year ended December 31, 2012, the fund’s average investment in swap contracts represented less than 1% of net assets, based on quarterly average notional amounts.

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 (December 31, 2009–2012), 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.

6. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.

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. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2012, the fund had

25


 

Total Stock Market Index Fund

contributed capital of $28,242,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 11.30% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

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

Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant 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 209,719,137 135 514
Temporary Cash Investments 1,373,388 28,193
Futures Contracts—Assets1 12,661
Futures Contracts—Liabilities1 (52)
Swap Contracts—Assets 4,562
Total 211,105,134 32,890 514
1 Represents variation margin on the last day of the reporting period.

 

D. 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 969 344,019 2,237
E-mini Russell 2000 Index March 2013 957 81,020 580
E-mini S&P 500 Index March 2013 900 63,904 267
S&P MidCap 400 Index March 2013 280 28,507 (148)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

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Total Stock Market Index Fund

At December 31, 2012, the fund had the following open swap contracts:

        Floating Unrealized
      Notional Interest Rate Appreciation
  Termination   Amount Received (Depreciation)
Reference Entity Date Counterparty1 ($000) (Paid) ($000)
SLM Corp 8/7/13 GSI 99,319 (0.565%)2 4,562

1 GSI—Goldman Sachs International.
2 Based on one-month London Interbank Offered Rate (LIBOR) as of the most recent payment date plus a 0.35% spread.

At December 31, 2012, the counterparty had deposited in segregated accounts securities with a value of $3,051,000 in connection with amounts due to the fund for open swap contracts.

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

During the year ended December 31, 2012, the fund realized $2,520,489,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2012, the fund had $48,233,000 of ordinary income available for distribution. At December 31, 2012, the fund had available capital losses totaling $3,200,440,000 to offset future net capital gains. Of this amount, $2,492,045,000 is subject to expiration dates; $209,043,000 may be used to offset future net capital gains through December 31, 2013, $19,516,000 through December 31, 2015, and $2,263,486,000 through December 31, 2016. Capital losses of $708,395,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2012, the cost of investment securities for tax purposes was $176,868,895,000. Net unrealized appreciation of investment securities for tax purposes was $34,252,472,000, consisting of unrealized gains of $48,476,493,000 on securities that had risen in value since their purchase and $14,224,021,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the year ended December 31, 2012, the fund purchased $30,237,841,000 of investment securities and sold $10,597,709,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,870,345,000 and $4,576,905,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

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Total Stock Market Index Fund

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

      Year Ended December 31,
    2012   2011
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 12,856,470 373,964 16,700,555 536,511
Issued in Lieu of Cash Distributions 1,505,142 42,800 1,071,344 34,743
Redeemed (7,020,532) (204,981) (10,854,702) (344,650)
Net Increase (Decrease)—Investor Shares 7,341,080 211,783 6,917,197 226,604
Admiral Shares        
Issued 8,578,164 247,996 8,084,176 253,721
Issued in Lieu of Cash Distributions 1,101,786 31,338 826,433 26,772
Redeemed (6,373,065) (184,355) (6,165,654) (193,779)
Net Increase (Decrease)Admiral Shares 3,306,885 94,979 2,744,955 86,714
Signal Shares        
Issued 2,907,524 87,545 2,633,369 85,460
Issued in Lieu of Cash Distributions 146,081 4,303 102,303 3,435
Redeemed (2,044,167) (61,646) (2,019,133) (65,415)
Net Increase (Decrease)—Signal Shares 1,009,438 30,202 716,539 23,480
Institutional Shares        
Issued 10,170,383 297,546 9,084,531 288,069
Issued in Lieu of Cash Distributions 749,004 21,306 476,976 15,485
Redeemed (5,401,293) (156,276) (3,648,526) (115,440)
Net Increase (Decrease)—Institutional Shares 5,518,094 162,576 5,912,981 188,114
ETF Shares        
Issued 4,671,146 65,833 5,163,728 78,663
Issued in Lieu of Cash Distributions
Redeemed (2,637,789) (38,100) (3,315,969) (51,500)
Net Increase (Decrease)—ETF Shares 2,033,357 27,733 1,847,759 27,163

 

H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.

On October 2, 2012, Vanguard announced an upcoming change in the fund’s benchmark index from the MSCI US Broad Market Index to the CRSP US Total Market Index. The fund’s investment objective is not changing. The transition to the new benchmark is expected to be completed over several months, and will require some turnover of holdings with resulting transaction costs. Vanguard will seek to minimize trading impact through efficient portfolio trading.

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Report of Independent Registered
Public Accounting Firm

To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Total Stock Market Index Fund: In our opinion, the statement of net assets–investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Total Stock Market Index Fund (constituting a separate portfolio of Vanguard Index Funds, hereafter referred to as the “Fund”) at December 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania

February 11, 2013

                                                
Special 2012 tax information (unaudited) for Vanguard Total Stock Market Index Fund

 

This information for the fiscal year ended December 31, 2012, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $4,211,157,000 of qualified dividend income to shareholders during the fiscal year.

For corporate shareholders, 93.5% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

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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.(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 Investor 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: Total Stock Market Index Fund Investor Shares
Periods Ended December 31, 2012

  One Five Ten
  Year Years Years
Returns Before Taxes 16.25% 2.18% 7.83%
Returns After Taxes on Distributions 15.90 1.87 7.54
Returns After Taxes on Distributions and Sale of Fund Shares 11.02 1.80 6.88

 

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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 December 31, 2012      
  Beginning Ending Expenses
  Account Value Account Value Paid During
Total Stock Market Index Fund 6/30/2012 12/31/2012 Period
Based on Actual Fund Return      
Investor Shares $1,000.00 $1,063.68 $0.88
Admiral Shares 1,000.00 1,064.24 0.26
Signal Shares 1,000.00 1,064.31 0.26
Institutional Shares 1,000.00 1,064.57 0.21
ETF Shares 1,000.00 1,064.31 0.26
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,024.35 $0.87
Admiral Shares 1,000.00 1,024.95 0.26
Signal Shares 1,000.00 1,024.95 0.26
Institutional Shares 1,000.00 1,025.00 0.20
ETF Shares 1,000.00 1,024.95 0.26

 

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are: 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, 0.04% for Institutional Shares, and 0.05% 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.

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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.

Benchmark Information

Spliced Total Stock Market Index: Dow Jones Wilshire 5000 Index through April 22, 2005; MSCI US Broad Market Index thereafter.

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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 180 Vanguard funds.

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

InterestedTrustee1 and Delphi Automotive LLP (automotive components);
  Senior Advisor at New Mountain Capital; Trustee of
F. William McNabb III The Conference Board.
Born 1957. Trustee Since July 2009. Chairman of the  
Board. Principal Occupation(s) During the Past Five Amy Gutmann
Years: Chairman of the Board of The Vanguard Group, Born 1949. Trustee Since June 2006. Principal
Inc., and of each of the investment companies served Occupation(s) During the Past Five Years: President
by The Vanguard Group, since January 2010; Director of the University of Pennsylvania; Christopher H.
of The Vanguard Group since 2008; Chief Executive Browne Distinguished Professor of Political Science
Officer and President of The Vanguard Group and of in the School of Arts and Sciences with secondary
each of the investment companies served by The appointments at the Annenberg School for
Vanguard Group since 2008; Director of Vanguard Communication and the Graduate School of Education
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Member of the
Vanguard Group (1995–2008). National Commission on the Humanities and Social
  Sciences; Trustee of Carnegie Corporation of New
IndependentTrustees York and of the National Constitution Center; Chair
of the U.S. Presidential Commission for the Study
Emerson U. Fullwood of Bioethical Issues.
Born 1948. Trustee Since January 2008. Principal  
Occupation(s) During the Past Five Years: Executive JoAnn Heffernan Heisen
Chief Staff and Marketing Officer for North America Born 1950. Trustee Since July 1998. Principal
and Corporate Vice President (retired 2008) of Xerox Occupation(s) During the Past Five Years: Corporate
Corporation (document management products and Vice President and Chief Global Diversity Officer
services); Executive in Residence and 2010 (retired 2008) and Member of the Executive
Distinguished Minett Professor at the Rochester Committee (1997–2008) of Johnson & Johnson
Institute of Technology; Director of SPX Corporation (pharmaceuticals/medical devices/consumer
(multi-industry manufacturing), the United Way of products); Director of Skytop Lodge Corporation
Rochester, Amerigroup Corporation (managed health (hotels), the University Medical Center at Princeton,
care), the University of Rochester Medical Center, the Robert Wood Johnson Foundation, and the Center
Monroe Community College Foundation, and North for Talent Innovation; Member of the Advisory Board
Carolina A&T University. of the Maxwell School of Citizenship and Public Affairs
  at Syracuse University.
Rajiv L. Gupta  
Born 1945. Trustee Since December 2001.2 F. Joseph Loughrey
Principal Occupation(s) During the Past Five Years: Born 1949. Trustee Since October 2009. Principal
Chairman and Chief Executive Officer (retired 2009) Occupation(s) During the Past Five Years: President
and President (2006–2008) of Rohm and Haas Co. and Chief Operating Officer (retired 2009) of Cummins
(chemicals); Director of Tyco International, Ltd. Inc. (industrial machinery); Director of SKF AB
(diversified manufacturing and services), Hewlett- (industrial machinery), Hillenbrand, Inc. (specialized
Packard Co. (electronic computer manufacturing), consumer services), the Lumina Foundation for

 


 

Education, and Oxfam America; Chairman of the Executive Officers  
Advisory Council for the College of Arts and Letters    
and Member of the Advisory Board to the Kellogg Glenn Booraem  
Institute for International Studies at the University Born 1967. Controller Since July 2010. Principal
of Notre Dame. Occupation(s) During the Past Five Years: Principal
  of The Vanguard Group, Inc.; Controller of each of
Mark Loughridge the investment companies served by The Vanguard
Born 1953. Trustee Since March 2012. Principal Group; Assistant Controller of each of the investment
Occupation(s) During the Past Five Years: Senior Vice companies served by The Vanguard Group (2001–2010)
President and Chief Financial Officer at IBM (information    
technology services); Fiduciary Member of IBM’s Thomas J. Higgins  
Retirement Plan Committee. Born 1957. Chief Financial Officer Since September
  2008. Principal Occupation(s) During the Past Five
Scott C. Malpass Years: Principal of The Vanguard Group, Inc.; Chief
Born 1962. Trustee Since March 2012. Principal Financial Officer of each of the investment companies
Occupation(s) During the Past Five Years: Chief served by The Vanguard Group; Treasurer of each of
Investment Officer and Vice President at the University the investment companies served by The Vanguard
of Notre Dame; Assistant Professor of Finance at the Group (1998–2008).  
Mendoza College of Business at Notre Dame; Member    
of the Notre Dame 403(b) Investment Committee; Kathryn J. Hyatt  
Director of TIFF Advisory Services, Inc. (investment Born 1955. Treasurer Since November 2008. Principal
advisor); Member of the Investment Advisory Occupation(s) During the Past Five Years: Principal of
Committees of the Financial Industry Regulatory The Vanguard Group, Inc.; Treasurer of each of the
Authority (FINRA) and of Major League Baseball. investment companies served by The Vanguard
  Group; Assistant Treasurer of each of the investment
André F. Perold companies served by The Vanguard Group (1988–2008)
Born 1952. Trustee Since December 2004. Principal    
Occupation(s) During the Past Five Years: George Heidi Stam  
Gund Professor of Finance and Banking at the Harvard Born 1956. Secretary Since July 2005. Principal
Business School (retired 2011); Chief Investment Occupation(s) During the Past Five Years: Managing
Officer and Managing Partner of HighVista Strategies Director of The Vanguard Group, Inc.; General Counsel
LLC (private investment firm); Director of Rand of The Vanguard Group; Secretary of The Vanguard
Merchant Bank; Overseer of the Museum of Fine Group and of each of the investment companies
Arts Boston. served by The Vanguard Group; Director and Senior
  Vice President of Vanguard Marketing Corporation.
Alfred M. Rankin, Jr.    
Born 1941. Trustee Since January 1993. Principal    
Occupation(s) During the Past Five Years: Chairman, Vanguard Senior ManagementTeam
President, and Chief Executive Officer of NACCO    
Industries, Inc. (forklift trucks/housewares/lignite); Mortimer J. Buckley Michael S. Miller
Director of Goodrich Corporation (industrial products/ Kathleen C. Gubanich James M. Norris
aircraft systems and services) and the National Paul A. Heller Glenn W. Reed
Association of Manufacturers; Chairman of the Board Martha G. King George U. Sauter
of the Federal Reserve Bank of Cleveland and of Chris D. McIsaac  
University Hospitals of Cleveland; Advisory Chairman    
of the Board of The Cleveland Museum of Art.    
  Chairman Emeritus and Senior Advisor
Peter F. Volanakis    
Born 1955. Trustee Since July 2009. Principal John J. Brennan  
Occupation(s) During the Past Five Years: President Chairman, 1996–2009  
and Chief Operating Officer (retired 2010) of Corning Chief Executive Officer and President, 1996–2008  
Incorporated (communications equipment); Director    
of SPX Corporation (multi-industry manufacturing);
Overseer of the Amos Tuck School of Business Founder  
Administration at Dartmouth College; Advisor to the    
Norris Cotton Cancer Center. John C. Bogle  
Chairman and Chief Executive Officer, 1974–1996  
   

 

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


 

 

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  Q850 022013

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Common Stocks (99.7%)1    
Consumer Discretionary (12.4%)    
Home Depot Inc. 20,165,260 1,247,221
* Amazon.com Inc. 4,837,853 1,214,978
McDonald's Corp. 13,489,940 1,189,948
Comcast Corp. Class A 31,332,286 1,171,201
Walt Disney Co. 22,802,062 1,135,315
News Corp. Class A 26,430,260 675,029
Ford Motor Co. 47,568,610 616,013
Time Warner Inc. 12,693,903 607,149
Lowe's Cos. Inc. 15,741,086 559,123
Starbucks Corp. 10,166,685 545,138
NIKE Inc. Class B 9,738,091 502,485
Target Corp. 8,322,480 492,441
* DIRECTV 8,398,847 421,286
TJX Cos. Inc. 9,846,893 418,001
* priceline.com Inc. 666,518 414,041
Yum! Brands Inc. 6,097,976 404,906
Time Warner Cable Inc. 4,098,333 398,317
Viacom Inc. Class B 6,199,477 326,960
CBS Corp. Class B 7,983,840 303,785
* General Motors Co. 10,474,011 301,966
Johnson Controls Inc. 9,148,722 280,866
Las Vegas Sands Corp. 5,504,220 254,075
Carnival Corp. 5,981,942 219,956
Coach Inc. 3,815,035 211,773
Macy's Inc. 5,384,564 210,106
McGraw-Hill Cos. Inc. 3,373,437 184,426
VF Corp. 1,176,127 177,560
Omnicom Group Inc. 3,553,274 177,522
* Bed Bath & Beyond Inc. 3,109,931 173,876
Comcast Corp. 4,677,396 168,152
Mattel Inc. 4,560,697 167,013
Ross Stores Inc. 3,017,672 163,407
* Liberty Media Corp. - Liberty Capital Class A 1,394,790 161,810
* AutoZone Inc. 450,697 159,741
* Delphi Automotive plc 4,104,808 157,009
* Dollar General Corp. 3,514,778 154,967
Limited Brands Inc. 3,264,814 153,642
Starwood Hotels & Resorts Worldwide Inc. 2,625,567 150,603
Harley-Davidson Inc. 3,045,603 148,747
Sirius XM Radio Inc. 51,225,620 148,042
* O'Reilly Automotive Inc. 1,588,844 142,074
* Liberty Interactive Corp. Class A 6,883,973 135,477
Genuine Parts Co. 2,072,603 131,776
Gap Inc. 4,177,253 129,662
Marriott International Inc. Class A 3,450,529 128,601
Kohl's Corp. 2,976,944 127,949
* Chipotle Mexican Grill Inc. Class A 423,368 125,935
^ Virgin Media Inc. 3,411,355 125,367
* Dollar Tree Inc. 3,078,005 124,844
* Discovery Communications Inc. Class A 1,948,970 123,721
Wynn Resorts Ltd. 1,074,679 120,891
Ralph Lauren Corp. Class A 806,113 120,852
* Liberty Global Inc. Class A 1,834,214 115,537
Nordstrom Inc. 2,148,690 114,955
* CarMax Inc. 3,051,436 114,551
* BorgWarner Inc. 1,529,219 109,523
Whirlpool Corp. 1,036,195 105,433
PVH Corp. 940,632 104,420
Staples Inc. 9,127,530 104,054
DISH Network Corp. Class A 2,835,728 103,220
* Lululemon Athletica Inc. 1,346,553 102,648

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Wyndham Worldwide Corp. 1,900,024 101,100
PetSmart Inc. 1,445,636 98,795
Tiffany & Co. 1,692,267 97,035
* Liberty Global Inc. 1,510,888 88,765
Newell Rubbermaid Inc. 3,859,293 85,946
^ Autoliv Inc. 1,275,029 85,924
Family Dollar Stores Inc. 1,327,418 84,172
* PulteGroup Inc. 4,615,377 83,815
Tractor Supply Co. 947,361 83,709
* LKQ Corp. 3,959,315 83,542
Expedia Inc. 1,315,290 80,825
Ulta Salon Cosmetics & Fragrance Inc. 799,689 78,577
Darden Restaurants Inc. 1,714,881 77,290
DR Horton Inc. 3,843,073 76,016
* TRW Automotive Holdings Corp. 1,386,183 74,313
* Discovery Communications Inc. 1,266,902 74,114
Polaris Industries Inc. 870,155 73,224
Lennar Corp. Class A 1,862,729 72,032
Advance Auto Parts Inc. 980,661 70,951
* Mohawk Industries Inc. 783,641 70,896
H&R Block Inc. 3,625,242 67,321
Scripps Networks Interactive Inc. Class A 1,149,251 66,565
* Netflix Inc. 704,941 65,404
* Toll Brothers Inc. 2,022,705 65,394
Foot Locker Inc. 2,025,295 65,052
* Fossil Inc. 695,701 64,770
Interpublic Group of Cos. Inc. 5,854,221 64,514
Royal Caribbean Cruises Ltd. 1,892,498 64,345
^ Garmin Ltd. 1,563,636 63,828
* TripAdvisor Inc. 1,472,459 61,784
Lear Corp. 1,316,948 61,686
* Urban Outfitters Inc. 1,549,908 61,004
* NVR Inc. 65,345 60,117
* Panera Bread Co. Class A 377,570 59,969
Dick's Sporting Goods Inc. 1,288,658 58,621
Signet Jewelers Ltd. 1,080,812 57,715
* MGM Resorts International 4,903,895 57,081
* Sally Beauty Holdings Inc. 2,406,055 56,711
Hasbro Inc. 1,567,377 56,269
Gannett Co. Inc. 3,103,428 55,893
Abercrombie & Fitch Co. 1,103,392 52,930
* Jarden Corp. 1,013,776 52,412
Williams-Sonoma Inc. 1,194,360 52,277
Leggett & Platt Inc. 1,878,548 51,134
* Under Armour Inc. Class A 1,049,328 50,924
International Game Technology 3,568,432 50,565
American Eagle Outfitters Inc. 2,364,143 48,489
Tupperware Brands Corp. 744,977 47,753
Dunkin' Brands Group Inc. 1,409,597 46,770
* Hanesbrands Inc. 1,304,128 46,714
Best Buy Co. Inc. 3,860,107 45,742
* Goodyear Tire & Rubber Co. 3,272,388 45,192
GNC Holdings Inc. Class A 1,327,698 44,186
^ JC Penney Co. Inc. 2,190,252 43,170
* Penn National Gaming Inc. 870,535 42,752
^ GameStop Corp. Class A 1,663,489 41,737
* Charter Communications Inc. Class A 539,086 41,100
Chico's FAS Inc. 2,216,917 40,924
Harman International Industries Inc. 914,152 40,808
Service Corp. International 2,868,849 39,619
* Warnaco Group Inc. 544,480 38,968
Cablevision Systems Corp. Class A 2,576,428 38,492
* Carter's Inc. 668,153 37,183
Gentex Corp. 1,932,894 36,377

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Cinemark Holdings Inc. 1,376,754 35,768
* Madison Square Garden Co. Class A 787,727 34,936
  Brunswick Corp. 1,194,503 34,748
* AMC Networks Inc. Class A 699,863 34,643
* Visteon Corp. 633,907 34,117
  Six Flags Entertainment Corp. 536,587 32,839
* Lamar Advertising Co. Class A 835,489 32,375
* Ascena Retail Group Inc. 1,741,530 32,201
  Dillard's Inc. Class A 384,351 32,197
  Domino's Pizza Inc. 724,657 31,559
* Liberty Ventures Class A 465,349 31,532
  Brinker International Inc. 993,718 30,795
  Dana Holding Corp. 1,970,232 30,755
  Sotheby's 901,702 30,315
  HSN Inc. 532,818 29,348
  DSW Inc. Class A 444,298 29,186
* Apollo Group Inc. Class A 1,352,157 28,287
* Tenneco Inc. 801,103 28,127
*,^ Tesla Motors Inc. 825,682 27,966
* Life Time Fitness Inc. 552,119 27,170
  Aaron's Inc. 958,203 27,098
  Rent-A-Center Inc. 785,637 26,994
  Wolverine World Wide Inc. 652,694 26,747
  Pool Corp. 627,164 26,542
  Pier 1 Imports Inc. 1,301,095 26,022
  Vail Resorts Inc. 480,134 25,970
* Bally Technologies Inc. 569,349 25,456
* Cabela's Inc. 603,824 25,210
* Tempur-Pedic International Inc. 792,179 24,946
* Big Lots Inc. 873,607 24,863
  John Wiley & Sons Inc. Class A 637,184 24,806
* Hyatt Hotels Corp. Class A 613,260 23,653
* Steven Madden Ltd. 551,123 23,296
  Washington Post Co. Class B 63,228 23,091
  Thor Industries Inc. 599,115 22,425
  Cheesecake Factory Inc. 679,527 22,234
  Guess? Inc. 897,401 22,022
* ANN Inc. 643,615 21,780
*,^ Coinstar Inc. 418,135 21,747
  Ryland Group Inc. 593,634 21,668
* Iconix Brand Group Inc. 934,611 20,861
  Morningstar Inc. 326,257 20,499
*,^ Sears Holdings Corp. 495,392 20,489
* Vitamin Shoppe Inc. 355,431 20,388
*,^ Deckers Outdoor Corp. 506,192 20,384
  Men's Wearhouse Inc. 643,147 20,040
  Cooper Tire & Rubber Co. 788,568 19,998
  MDC Holdings Inc. 542,054 19,926
^ Weight Watchers International Inc. 370,208 19,384
* AutoNation Inc. 482,331 19,149
* Groupon Inc. 3,913,384 19,097
  Hillenbrand Inc. 831,296 18,796
* Fifth & Pacific Cos. Inc. 1,503,338 18,717
  DeVry Inc. 787,138 18,679
* Select Comfort Corp. 710,126 18,584
* Hibbett Sports Inc. 348,955 18,390
  Wendy's Co. 3,905,122 18,354
  Cracker Barrel Old Country Store Inc. 281,786 18,108
  Penske Automotive Group Inc. 600,458 18,068
* Buffalo Wild Wings Inc. 247,457 18,020
* Genesco Inc. 325,860 17,922
  Group 1 Automotive Inc. 288,310 17,872
* Live Nation Entertainment Inc. 1,888,294 17,580
* Crocs Inc. 1,196,697 17,220

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
^ Buckle Inc. 383,902 17,137
* Meritage Homes Corp. 449,146 16,776
^ Meredith Corp. 477,923 16,464
  Arbitron Inc. 350,365 16,355
* Lumber Liquidators Holdings Inc. 307,782 16,260
* Jack in the Box Inc. 565,361 16,169
  Regal Entertainment Group Class A 1,137,841 15,873
* Jos A Bank Clothiers Inc. 371,433 15,816
* Lions Gate Entertainment Corp. 958,843 15,725
*,^ Saks Inc. 1,472,968 15,481
  Bob Evans Farms Inc. 383,367 15,411
* DreamWorks Animation SKG Inc. Class A 927,674 15,372
  Burger King Worldwide Inc. 930,740 15,301
* Express Inc. 1,005,138 15,168
* Orient-Express Hotels Ltd. Class A 1,292,449 15,109
  Valassis Communications Inc. 583,923 15,054
* New York Times Co. Class A 1,764,502 15,051
  KB Home 926,391 14,637
* Children's Place Retail Stores Inc. 319,356 14,144
  Texas Roadhouse Inc. Class A 838,810 14,092
* Aeropostale Inc. 1,076,212 14,002
* Papa John's International Inc. 253,307 13,917
* DineEquity Inc. 206,482 13,834
  Monro Muffler Brake Inc. 391,030 13,674
* Shutterfly Inc. 454,565 13,578
  Dorman Products Inc. 383,780 13,563
* Helen of Troy Ltd. 398,144 13,294
* Pinnacle Entertainment Inc. 826,726 13,087
  Regis Corp. 759,661 12,853
  Choice Hotels International Inc. 381,735 12,834
  Finish Line Inc. Class A 670,043 12,684
* WMS Industries Inc. 723,112 12,654
* Standard Pacific Corp. 1,691,001 12,429
* Office Depot Inc. 3,786,300 12,419
* Marriott Vacations Worldwide Corp. 290,752 12,116
  Jones Group Inc. 1,083,799 11,987
* Francesca's Holdings Corp. 460,407 11,952
* Asbury Automotive Group Inc. 371,715 11,906
  Matthews International Corp. Class A 368,951 11,843
* Grand Canyon Education Inc. 502,567 11,795
^ Sturm Ruger & Co. Inc. 255,682 11,608
  Ameristar Casinos Inc. 436,844 11,463
  OfficeMax Inc. 1,150,028 11,224
  Churchill Downs Inc. 168,697 11,210
  Stage Stores Inc. 449,566 11,140
* Conn's Inc. 360,691 11,066
  Lithia Motors Inc. Class A 293,586 10,986
* BJ's Restaurants Inc. 333,851 10,984
* SHFL Entertainment Inc. 732,541 10,622
* American Axle & Manufacturing Holdings Inc. 943,064 10,562
  Brown Shoe Co. Inc. 571,806 10,504
  Scholastic Corp. 354,383 10,476
  National CineMedia Inc. 735,819 10,397
* Tumi Holdings Inc. 491,849 10,255
  News Corp. Class B 388,759 10,201
  Sonic Automotive Inc. Class A 487,329 10,180
  Interval Leisure Group Inc. 523,047 10,142
* Ascent Capital Group Inc. Class A 161,027 9,974
  Cato Corp. Class A 362,613 9,946
  La-Z-Boy Inc. 690,909 9,776
^ Allison Transmission Holdings Inc. 478,042 9,762
* HomeAway Inc. 438,068 9,637
  International Speedway Corp. Class A 348,450 9,624
  Columbia Sportswear Co. 178,474 9,523

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Belo Corp. Class A 1,233,350 9,460
* Skechers U.S.A. Inc. Class A 509,934 9,434
*,^ Hovnanian Enterprises Inc. Class A 1,319,772 9,238
  Ethan Allen Interiors Inc. 346,140 8,899
  Strayer Education Inc. 157,074 8,823
* Steiner Leisure Ltd. 181,583 8,750
  Sinclair Broadcast Group Inc. Class A 691,066 8,721
  Oxford Industries Inc. 186,477 8,645
* American Public Education Inc. 237,221 8,566
  Drew Industries Inc. 263,141 8,486
  CEC Entertainment Inc. 254,955 8,462
  True Religion Apparel Inc. 326,684 8,304
* AFC Enterprises Inc. 315,395 8,241
  Lennar Corp. Class B 269,794 8,239
^ American Greetings Corp. Class A 476,267 8,044
  Stewart Enterprises Inc. Class A 1,026,947 7,846
* Biglari Holdings Inc. 19,799 7,722
* G-III Apparel Group Ltd. 223,593 7,654
* Sonic Corp. 731,843 7,618
  Movado Group Inc. 242,874 7,451
* K12 Inc. 358,727 7,332
* M/I Homes Inc. 276,132 7,317
* Smith & Wesson Holding Corp. 863,608 7,289
* Krispy Kreme Doughnuts Inc. 758,358 7,113
* Scientific Games Corp. Class A 812,973 7,048
*,^ Pandora Media Inc. 767,332 7,044
* Blue Nile Inc. 179,179 6,898
  Pep Boys-Manny Moe & Jack 693,704 6,819
*,^ Vera Bradley Inc. 265,509 6,664
* Winnebago Industries Inc. 385,264 6,600
  Superior Industries International Inc. 318,032 6,488
* Denny's Corp. 1,324,156 6,462
* Red Robin Gourmet Burgers Inc. 182,708 6,448
* iRobot Corp. 343,653 6,440
* Quiksilver Inc. 1,513,132 6,431
* LeapFrog Enterprises Inc. 736,697 6,358
  Core-Mark Holding Co. Inc. 134,038 6,347
  Fred's Inc. Class A 458,405 6,101
* Zumiez Inc. 311,947 6,055
* Maidenform Brands Inc. 310,617 6,054
* rue21 inc 209,930 5,960
*,^ Barnes & Noble Inc. 390,032 5,886
* Ruby Tuesday Inc. 731,944 5,753
* Arctic Cat Inc. 171,973 5,742
  Callaway Golf Co. 857,783 5,576
* Beazer Homes USA Inc. 322,349 5,444
* Multimedia Games Holding Co. Inc. 364,921 5,368
  Standard Motor Products Inc. 239,693 5,326
* EW Scripps Co. Class A 490,176 5,299
* Capella Education Co. 183,776 5,188
  Hot Topic Inc. 529,600 5,111
* Gentherm Inc. 380,300 5,058
* America's Car-Mart Inc. 122,441 4,961
* Libbey Inc. 255,514 4,944
* Boyd Gaming Corp. 736,848 4,893
* Modine Manufacturing Co. 564,858 4,592
* Caribou Coffee Co. Inc. 267,232 4,326
*,^ ITT Educational Services Inc. 249,155 4,313
* Mattress Firm Holding Corp. 173,427 4,254
* Cavco Industries Inc. 82,267 4,112
  Haverty Furniture Cos. Inc. 248,958 4,060
  NACCO Industries Inc. Class A 66,764 4,052
* Wet Seal Inc. Class A 1,379,266 3,807
  Shoe Carnival Inc. 185,435 3,800

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Carriage Services Inc. Class A 313,247 3,718
  Clear Channel Outdoor Holdings Inc. Class A 509,147 3,574
  JAKKS Pacific Inc. 280,401 3,511
*,^ Digital Generation Inc. 319,320 3,468
* Caesars Entertainment Corp. 495,368 3,428
  Harte-Hanks Inc. 579,680 3,420
  PetMed Express Inc. 306,044 3,397
* Universal Electronics Inc. 174,340 3,373
* Ruth's Hospitality Group Inc. 457,286 3,324
* Rentrak Corp. 170,345 3,320
* Tuesday Morning Corp. 523,891 3,274
* Bravo Brio Restaurant Group Inc. 242,615 3,258
* Career Education Corp. 923,295 3,250
  Perry Ellis International Inc. 162,718 3,238
* Journal Communications Inc. Class A 598,089 3,236
  Speedway Motorsports Inc. 179,830 3,208
  Marcus Corp. 256,363 3,197
  Destination Maternity Corp. 144,242 3,110
  Big 5 Sporting Goods Corp. 235,874 3,090
* Overstock.com Inc. 214,250 3,066
* Fuel Systems Solutions Inc. 208,065 3,059
* Carmike Cinemas Inc. 203,590 3,054
* Exide Technologies 887,870 3,037
* Fiesta Restaurant Group Inc. 192,497 2,949
  Universal Technical Institute Inc. 290,774 2,919
* LIN TV Corp. Class A 384,896 2,898
* Unifi Inc. 221,250 2,878
  Town Sports International Holdings Inc. 267,977 2,854
  World Wrestling Entertainment Inc. Class A 361,491 2,852
  Nutrisystem Inc. 340,255 2,787
  Stein Mart Inc. 362,769 2,735
* Cumulus Media Inc. Class A 1,012,048 2,702
^ RadioShack Corp. 1,263,705 2,679
* Bridgepoint Education Inc. 254,715 2,624
* Citi Trends Inc. 188,853 2,599
* Christopher & Banks Corp. 476,458 2,597
  Hooker Furniture Corp. 178,152 2,589
* Corinthian Colleges Inc. 1,055,220 2,575
* Federal-Mogul Corp. 311,407 2,497
* MarineMax Inc. 276,002 2,467
* McClatchy Co. Class A 747,244 2,443
* Black Diamond Inc. 287,264 2,356
  CSS Industries Inc. 103,325 2,262
* Nexstar Broadcasting Group Inc. Class A 212,743 2,253
* Casual Male Retail Group Inc. 528,729 2,221
* Steinway Musical Instruments Inc. 104,951 2,220
^ Blyth Inc. 141,026 2,193
  Saga Communications Inc. Class A 45,952 2,137
* Kirkland's Inc. 192,819 2,042
  Cherokee Inc. 145,928 2,001
  Weyco Group Inc. 85,164 1,989
* West Marine Inc. 184,315 1,981
  Spartan Motors Inc. 396,070 1,953
* Body Central Corp. 191,245 1,905
* Vitacost.com Inc. 279,743 1,897
* Bluegreen Corp. 200,908 1,885
  bebe stores inc 471,340 1,881
*,^ Teavana Holdings Inc. 120,954 1,875
* Jamba Inc. 834,904 1,870
  Bassett Furniture Industries Inc. 148,869 1,856
* Famous Dave's Of America Inc. 197,918 1,819
  Systemax Inc. 188,321 1,817
* Entercom Communications Corp. Class A 257,660 1,798
  Fisher Communications Inc. 66,557 1,796

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
*,^ Zagg Inc. 243,945 1,795
  Mac-Gray Corp. 139,675 1,753
^ Bon-Ton Stores Inc. 144,463 1,751
  Strattec Security Corp. 65,085 1,680
* Monarch Casino & Resort Inc. 153,094 1,670
* Luby's Inc. 248,750 1,664
* Zale Corp. 404,536 1,663
* Stoneridge Inc. 322,150 1,649
* Gordmans Stores Inc. 108,945 1,636
* Geeknet Inc. 100,443 1,617
*,^ hhgregg Inc. 227,060 1,594
* Morgans Hotel Group Co. 280,286 1,553
*,^ Sealy Corp. 714,597 1,551
* VOXX International Corp. Class A 223,488 1,504
  Winmark Corp. 26,154 1,491
*,^ Skullcandy Inc. 190,795 1,486
  Lincoln Educational Services Corp. 265,280 1,483
* TravelCenters of America LLC 311,380 1,463
* Isle of Capri Casinos Inc. 260,949 1,461
* Premier Exhibitions Inc. 536,744 1,455
  Flexsteel Industries Inc. 67,252 1,443
* ReachLocal Inc. 106,326 1,373
* Daily Journal Corp. 14,678 1,358
* Gray Television Inc. 602,146 1,325
  AH Belo Corp. Class A 282,231 1,312
  Lifetime Brands Inc. 120,582 1,279
* Nautilus Inc. 362,819 1,273
  Outdoor Channel Holdings Inc. 156,925 1,193
  Superior Uniform Group Inc. 104,006 1,190
* New York & Co. Inc. 309,131 1,178
* Johnson Outdoors Inc. Class A 58,984 1,175
* Delta Apparel Inc. 83,677 1,170
* Reading International Inc. Class A 194,275 1,168
  Culp Inc. 77,220 1,159
*,^ Dex One Corp. 728,768 1,151
  Shiloh Industries Inc. 110,112 1,134
* 1-800-Flowers.com Inc. Class A 307,645 1,129
* Red Lion Hotels Corp. 141,996 1,120
* Carrols Restaurant Group Inc. 187,152 1,119
* Coldwater Creek Inc. 230,378 1,108
* MTR Gaming Group Inc. 255,698 1,066
* Ignite Restaurant Group Inc. 81,538 1,060
* K-Swiss Inc. Class A 306,543 1,030
  Einstein Noah Restaurant Group Inc. 84,347 1,030
* Stanley Furniture Co. Inc. 227,672 1,025
* Motorcar Parts of America Inc. 155,681 1,023
  Entravision Communications Corp. Class A 611,275 1,015
* Rocky Brands Inc. 76,795 1,000
* Pacific Sunwear of California Inc. 554,736 882
* Rick's Cabaret International Inc. 107,071 862
  Marine Products Corp. 147,792 845
* Valuevision Media Inc. Class A 467,359 841
* Gaiam Inc. Class A 266,128 841
* Joe's Jeans Inc. 832,167 832
* Martha Stewart Living Omnimedia Class A 334,904 821
  Dover Downs Gaming & Entertainment Inc. 355,462 782
* Lakes Entertainment Inc. 260,577 782
* Orbitz Worldwide Inc. 286,229 779
  Frisch's Restaurants Inc. 41,790 773
* Learning Tree International Inc. 138,784 756
* Navarre Corp. 416,222 741
  Ambassadors Group Inc. 172,883 736
  National American University Holdings Inc. 175,287 675
* Heelys Inc. 300,234 670

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Furniture Brands International Inc. 613,008 650
* Build-A-Bear Workshop Inc. 168,197 642
* Lee Enterprises Inc. 542,668 619
* Media General Inc. Class A 143,348 616
* Tower International Inc. 73,247 590
* Century Casinos Inc. 202,361 575
  Trans World Entertainment Corp. 160,912 560
  Collectors Universe 55,458 556
*,^ American Apparel Inc. 542,490 548
* Harris Interactive Inc. 435,505 523
  Salem Communications Corp. Class A 95,195 520
* Radio One Inc. 678,120 515
  Escalade Inc. 93,954 498
*,^ SuperMedia Inc. 139,686 478
* Kid Brands Inc. 298,606 463
* Cosi Inc. 575,742 448
* Cache Inc. 180,624 437
  Dover Motorsports Inc. 236,518 400
* dELiA*s Inc. 299,242 350
* Dixie Group Inc. 99,243 328
* Perfumania Holdings Inc. 64,655 318
* UQM Technologies Inc. 401,083 305
* Entertainment Gaming Asia Inc. 157,269 302
* Books-A-Million Inc. 112,514 299
* Emerson Radio Corp. 169,085 293
  Gaming Partners International Corp. 41,577 290
  Hastings Entertainment Inc. 121,119 263
*,^ Empire Resorts Inc. 108,577 253
*,^ Quantum Fuel Systems Technologies Worldwide Inc. 350,871 239
  Canterbury Park Holding Corp. 24,382 237
* US Auto Parts Network Inc. 128,589 235
* Hollywood Media Corp. 174,057 235
* ALCO Stores Inc. 25,950 228
* School Specialty Inc. 219,289 208
* Skyline Corp. 50,767 206
* Cambium Learning Group Inc. 157,716 175
* Orchard Supply Hardware Stores Corp. Class A 23,110 171
* Hovnanian Enterprises Inc. Class B 19,300 135
* Sport Chalet Inc. Class A 65,485 107
* SPAR Group Inc. 16,145 28
*,^ Universal Travel Group 42,843 24
* LodgeNet Interactive Corp. 280,561 15
  Bowl America Inc. Class A 964 12
* Sport Chalet Inc. Class B 1,820 3
  Educational Development Corp. 281 1
  Koss Corp. 100
      26,104,463
Consumer Staples (9.4%)    
  Procter & Gamble Co. 36,885,367 2,504,148
  Coca-Cola Co. 54,320,419 1,969,115
  Philip Morris International Inc. 22,550,112 1,886,091
  Wal-Mart Stores Inc. 24,894,086 1,698,524
  PepsiCo Inc. 20,818,464 1,424,608
  Altria Group Inc. 27,193,408 854,417
  CVS Caremark Corp. 17,018,857 822,862
  Colgate-Palmolive Co. 6,343,101 663,108
  Mondelez International Inc. Class A 22,552,621 574,415
  Costco Wholesale Corp. 5,783,600 571,246
  Kimberly-Clark Corp. 5,282,582 446,008
  Walgreen Co. 11,969,418 442,988
  General Mills Inc. 8,672,226 350,445
  Kraft Foods Group Inc. 7,510,573 341,506
  Sysco Corp. 7,847,094 248,439
  HJ Heinz Co. 4,283,836 247,092

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Archer-Daniels-Midland Co. 8,810,426 241,318
  Whole Foods Market Inc. 2,346,880 214,341
  Lorillard Inc. 1,747,320 203,860
  Estee Lauder Cos. Inc. Class A 3,149,327 188,519
  Reynolds American Inc. 4,538,463 188,029
  Kellogg Co. 3,349,897 187,092
  Kroger Co. 6,921,947 180,109
  Mead Johnson Nutrition Co. 2,725,844 179,606
  ConAgra Foods Inc. 5,432,150 160,248
  Hershey Co. 2,103,890 151,943
  Bunge Ltd. 1,951,884 141,882
  JM Smucker Co. 1,475,733 127,267
  Coca-Cola Enterprises Inc. 3,935,267 124,866
  Dr Pepper Snapple Group Inc. 2,813,856 124,316
  Clorox Co. 1,645,438 120,479
  Beam Inc. 1,904,680 116,357
* Monster Beverage Corp. 2,003,966 105,970
  Brown-Forman Corp. Class B 1,633,009 103,288
  McCormick & Co. Inc. 1,606,304 102,049
  Church & Dwight Co. Inc. 1,860,375 99,660
  Campbell Soup Co. 2,533,817 88,405
  Molson Coors Brewing Co. Class B 1,992,580 85,263
  Avon Products Inc. 5,773,840 82,912
  Tyson Foods Inc. Class A 3,905,085 75,759
*,^ Green Mountain Coffee Roasters Inc. 1,767,953 73,123
* Constellation Brands Inc. Class A 2,056,806 72,790
  Energizer Holdings Inc. 863,991 69,102
* Ralcorp Holdings Inc. 738,459 66,203
  Ingredion Inc. 1,018,908 65,648
  Hormel Foods Corp. 1,935,447 60,405
^ Safeway Inc. 3,202,833 57,939
^ Herbalife Ltd. 1,495,411 49,259
  Hillshire Brands Co. 1,587,061 44,660
* Smithfield Foods Inc. 1,979,830 42,705
* Dean Foods Co. 2,471,373 40,802
  Flowers Foods Inc. 1,662,552 38,688
* United Natural Foods Inc. 651,651 34,922
* Hain Celestial Group Inc. 508,517 27,572
  Nu Skin Enterprises Inc. Class A 743,747 27,556
  Casey's General Stores Inc. 511,911 27,182
* TreeHouse Foods Inc. 481,111 25,080
* Darling International Inc. 1,563,243 25,074
* Fresh Market Inc. 512,150 24,629
  Harris Teeter Supermarkets Inc. 622,622 24,008
  PriceSmart Inc. 261,284 20,132
  B&G Foods Inc. 691,040 19,563
  Lancaster Colony Corp. 255,109 17,651
* Elizabeth Arden Inc. 349,599 15,735
* Boston Beer Co. Inc. Class A 116,785 15,702
  Universal Corp. 309,645 15,454
  Snyders-Lance Inc. 637,352 15,367
* Post Holdings Inc. 431,983 14,795
  Fresh Del Monte Produce Inc. 535,472 14,110
  Spectrum Brands Holdings Inc. 307,264 13,805
* Prestige Brands Holdings Inc. 669,053 13,401
  J&J Snack Foods Corp. 200,098 12,794
  Sanderson Farms Inc. 259,291 12,329
* Rite Aid Corp. 8,998,226 12,238
  Vector Group Ltd. 680,122 10,113
* Smart Balance Inc. 783,190 10,103
  Andersons Inc. 233,582 10,021
  WD-40 Co. 196,005 9,234
* Susser Holdings Corp. 224,485 7,743
  Cal-Maine Foods Inc. 187,233 7,531

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
^ SUPERVALU Inc. 2,823,669 6,974
^ Tootsie Roll Industries Inc. 242,418 6,283
  Weis Markets Inc. 158,222 6,198
* Pilgrim's Pride Corp. 854,023 6,192
* Dole Food Co. Inc. 524,140 6,012
  Coca-Cola Bottling Co. Consolidated 81,568 5,424
* Chiquita Brands International Inc. 554,928 4,578
* Central Garden and Pet Co. Class A 437,183 4,569
* Medifast Inc. 171,495 4,526
* Annie's Inc. 134,957 4,512
  Spartan Stores Inc. 284,109 4,364
  Inter Parfums Inc. 215,346 4,191
*,^ Star Scientific Inc. 1,521,388 4,077
^ Diamond Foods Inc. 284,216 3,885
* Alliance One International Inc. 1,067,202 3,885
  Calavo Growers Inc. 149,268 3,763
  Nash Finch Co. 169,982 3,617
* Pantry Inc. 293,762 3,563
*,^ USANA Health Sciences Inc. 95,724 3,152
  Village Super Market Inc. Class A 86,219 2,833
  John B Sanfilippo & Son Inc. 151,594 2,756
* Revlon Inc. Class A 190,018 2,755
* Seneca Foods Corp. Class A 89,053 2,707
  Oil-Dri Corp. of America 95,706 2,641
  Nutraceutical International Corp. 147,820 2,445
  Nature's Sunshine Products Inc. 160,581 2,325
  Ingles Markets Inc. Class A 134,677 2,325
* Central Garden and Pet Co. 224,066 2,245
* Chefs' Warehouse Inc. 141,332 2,234
  National Beverage Corp. 144,878 2,114
  Limoneira Co. 104,815 2,032
*,^ Central European Distribution Corp. 819,306 1,778
* Inventure Foods Inc. 272,619 1,769
  Female Health Co. 237,050 1,702
  Alico Inc. 43,358 1,588
  Roundy's Inc. 330,882 1,472
* Omega Protein Corp. 231,725 1,418
  Orchids Paper Products Co. 69,151 1,398
* Farmer Bros Co. 92,919 1,341
  Griffin Land & Nurseries Inc. 36,463 985
  Lifeway Foods Inc. 95,840 838
* Overhill Farms Inc. 180,429 781
* Craft Brew Alliance Inc. 86,725 562
  MGP Ingredients Inc. 95,433 326
*,^ Primo Water Corp. 178,443 212
  Reliv International Inc. 146,638 192
* Mannatech Inc. 21,837 123
* Crystal Rock Holdings Inc. 32,920 34
  Bridgford Foods Corp. 200 1
      19,739,415
Energy (10.1%)    
  Exxon Mobil Corp. 61,747,781 5,344,270
  Chevron Corp. 26,247,701 2,838,426
  Schlumberger Ltd. 17,751,831 1,230,024
  ConocoPhillips 15,434,827 895,066
  Occidental Petroleum Corp. 10,834,776 830,052
  Anadarko Petroleum Corp. 6,684,337 496,713
  EOG Resources Inc. 3,612,149 436,312
  Halliburton Co. 12,410,672 430,526
  Phillips 66 7,967,115 423,054
  Apache Corp. 5,233,405 410,822
  National Oilwell Varco Inc. 5,704,380 389,894
  Kinder Morgan Inc. 8,640,805 305,280
  Williams Cos. Inc. 9,017,112 295,220

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Marathon Oil Corp. 9,436,622 289,327
  Marathon Petroleum Corp. 4,525,443 285,103
  Devon Energy Corp. 5,140,503 267,512
  Valero Energy Corp. 7,378,987 251,771
  Noble Energy Inc. 2,378,836 242,023
  Baker Hughes Inc. 5,880,077 240,142
  Spectra Energy Corp. 8,733,582 239,126
  Hess Corp. 4,111,601 217,750
* Cameron International Corp. 3,294,592 186,013
  Ensco plc Class A 3,101,139 183,836
  Pioneer Natural Resources Co. 1,563,625 166,667
* Southwestern Energy Co. 4,670,165 156,030
  Chesapeake Energy Corp. 8,892,149 147,788
  Murphy Oil Corp. 2,466,287 146,867
  Cabot Oil & Gas Corp. 2,806,083 139,575
* FMC Technologies Inc. 3,185,509 136,435
  Range Resources Corp. 2,171,454 136,432
  HollyFrontier Corp. 2,584,043 120,287
  EQT Corp. 1,999,038 117,903
  Noble Corp. 3,375,504 117,535
* Weatherford International Ltd. 10,134,616 113,406
* Concho Resources Inc. 1,323,969 106,659
* Kinder Morgan Management LLC 1,349,040 101,799
  CONSOL Energy Inc. 3,041,726 97,639
  Peabody Energy Corp. 3,585,573 95,412
* Denbury Resources Inc. 5,227,699 84,689
  Tesoro Corp. 1,868,113 82,290
* Plains Exploration & Production Co. 1,723,826 80,916
  Helmerich & Payne Inc. 1,418,902 79,473
  Oceaneering International Inc. 1,443,085 77,624
  QEP Resources Inc. 2,377,477 71,966
  Core Laboratories NV 632,675 69,158
* Whiting Petroleum Corp. 1,573,120 68,226
  Cimarex Energy Co. 1,149,912 66,384
  Diamond Offshore Drilling Inc. 929,694 63,182
* Cobalt International Energy Inc. 2,468,872 60,636
* Dresser-Rand Group Inc. 1,011,069 56,761
* Nabors Industries Ltd. 3,879,891 56,064
* Oil States International Inc. 732,028 52,369
* Rowan Cos. plc Class A 1,659,355 51,888
* Newfield Exploration Co. 1,803,426 48,296
* Cheniere Energy Inc. 2,436,497 45,757
  SM Energy Co. 870,480 45,448
* Continental Resources Inc. 605,503 44,498
* Superior Energy Services Inc. 2,101,291 43,539
  Energen Corp. 964,416 43,486
  World Fuel Services Corp. 963,478 39,666
* WPX Energy Inc. 2,659,102 39,567
  Patterson-UTI Energy Inc. 2,064,873 38,469
*,^ Ultra Petroleum Corp. 2,044,735 37,071
* Atwood Oceanics Inc. 783,727 35,887
* McDermott International Inc. 3,141,293 34,617
* Dril-Quip Inc. 457,289 33,405
* Rosetta Resources Inc. 706,985 32,069
* Oasis Petroleum Inc. 993,490 31,593
*,^ SandRidge Energy Inc. 4,901,062 31,122
* Kodiak Oil & Gas Corp. 3,508,147 31,047
* Gulfport Energy Corp. 799,802 30,568
  Tidewater Inc. 674,616 30,142
  Energy XXI Bermuda Ltd. 897,932 28,904
* Alpha Natural Resources Inc. 2,943,536 28,670
* Helix Energy Solutions Group Inc. 1,331,920 27,491
* Unit Corp. 582,174 26,227
  Lufkin Industries Inc. 447,152 25,993

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Bristow Group Inc. 477,862 25,642
*,^ McMoRan Exploration Co. 1,406,296 22,571
  SEACOR Holdings Inc. 265,566 22,254
  Western Refining Inc. 784,528 22,116
  CARBO Ceramics Inc. 276,184 21,636
  Berry Petroleum Co. Class A 629,590 21,123
  Targa Resources Corp. 394,795 20,861
  Arch Coal Inc. 2,825,743 20,684
* Gran Tierra Energy Inc. 3,730,765 20,557
* SemGroup Corp. Class A 500,141 19,546
* Exterran Holdings Inc. 773,238 16,949
* Cloud Peak Energy Inc. 810,575 15,668
* Hornbeck Offshore Services Inc. 447,074 15,353
* Geospace Technologies Corp. 160,992 14,307
* Northern Oil and Gas Inc. 802,464 13,497
* PDC Energy Inc. 400,653 13,306
* Key Energy Services Inc. 1,908,598 13,265
^ Enbridge Energy Management LLC 456,743 13,195
* Halcon Resources Corp. 1,860,873 12,877
* Forum Energy Technologies Inc. 515,107 12,749
* Stone Energy Corp. 620,683 12,736
* C&J Energy Services Inc. 557,068 11,944
  EXCO Resources Inc. 1,717,825 11,630
* Approach Resources Inc. 460,495 11,517
*,^ Clean Energy Fuels Corp. 920,440 11,460
* Bill Barrett Corp. 637,818 11,347
* CVR Energy Inc. 230,377 11,240
  Gulfmark Offshore Inc. 321,301 11,069
* Hercules Offshore Inc. 1,782,731 11,017
* ION Geophysical Corp. 1,645,213 10,710
^ RPC Inc. 874,644 10,706
* Carrizo Oil & Gas Inc. 506,736 10,601
* Forest Oil Corp. 1,574,332 10,532
* Laredo Petroleum Holdings Inc. 513,137 9,319
* Newpark Resources Inc. 1,179,172 9,257
* Comstock Resources Inc. 605,812 9,166
* Swift Energy Co. 568,532 8,750
* EPL Oil & Gas Inc. 386,157 8,708
* Magnum Hunter Resources Corp. 2,108,994 8,415
  Rentech Inc. 2,984,072 7,848
  W&T Offshore Inc. 487,158 7,809
* TETRA Technologies Inc. 1,017,804 7,725
*,^ Heckmann Corp. 1,901,088 7,661
* Rex Energy Corp. 588,281 7,659
  Crosstex Energy Inc. 521,340 7,476
  Contango Oil & Gas Co. 171,315 7,257
* Parker Drilling Co. 1,547,247 7,117
* Vaalco Energy Inc. 720,684 6,234
* Bonanza Creek Energy Inc. 211,668 5,882
* Pioneer Energy Services Corp. 810,027 5,881
* Resolute Energy Corp. 662,401 5,385
* PHI Inc. 158,533 5,309
* Matador Resources Co. 585,080 4,798
* Tesco Corp. 421,119 4,797
* Basic Energy Services Inc. 389,080 4,439
  Gulf Island Fabrication Inc. 174,920 4,203
* Harvest Natural Resources Inc. 455,997 4,136
* Vantage Drilling Co. 2,249,958 4,117
* Clayton Williams Energy Inc. 98,031 3,921
  Alon USA Energy Inc. 216,456 3,916
  Delek US Holdings Inc. 152,488 3,861
* Matrix Service Co. 333,945 3,840
*,^ BPZ Resources Inc. 1,194,805 3,764
* PetroQuest Energy Inc. 748,896 3,707

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Quicksilver Resources Inc. 1,218,451 3,485
* Triangle Petroleum Corp. 568,358 3,404
* Goodrich Petroleum Corp. 347,411 3,238
* Synergy Resources Corp. 575,799 3,104
  Penn Virginia Corp. 693,938 3,060
*,^ Solazyme Inc. 387,858 3,049
* Midstates Petroleum Co. Inc. 438,352 3,020
* Willbros Group Inc. 560,916 3,007
* Sanchez Energy Corp. 159,378 2,869
*,^ Endeavour International Corp. 538,517 2,790
  Panhandle Oil and Gas Inc. Class A 97,665 2,757
* Callon Petroleum Co. 586,084 2,755
* Dawson Geophysical Co. 103,692 2,735
* FX Energy Inc. 631,324 2,595
* Green Plains Renewable Energy Inc. 325,073 2,571
* Uranium Energy Corp. 1,004,172 2,571
* Warren Resources Inc. 914,040 2,568
* Natural Gas Services Group Inc. 151,799 2,493
  Bolt Technology Corp. 164,548 2,348
* REX American Resources Corp. 119,191 2,299
* Abraxas Petroleum Corp. 1,033,800 2,264
* TransAtlantic Petroleum Ltd. 2,696,154 2,238
* Cal Dive International Inc. 1,194,184 2,066
* Mitcham Industries Inc. 150,595 2,053
* RigNet Inc. 88,215 1,802
* Evolution Petroleum Corp. 198,386 1,613
*,^ James River Coal Co. 499,937 1,600
*,^ KiOR Inc. 238,926 1,532
  TGC Industries Inc. 186,137 1,524
* Crimson Exploration Inc. 528,252 1,447
  Apco Oil and Gas International Inc. 115,012 1,416
* Miller Energy Resources Inc. 345,802 1,369
* Westmoreland Coal Co. 144,386 1,349
* Renewable Energy Group Inc. 228,696 1,340
* Isramco Inc. 12,585 1,309
*,^ Hyperdynamics Corp. 2,080,497 1,244
* Lone Pine Resources Inc. 998,013 1,228
*,^ Amyris Inc. 361,198 1,127
*,^ Uranerz Energy Corp. 786,052 1,093
*,^ USEC Inc. 1,756,889 931
* Global Geophysical Services Inc. 237,118 913
  Adams Resources & Energy Inc. 25,851 907
* Double Eagle Petroleum Co. 220,979 871
* Gastar Exploration Ltd. 654,733 792
* CAMAC Energy Inc. 1,026,240 606
*,^ ZaZa Energy Corp. 284,016 582
* Saratoga Resources Inc. 163,702 580
* Syntroleum Corp. 1,258,283 497
* US Energy Corp. Wyoming 321,367 482
* Gevo Inc. 273,926 422
*,^ Uranium Resources Inc. 1,226,138 392
* Verenium Corp. 176,670 383
*,^ GMX Resources Inc. 689,268 345
* Barnwell Industries Inc. 69,987 226
* GreenHunter Energy Inc. 61,131 99
* Gasco Energy Inc. 1,247,812 87
* PrimeEnergy Corp. 3,540 81
*,^ Houston American Energy Corp. 221,330 49
* GeoGlobal Resources Inc. 609,855 35
* PostRock Energy Corp. 19,109 28
* Cubic Energy Inc. 26,705 5
* Oilsands Quest Inc. 374,073 2
* Magnum Hunter Resources Corp. Warrants Exp. 10/14/2013 133,657

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* Petrocorp Inc. Escrow 100,387
    21,296,523
Financials (16.5%)    
Wells Fargo & Co. 67,127,253 2,294,409
JPMorgan Chase & Co. 50,816,174 2,234,387
Bank of America Corp. 144,163,960 1,672,302
Citigroup Inc. 39,228,055 1,551,862
* Berkshire Hathaway Inc. Class B 11,113,799 996,908
US Bancorp 25,353,600 809,794
American Express Co. 13,648,535 784,518
Goldman Sachs Group Inc. 6,092,584 777,170
* American International Group Inc. 18,761,406 662,278
Simon Property Group Inc. 4,057,772 641,493
Capital One Financial Corp. 7,772,082 450,237
PNC Financial Services Group Inc. 7,081,972 412,950
American Tower Corporation 5,286,146 408,460
Bank of New York Mellon Corp. 15,802,335 406,120
Morgan Stanley 19,819,932 378,957
MetLife Inc. 11,367,951 374,460
Travelers Cos. Inc. 5,155,012 370,233
BlackRock Inc. 1,789,387 369,884
ACE Ltd. 4,536,104 361,981
Aflac Inc. 6,264,169 332,753
Prudential Financial Inc. 6,207,046 331,022
State Street Corp. 6,409,062 301,290
Public Storage 1,950,870 282,798
HCP Inc. 6,058,270 273,713
BB&T Corp. 9,352,349 272,247
Chubb Corp. 3,556,347 267,864
Discover Financial Services 6,888,094 265,536
Allstate Corp. 6,486,936 260,580
Ventas Inc. 3,951,307 255,729
Marsh & McLennan Cos. Inc. 7,279,809 250,935
Franklin Resources Inc. 1,990,863 250,251
Equity Residential 4,303,138 243,859
Aon plc 4,097,303 227,810
Prologis Inc. 6,162,594 224,873
T. Rowe Price Group Inc. 3,395,569 221,153
CME Group Inc. 4,225,702 214,285
Boston Properties Inc. 2,016,789 213,396
Health Care REIT Inc. 3,412,888 209,176
Charles Schwab Corp. 14,487,405 208,039
SunTrust Banks Inc. 7,203,346 204,215
AvalonBay Communities Inc. 1,501,103 203,535
Weyerhaeuser Co. 7,193,890 200,134
Fifth Third Bancorp 12,292,425 186,722
Annaly Capital Management Inc. 13,038,957 183,067
Vornado Realty Trust 2,237,144 179,150
Ameriprise Financial Inc. 2,818,993 176,554
Loews Corp. 4,233,613 172,520
Progressive Corp. 7,741,424 163,344
Invesco Ltd. 5,955,840 155,388
Host Hotels & Resorts Inc. 9,656,498 151,317
M&T Bank Corp. 1,523,796 150,048
Northern Trust Corp. 2,892,808 145,103
Moody's Corp. 2,673,474 134,529
Regions Financial Corp. 18,886,041 134,469
American Capital Agency Corp. 4,565,061 132,113
Hartford Financial Services Group Inc. 5,532,479 124,149
* IntercontinentalExchange Inc. 972,312 120,382
Principal Financial Group Inc. 3,943,466 112,468
General Growth Properties Inc. 5,641,800 111,990
* Berkshire Hathaway Inc. Class A 826 110,734
Digital Realty Trust Inc. 1,630,242 110,677

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
KeyCorp 12,604,084 106,126
Kimco Realty Corp. 5,437,878 105,060
Macerich Co. 1,779,013 103,716
NYSE Euronext 3,287,658 103,693
XL Group plc Class A 4,089,199 102,475
* CIT Group Inc. 2,549,446 98,511
Lincoln National Corp. 3,730,491 96,620
Plum Creek Timber Co. Inc. 2,158,413 95,769
SL Green Realty Corp. 1,204,767 92,345
* Affiliated Managers Group Inc. 686,222 89,312
Federal Realty Investment Trust 856,779 89,122
Rayonier Inc. 1,641,846 85,097
* CBRE Group Inc. Class A 4,169,932 82,982
Cincinnati Financial Corp. 2,063,276 80,798
* Arch Capital Group Ltd. 1,823,065 80,251
UDR Inc. 3,343,538 79,509
Comerica Inc. 2,598,575 78,841
Unum Group 3,746,431 78,001
Willis Group Holdings plc 2,315,495 77,639
New York Community Bancorp Inc. 5,872,445 76,929
Camden Property Trust 1,117,830 76,247
Everest Re Group Ltd. 693,053 76,201
Huntington Bancshares Inc. 11,479,672 73,355
Realty Income Corp. 1,784,625 71,760
Essex Property Trust Inc. 487,023 71,422
PartnerRe Ltd. 835,505 67,250
Torchmark Corp. 1,282,813 66,283
Leucadia National Corp. 2,777,781 66,083
Taubman Centers Inc. 825,107 64,952
American Campus Communities Inc. 1,399,894 64,577
Fidelity National Financial Inc. Class A 2,696,951 63,513
Raymond James Financial Inc. 1,567,455 60,394
WR Berkley Corp. 1,557,571 58,783
Alexandria Real Estate Equities Inc. 838,810 58,146
Ares Capital Corp. 3,268,721 57,203
* Alleghany Corp. 169,656 56,906
People's United Financial Inc. 4,703,275 56,863
Regency Centers Corp. 1,201,806 56,629
Liberty Property Trust 1,570,629 56,181
Arthur J Gallagher & Co. 1,619,121 56,103
Senior Housing Properties Trust 2,358,050 55,744
RenaissanceRe Holdings Ltd. 675,903 54,924
Axis Capital Holdings Ltd. 1,539,228 53,319
* Ocwen Financial Corp. 1,531,986 52,991
* Markel Corp. 122,247 52,984
* American Capital Ltd. 4,395,780 52,749
Reinsurance Group of America Inc. Class A 984,875 52,711
Zions Bancorporation 2,460,420 52,653
Apartment Investment & Management Co. Class A 1,944,679 52,623
BRE Properties Inc. 1,026,157 52,160
Hudson City Bancorp Inc. 6,355,474 51,670
DDR Corp. 3,253,300 50,947
Extra Space Storage Inc. 1,391,307 50,630
* MSCI Inc. Class A 1,627,202 50,427
HCC Insurance Holdings Inc. 1,346,401 50,100
Duke Realty Corp. 3,603,420 49,979
Jones Lang LaSalle Inc. 588,449 49,394
* Genworth Financial Inc. Class A 6,573,681 49,368
TD Ameritrade Holding Corp. 2,920,559 49,095
Eaton Vance Corp. 1,538,197 48,992
Kilroy Realty Corp. 988,635 46,832
National Retail Properties Inc. 1,445,668 45,105
* Signature Bank 617,363 44,043
SEI Investments Co. 1,857,074 43,344

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Tanger Factory Outlet Centers 1,254,293 42,897
CBL & Associates Properties Inc. 2,013,985 42,717
Legg Mason Inc. 1,654,875 42,563
NASDAQ OMX Group Inc. 1,687,758 42,211
Brown & Brown Inc. 1,628,339 41,458
Two Harbors Investment Corp. 3,734,899 41,383
Weingarten Realty Investors 1,540,266 41,233
Douglas Emmett Inc. 1,769,413 41,227
Piedmont Office Realty Trust Inc. Class A 2,283,337 41,214
East West Bancorp Inc. 1,910,595 41,059
Home Properties Inc. 667,091 40,899
Starwood Property Trust Inc. 1,776,940 40,799
Cullen/Frost Bankers Inc. 738,933 40,102
First Republic Bank 1,218,070 39,928
BioMed Realty Trust Inc. 2,061,575 39,850
Waddell & Reed Financial Inc. Class A 1,143,799 39,827
Assurant Inc. 1,127,652 39,130
MFA Financial Inc. 4,779,631 38,763
Hospitality Properties Trust 1,651,980 38,689
White Mountains Insurance Group Ltd. 74,396 38,314
American Financial Group Inc. 959,958 37,938
Allied World Assurance Co. Holdings AG 480,923 37,897
First Niagara Financial Group Inc. 4,699,040 37,263
Validus Holdings Ltd. 1,075,536 37,192
Commerce Bancshares Inc. 1,043,968 36,602
Post Properties Inc. 724,640 36,196
Chimera Investment Corp. 13,734,643 35,847
Mid-America Apartment Communities Inc. 549,587 35,586
Equity Lifestyle Properties Inc. 523,354 35,216
Old Republic International Corp. 3,284,206 34,977
Omega Healthcare Investors Inc. 1,448,055 34,536
CBOE Holdings Inc. 1,166,734 34,372
Hancock Holding Co. 1,072,068 34,027
Highwoods Properties Inc. 1,016,298 33,995
Assured Guaranty Ltd. 2,327,605 33,122
* SVB Financial Group 591,007 33,079
First Horizon National Corp. 3,335,160 33,051
Jefferies Group Inc. 1,764,795 32,772
ProAssurance Corp. 775,606 32,723
Hatteras Financial Corp. 1,306,492 32,414
First American Financial Corp. 1,344,913 32,399
* E*TRADE Financial Corp. 3,612,038 32,328
LaSalle Hotel Properties 1,259,232 31,972
City National Corp. 641,779 31,781
Protective Life Corp. 1,070,154 30,585
Mack-Cali Realty Corp. 1,168,414 30,507
Aspen Insurance Holdings Ltd. 949,681 30,466
Prospect Capital Corp. 2,800,254 30,439
Invesco Mortgage Capital Inc. 1,537,490 30,304
Associated Banc-Corp 2,295,137 30,112
Prosperity Bancshares Inc. 708,713 29,766
CNO Financial Group Inc. 3,155,380 29,440
EPR Properties 623,423 28,746
* Popular Inc. 1,373,959 28,565
* Howard Hughes Corp. 379,232 27,692
Healthcare Realty Trust Inc. 1,143,854 27,464
Corporate Office Properties Trust 1,059,720 26,472
Bank of Hawaii Corp. 600,696 26,461
CYS Investments Inc. 2,225,244 26,280
Alterra Capital Holdings Ltd. 929,286 26,197
* Forest City Enterprises Inc. Class A 1,617,577 26,124
Erie Indemnity Co. Class A 375,520 25,993
Fulton Financial Corp. 2,668,950 25,649
^ Federated Investors Inc. Class B 1,252,457 25,337

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Capitol Federal Financial Inc. 2,163,197 25,288
TCF Financial Corp. 2,068,764 25,135
ARMOUR Residential REIT Inc. 3,845,115 24,878
RLJ Lodging Trust 1,278,202 24,759
Susquehanna Bancshares Inc. 2,354,232 24,672
Synovus Financial Corp. 9,944,796 24,365
American Realty Capital Trust Inc. 2,108,071 24,348
Sovran Self Storage Inc. 391,574 24,317
* Portfolio Recovery Associates Inc. 225,851 24,134
* Texas Capital Bancshares Inc. 536,281 24,036
Washington Federal Inc. 1,418,158 23,924
Colonial Properties Trust 1,112,638 23,777
DiamondRock Hospitality Co. 2,599,579 23,396
Brandywine Realty Trust 1,916,622 23,364
Valley National Bancorp 2,505,315 23,299
Washington REIT 882,140 23,068
Hanover Insurance Group Inc. 595,174 23,057
DCT Industrial Trust Inc. 3,549,310 23,035
Endurance Specialty Holdings Ltd. 576,756 22,891
CapitalSource Inc. 3,006,150 22,787
CubeSmart 1,558,357 22,705
Apollo Investment Corp. 2,696,922 22,546
Webster Financial Corp. 1,084,541 22,287
* Stifel Financial Corp. 678,602 21,695
Medical Properties Trust Inc. 1,804,445 21,581
StanCorp Financial Group Inc. 585,596 21,474
Platinum Underwriters Holdings Ltd. 466,515 21,460
^ Lexington Realty Trust 2,045,901 21,380
WP Carey Inc. 408,875 21,323
Janus Capital Group Inc. 2,501,859 21,316
* St. Joe Co. 921,413 21,266
Potlatch Corp. 535,915 21,003
EastGroup Properties Inc. 389,680 20,969
LPL Financial Holdings Inc. 737,944 20,780
Glimcher Realty Trust 1,865,344 20,687
FirstMerit Corp. 1,457,386 20,680
DuPont Fabros Technology Inc. 843,401 20,377
Primerica Inc. 674,445 20,240
Newcastle Investment Corp. 2,289,189 19,870
BOK Financial Corp. 362,185 19,725
FNB Corp. 1,856,727 19,718
Kemper Corp. 667,427 19,689
* Sunstone Hotel Investors Inc. 1,827,568 19,573
Cathay General Bancorp 989,866 19,302
Ryman Hospitality Properties 501,325 19,281
Iberiabank Corp. 391,989 19,254
PennyMac Mortgage Investment Trust 752,697 19,036
* Walter Investment Management Corp. 440,393 18,946
Greenhill & Co. Inc. 363,939 18,921
* Altisource Portfolio Solutions SA 218,056 18,896
UMB Financial Corp. 429,348 18,823
Trustmark Corp. 817,441 18,360
Pebblebrook Hotel Trust 783,034 18,088
* First Cash Financial Services Inc. 362,925 18,008
Redwood Trust Inc. 1,052,961 17,785
Wintrust Financial Corp. 483,247 17,735
National Health Investors Inc. 312,504 17,666
CommonWealth REIT 1,114,010 17,646
MarketAxess Holdings Inc. 498,502 17,597
Umpqua Holdings Corp. 1,487,429 17,537
* First Industrial Realty Trust Inc. 1,238,827 17,443
* PHH Corp. 756,447 17,209
PS Business Parks Inc. 259,658 16,873
Montpelier Re Holdings Ltd. 730,520 16,700

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* Credit Acceptance Corp. 162,681 16,541
Equity One Inc. 787,138 16,538
* Alexander & Baldwin Inc. 560,286 16,456
RLI Corp. 253,736 16,407
BancorpSouth Inc. 1,127,604 16,395
Acadia Realty Trust 652,559 16,366
United Bankshares Inc. 667,510 16,234
Old National Bancorp 1,344,916 15,964
National Penn Bancshares Inc. 1,708,518 15,923
Westamerica Bancorporation 368,091 15,677
Education Realty Trust Inc. 1,473,160 15,674
Northwest Bancshares Inc. 1,290,328 15,665
Cash America International Inc. 389,305 15,444
* MBIA Inc. 1,940,215 15,231
Capstead Mortgage Corp. 1,308,656 15,010
Sun Communities Inc. 374,327 14,932
NorthStar Realty Finance Corp. 2,114,319 14,885
Government Properties Income Trust 617,274 14,796
* Financial Engines Inc. 527,472 14,637
Fifth Street Finance Corp. 1,403,201 14,621
Mercury General Corp. 364,595 14,471
Symetra Financial Corp. 1,106,088 14,357
LTC Properties Inc. 403,862 14,212
Selective Insurance Group Inc. 734,044 14,145
Glacier Bancorp Inc. 953,806 14,030
* Enstar Group Ltd. 125,233 14,024
Home Loan Servicing Solutions Ltd. 741,902 14,022
* Strategic Hotels & Resorts Inc. 2,167,760 13,874
MB Financial Inc. 689,120 13,610
Retail Properties of America Inc. 1,135,651 13,594
PrivateBancorp Inc. 880,939 13,496
Community Bank System Inc. 492,664 13,479
Colony Financial Inc. 676,100 13,184
Main Street Capital Corp. 429,110 13,092
First Financial Bankshares Inc. 333,901 13,025
Bank of the Ozarks Inc. 388,421 13,000
* World Acceptance Corp. 174,200 12,988
International Bancshares Corp. 708,058 12,780
First Midwest Bancorp Inc. 992,136 12,422
Pennsylvania REIT 703,371 12,407
CVB Financial Corp. 1,180,335 12,275
American Assets Trust Inc. 438,521 12,248
Franklin Street Properties Corp. 989,141 12,176
* Ezcorp Inc. Class A 608,218 12,079
Argo Group International Holdings Ltd. 357,232 11,999
Hersha Hospitality Trust Class A 2,384,173 11,921
* TFS Financial Corp. 1,236,916 11,899
Solar Capital Ltd. 480,578 11,491
BBCN Bancorp Inc. 987,841 11,429
Amtrust Financial Services Inc. 397,189 11,395
First Financial Bancorp 774,408 11,322
First Citizens BancShares Inc. Class A 68,986 11,279
Nelnet Inc. Class A 377,167 11,236
CreXus Investment Corp. 915,351 11,213
Astoria Financial Corp. 1,182,309 11,066
Investors Bancorp Inc. 620,619 11,035
Radian Group Inc. 1,767,316 10,798
* Western Alliance Bancorp 1,023,227 10,775
BankUnited Inc. 439,964 10,753
Provident Financial Services Inc. 715,846 10,680
Anworth Mortgage Asset Corp. 1,842,181 10,648
Chesapeake Lodging Trust 509,658 10,642
Associated Estates Realty Corp. 659,546 10,632
Sabra Health Care REIT Inc. 486,131 10,559

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Investors Real Estate Trust 1,202,234 10,495
Park National Corp. 161,704 10,451
Cousins Properties Inc. 1,249,645 10,435
Horace Mann Educators Corp. 522,352 10,426
Evercore Partners Inc. Class A 342,535 10,341
American Capital Mortgage Investment Corp. 436,402 10,286
Sterling Financial Corp. 489,380 10,218
* DFC Global Corp. 548,273 10,149
* Virtus Investment Partners Inc. 82,923 10,029
PacWest Bancorp 401,794 9,956
Inland Real Estate Corp. 1,180,358 9,891
* Citizens Republic Bancorp Inc. 520,813 9,880
Hudson Pacific Properties Inc. 468,812 9,873
* National Financial Partners Corp. 569,836 9,767
Home BancShares Inc. 294,925 9,738
BlackRock Kelso Capital Corp. 965,880 9,717
PennantPark Investment Corp. 866,398 9,526
American Equity Investment Life Holding Co. 778,736 9,508
First Commonwealth Financial Corp. 1,386,287 9,454
Columbia Banking System Inc. 520,864 9,344
Employers Holdings Inc. 452,851 9,320
* Greenlight Capital Re Ltd. Class A 400,078 9,234
Triangle Capital Corp. 360,769 9,196
* Encore Capital Group Inc. 297,837 9,120
* Nationstar Mortgage Holdings Inc. 293,737 9,100
NBT Bancorp Inc. 447,812 9,077
Ashford Hospitality Trust Inc. 852,629 8,961
Infinity Property & Casualty Corp. 153,743 8,954
* Hilltop Holdings Inc. 653,822 8,853
Tower Group Inc. 496,533 8,823
Alexander's Inc. 26,640 8,813
Retail Opportunity Investments Corp. 680,322 8,749
SCBT Financial Corp. 217,311 8,732
ViewPoint Financial Group Inc. 414,362 8,677
Independent Bank Corp. 295,812 8,564
Interactive Brokers Group Inc. 623,926 8,535
* iStar Financial Inc. 1,042,915 8,500
Chemical Financial Corp. 355,760 8,453
AG Mortgage Investment Trust Inc. 357,379 8,391
First Potomac Realty Trust 678,757 8,389
* Piper Jaffray Cos. 260,440 8,368
Boston Private Financial Holdings Inc. 928,252 8,364
* Pinnacle Financial Partners Inc. 435,719 8,209
WesBanco Inc. 368,778 8,194
* Flagstar Bancorp Inc. 421,545 8,178
Kennedy-Wilson Holdings Inc. 584,051 8,165
Ramco-Gershenson Properties Trust 612,569 8,153
Oritani Financial Corp. 531,725 8,146
STAG Industrial Inc. 452,204 8,126
Universal Health Realty Income Trust 158,260 8,010
* Forestar Group Inc. 462,022 8,007
Berkshire Hills Bancorp Inc. 332,292 7,928
Oriental Financial Group Inc. 591,880 7,902
Cohen & Steers Inc. 258,205 7,867
Brookline Bancorp Inc. 925,587 7,867
Banner Corp. 254,134 7,810
Hercules Technology Growth Capital Inc. 697,882 7,767
Coresite Realty Corp. 277,467 7,675
* Navigators Group Inc. 147,282 7,522
Safety Insurance Group Inc. 160,462 7,409
* eHealth Inc. 268,424 7,376
Duff & Phelps Corp. Class A 471,954 7,372
Excel Trust Inc. 573,008 7,260
* FelCor Lodging Trust Inc. 1,536,553 7,176

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* AMERISAFE Inc. 261,192 7,117
  Resource Capital Corp. 1,263,684 7,077
* WisdomTree Investments Inc. 1,146,948 7,019
  S&T Bancorp Inc. 377,478 6,821
* MGIC Investment Corp. 2,524,679 6,716
  KBW Inc. 430,477 6,586
  City Holding Co. 188,810 6,580
  Parkway Properties Inc. 469,814 6,573
  Maiden Holdings Ltd. 713,686 6,559
  TrustCo Bank Corp. NY 1,241,523 6,555
  Saul Centers Inc. 152,771 6,537
  HFF Inc. Class A 429,809 6,404
  Dynex Capital Inc. 677,441 6,395
  Apollo Residential Mortgage Inc. 316,678 6,394
  Getty Realty Corp. 352,451 6,365
*,^ Zillow Inc. Class A 226,589 6,288
  State Bank Financial Corp. 391,102 6,211
* Citizens Inc. 559,416 6,182
  Renasant Corp. 322,795 6,178
* Wilshire Bancorp Inc. 1,046,768 6,145
  Stewart Information Services Corp. 236,181 6,141
  Sandy Spring Bancorp Inc. 315,964 6,136
  United Fire Group Inc. 280,471 6,125
  Epoch Holding Corp. 219,218 6,116
  Campus Crest Communities Inc. 496,175 6,083
* ICG Group Inc. 518,474 5,926
  Cardinal Financial Corp. 363,284 5,911
* Tejon Ranch Co. 209,544 5,884
  Flushing Financial Corp. 379,825 5,827
  Western Asset Mortgage Capital Corp. 294,422 5,821
  Tompkins Financial Corp. 145,835 5,781
  EverBank Financial Corp. 383,919 5,724
* PICO Holdings Inc. 278,119 5,637
  Select Income REIT 227,335 5,631
* Hanmi Financial Corp. 414,248 5,630
  West Coast Bancorp 252,559 5,594
  Community Trust Bancorp Inc. 170,232 5,580
  Healthcare Trust of America Inc. Class A 560,472 5,549
  First Merchants Corp. 368,130 5,463
  TICC Capital Corp. 537,413 5,439
  FBL Financial Group Inc. Class A 158,910 5,436
  Dime Community Bancshares Inc. 387,083 5,377
* Beneficial Mutual Bancorp Inc. 563,656 5,355
  Urstadt Biddle Properties Inc. Class A 270,524 5,324
  Apollo Commercial Real Estate Finance Inc. 326,784 5,304
  Medley Capital Corp. 361,521 5,264
* Netspend Holdings Inc. 441,950 5,224
  Kite Realty Group Trust 932,275 5,211
  Lakeland Financial Corp. 199,389 5,152
  Summit Hotel Properties Inc. 540,916 5,139
* Bancorp Inc. 467,877 5,133
  TowneBank 328,159 5,083
  CapLease Inc. 905,452 5,043
  Simmons First National Corp. Class A 194,825 4,941
  American National Insurance Co. 72,139 4,926
  First Busey Corp. 1,056,597 4,913
* Investment Technology Group Inc. 538,605 4,847
  National Western Life Insurance Co. Class A 30,691 4,841
  Rockville Financial Inc. 368,355 4,752
  Union First Market Bankshares Corp. 299,031 4,716
  Washington Trust Bancorp Inc. 177,271 4,664
* Central Pacific Financial Corp. 293,257 4,572
  Provident New York Bancorp 489,223 4,555
* Knight Capital Group Inc. Class A 1,296,937 4,552

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
MCG Capital Corp. 987,172 4,541
BGC Partners Inc. Class A 1,308,397 4,527
* Eagle Bancorp Inc. 226,199 4,517
Southside Bancshares Inc. 213,959 4,506
Monmouth Real Estate Investment Corp. Class A 431,422 4,470
* Safeguard Scientifics Inc. 300,268 4,429
Arrow Financial Corp. 176,925 4,414
Golub Capital BDC Inc. 273,345 4,368
Rouse Properties Inc. 257,975 4,365
* NewStar Financial Inc. 308,579 4,323
SLM Corp. 249,168 4,268
* Ameris Bancorp 337,184 4,211
RAIT Financial Trust 742,808 4,197
Federal Agricultural Mortgage Corp. 128,905 4,189
Winthrop Realty Trust 377,859 4,175
StellarOne Corp. 291,708 4,125
* Walker & Dunlop Inc. 245,627 4,092
Cedar Realty Trust Inc. 772,295 4,078
1st Source Corp. 182,355 4,028
New Mountain Finance Corp. 268,417 3,999
^ New York Mortgage Trust Inc. 626,476 3,959
United Financial Bancorp Inc. 249,067 3,915
Capital Southwest Corp. 38,911 3,877
OneBeacon Insurance Group Ltd. Class A 278,253 3,868
Heartland Financial USA Inc. 146,904 3,842
First Financial Corp. 125,913 3,808
* Taylor Capital Group Inc. 209,620 3,784
SY Bancorp Inc. 166,955 3,743
Great Southern Bancorp Inc. 146,542 3,729
Agree Realty Corp. 138,985 3,723
* BofI Holding Inc. 133,565 3,722
WSFS Financial Corp. 87,634 3,703
* FBR & Co. 954,650 3,694
* Green Dot Corp. Class A 302,766 3,694
First Community Bancshares Inc. 229,078 3,658
Meadowbrook Insurance Group Inc. 631,919 3,652
Tree.com Inc. 202,509 3,651
Lakeland Bancorp Inc. 358,208 3,647
* HomeStreet Inc. 141,598 3,618
Sterling Bancorp 396,355 3,611
MVC Capital Inc. 291,149 3,537
* Virginia Commerce Bancorp Inc. 388,108 3,474
Bancfirst Corp. 81,959 3,472
* United Community Banks Inc. 365,067 3,439
Univest Corp. of Pennsylvania 199,349 3,409
Bryn Mawr Bank Corp. 151,938 3,384
THL Credit Inc. 228,427 3,378
* INTL. FCStone Inc. 192,494 3,351
CoBiz Financial Inc. 445,789 3,330
Northfield Bancorp Inc. 218,315 3,329
SeaBright Holdings Inc. 299,355 3,314
OceanFirst Financial Corp. 236,048 3,246
Arlington Asset Investment Corp. Class A 155,391 3,227
Camden National Corp. 93,911 3,190
* Southwest Bancorp Inc. 284,242 3,184
German American Bancorp Inc. 145,677 3,164
FXCM Inc. Class A 309,142 3,113
First Connecticut Bancorp Inc. 222,709 3,062
Financial Institutions Inc. 164,302 3,061
Hudson Valley Holding Corp. 196,367 3,057
KCAP Financial Inc. 331,887 3,050
One Liberty Properties Inc. 149,941 3,042
* MPG Office Trust Inc. 976,434 3,007
GAMCO Investors Inc. 56,653 3,007

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
MainSource Financial Group Inc. 237,079 3,004
Whitestone REIT 213,583 3,001
State Auto Financial Corp. 200,583 2,997
Medallion Financial Corp. 253,926 2,981
Calamos Asset Management Inc. Class A 281,874 2,979
Citizens & Northern Corp. 157,273 2,972
* Park Sterling Corp. 564,290 2,951
First Interstate Bancsystem Inc. 189,490 2,924
TCP Capital Corp. 198,087 2,920
GFI Group Inc. 896,996 2,906
Mission West Properties Inc. 316,761 2,890
* Cowen Group Inc. Class A 1,175,512 2,880
Territorial Bancorp Inc. 125,759 2,874
Centerstate Banks Inc. 336,502 2,870
National Bankshares Inc. 88,299 2,860
West Bancorporation Inc. 260,443 2,808
Westwood Holdings Group Inc. 68,367 2,796
* OmniAmerican Bancorp Inc. 120,257 2,782
Trico Bancshares 165,977 2,780
Heritage Financial Corp. 189,131 2,778
Gladstone Commercial Corp. 151,758 2,724
National Interstate Corp. 94,358 2,719
Washington Banking Co. 198,383 2,702
Republic Bancorp Inc. Class A 127,857 2,702
Chatham Lodging Trust 171,611 2,639
Terreno Realty Corp. 170,123 2,627
First Financial Holdings Inc. 200,743 2,626
Thomas Properties Group Inc. 479,257 2,593
Peoples Bancorp Inc. 124,535 2,544
First Bancorp 198,061 2,539
Alliance Financial Corp. 57,647 2,508
Bank of Marin Bancorp 66,744 2,500
Bank Mutual Corp. 577,728 2,484
First of Long Island Corp. 87,665 2,483
Franklin Financial Corp. 148,568 2,463
* Global Indemnity plc 110,517 2,446
Baldwin & Lyons Inc. 102,310 2,441
CNB Financial Corp. 148,420 2,431
Center Bancorp Inc. 209,832 2,430
Consolidated-Tomoka Land Co. 78,100 2,422
* Metro Bancorp Inc. 182,890 2,418
Enterprise Financial Services Corp. 184,646 2,413
Marlin Business Services Corp. 119,516 2,397
* Seacoast Banking Corp. of Florida 1,484,378 2,390
Fidus Investment Corp. 144,919 2,384
ESSA Bancorp Inc. 218,681 2,381
* First California Financial Group Inc. 308,034 2,378
* Preferred Bank 165,238 2,346
1st United Bancorp Inc. 372,863 2,330
Gladstone Investment Corp. 334,026 2,325
Homeowners Choice Inc. 111,779 2,324
Diamond Hill Investment Group Inc. 33,826 2,295
Westfield Financial Inc. 317,429 2,295
Oppenheimer Holdings Inc. Class A 129,542 2,237
Home Federal Bancorp Inc. 175,638 2,183
First Defiance Financial Corp. 113,631 2,181
Gladstone Capital Corp. 260,963 2,129
* Suffolk Bancorp 160,789 2,106
Arbor Realty Trust Inc. 349,423 2,093
Manning & Napier Inc. 164,990 2,079
* Heritage Commerce Corp. 296,278 2,068
Pacific Continental Corp. 212,007 2,063
Kansas City Life Insurance Co. 53,850 2,055
EMC Insurance Group Inc. 85,257 2,036

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* American Safety Insurance Holdings Ltd. 107,165 2,028
* GSV Capital Corp. 239,680 2,020
Ames National Corp. 92,188 2,019
* SWS Group Inc. 380,777 2,014
* Ladenburg Thalmann Financial Services Inc. 1,434,112 2,008
* Phoenix Cos. Inc. 80,245 1,984
* Guaranty Bancorp 1,004,214 1,958
Bridge Bancorp Inc. 94,742 1,927
NGP Capital Resources Co. 266,007 1,921
* Bridge Capital Holdings 121,801 1,895
* Sun Bancorp Inc. 529,815 1,876
Provident Financial Holdings Inc. 106,410 1,862
ESB Financial Corp. 133,711 1,855
* MetroCorp Bancshares Inc. 166,206 1,827
Fox Chase Bancorp Inc. 108,659 1,809
Donegal Group Inc. Class A 127,548 1,791
Mercantile Bank Corp. 107,937 1,781
American National Bankshares Inc. 87,444 1,765
Crawford & Co. Class B 219,104 1,748
UMH Properties Inc. 167,300 1,728
Merchants Bancshares Inc. 64,391 1,724
MidWestOne Financial Group Inc. 83,804 1,719
Penns Woods Bancorp Inc. 45,868 1,716
Northrim BanCorp Inc. 74,235 1,681
Simplicity Bancorp Inc. 111,966 1,674
BankFinancial Corp. 224,424 1,665
First Bancorp Inc. 100,758 1,659
* Harris & Harris Group Inc. 482,719 1,593
* FNB United Corp. 135,584 1,573
First Pactrust Bancorp Inc. 128,152 1,572
Horizon Bancorp 77,905 1,531
Bank of Kentucky Financial Corp. 61,793 1,528
* Pacific Mercantile Bancorp 242,517 1,525
Eastern Insurance Holdings Inc. 86,642 1,480
* AV Homes Inc. 101,084 1,437
Bar Harbor Bankshares 42,662 1,436
Sierra Bancorp 125,533 1,435
* BBX Capital Corp. 213,571 1,431
* First Financial Northwest Inc. 187,130 1,413
* Capital City Bank Group Inc. 122,773 1,396
MidSouth Bancorp Inc. 84,473 1,381
* Macatawa Bank Corp. 476,474 1,377
C&F Financial Corp. 35,230 1,372
Universal Insurance Holdings Inc. 311,946 1,366
* Gramercy Capital Corp. 462,962 1,361
Nicholas Financial Inc. 109,302 1,355
* Waterstone Financial Inc. 171,503 1,338
* Home Bancorp Inc. 70,952 1,295
* Hampton Roads Bankshares Inc. 1,081,178 1,287
SI Financial Group Inc. 109,369 1,258
Heritage Financial Group Inc. 90,693 1,251
Asta Funding Inc. 129,928 1,236
* Regional Management Corp. 74,041 1,225
Peapack Gladstone Financial Corp. 87,005 1,225
Resource America Inc. Class A 180,810 1,206
JMP Group Inc. 191,190 1,161
Century Bancorp Inc. Class A 35,049 1,155
Clifton Savings Bancorp Inc. 101,739 1,147
* Altisource Residential Corp. 71,785 1,137
* Hallmark Financial Services 117,439 1,103
* Doral Financial Corp. 1,513,641 1,096
Cape Bancorp Inc. 120,787 1,050
* BRT Realty Trust 158,228 1,038
Middleburg Financial Corp. 58,383 1,031

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Intervest Bancshares Corp. Class A 265,008 1,031
* North Valley Bancorp 72,002 1,022
  Investors Title Co. 16,696 1,002
* Firstcity Financial Corp. 102,784 1,001
* Farmers Capital Bank Corp. 81,562 999
  TF Financial Corp. 41,237 983
  Norwood Financial Corp. 32,607 968
  Federal Agricultural Mortgage Corp. Class A 38,986 959
  Hingham Institution for Savings 15,198 951
* Gleacher & Co. Inc. 1,215,454 912
  US Global Investors Inc. Class A 227,235 911
* United Community Financial Corp. 311,972 902
  Meta Financial Group Inc. 39,428 899
  Crawford & Co. Class A 157,704 889
  Firstbank Corp. 85,578 889
* AmeriServ Financial Inc. 289,008 870
  Codorus Valley Bancorp Inc. 57,516 866
* Fidelity Southern Corp. 90,471 864
* Asset Acceptance Capital Corp. 187,675 845
  Pulaski Financial Corp. 93,564 837
* First Marblehead Corp. 1,061,933 825
* Consumer Portfolio Services Inc. 153,350 822
* Orrstown Financial Services Inc. 83,699 821
* First United Corp. 114,295 819
* Fortegra Financial Corp. 91,069 810
  Independence Holding Co. 83,870 798
  MutualFirst Financial Inc. 68,306 796
* Maui Land & Pineapple Co. Inc. 185,534 770
* NewBridge Bancorp 164,304 761
  Artio Global Investors Inc. Class A 399,766 760
  Alliance Bancorp Inc. of Pennsylvania 58,843 747
  Charter Financial Corp. 70,255 745
  Evans Bancorp Inc. 46,462 720
  PMC Commercial Trust 101,225 719
  CFS Bancorp Inc. 113,215 706
  Urstadt Biddle Properties Inc. 37,652 671
* NASB Financial Inc. 31,356 670
* Eastern Virginia Bankshares Inc. 126,332 670
  HopFed Bancorp Inc. 73,878 651
* ECB Bancorp Inc. 45,079 648
* Republic First Bancorp Inc. 308,077 638
  Cheviot Financial Corp. 67,649 632
  Gain Capital Holdings Inc. 154,083 630
^ Life Partners Holdings Inc. 235,977 625
* BancTrust Financial Group Inc. 223,712 622
*,^ Security National Financial Corp. Class A 70,129 616
  New Hampshire Thrift Bancshares Inc. 46,809 599
* Community Bankers Trust Corp. 221,212 586
  Ohio Valley Banc Corp. 29,647 557
  HF Financial Corp. 41,848 550
* Stratus Properties Inc. 63,105 546
  Ameriana Bancorp 68,086 545
* Yadkin Valley Financial Corp. 184,188 542
  Pzena Investment Management Inc. Class A 99,607 538
  QCR Holdings Inc. 39,785 531
  Teche Holding Co. 13,723 518
  Harleysville Savings Financial Corp. 34,095 515
* First South Bancorp Inc. 105,776 508
  LNB Bancorp Inc. 84,109 502
  First M&F Corp. 67,947 474
* First Acceptance Corp. 372,396 465
  Oneida Financial Corp. 42,151 453
* Riverview Bancorp Inc. 249,239 421
  Shore Bancshares Inc. 76,471 411

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
California First National Bancorp 27,285 408
Northeast Bancorp 41,942 383
* American River Bankshares 51,603 365
Capital Trust Inc. Class A 169,378 356
* CIFC Corp. 41,261 330
* Unity Bancorp Inc. 52,799 329
* MBT Financial Corp. 136,980 325
* WSB Holdings Inc. 54,465 319
* United Security Bancshares 56,759 315
Citizens Holding Co. 16,171 312
Premier Financial Bancorp Inc. 28,834 312
Federated National Holding Co. 55,935 303
* Atlanticus Holdings Corp. 81,773 274
Union Bankshares Inc. 13,507 263
Hawthorn Bancshares Inc. 33,459 263
Old Point Financial Corp. 22,959 254
* BCSB Bancorp Inc. 17,865 254
QC Holdings Inc. 77,554 251
* Independent Bank Corp. 71,442 250
Wayne Savings Bancshares Inc. 25,297 236
* ZipRealty Inc. 83,897 235
Berkshire Bancorp Inc. 27,627 227
Landmark Bancorp Inc. 10,562 210
First Citizens Banc Corp. 37,763 206
* Old Second Bancorp Inc. 166,779 203
Auburn National Bancorporation Inc. 9,708 201
United Bancorp Inc. 30,898 197
* American Independence Corp. 41,327 195
Salisbury Bancorp Inc. 7,809 185
* 1st Constitution Bancorp 20,685 184
* Summit Financial Group Inc. 35,817 175
Tower Financial Corp. 14,587 173
Fauquier Bankshares Inc. 14,415 172
* Rurban Financial Corp. 23,220 159
Peoples Bancorp of North Carolina Inc. 17,095 158
* Timberland Bancorp Inc. 22,586 157
Peoples Financial Corp. 16,131 150
* Jefferson Bancshares Inc. 53,495 147
Institutional Financial Markets Inc. 122,156 147
Community Bank Shares of Indiana Inc. 10,409 135
* United Security Bancshares 49,194 127
* Colony Bankcorp Inc. 32,193 117
* Premierwest Bancorp 70,022 113
* Vestin Realty Mortgage II Inc. 74,073 108
Greene County Bancorp Inc. 4,317 91
United Bancshares Inc. 8,151 79
* Royal Bancshares of Pennsylvania Inc. 64,104 76
* PVF Capital Corp. 34,710 76
Mid Penn Bancorp Inc. 6,769 73
First Capital Inc. 3,713 71
Northeast Community Bancorp Inc. 10,500 55
Glen Burnie Bancorp 4,400 53
* Transcontinental Realty Investors Inc. 10,999 48
* Prudential Bancorp Inc. of Pennsylvania 6,628 47
* Severn Bancorp Inc. 13,006 44
Southwest Georgia Financial Corp. 2,370 23
* Supertel Hospitality Inc. 15,300 16
National Security Group Inc. 1,748 15
* Porter Bancorp Inc. 16,831 12
* Guaranty Federal Bancshares Inc. 400 3
* Valley National Bancorp Warrants Exp. 6/30/2015 6,511 2
WVS Financial Corp. 189 2
    34,613,242

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
Health Care (11.7%)    
  Johnson & Johnson 36,881,164 2,585,370
  Pfizer Inc. 99,919,849 2,505,990
  Merck & Co. Inc. 40,741,689 1,667,965
  Abbott Laboratories 20,993,156 1,375,052
  Amgen Inc. 10,310,679 890,018
  UnitedHealth Group Inc. 13,814,621 749,305
* Gilead Sciences Inc. 10,120,765 743,370
  Bristol-Myers Squibb Co. 22,460,441 731,986
  Eli Lilly & Co. 13,970,864 689,043
* Express Scripts Holding Co. 10,845,537 585,659
  Medtronic Inc. 13,712,126 562,471
  Baxter International Inc. 7,320,424 487,979
* Celgene Corp. 5,771,238 454,312
* Biogen Idec Inc. 3,003,584 440,536
  Allergan Inc. 4,114,004 377,378
  Covidien plc 6,422,413 370,830
  Thermo Fisher Scientific Inc. 4,890,125 311,892
  McKesson Corp. 3,157,143 306,117
  WellPoint Inc. 4,350,051 265,005
* Intuitive Surgical Inc. 534,205 261,958
* Alexion Pharmaceuticals Inc. 2,582,572 242,271
  Stryker Corp. 4,071,455 223,197
  Becton Dickinson and Co. 2,669,523 208,730
  Aetna Inc. 4,471,678 207,039
  Cigna Corp. 3,857,508 206,222
  Agilent Technologies Inc. 4,648,602 190,314
  Cardinal Health Inc. 4,562,818 187,897
* Regeneron Pharmaceuticals Inc. 1,005,498 172,011
  Zimmer Holdings Inc. 2,334,611 155,625
  St. Jude Medical Inc. 4,195,824 151,637
* Cerner Corp. 1,944,521 150,973
* Mylan Inc. 5,424,183 149,057
  Humana Inc. 2,161,165 148,321
* Watson Pharmaceuticals Inc. 1,705,857 146,704
* DaVita HealthCare Partners Inc. 1,318,709 145,757
  AmerisourceBergen Corp. Class A 3,362,907 145,210
* Edwards Lifesciences Corp. 1,546,460 139,444
* Forest Laboratories Inc. 3,550,383 125,399
  Quest Diagnostics Inc. 2,121,373 123,612
  Perrigo Co. 1,187,033 123,487
* Vertex Pharmaceuticals Inc. 2,883,733 120,944
* Life Technologies Corp. 2,342,421 114,966
* Laboratory Corp. of America Holdings 1,282,784 111,115
* Boston Scientific Corp. 18,962,321 108,654
  CR Bard Inc. 1,064,269 104,022
* Varian Medical Systems Inc. 1,479,420 103,914
* Waters Corp. 1,171,633 102,073
* Henry Schein Inc. 1,183,021 95,186
*,^ Illumina Inc. 1,643,403 91,357
  HCA Holdings Inc. 2,960,017 89,304
* CareFusion Corp. 2,965,628 84,758
* BioMarin Pharmaceutical Inc. 1,652,373 81,379
* Mettler-Toledo International Inc. 415,433 80,303
  Coventry Health Care Inc. 1,790,236 80,256
  ResMed Inc. 1,909,503 79,378
  DENTSPLY International Inc. 1,896,174 75,107
* Hologic Inc. 3,539,778 70,902
* IDEXX Laboratories Inc. 760,524 70,577
* Hospira Inc. 2,208,098 68,981
* Onyx Pharmaceuticals Inc. 870,596 65,756
  Cooper Cos. Inc. 639,929 59,181
  Universal Health Services Inc. Class B 1,196,850 57,868
  Omnicare Inc. 1,492,800 53,890

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* MEDNAX Inc. 664,295 52,825
* Medivation Inc. 985,081 50,397
  PerkinElmer Inc. 1,525,249 48,411
* Sirona Dental Systems Inc. 735,021 47,379
  Tenet Healthcare Corp. 1,388,782 45,094
* Pharmacyclics Inc. 743,576 43,053
* Covance Inc. 741,019 42,809
* Ariad Pharmaceuticals Inc. 2,222,293 42,624
* Endo Health Solutions Inc. 1,561,736 41,027
  Patterson Cos. Inc. 1,174,786 40,213
  Teleflex Inc. 545,998 38,935
  Community Health Systems Inc. 1,212,356 37,268
* Cubist Pharmaceuticals Inc. 850,670 35,779
* athenahealth Inc. 481,254 35,348
  Warner Chilcott plc Class A 2,846,385 34,270
* United Therapeutics Corp. 638,525 34,110
* Brookdale Senior Living Inc. Class A 1,304,453 33,029
  Techne Corp. 467,784 31,968
* Health Management Associates Inc. Class A 3,427,059 31,940
* Salix Pharmaceuticals Ltd. 784,788 31,768
* Seattle Genetics Inc. 1,342,126 31,137
* Alkermes plc 1,656,326 30,675
* Myriad Genetics Inc. 1,119,115 30,496
* HMS Holdings Corp. 1,149,863 29,804
* Cepheid Inc. 878,618 29,706
* Thoratec Corp. 786,323 29,503
* Centene Corp. 686,809 28,159
* WellCare Health Plans Inc. 573,128 27,906
* Haemonetics Corp. 683,009 27,894
* Bio-Rad Laboratories Inc. Class A 262,853 27,613
* HealthSouth Corp. 1,277,826 26,975
* Health Net Inc. 1,099,647 26,721
*,^ Incyte Corp. Ltd. 1,567,517 26,036
*,^ Arena Pharmaceuticals Inc. 2,886,488 26,036
  STERIS Corp. 735,063 25,529
  West Pharmaceutical Services Inc. 451,621 24,726
* LifePoint Hospitals Inc. 653,445 24,668
* Jazz Pharmaceuticals plc 459,791 24,461
* Charles River Laboratories International Inc. 647,383 24,257
  Owens & Minor Inc. 846,235 24,126
* Align Technology Inc. 865,594 24,020
* PAREXEL International Corp. 801,111 23,705
  Hill-Rom Holdings Inc. 828,162 23,603
* VCA Antech Inc. 1,114,357 23,457
* Theravance Inc. 1,033,346 23,013
* Team Health Holdings Inc. 762,952 21,950
^ Questcor Pharmaceuticals Inc. 811,029 21,671
* ViroPharma Inc. 920,899 20,960
* Allscripts Healthcare Solutions Inc. 2,175,365 20,492
* PSS World Medical Inc. 669,754 19,342
* Cyberonics Inc. 366,620 19,259
* Alere Inc. 1,022,391 18,914
* Bruker Corp. 1,218,360 18,604
* Magellan Health Services Inc. 365,392 17,904
*,^ Vivus Inc. 1,332,224 17,878
  Chemed Corp. 259,372 17,790
* MWI Veterinary Supply Inc. 161,314 17,744
* Impax Laboratories Inc. 853,519 17,489
* Medicines Co. 726,547 17,415
  Air Methods Corp. 463,062 17,082
* Volcano Corp. 709,999 16,763
  Masimo Corp. 718,305 15,092
* Immunogen Inc. 1,118,583 14,262
* Infinity Pharmaceuticals Inc. 388,725 13,605

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Insulet Corp. 635,805 13,492
* Neogen Corp. 297,255 13,472
* Isis Pharmaceuticals Inc. 1,268,708 13,271
* Acorda Therapeutics Inc. 530,881 13,198
  PDL BioPharma Inc. 1,867,394 13,165
* ArthroCare Corp. 367,587 12,715
* Amsurg Corp. Class A 422,491 12,679
* HeartWare International Inc. 150,882 12,667
* Medidata Solutions Inc. 322,974 12,657
* DexCom Inc. 913,116 12,427
* Auxilium Pharmaceuticals Inc. 653,930 12,117
  Analogic Corp. 161,578 12,005
* Akorn Inc. 883,724 11,807
* Hanger Inc. 430,670 11,783
* Alnylam Pharmaceuticals Inc. 622,687 11,364
* Nektar Therapeutics 1,520,724 11,269
  Meridian Bioscience Inc. 552,291 11,184
* Sunrise Senior Living Inc. 773,823 11,128
* Ironwood Pharmaceuticals Inc. Class A 1,003,219 11,126
* Molina Healthcare Inc. 403,731 10,925
*,^ Exelixis Inc. 2,385,827 10,903
*,^ Dendreon Corp. 2,049,042 10,819
  Abaxis Inc. 287,906 10,681
  CONMED Corp. 378,202 10,571
* Integra LifeSciences Holdings Corp. 268,458 10,462
* Sarepta Therapeutics Inc. 405,008 10,449
* NPS Pharmaceuticals Inc. 1,143,691 10,408
* MedAssets Inc. 619,165 10,383
* ICU Medical Inc. 169,896 10,352
* Wright Medical Group Inc. 492,109 10,329
* Orthofix International NV 250,929 9,869
* Endologix Inc. 687,975 9,797
* Acadia Healthcare Co. Inc. 419,509 9,787
  Quality Systems Inc. 554,394 9,624
* Bio-Reference Labs Inc. 332,433 9,537
*,^ Opko Health Inc. 1,973,059 9,490
  Cantel Medical Corp. 315,715 9,386
^ Spectrum Pharmaceuticals Inc. 797,592 8,925
* NuVasive Inc. 574,519 8,882
* Emeritus Corp. 357,118 8,828
* Exact Sciences Corp. 825,612 8,743
* IPC The Hospitalist Co. Inc. 218,281 8,668
* Affymax Inc. 451,731 8,583
* InterMune Inc. 872,647 8,456
* Halozyme Therapeutics Inc. 1,252,847 8,407
* Luminex Corp. 493,608 8,273
* Conceptus Inc. 393,727 8,272
* NxStage Medical Inc. 697,004 7,841
* Santarus Inc. 713,377 7,833
* Kindred Healthcare Inc. 695,928 7,530
  Landauer Inc. 122,038 7,470
* Synageva BioPharma Corp. 159,575 7,387
* Merit Medical Systems Inc. 526,857 7,323
* Quidel Corp. 390,178 7,285
* Rigel Pharmaceuticals Inc. 1,119,269 7,275
* Greatbatch Inc. 312,660 7,266
  Computer Programs & Systems Inc. 142,966 7,197
*,^ Sequenom Inc. 1,499,423 7,077
* Capital Senior Living Corp. 370,788 6,930
* Momenta Pharmaceuticals Inc. 574,627 6,769
* Lexicon Pharmaceuticals Inc. 2,969,904 6,593
* Omnicell Inc. 441,797 6,569
* BioScrip Inc. 609,236 6,561
* Neurocrine Biosciences Inc. 875,920 6,552

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Merrimack Pharmaceuticals Inc. 1,049,716 6,393
* Dynavax Technologies Corp. 2,228,756 6,374
*,^ ABIOMED Inc. 470,416 6,332
* Spectranetics Corp. 424,711 6,273
* HealthStream Inc. 256,806 6,243
* Idenix Pharmaceuticals Inc. 1,280,090 6,208
  Ensign Group Inc. 226,548 6,160
  Invacare Corp. 377,411 6,152
*,^ Accretive Health Inc. 523,353 6,050
* Aegerion Pharmaceuticals Inc. 236,579 6,007
* Genomic Health Inc. 217,666 5,934
* AMN Healthcare Services Inc. 510,246 5,893
  Select Medical Holdings Corp. 621,400 5,860
* MAKO Surgical Corp. 451,780 5,814
* MAP Pharmaceuticals Inc. 365,120 5,736
* Accuray Inc. 888,120 5,711
* ExamWorks Group Inc. 403,470 5,645
* Ligand Pharmaceuticals Inc. Class B 269,367 5,587
  National Healthcare Corp. 116,798 5,492
*,^ Antares Pharma Inc. 1,428,709 5,443
* PharMerica Corp. 381,771 5,436
* Emergent Biosolutions Inc. 333,909 5,356
* Celldex Therapeutics Inc. 789,830 5,300
* Optimer Pharmaceuticals Inc. 583,053 5,277
* Array BioPharma Inc. 1,401,591 5,214
* Pacira Pharmaceuticals Inc. 295,521 5,163
* OraSure Technologies Inc. 710,184 5,099
* Symmetry Medical Inc. 474,914 4,996
* Achillion Pharmaceuticals Inc. 621,543 4,985
* Vanguard Health Systems Inc. 395,649 4,847
  US Physical Therapy Inc. 174,627 4,809
* Natus Medical Inc. 426,272 4,766
* Synta Pharmaceuticals Corp. 528,230 4,765
  Hi-Tech Pharmacal Co. Inc. 133,675 4,676
*,^ MannKind Corp. 2,008,998 4,641
* Corvel Corp. 103,500 4,640
* Vocera Communications Inc. 184,841 4,639
* Healthways Inc. 429,460 4,595
* Triple-S Management Corp. Class B 248,321 4,586
* Orexigen Therapeutics Inc. 867,742 4,573
* Cynosure Inc. Class A 188,057 4,534
* Dyax Corp. 1,299,683 4,523
* Amedisys Inc. 400,784 4,517
*,^ AVANIR Pharmaceuticals Inc. 1,709,532 4,496
* XenoPort Inc. 574,546 4,464
* Depomed Inc. 716,898 4,438
* Cambrex Corp. 387,997 4,415
* LHC Group Inc. 206,810 4,405
* Protalix BioTherapeutics Inc. 833,794 4,327
  Universal American Corp. 492,514 4,231
* SurModics Inc. 188,088 4,206
  Atrion Corp. 20,144 3,948
* AngioDynamics Inc. 349,459 3,841
* Sangamo Biosciences Inc. 638,368 3,837
*,^ Raptor Pharmaceutical Corp. 652,321 3,816
* Fluidigm Corp. 262,389 3,755
*,^ ZIOPHARM Oncology Inc. 890,158 3,703
* Cadence Pharmaceuticals Inc. 772,043 3,698
* AMAG Pharmaceuticals Inc. 250,513 3,685
* Gentiva Health Services Inc. 351,697 3,535
* GenMark Diagnostics Inc. 388,148 3,493
* Curis Inc. 1,006,243 3,451
*,^ Celsion Corp. 415,693 3,404
* Astex Pharmaceuticals 1,162,975 3,384

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Obagi Medical Products Inc. 247,027 3,357
* Immunomedics Inc. 1,136,337 3,318
* AVEO Pharmaceuticals Inc. 410,594 3,305
*,^ Navidea Biopharmaceuticals Inc. 1,162,408 3,290
* ACADIA Pharmaceuticals Inc. 687,467 3,197
* Synergy Pharmaceuticals Inc. 606,975 3,193
* Vascular Solutions Inc. 198,657 3,139
  Young Innovations Inc. 78,876 3,108
* Five Star Quality Care Inc. 609,543 3,054
* Endocyte Inc. 339,001 3,044
* Tornier NV 181,277 3,044
* Vical Inc. 1,029,402 2,996
* PROLOR Biotech Inc. 604,565 2,993
* Novavax Inc. 1,575,092 2,977
*,^ Greenway Medical Technologies 191,577 2,943
* Providence Service Corp. 170,532 2,897
* RTI Biologics Inc. 670,210 2,862
* Affymetrix Inc. 892,373 2,829
  CryoLife Inc. 443,435 2,763
* Staar Surgical Co. 450,789 2,750
  Enzon Pharmaceuticals Inc. 613,601 2,718
* Cardiovascular Systems Inc. 212,823 2,671
* Repros Therapeutics Inc. 168,596 2,655
* Repligen Corp. 409,388 2,575
* Sciclone Pharmaceuticals Inc. 590,938 2,547
*,^ PhotoMedex Inc. 172,998 2,510
* XOMA Corp. 1,032,232 2,472
  Assisted Living Concepts Inc. Class A 251,564 2,453
*,^ Clovis Oncology Inc. 151,344 2,421
*,^ Keryx Biopharmaceuticals Inc. 913,591 2,394
* Geron Corp. 1,641,396 2,314
* Threshold Pharmaceuticals Inc. 533,911 2,248
* Cerus Corp. 705,390 2,229
*,^ Unilife Corp. 967,277 2,196
* Chindex International Inc. 208,690 2,191
* Anika Therapeutics Inc. 218,181 2,169
  Almost Family Inc. 104,691 2,121
* Palomar Medical Technologies Inc. 228,609 2,105
* Epocrates Inc. 238,481 2,103
* OncoGenex Pharmaceutical Inc. 156,999 2,060
* Arqule Inc. 737,945 2,059
*,^ Cytori Therapeutics Inc. 727,489 2,051
* NewLink Genetics Corp. 162,961 2,037
* Furiex Pharmaceuticals Inc. 103,301 1,990
* BioMimetic Therapeutics Inc. 273,111 1,977
* Sagent Pharmaceuticals Inc. 120,461 1,938
* Merge Healthcare Inc. 747,332 1,846
* Albany Molecular Research Inc. 341,357 1,802
*,^ Osiris Therapeutics Inc. 199,093 1,788
* Exactech Inc. 103,335 1,751
* GTx Inc. 412,329 1,732
* Rockwell Medical Technologies Inc. 213,628 1,720
* Rochester Medical Corp. 167,295 1,686
*,^ Galena Biopharma Inc. 1,098,769 1,681
* Pozen Inc. 335,151 1,679
*,^ Peregrine Pharmaceuticals Inc. 1,264,327 1,669
* Solta Medical Inc. 616,867 1,647
* Insmed Inc. 245,772 1,644
* Progenics Pharmaceuticals Inc. 550,309 1,640
* Omeros Corp. 315,689 1,638
* Alphatec Holdings Inc. 989,644 1,633
* Skilled Healthcare Group Inc. 253,630 1,616
* Cross Country Healthcare Inc. 336,160 1,614
* Targacept Inc. 363,076 1,590

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Harvard Bioscience Inc. 360,542 1,579
  Pain Therapeutics Inc. 572,446 1,551
* Vanda Pharmaceuticals Inc. 407,489 1,508
* Nanosphere Inc. 517,958 1,492
  National Research Corp. 27,488 1,490
  Utah Medical Products Inc. 40,567 1,462
* Sunesis Pharmaceuticals Inc. 341,384 1,434
* Anacor Pharmaceuticals Inc. 275,339 1,432
* Cutera Inc. 157,114 1,414
* Oncothyreon Inc. 724,015 1,390
* PDI Inc. 177,317 1,348
* Trius Therapeutics Inc. 279,422 1,336
*,^ Hansen Medical Inc. 627,239 1,305
*,^ Ampio Pharmaceuticals Inc. 360,384 1,294
* Synergetics USA Inc. 260,567 1,251
* SIGA Technologies Inc. 476,000 1,247
* Amicus Therapeutics Inc. 462,581 1,240
* TESARO Inc. 71,419 1,211
  Psychemedics Corp. 112,607 1,210
* Enzo Biochem Inc. 441,417 1,192
* Corcept Therapeutics Inc. 821,798 1,175
* Discovery Laboratories Inc. 528,390 1,115
* Zogenix Inc. 816,110 1,085
*,^ Savient Pharmaceuticals Inc. 1,006,733 1,057
* AtriCure Inc. 148,858 1,027
* Supernus Pharmaceuticals Inc. 140,974 1,011
* CardioNet Inc. 442,809 1,010
* Agenus Inc. 244,287 1,002
*,^ Biotime Inc. 317,442 997
* Lannett Co. Inc. 196,274 973
*,^ Horizon Pharma Inc. 410,009 955
* Complete Genomics Inc. 297,763 938
*,^ Delcath Systems Inc. 745,565 917
* RadNet Inc. 349,478 884
* EnteroMedics Inc. 314,317 880
* Cytokinetics Inc. 1,317,541 870
* Durect Corp. 938,091 863
*,^ Biolase Inc. 466,248 863
* Icad Inc. 179,126 858
* BioClinica Inc. 146,670 839
* Theragenics Corp. 505,923 804
* Myrexis Inc. 283,242 802
* Pacific Biosciences of California Inc. 471,061 801
* Biospecifics Technologies Corp. 53,486 800
* Sucampo Pharmaceuticals Inc. Class A 158,504 777
*,^ Cel-Sci Corp. 2,873,327 776
* Digirad Corp. 377,221 773
  Maxygen Inc. 308,682 759
*,^ Zalicus Inc. 1,114,369 724
*,^ Cleveland Biolabs Inc. 535,493 712
* Cell Therapeutics Inc. 524,870 682
*,^ Alexza Pharmaceuticals Inc. 135,961 673
* Inovio Pharmaceuticals Inc. 1,332,000 665
*,^ MELA Sciences Inc. 344,762 617
* BioCryst Pharmaceuticals Inc. 425,176 604
* Zeltiq Aesthetics Inc. 128,907 597
* Cumberland Pharmaceuticals Inc. 136,811 575
* Metabolix Inc. 386,346 572
*,^ CytRx Corp. 298,203 558
* Transcept Pharmaceuticals Inc. 123,149 548
*,^ Apricus Biosciences Inc. 274,736 547
*,^ Aastrom Biosciences Inc. 433,888 547
* Codexis Inc. 245,644 543
* LCA-Vision Inc. 190,406 543

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
*,^ StemCells Inc. 326,557 532
* TranS1 Inc. 200,063 496
* Chelsea Therapeutics International Ltd. 618,986 470
* Columbia Laboratories Inc. 725,979 461
*,^ Anthera Pharmaceuticals Inc. 734,103 455
* Verastem Inc. 50,000 439
* Cornerstone Therapeutics Inc. 89,087 421
* Hemispherx Biopharma Inc. 1,666,987 418
* Cardica Inc. 379,938 418
* Medical Action Industries Inc. 153,479 413
* Alliance HealthCare Services Inc. 62,748 400
* Strategic Diagnostics Inc. 365,605 391
*,^ BSD Medical Corp. 257,082 388
* Bovie Medical Corp. 155,493 376
* Arrowhead Research Corp. 172,890 370
* Sharps Compliance Corp. 156,325 353
* Vision Sciences Inc. 273,044 325
  Biota Pharmaceuticals Inc. 77,957 311
* Adolor Corp. Rights Exp. 07/01/2019 592,629 308
  Heska Corp. 37,313 302
*,^ Acura Pharmaceuticals Inc. 135,912 302
  Daxor Corp. 37,940 288
*,^ Biosante Pharmaceuticals Inc. 228,098 283
*,^ ADVENTRX Pharmaceuticals Inc. 495,914 283
* GenVec Inc. 189,152 253
* Pernix Therapeutics Holdings 31,684 246
* Hooper Holmes Inc. 538,559 214
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 216,285 205
* Idera Pharmaceuticals Inc. 197,758 176
* Entremed Inc. 116,957 161
* Alimera Sciences Inc. 90,458 142
*,^ Stereotaxis Inc. 54,377 142
* Authentidate Holding Corp. 131,342 123
* ThermoGenesis Corp. 123,286 104
* Palatin Technologies Inc. 163,996 98
* Biodel Inc. 34,273 81
* Retractable Technologies Inc. 74,206 65
* ERBA Diagnostics Inc. 61,375 55
* ProPhase Labs Inc. 29,809 40
* PURE Bioscience Inc. 14,337 9
* Allos Therapeutics Inc. 1,083,000
* Neurogen Corp. H3 CVR 2,800
      24,644,932
Industrials (11.1%)    
  General Electric Co. 141,246,422 2,964,762
  United Technologies Corp. 11,587,237 950,269
  3M Co. 8,785,486 815,732
  Union Pacific Corp. 6,335,567 796,507
  Caterpillar Inc. 8,738,894 782,830
  Boeing Co. 9,554,061 719,994
  United Parcel Service Inc. Class B 9,716,171 716,373
  Honeywell International Inc. 9,919,721 629,605
  Emerson Electric Co. 9,729,512 515,275
  Danaher Corp. 7,906,589 441,978
  Deere & Co. 4,977,463 430,152
  Precision Castparts Corp. 1,944,375 368,304
  FedEx Corp. 3,991,038 366,058
  Illinois Tool Works Inc. 5,644,317 343,231
  Lockheed Martin Corp. 3,688,879 340,447
  Eaton Corp. plc 6,196,661 335,859
  General Dynamics Corp. 4,011,357 277,867
  CSX Corp. 13,912,106 274,486

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Norfolk Southern Corp. 4,274,233 264,319
Cummins Inc. 2,419,844 262,190
Raytheon Co. 4,441,558 255,656
Northrop Grumman Corp. 3,141,675 212,314
PACCAR Inc. 4,492,476 203,105
Waste Management Inc. 5,891,078 198,765
Ingersoll-Rand plc 4,123,549 197,765
Tyco International Ltd. 6,151,814 179,941
Fastenal Co. 3,763,619 175,723
Parker Hannifin Corp. 1,999,207 170,053
Dover Corp. 2,445,477 160,692
WW Grainger Inc. 792,526 160,384
Rockwell Automation Inc. 1,886,317 158,432
Stanley Black & Decker Inc. 2,136,677 158,050
Roper Industries Inc. 1,307,144 145,720
ADT Corp. 3,092,774 143,783
Pentair Ltd. 2,800,606 137,650
CH Robinson Worldwide Inc. 2,157,874 136,421
* Delta Air Lines Inc. 11,363,172 134,881
Fluor Corp. 2,231,223 131,062
Kansas City Southern 1,470,052 122,720
AMETEK Inc. 3,240,974 121,763
Republic Services Inc. Class A 4,148,887 121,687
Expeditors International of Washington Inc. 2,813,590 111,277
* Stericycle Inc. 1,144,628 106,759
Rockwell Collins Inc. 1,804,574 104,972
* United Continental Holdings Inc. 4,441,181 103,835
Southwest Airlines Co. 9,929,520 101,678
Flowserve Corp. 683,317 100,311
L-3 Communications Holdings Inc. 1,291,380 98,946
* Verisk Analytics Inc. Class A 1,883,604 96,064
Pall Corp. 1,552,868 93,576
Textron Inc. 3,754,031 93,062
Joy Global Inc. 1,414,865 90,240
TransDigm Group Inc. 653,339 89,089
Equifax Inc. 1,601,860 86,693
Masco Corp. 4,812,972 80,184
* Quanta Services Inc. 2,797,928 76,355
JB Hunt Transport Services Inc. 1,257,605 75,092
* Jacobs Engineering Group Inc. 1,735,058 73,861
* IHS Inc. Class A 747,232 71,734
* B/E Aerospace Inc. 1,390,405 68,686
* Hertz Global Holdings Inc. 4,220,981 68,675
Xylem Inc. 2,479,838 67,204
* AGCO Corp. 1,299,074 63,811
* Fortune Brands Home & Security Inc. 2,147,294 62,744
Cintas Corp. 1,533,831 62,734
Donaldson Co. Inc. 1,890,397 62,081
Snap-on Inc. 777,211 61,392
Iron Mountain Inc. 1,899,471 58,979
KBR Inc. 1,968,546 58,899
Hubbell Inc. Class B 689,721 58,371
Robert Half International Inc. 1,800,044 57,277
Wabtec Corp. 639,964 56,022
* WABCO Holdings Inc. 854,730 55,720
* Owens Corning 1,504,248 55,642
Timken Co. 1,105,407 52,872
Waste Connections Inc. 1,563,962 52,846
IDEX Corp. 1,114,024 51,836
* Nielsen Holdings NV 1,689,051 51,668
Lincoln Electric Holdings Inc. 1,061,025 51,651
Carlisle Cos. Inc. 836,993 49,182
Nordson Corp. 771,480 48,696
* United Rentals Inc. 1,052,915 47,929

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Avery Dennison Corp. 1,370,513 47,858
  SPX Corp. 678,378 47,588
  Corrections Corp. of America 1,337,735 47,449
  Dun & Bradstreet Corp. 600,123 47,200
  MSC Industrial Direct Co. Inc. Class A 625,097 47,120
  Gardner Denver Inc. 661,492 45,312
* Genesee & Wyoming Inc. Class A 591,702 45,017
  Manpower Inc. 1,060,113 44,991
  Towers Watson & Co. Class A 783,537 44,043
  Valmont Industries Inc. 320,132 43,714
  Triumph Group Inc. 667,594 43,594
  Kennametal Inc. 1,067,736 42,709
* Sensata Technologies Holding NV 1,312,700 42,637
* Copart Inc. 1,444,139 42,602
  Graco Inc. 809,111 41,661
* Kirby Corp. 672,278 41,607
* Terex Corp. 1,472,502 41,392
* Clean Harbors Inc. 747,203 41,104
* Shaw Group Inc. 879,824 41,009
* Alaska Air Group Inc. 939,587 40,487
  URS Corp. 1,027,722 40,348
  Regal-Beloit Corp. 563,619 39,718
* WESCO International Inc. 584,664 39,424
  Acuity Brands Inc. 566,281 38,354
  Trinity Industries Inc. 1,060,408 37,984
  Babcock & Wilcox Co. 1,424,551 37,323
* Hexcel Corp. 1,328,033 35,804
* Foster Wheeler AG 1,441,114 35,048
  Ryder System Inc. 683,542 34,129
  Toro Co. 788,754 33,901
  AO Smith Corp. 527,099 33,244
* Oshkosh Corp. 1,102,691 32,695
  Landstar System Inc. 623,174 32,692
* AECOM Technology Corp. 1,354,292 32,232
* Middleby Corp. 250,160 32,073
  CLARCOR Inc. 667,080 31,873
  Woodward Inc. 826,947 31,532
  Robbins & Myers Inc. 518,442 30,821
  EMCOR Group Inc. 885,617 30,651
* Teledyne Technologies Inc. 467,275 30,406
  Lennox International Inc. 577,738 30,343
* Colfax Corp. 749,603 30,246
* Old Dominion Freight Line Inc. 860,906 29,512
  Covanta Holding Corp. 1,601,688 29,503
* US Airways Group Inc. 2,163,150 29,203
*,^ Polypore International Inc. 622,294 28,937
  Crane Co. 621,650 28,770
  Huntington Ingalls Industries Inc. 659,626 28,588
^ Pitney Bowes Inc. 2,679,846 28,514
  Exelis Inc. 2,488,611 28,047
* Avis Budget Group Inc. 1,415,018 28,046
* USG Corp. 998,881 28,039
  ITT Corp. 1,172,411 27,505
  Alliant Techsystems Inc. 437,272 27,093
  Belden Inc. 601,011 27,040
* Spirit Aerosystems Holdings Inc. Class A 1,589,371 26,972
  Watsco Inc. 356,713 26,718
  Geo Group Inc. 943,962 26,620
* Chart Industries Inc. 398,395 26,561
  Manitowoc Co. Inc. 1,671,160 26,204
* Esterline Technologies Corp. 410,964 26,141
  Actuant Corp. Class A 921,721 25,725
  GATX Corp. 592,936 25,674
  Harsco Corp. 1,072,486 25,203

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* EnerSys Inc. 638,996 24,045
Macquarie Infrastructure Co. LLC 527,440 24,030
* Tetra Tech Inc. 845,107 22,353
Brady Corp. Class A 652,092 21,780
Deluxe Corp. 672,067 21,667
* Advisory Board Co. 462,376 21,635
^ RR Donnelley & Sons Co. 2,400,065 21,601
* Moog Inc. Class A 521,426 21,394
* Air Lease Corp. 990,412 21,294
Corporate Executive Board Co. 445,679 21,152
Applied Industrial Technologies Inc. 501,465 21,067
* Beacon Roofing Supply Inc. 628,658 20,922
Con-way Inc. 743,477 20,684
* General Cable Corp. 664,695 20,213
* MasTec Inc. 802,626 20,009
Healthcare Services Group Inc. 844,694 19,622
Rollins Inc. 878,182 19,355
Mueller Industries Inc. 381,479 19,085
UTi Worldwide Inc. 1,378,356 18,470
* FTI Consulting Inc. 559,054 18,449
Mine Safety Appliances Co. 430,882 18,403
* JetBlue Airways Corp. 3,215,189 18,359
Curtiss-Wright Corp. 558,560 18,338
HNI Corp. 601,546 18,082
Brink's Co. 630,861 17,998
Armstrong World Industries Inc. 353,587 17,937
* Acacia Research Corp. 664,132 17,035
* MRC Global Inc. 609,880 16,942
Simpson Manufacturing Co. Inc. 510,078 16,725
Herman Miller Inc. 775,726 16,616
* Hub Group Inc. Class A 492,460 16,547
Granite Construction Inc. 491,074 16,510
United Stationers Inc. 526,251 16,309
Franklin Electric Co. Inc. 262,169 16,299
Watts Water Technologies Inc. Class A 374,920 16,118
* Navistar International Corp. 734,931 15,999
HEICO Corp. Class A 492,624 15,754
* Atlas Air Worldwide Holdings Inc. 353,057 15,644
* GrafTech International Ltd. 1,612,371 15,140
Allegiant Travel Co. Class A 203,733 14,956
* RBC Bearings Inc. 298,557 14,949
KAR Auction Services Inc. 730,003 14,775
UniFirst Corp. 199,345 14,616
TAL International Group Inc. 400,213 14,560
* Spirit Airlines Inc. 817,273 14,482
ABM Industries Inc. 717,989 14,324
Steelcase Inc. Class A 1,091,952 13,911
Matson Inc. 562,468 13,904
Barnes Group Inc. 607,442 13,643
Forward Air Corp. 386,349 13,526
Lindsay Corp. 168,403 13,492
Briggs & Stratton Corp. 634,679 13,379
Interface Inc. Class A 826,610 13,292
ESCO Technologies Inc. 354,387 13,258
Amerco Inc. 103,914 13,177
* Trimas Corp. 468,529 13,100
Titan International Inc. 600,846 13,050
* II-VI Inc. 709,529 12,963
AZZ Inc. 334,750 12,864
Werner Enterprises Inc. 578,416 12,534
Generac Holdings Inc. 359,722 12,342
* DigitalGlobe Inc. 495,978 12,122
Seaboard Corp. 4,716 11,931
Raven Industries Inc. 452,487 11,928

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* On Assignment Inc. 587,993 11,925
Mueller Water Products Inc. Class A 2,077,713 11,656
Knight Transportation Inc. 793,350 11,607
Kaman Corp. 315,040 11,593
Aircastle Ltd. 924,384 11,592
* Aegion Corp. Class A 519,660 11,531
* EnPro Industries Inc. 274,205 11,215
* ACCO Brands Corp. 1,498,764 11,001
* Mobile Mini Inc. 514,838 10,724
* Orbital Sciences Corp. 772,790 10,641
* Swift Transportation Co. 1,157,693 10,558
Kaydon Corp. 425,143 10,174
* Huron Consulting Group Inc. 301,609 10,161
* Korn/Ferry International 640,445 10,157
Cubic Corp. 210,980 10,121
AAR Corp. 528,708 9,876
Quanex Building Products Corp. 482,688 9,852
* Blount International Inc. 615,977 9,745
Knoll Inc. 633,673 9,733
* Exponent Inc. 174,315 9,732
Tennant Co. 221,366 9,729
* Team Inc. 250,859 9,543
Universal Forest Products Inc. 246,879 9,391
Insperity Inc. 287,662 9,366
Apogee Enterprises Inc. 374,449 8,976
* TrueBlue Inc. 569,732 8,973
McGrath RentCorp 308,335 8,948
Heartland Express Inc. 682,706 8,923
* Dycom Industries Inc. 444,353 8,798
Sauer-Danfoss Inc. 159,539 8,515
G&K Services Inc. Class A 247,881 8,465
Astec Industries Inc. 252,752 8,424
Standex International Corp. 163,930 8,408
SkyWest Inc. 668,649 8,331
* Sykes Enterprises Inc. 541,132 8,236
CIRCOR International Inc. 206,790 8,187
* GeoEye Inc. 264,626 8,132
* Wabash National Corp. 896,484 8,041
* Rexnord Corp. 376,988 8,030
Albany International Corp. 351,233 7,966
Altra Holdings Inc. 356,965 7,871
Griffon Corp. 676,210 7,749
* Proto Labs Inc. 192,921 7,605
* Navigant Consulting Inc. 679,728 7,586
American Science & Engineering Inc. 115,773 7,550
Cascade Corp. 117,040 7,526
* Rush Enterprises Inc. Class A 360,833 7,458
Encore Wire Corp. 242,916 7,363
* Thermon Group Holdings Inc. 322,502 7,266
Viad Corp. 267,325 7,261
Resources Connection Inc. 604,877 7,222
Sun Hydraulics Corp. 271,021 7,068
* Trex Co. Inc. 188,520 7,019
Gorman-Rupp Co. 234,777 7,003
* InnerWorkings Inc. 487,923 6,724
Quad/Graphics Inc. 329,501 6,719
John Bean Technologies Corp. 375,456 6,672
Great Lakes Dredge & Dock Corp. 742,049 6,627
* Taser International Inc. 715,376 6,395
* Tutor Perini Corp. 465,576 6,378
* DXP Enterprises Inc. 128,391 6,300
* Layne Christensen Co. 256,726 6,231
US Ecology Inc. 263,569 6,204
* Gibraltar Industries Inc. 389,721 6,204

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Federal Signal Corp. 807,913 6,148
* ICF International Inc. 258,480 6,059
  Comfort Systems USA Inc. 497,364 6,048
* MYR Group Inc. 269,763 6,002
  Kforce Inc. 414,472 5,939
  Kelly Services Inc. Class A 375,860 5,916
  H&E Equipment Services Inc. 392,261 5,911
* GenCorp Inc. 645,275 5,904
* Titan Machinery Inc. 237,274 5,861
* Meritor Inc. 1,208,438 5,716
  Primoris Services Corp. 371,216 5,583
* Greenbrier Cos. Inc. 340,113 5,500
  LB Foster Co. Class A 123,962 5,385
  Hyster-Yale Materials Handling Inc. 110,108 5,373
  Celadon Group Inc. 296,032 5,349
  AAON Inc. 256,026 5,343
* Mistras Group Inc. 214,428 5,294
  Ennis Inc. 336,628 5,208
* Aerovironment Inc. 234,391 5,096
* GP Strategies Corp. 245,380 5,067
* CAI International Inc. 228,197 5,009
* Powell Industries Inc. 120,402 5,000
* Builders FirstSource Inc. 862,284 4,812
* Saia Inc. 205,873 4,760
  HEICO Corp. 103,377 4,627
* Standard Parking Corp. 207,457 4,562
^ National Presto Industries Inc. 63,395 4,381
* Kadant Inc. 163,131 4,325
* Consolidated Graphics Inc. 121,423 4,240
* Hawaiian Holdings Inc. 634,030 4,166
* Roadrunner Transportation Systems Inc. 226,974 4,117
  Douglas Dynamics Inc. 285,248 4,105
* Engility Holdings Inc. 212,239 4,088
  American Railcar Industries Inc. 127,684 4,051
  Marten Transport Ltd. 217,018 3,991
  Barrett Business Services Inc. 104,726 3,989
* Columbus McKinnon Corp. 240,123 3,967
  Kimball International Inc. Class B 337,270 3,916
  Aceto Corp. 387,771 3,893
  Global Power Equipment Group Inc. 220,801 3,787
* American Woodmark Corp. 135,823 3,779
*,^ Capstone Turbine Corp. 4,235,971 3,770
* Wesco Aircraft Holdings Inc. 284,433 3,757
  FreightCar America Inc. 167,030 3,745
*,^ XPO Logistics Inc. 214,919 3,735
  Multi-Color Corp. 152,666 3,662
  Alamo Group Inc. 109,582 3,577
* WageWorks Inc. 200,841 3,575
  Heidrick & Struggles International Inc. 231,822 3,538
* NCI Building Systems Inc. 253,345 3,522
* Lydall Inc. 244,672 3,509
* KEYW Holding Corp. 272,317 3,456
* EnerNOC Inc. 293,519 3,449
* Kratos Defense & Security Solutions Inc. 676,360 3,402
* Astronics Corp. 147,467 3,374
* Republic Airways Holdings Inc. 583,014 3,312
* EnergySolutions Inc. 1,050,114 3,276
* Flow International Corp. 935,714 3,275
* CBIZ Inc. 539,156 3,186
* Echo Global Logistics Inc. 175,061 3,146
  Insteel Industries Inc. 251,874 3,143
  Arkansas Best Corp. 315,304 3,011
  Houston Wire & Cable Co. 244,902 3,005
  CDI Corp. 169,772 2,908

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Michael Baker Corp. 113,450 2,828
* Northwest Pipe Co. 118,499 2,827
*,^ Zipcar Inc. 338,130 2,786
  SeaCube Container Leasing Ltd. 146,538 2,762
* NN Inc. 300,535 2,753
* Air Transport Services Group Inc. 670,267 2,688
  Graham Corp. 134,795 2,629
* Commercial Vehicle Group Inc. 316,472 2,598
* CRA International Inc. 130,048 2,571
*,^ Odyssey Marine Exploration Inc. 862,369 2,561
  Pike Electric Corp. 266,363 2,544
* Orion Marine Group Inc. 342,820 2,506
*,^ Swisher Hygiene Inc. 1,420,538 2,486
  Schawk Inc. Class A 187,435 2,467
* Furmanite Corp. 452,369 2,429
  Dynamic Materials Corp. 173,820 2,416
* Park-Ohio Holdings Corp. 109,469 2,333
* TMS International Corp. Class A 183,822 2,301
  Miller Industries Inc. 149,815 2,285
  Met-Pro Corp. 227,409 2,204
* Franklin Covey Co. 170,414 2,198
* Pendrell Corp. 1,700,074 2,159
* LMI Aerospace Inc. 110,258 2,132
* Ducommun Inc. 129,869 2,100
* Ameresco Inc. Class A 213,969 2,099
* RPX Corp. 220,036 1,989
* Heritage-Crystal Clean Inc. 131,526 1,974
* Patriot Transportation Holding Inc. 68,638 1,951
  LSI Industries Inc. 265,399 1,860
* Cenveo Inc. 682,434 1,843
* Sterling Construction Co. Inc. 185,132 1,840
  Twin Disc Inc. 104,708 1,825
  Ampco-Pittsburgh Corp. 90,947 1,817
* Hudson Global Inc. 400,220 1,793
* PMFG Inc. 195,310 1,775
* Energy Recovery Inc. 520,937 1,771
* FuelCell Energy Inc. 1,897,843 1,740
  Argan Inc. 95,281 1,715
* Hurco Cos. Inc. 74,207 1,707
^ Acorn Energy Inc. 211,406 1,651
* PowerSecure International Inc. 209,706 1,638
* Accuride Corp. 507,606 1,629
* Pacer International Inc. 415,203 1,619
* Quality Distribution Inc. 268,145 1,609
  Preformed Line Products Co. 26,909 1,599
*,^ American Superconductor Corp. 602,395 1,578
* Willis Lease Finance Corp. 105,689 1,512
* Edgen Group Inc. 202,158 1,427
* American Reprographics Co. 556,358 1,424
*,^ Genco Shipping & Trading Ltd. 396,249 1,383
* Vicor Corp. 252,789 1,370
* Casella Waste Systems Inc. Class A 308,810 1,353
  Hardinge Inc. 135,779 1,350
* Dolan Co. 346,844 1,349
  International Shipholding Corp. 81,256 1,339
  Courier Corp. 120,593 1,327
  Intersections Inc. 135,760 1,287
* Sparton Corp. 92,142 1,278
* Metalico Inc. 651,835 1,278
* TRC Cos. Inc. 217,977 1,269
* BlueLinx Holdings Inc. 439,473 1,235
* AT Cross Co. Class A 114,331 1,233
* Covenant Transportation Group Inc. Class A 208,915 1,155
  VSE Corp. 46,438 1,138

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Hill International Inc. 302,887 1,109
* PGT Inc. 242,104 1,089
  Ceco Environmental Corp. 107,251 1,067
* API Technologies Corp. 358,373 1,054
* Astronics Corp. Class B 45,070 1,032
  Eastern Co. 60,712 960
* Fuel Tech Inc. 224,368 942
  Coleman Cable Inc. 90,489 839
  Innovative Solutions & Support Inc. 238,921 822
* Tecumseh Products Co. Class A 168,953 781
* Ultralife Corp. 233,201 756
* Orion Energy Systems Inc. 437,525 726
  Lawson Products Inc. 71,807 711
* Key Technology Inc. 64,325 672
  PAM Transportation Services Inc. 61,693 631
  Hubbell Inc. Class A 7,600 590
  LS Starrett Co. Class A 58,996 572
  Baltic Trading Ltd. 187,566 559
  Omega Flex Inc. 44,518 550
* Magnetek Inc. 51,674 532
* Active Power Inc. 158,780 532
* Integrated Electrical Services Inc. 113,196 528
  Sypris Solutions Inc. 124,211 492
* USA Truck Inc. 139,893 480
* Perma-Fix Environmental Services 666,988 454
* Virco Manufacturing Corp. 159,526 413
* Supreme Industries Inc. Class A 101,940 348
* Xerium Technologies Inc. 110,079 336
* Eagle Bulk Shipping Inc. 193,463 290
* Innotrac Corp. 73,831 225
* Broadwind Energy Inc. 91,517 199
  Standard Register Co. 262,144 165
* Frozen Food Express Industries 185,060 165
*,^ Ocean Power Technologies Inc. 72,349 156
*,^ Ascent Solar Technologies Inc. 251,080 156
*,^ Plug Power Inc. 270,234 135
*,^ Altair Nanotechnologies Inc. 45,918 101
* Lime Energy Co. 117,752 68
* Arotech Corp. 17,932 18
      23,291,784
Information Technology (18.4%)    
  Apple Inc. 12,539,748 6,684,062
  International Business Machines Corp. 14,522,688 2,781,821
  Microsoft Corp. 100,930,764 2,697,879
* Google Inc. Class A 3,504,427 2,485,935
  Oracle Corp. 52,251,020 1,741,004
  QUALCOMM Inc. 22,785,895 1,413,181
  Cisco Systems Inc. 71,659,437 1,408,108
  Intel Corp. 66,925,509 1,380,673
  Visa Inc. Class A 7,056,763 1,069,664
* eBay Inc. 15,514,799 791,565
* EMC Corp. 28,074,813 710,293
  Mastercard Inc. Class A 1,441,197 708,031
  Accenture plc Class A 8,491,835 564,707
  Texas Instruments Inc. 15,219,966 470,906
  Hewlett-Packard Co. 26,377,441 375,879
  Automatic Data Processing Inc. 6,481,382 369,504
* Facebook Inc. Class A 13,236,967 352,500
* Yahoo! Inc. 15,054,380 299,582
* Salesforce.com Inc. 1,766,498 296,948
* Cognizant Technology Solutions Corp. Class A 3,994,041 295,759
  Corning Inc. 19,918,701 251,374
* Adobe Systems Inc. 6,578,405 247,874
  Broadcom Corp. Class A 6,782,311 225,241

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
Intuit Inc. 3,732,136 222,062
TE Connectivity Ltd. 5,722,936 212,435
Dell Inc. 19,723,359 199,798
Motorola Solutions Inc. 3,447,008 191,929
Applied Materials Inc. 16,554,108 189,379
* Symantec Corp. 9,390,015 176,626
Analog Devices Inc. 3,998,613 168,182
* Citrix Systems Inc. 2,501,052 164,444
* NetApp Inc. 4,860,181 163,059
Altera Corp. 4,275,204 147,238
Seagate Technology plc 4,778,132 145,638
* Fiserv Inc. 1,813,116 143,291
* SanDisk Corp. 3,227,869 140,606
* Teradata Corp. 2,253,180 139,449
Amphenol Corp. Class A 2,151,312 139,190
* Juniper Networks Inc. 7,037,030 138,418
* Red Hat Inc. 2,579,593 136,615
Paychex Inc. 4,363,009 135,864
* Equinix Inc. 643,878 132,768
Western Digital Corp. 2,973,613 126,349
Xilinx Inc. 3,503,351 125,770
* LinkedIn Corp. Class A 1,065,616 122,354
Xerox Corp. 17,467,816 119,131
Maxim Integrated Products Inc. 3,899,522 114,646
Fidelity National Information Services Inc. 3,149,384 109,630
Western Union Co. 8,049,598 109,555
* Rackspace Hosting Inc. 1,449,579 107,660
* Autodesk Inc. 3,029,295 107,086
KLA-Tencor Corp. 2,225,325 106,282
Linear Technology Corp. 3,077,063 105,543
Avago Technologies Ltd. Class A 3,280,103 103,848
* VMware Inc. Class A 1,098,504 103,413
* F5 Networks Inc. 1,056,166 102,607
NVIDIA Corp. 8,278,348 101,741
* Trimble Navigation Ltd. 1,679,648 100,409
* Akamai Technologies Inc. 2,371,533 97,019
* Alliance Data Systems Corp. 666,905 96,541
CA Inc. 4,387,195 96,431
* Lam Research Corp. 2,436,238 88,021
* Micron Technology Inc. 13,597,664 86,345
* BMC Software Inc. 2,131,012 84,516
Microchip Technology Inc. 2,588,392 84,356
Computer Sciences Corp. 2,077,346 83,198
* ANSYS Inc. 1,233,818 83,085
* VeriSign Inc. 2,088,024 81,057
Harris Corp. 1,514,400 74,145
* Nuance Communications Inc. 3,293,810 73,518
* Synopsys Inc. 1,992,623 63,445
Activision Blizzard Inc. 5,938,326 63,065
* Electronic Arts Inc. 4,253,921 61,810
* Avnet Inc. 1,899,028 58,129
* Gartner Inc. 1,248,410 57,452
* Arrow Electronics Inc. 1,467,012 55,864
* Flextronics International Ltd. 8,930,654 55,459
* NCR Corp. 2,125,745 54,164
* LSI Corp. 7,512,631 53,189
* Skyworks Solutions Inc. 2,549,738 51,760
IAC/InterActiveCorp 1,093,417 51,719
* Cree Inc. 1,471,725 50,009
Solera Holdings Inc. 935,130 50,001
FactSet Research Systems Inc. 563,530 49,624
* Cadence Design Systems Inc. 3,672,862 49,620
* TIBCO Software Inc. 2,181,884 48,023
Global Payments Inc. 1,054,986 47,791

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Jabil Circuit Inc. 2,465,063 47,551
  Marvell Technology Group Ltd. 6,402,869 46,485
  Total System Services Inc. 2,137,544 45,786
* MICROS Systems Inc. 1,072,433 45,514
  FLIR Systems Inc. 2,038,820 45,486
* Informatica Corp. 1,449,999 43,964
  Jack Henry & Associates Inc. 1,095,814 43,022
* ON Semiconductor Corp. 6,086,356 42,909
* VeriFone Systems Inc. 1,441,661 42,789
* Teradyne Inc. 2,508,156 42,363
* Concur Technologies Inc. 624,937 42,196
* JDS Uniphase Corp. 3,111,685 42,132
* SolarWinds Inc. 793,676 41,628
  SAIC Inc. 3,653,604 41,359
* FleetCor Technologies Inc. 761,521 40,856
* Riverbed Technology Inc. 2,035,125 40,133
* CommVault Systems Inc. 570,566 39,774
* Atmel Corp. 5,884,622 38,544
  Broadridge Financial Solutions Inc. 1,670,015 38,210
  AOL Inc. 1,255,464 37,174
* NeuStar Inc. Class A 884,746 37,097
* WEX Inc. 489,202 36,871
* Parametric Technology Corp. 1,591,783 35,831
* Cymer Inc. 394,424 35,668
*,^ 3D Systems Corp. 666,693 35,568
* Fortinet Inc. 1,686,709 35,539
  MercadoLibre Inc. 441,275 34,671
* Aspen Technology Inc. 1,246,402 34,451
* Ingram Micro Inc. 2,010,064 34,010
  National Instruments Corp. 1,306,900 33,731
* Ultimate Software Group Inc. 339,970 32,097
* CoStar Group Inc. 356,759 31,884
* Compuware Corp. 2,873,360 31,233
* Aruba Networks Inc. 1,493,417 30,988
* Brocade Communications Systems Inc. 5,805,420 30,943
* CoreLogic Inc. 1,128,378 30,376
  IPG Photonics Corp. 443,784 29,578
  MAXIMUS Inc. 455,177 28,776
  Lender Processing Services Inc. 1,127,097 27,749
  DST Systems Inc. 451,781 27,378
* Zebra Technologies Corp. 690,693 27,130
  FEI Co. 481,537 26,706
* NetSuite Inc. 377,323 25,394
* Semtech Corp. 873,101 25,276
  Convergys Corp. 1,538,502 25,247
*,^ First Solar Inc. 813,143 25,110
  Molex Inc. Class A 1,116,969 24,931
* Cirrus Logic Inc. 858,905 24,883
* Microsemi Corp. 1,182,467 24,879
* Polycom Inc. 2,358,919 24,674
  Diebold Inc. 798,784 24,451
* Fairchild Semiconductor International Inc. Class A 1,686,500 24,286
  InterDigital Inc. 585,756 24,075
  Anixter International Inc. 376,136 24,065
* Tech Data Corp. 522,147 23,773
* Hittite Microwave Corp. 379,038 23,538
* Itron Inc. 527,129 23,484
* ACI Worldwide Inc. 523,997 22,893
* Rovi Corp. 1,464,844 22,603
* Silicon Laboratories Inc. 537,990 22,493
* Arris Group Inc. 1,504,013 22,470
* QLIK Technologies Inc. 1,025,337 22,270
  Lexmark International Inc. Class A 945,340 21,922
* ViaSat Inc. 550,031 21,396

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Plantronics Inc. 578,003 21,311
* Mentor Graphics Corp. 1,245,637 21,201
* Ciena Corp. 1,333,679 20,939
  Cypress Semiconductor Corp. 1,913,211 20,739
* Cavium Inc. 662,788 20,686
* TiVo Inc. 1,656,408 20,407
  Molex Inc. 744,718 20,353
* Finisar Corp. 1,231,978 20,081
* NETGEAR Inc. 506,408 19,963
* Vishay Intertechnology Inc. 1,875,100 19,932
  Fair Isaac Corp. 472,366 19,854
  Cognex Corp. 538,137 19,814
* ValueClick Inc. 1,001,074 19,431
^ Dolby Laboratories Inc. Class A 654,150 19,186
*,^ Advanced Micro Devices Inc. 7,991,410 19,179
* Vantiv Inc. Class A 935,125 19,095
  Littelfuse Inc. 307,505 18,976
* Sourcefire Inc. 397,760 18,782
  j2 Global Inc. 592,897 18,131
  MKS Instruments Inc. 702,205 18,103
* Progress Software Corp. 840,569 17,644
* Acxiom Corp. 1,009,778 17,631
* Tyler Technologies Inc. 361,359 17,504
* Acme Packet Inc. 781,194 17,280
* EchoStar Corp. Class A 497,366 17,020
* Splunk Inc. 581,709 16,881
* Entegris Inc. 1,814,880 16,661
* RF Micro Devices Inc. 3,676,609 16,471
* International Rectifier Corp. 921,082 16,331
* Dealertrack Technologies Inc. 562,573 16,157
* OSI Systems Inc. 252,046 16,141
* Manhattan Associates Inc. 265,524 16,022
*,^ Fusion-io Inc. 693,902 15,911
  Coherent Inc. 314,247 15,907
*,^ VirnetX Holding Corp. 541,884 15,866
* CACI International Inc. Class A 285,879 15,732
* PMC - Sierra Inc. 3,010,482 15,685
* Sapient Corp. 1,480,823 15,638
  ADTRAN Inc. 798,742 15,607
* Veeco Instruments Inc. 523,017 15,440
  Heartland Payment Systems Inc. 517,684 15,272
* Guidewire Software Inc. 507,330 15,078
*,^ ServiceNow Inc. 500,578 15,032
* Universal Display Corp. 558,303 14,304
* Euronet Worldwide Inc. 606,042 14,303
  Intersil Corp. Class A 1,703,855 14,125
* Zynga Inc. Class A 5,887,206 13,953
* Integrated Device Technology Inc. 1,906,176 13,915
*,^ VistaPrint NV 416,293 13,679
  Blackbaud Inc. 595,593 13,597
  NIC Inc. 815,143 13,319
* SS&C Technologies Holdings Inc. 574,994 13,294
* Cardtronics Inc. 557,230 13,229
* Synaptics Inc. 439,814 13,181
* Ultratech Inc. 347,143 12,948
* Bottomline Technologies Inc. 486,159 12,830
  Power Integrations Inc. 381,493 12,822
* Liquidity Services Inc. 310,351 12,681
* Benchmark Electronics Inc. 762,174 12,667
* QLogic Corp. 1,276,896 12,424
* Netscout Systems Inc. 470,026 12,216
* Sanmina Corp. 1,080,935 11,966
* SYNNEX Corp. 346,237 11,904
* Plexus Corp. 460,814 11,889

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Syntel Inc. 221,485 11,869
* Take-Two Interactive Software Inc. 1,077,269 11,861
* Electronics for Imaging Inc. 617,373 11,724
* OpenTable Inc. 239,385 11,682
* ScanSource Inc. 365,862 11,623
  Tessera Technologies Inc. 688,384 11,303
* Comverse Technology Inc. 2,926,425 11,238
* Spansion Inc. Class A 798,402 11,106
  Cabot Microelectronics Corp. 309,245 10,981
* Insight Enterprises Inc. 627,334 10,897
  MTS Systems Corp. 213,170 10,857
* MicroStrategy Inc. Class A 115,823 10,816
* Rogers Corp. 217,217 10,787
* TriQuint Semiconductor Inc. 2,202,625 10,661
* Kulicke & Soffa Industries Inc. 885,185 10,613
* BroadSoft Inc. 292,130 10,613
  Tellabs Inc. 4,632,940 10,563
* OmniVision Technologies Inc. 743,900 10,474
* RealPage Inc. 482,109 10,399
* MEMC Electronic Materials Inc. 3,071,376 9,859
* Cornerstone OnDemand Inc. 331,709 9,795
  Monolithic Power Systems Inc. 437,647 9,751
* Ixia 573,162 9,732
* Unisys Corp. 555,413 9,609
* WebMD Health Corp. 669,157 9,596
*,^ Palo Alto Networks Inc. 178,809 9,570
* Advent Software Inc. 440,510 9,418
* Verint Systems Inc. 315,360 9,259
  EarthLink Inc. 1,391,851 8,991
* Monster Worldwide Inc. 1,575,288 8,853
* ATMI Inc. 420,702 8,784
* ExactTarget Inc. 435,137 8,703
* LivePerson Inc. 662,138 8,701
* Infinera Corp. 1,467,006 8,523
* Emulex Corp. 1,165,363 8,507
  Badger Meter Inc. 178,471 8,461
* ExlService Holdings Inc. 316,973 8,400
* Diodes Inc. 479,525 8,320
* Comverse Inc. 286,833 8,183
  Mantech International Corp. Class A 313,771 8,139
* CSG Systems International Inc. 447,051 8,127
* Synchronoss Technologies Inc. 383,988 8,098
* Rofin-Sinar Technologies Inc. 373,259 8,092
* FARO Technologies Inc. 221,572 7,906
^ Ebix Inc. 489,946 7,873
* Harmonic Inc. 1,547,260 7,845
* Blucora Inc. 499,180 7,842
  Monotype Imaging Holdings Inc. 488,754 7,810
* Web.com Group Inc. 518,214 7,670
* Websense Inc. 492,503 7,407
* Ellie Mae Inc. 266,723 7,402
  AVX Corp. 669,560 7,218
* Accelrys Inc. 797,413 7,217
*,^ Freescale Semiconductor Ltd. 654,745 7,209
* Advanced Energy Industries Inc. 521,975 7,209
* Applied Micro Circuits Corp. 849,859 7,139
  Brooks Automation Inc. 872,340 7,022
* Digital River Inc. 484,372 6,970
* Cray Inc. 430,778 6,871
* Measurement Specialties Inc. 198,773 6,830
  Loral Space & Communications Inc. 124,693 6,816
  Park Electrochemical Corp. 263,225 6,773
* SPS Commerce Inc. 180,430 6,725
* Interactive Intelligence Group Inc. 200,446 6,723

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Newport Corp. 494,363 6,649
  United Online Inc. 1,188,837 6,646
* TNS Inc. 320,150 6,637
* Infoblox Inc. 366,654 6,589
* Bankrate Inc. 526,690 6,557
  Comtech Telecommunications Corp. 255,533 6,485
* iGATE Corp. 411,167 6,484
* Global Cash Access Holdings Inc. 819,561 6,425
* TTM Technologies Inc. 695,438 6,398
* Rambus Inc. 1,302,723 6,357
* TeleTech Holdings Inc. 355,756 6,332
  Micrel Inc. 661,846 6,288
* Intermec Inc. 628,656 6,199
* Lattice Semiconductor Corp. 1,547,668 6,175
* LogMeIn Inc. 273,657 6,133
*,^ RealD Inc. 536,925 6,019
  Booz Allen Hamilton Holding Corp. 429,460 5,978
*,^ Amkor Technology Inc. 1,394,431 5,926
* Entropic Communications Inc. 1,104,919 5,845
* Dice Holdings Inc. 633,039 5,811
* comScore Inc. 417,161 5,749
* Volterra Semiconductor Corp. 334,028 5,735
* Constant Contact Inc. 401,888 5,711
* MIPS Technologies Inc. Class A 722,064 5,647
  Black Box Corp. 230,662 5,614
* Rudolph Technologies Inc. 416,906 5,607
* Power-One Inc. 1,362,436 5,600
  Forrester Research Inc. 208,495 5,588
* Silicon Image Inc. 1,096,251 5,437
  Daktronics Inc. 483,398 5,351
  EPIQ Systems Inc. 415,426 5,309
* Checkpoint Systems Inc. 494,078 5,306
  Cass Information Systems Inc. 124,978 5,274
* PROS Holdings Inc. 276,033 5,049
  Pegasystems Inc. 222,382 5,044
  Methode Electronics Inc. 487,020 4,885
* InvenSense Inc. 433,561 4,817
* Perficient Inc. 404,013 4,759
* Ceva Inc. 301,896 4,755
* Procera Networks Inc. 253,391 4,700
* Sonus Networks Inc. 2,756,929 4,687
* GT Advanced Technologies Inc. 1,551,469 4,685
* Bazaarvoice Inc. 500,484 4,680
* Stamps.com Inc. 184,306 4,645
* Magnachip Semiconductor Corp. 291,409 4,639
* Photronics Inc. 774,689 4,617
* Extreme Networks 1,228,070 4,470
* LTX-Credence Corp. 679,163 4,455
* Millennial Media Inc. 355,312 4,452
* Tangoe Inc. 374,758 4,448
* Exar Corp. 495,770 4,412
* Vocus Inc. 251,256 4,367
* Internap Network Services Corp. 619,110 4,297
* PDF Solutions Inc. 311,669 4,295
* Silicon Graphics International Corp. 419,025 4,287
*,^ Higher One Holdings Inc. 402,777 4,245
* Nanometrics Inc. 291,776 4,207
* Demandware Inc. 153,325 4,189
* DTS Inc. 250,092 4,177
  CTS Corp. 386,469 4,108
* Virtusa Corp. 246,034 4,042
* Super Micro Computer Inc. 393,436 4,013
*,^ Angie's List Inc. 333,901 4,004
* SciQuest Inc. 244,223 3,873

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Quantum Corp. 3,085,262 3,826
* Move Inc. 495,786 3,763
* Fabrinet 285,417 3,750
  Electro Scientific Industries Inc. 372,910 3,710
* Oplink Communications Inc. 237,129 3,695
* support.com Inc. 883,447 3,693
* Mercury Systems Inc. 401,176 3,691
* NVE Corp. 65,653 3,643
* Seachange International Inc. 374,400 3,620
* Jive Software Inc. 248,506 3,611
* Demand Media Inc. 384,245 3,570
* XO Group Inc. 382,264 3,555
* Avid Technology Inc. 459,684 3,484
  Electro Rent Corp. 225,162 3,463
*,^ Computer Task Group Inc. 189,121 3,448
* Actuate Corp. 600,918 3,365
* Anaren Inc. 172,550 3,356
* KVH Industries Inc. 238,592 3,336
* VASCO Data Security International Inc. 408,402 3,333
* Lionbridge Technologies Inc. 827,322 3,326
* Calix Inc. 409,741 3,151
* Digi International Inc. 331,812 3,142
* Integrated Silicon Solution Inc. 345,203 3,107
* Envestnet Inc. 221,881 3,095
* Symmetricom Inc. 535,791 3,092
* ServiceSource International Inc. 525,523 3,074
  Cohu Inc. 283,435 3,072
* CIBER Inc. 905,960 3,026
* Saba Software Inc. 344,407 3,010
* Multi-Fineline Electronix Inc. 147,819 2,987
* IntraLinks Holdings Inc. 483,020 2,980
* Globecomm Systems Inc. 262,689 2,968
* SunPower Corp. Class A 522,616 2,937
* GSI Group Inc. 338,133 2,928
* CalAmp Corp. 350,226 2,914
* FormFactor Inc. 638,738 2,913
  IXYS Corp. 317,956 2,906
* MoneyGram International Inc. 217,838 2,895
* Maxwell Technologies Inc. 348,232 2,887
* Kemet Corp. 563,664 2,835
* STEC Inc. 574,532 2,832
  Keynote Systems Inc. 200,604 2,827
* Kopin Corp. 833,592 2,776
* Brightcove Inc. 306,202 2,768
  American Software Inc. Class A 349,984 2,716
  ePlus Inc. 65,434 2,705
* QuinStreet Inc. 400,295 2,690
* Agilysys Inc. 319,178 2,672
* Aviat Networks Inc. 789,839 2,599
  Telular Corp. 267,813 2,536
* Net 1 UEPS Technologies Inc. 490,768 2,508
* Zygo Corp. 158,613 2,490
* Immersion Corp. 353,071 2,426
* RealNetworks Inc. 320,582 2,424
* PRGX Global Inc. 370,887 2,392
* ANADIGICS Inc. 945,369 2,382
* Active Network Inc. 484,708 2,380
  Supertex Inc. 134,855 2,367
* Proofpoint Inc. 188,758 2,324
* Imperva Inc. 73,487 2,317
* ShoreTel Inc. 542,614 2,301
* Guidance Software Inc. 189,061 2,244
* Zix Corp. 800,412 2,241
* M/A-COM Technology Solutions Holdings Inc. 149,359 2,236

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Pericom Semiconductor Corp. 275,649 2,214
* Inphi Corp. 229,922 2,203
* PLX Technology Inc. 605,811 2,199
  Richardson Electronics Ltd. 193,571 2,191
* Datalink Corp. 253,845 2,170
* Axcelis Technologies Inc. 1,539,897 2,140
* Sigma Designs Inc. 404,350 2,082
* Yelp Inc. 108,353 2,042
* EPAM Systems Inc. 112,754 2,041
*,^ Parkervision Inc. 995,169 2,020
* Pervasive Software Inc. 223,547 1,992
* Vishay Precision Group Inc. 148,616 1,965
  Bel Fuse Inc. Class B 99,541 1,946
* Mindspeed Technologies Inc. 413,310 1,934
* Limelight Networks Inc. 869,610 1,931
* Travelzoo Inc. 100,479 1,908
* Rosetta Stone Inc. 152,127 1,877
* Market Leader Inc. 283,855 1,859
* Alpha & Omega Semiconductor Ltd. 216,529 1,819
* Aeroflex Holding Corp. 252,929 1,771
* Telenav Inc. 218,942 1,747
  Digimarc Corp. 84,402 1,747
* Imation Corp. 369,487 1,726
* Callidus Software Inc. 378,863 1,720
  Hackett Group Inc. 371,255 1,589
* TeleCommunication Systems Inc. Class A 638,441 1,577
* MoSys Inc. 450,206 1,567
*,^ OCZ Technology Group Inc. 812,173 1,551
  PC-Tel Inc. 215,187 1,549
  PC Connection Inc. 134,619 1,548
* ModusLink Global Solutions Inc. 533,588 1,547
* Reis Inc. 116,004 1,512
* Oclaro Inc. 962,350 1,511
* DSP Group Inc. 261,128 1,504
* Rubicon Technology Inc. 244,664 1,495
* Ipass Inc. 799,631 1,463
* MaxLinear Inc. 289,188 1,452
  Tessco Technologies Inc. 64,277 1,423
* GSI Technology Inc. 222,063 1,392
  Transact Technologies Inc. 192,561 1,390
* Ultra Clean Holdings 281,883 1,384
* Responsys Inc. 231,728 1,381
*,^ Glu Mobile Inc. 595,655 1,364
* NeoPhotonics Corp. 230,922 1,326
  Unwired Planet Inc. 1,082,594 1,299
* PC Mall Inc. 205,498 1,276
* Numerex Corp. Class A 97,015 1,275
* Intevac Inc. 275,610 1,260
  Aware Inc. 224,568 1,231
* Emcore Corp. 282,023 1,213
* Westell Technologies Inc. Class A 653,575 1,209
* ID Systems Inc. 200,490 1,167
* GSE Systems Inc. 528,356 1,141
  Concurrent Computer Corp. 199,855 1,137
*,^ QuickLogic Corp. 518,705 1,126
* Innodata Inc. 294,376 1,113
  Marchex Inc. Class B 268,176 1,102
* Echelon Corp. 445,959 1,093
* AXT Inc. 386,611 1,086
* TechTarget Inc. 194,777 1,081
  Rimage Corp. 158,529 1,059
* FalconStor Software Inc. 454,255 1,058
* Intermolecular Inc. 118,423 1,054
* Online Resources Corp. 433,075 983

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  QAD Inc. Class A 67,864 977
* Official Payments Holdings Inc. Class B 170,482 962
* Dynamics Research Corp. 159,180 931
* PAR Technology Corp. 184,916 906
* Spark Networks Inc. 114,125 890
*,^ Wave Systems Corp. Class A 1,228,651 881
* STR Holdings Inc. 348,664 879
* Ikanos Communications Inc. 537,121 870
  MOCON Inc. 59,977 863
*,^ Research Frontiers Inc. 219,795 822
*,^ Carbonite Inc. 88,836 822
* Identive Group Inc. 533,401 800
*,^ Mitek Systems Inc. 243,754 782
* Synacor Inc. 142,428 779
* LoJack Corp. 277,452 774
* Edgewater Technology Inc. 201,084 764
  Evolving Systems Inc. 127,521 760
* CyberOptics Corp. 100,886 749
* StarTek Inc. 185,625 748
* Mitel Networks Corp. 226,639 712
* Radisys Corp. 228,907 682
* Bsquare Corp. 230,553 680
* Smith Micro Software Inc. 441,823 667
  TheStreet Inc. 395,735 661
* Cinedigm Digital Cinema Corp. Class A 438,322 614
  Frequency Electronics Inc. 74,210 609
*,^ Microvision Inc. 314,342 600
  Sycamore Networks Inc. 265,048 594
* Dot Hill Systems Corp. 619,244 581
* Mattersight Corp. 115,122 572
* Mattson Technology Inc. 652,960 549
* NAPCO Security Technologies Inc. 143,058 521
* Viasystems Group Inc. 40,770 497
* Novatel Wireless Inc. 365,505 490
* Newtek Business Services Inc. 261,770 487
* MEMSIC Inc. 144,104 481
* NCI Inc. Class A 101,589 476
  Crexendo Inc. 155,896 441
*,^ Hutchinson Technology Inc. 215,611 431
* Pixelworks Inc. 190,441 427
* Cascade Microtech Inc. 74,868 419
*,^ Document Security Systems Inc. 176,492 383
* Autobytel Inc. 86,153 343
* LRAD Corp. 289,775 319
* Amtech Systems Inc. 81,490 262
* Rainmaker Systems Inc. 344,423 251
* Looksmart Ltd. 254,911 227
  QAD Inc. Class B 16,312 219
* Planar Systems Inc. 152,240 218
* Transwitch Corp. 322,489 197
* Video Display Corp. 48,546 186
  Bel Fuse Inc. Class A 10,580 182
* Information Services Group Inc. 154,004 177
* Meru Networks Inc. 63,605 169
* Performance Technologies Inc. 170,701 139
* Pulse Electronics Corp. 432,720 134
* Wireless Telecom Group Inc. 99,456 119
* Selectica Inc. 16,769 106
*,^ Powerwave Technologies Inc. 324,637 101
*,^ Motricity Inc. 175,797 72
* Intellicheck Mobilisa Inc. 98,702 64
* WebMediaBrands Inc. 31,490 63
* Lantronix Inc. 30,990 61
* Management Network Group Inc. 25,306 58

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
    Market
    Value
  Shares ($000)
* BTU International Inc. 23,003 46
* Zhone Technologies Inc. 82,400 39
* Superconductor Technologies Inc. 115,555 34
* Qualstar Corp. 100
* Gerber Scientific Inc. CVR 388,581
* Allen Organ Co. Escrow Shares 11,462
    38,784,984
Materials (4.0%)    
Monsanto Co. 7,129,330 674,791
EI du Pont de Nemours & Co. 12,445,757 559,686
Dow Chemical Co. 16,027,225 518,000
Praxair Inc. 3,988,734 436,567
Freeport-McMoRan Copper & Gold Inc. 12,698,238 434,280
Newmont Mining Corp. 6,637,294 308,236
Ecolab Inc. 3,912,999 281,345
PPG Industries Inc. 2,042,579 276,463
LyondellBasell Industries NV Class A 4,230,286 241,507
Air Products & Chemicals Inc. 2,832,089 237,952
Mosaic Co. 4,132,326 234,014
International Paper Co. 5,557,824 221,424
Nucor Corp. 4,246,726 183,374
Sherwin-Williams Co. 1,167,026 179,512
CF Industries Holdings Inc. 838,742 170,399
Eastman Chemical Co. 2,043,811 139,081
Alcoa Inc. 14,256,458 123,746
Sigma-Aldrich Corp. 1,613,699 118,736
FMC Corp. 1,835,034 107,386
Celanese Corp. Class A 2,127,830 94,752
Vulcan Materials Co. 1,729,038 89,996
Ball Corp. 1,967,621 88,051
Ashland Inc. 1,050,464 84,468
Airgas Inc. 875,839 79,955
Albemarle Corp. 1,196,885 74,350
MeadWestvaco Corp. 2,321,739 73,994
Cliffs Natural Resources Inc. 1,905,677 73,483
* Crown Holdings Inc. 1,992,200 73,333
International Flavors & Fragrances Inc. 1,089,658 72,506
Valspar Corp. 1,158,860 72,313
Royal Gold Inc. 859,548 69,890
Rock-Tenn Co. Class A 945,643 66,110
* WR Grace & Co. 951,335 63,958
Reliance Steel & Aluminum Co. 1,006,028 62,474
Martin Marietta Materials Inc. 612,582 57,754
RPM International Inc. 1,763,659 51,781
Packaging Corp. of America 1,312,294 50,484
Rockwood Holdings Inc. 993,815 49,154
Bemis Co. Inc. 1,379,920 46,172
^ United States Steel Corp. 1,929,037 46,046
* Owens-Illinois Inc. 2,090,146 44,457
Huntsman Corp. 2,767,107 43,997
Sealed Air Corp. 2,466,303 43,185
Aptargroup Inc. 890,486 42,494
Allegheny Technologies Inc. 1,361,339 41,330
Domtar Corp. 484,156 40,437
Cytec Industries Inc. 585,115 40,273
Sonoco Products Co. 1,345,745 40,009
Steel Dynamics Inc. 2,783,710 38,220
NewMarket Corp. 143,378 37,594
Eagle Materials Inc. 614,779 35,965
* Louisiana-Pacific Corp. 1,834,618 35,445
* Allied Nevada Gold Corp. 1,134,515 34,183
Cabot Corp. 846,283 33,674
Compass Minerals International Inc. 441,281 32,968
Carpenter Technology Corp. 597,192 30,833

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Walter Energy Inc. 831,316 29,828
* Coeur d'Alene Mines Corp. 1,196,460 29,433
  Silgan Holdings Inc. 695,617 28,931
* Chemtura Corp. 1,312,718 27,908
  Scotts Miracle-Gro Co. Class A 569,639 25,093
  Sensient Technologies Corp. 663,560 23,596
  PolyOne Corp. 1,138,711 23,252
  HB Fuller Co. 664,224 23,128
  Olin Corp. 1,063,972 22,971
  Hecla Mining Co. 3,812,556 22,227
  Westlake Chemical Corp. 265,588 21,061
  Commercial Metals Co. 1,412,609 20,991
* Stillwater Mining Co. 1,543,438 19,725
  Georgia Gulf Corp. 458,830 18,941
  Minerals Technologies Inc. 468,992 18,722
  Tronox Ltd. Class A 1,025,453 18,715
  Worthington Industries Inc. 717,474 18,647
* Resolute Forest Products 1,313,515 17,391
  Schweitzer-Mauduit International Inc. 424,764 16,579
  Intrepid Potash Inc. 753,291 16,038
  Buckeye Technologies Inc. 531,227 15,252
  Greif Inc. Class A 336,154 14,959
* SunCoke Energy Inc. 931,179 14,517
  Kaiser Aluminum Corp. 230,270 14,205
  Balchem Corp. 383,532 13,961
  Innophos Holdings Inc. 291,337 13,547
  Stepan Co. 233,195 12,952
* Clearwater Paper Corp. 305,269 11,954
* Graphic Packaging Holding Co. 1,806,835 11,672
  KapStone Paper and Packaging Corp. 520,961 11,560
  Globe Specialty Metals Inc. 837,583 11,517
* McEwen Mining Inc. 2,974,327 11,392
  A Schulman Inc. 390,115 11,286
* Calgon Carbon Corp. 750,397 10,641
  Deltic Timber Corp. 149,322 10,545
* RTI International Metals Inc. 381,528 10,515
  Koppers Holdings Inc. 273,569 10,437
*,^ Texas Industries Inc. 204,530 10,433
  AMCOL International Corp. 337,689 10,360
  Boise Inc. 1,301,217 10,345
* Kraton Performance Polymers Inc. 426,354 10,245
  PH Glatfelter Co. 583,938 10,207
*,^ Molycorp Inc. 1,043,830 9,854
  Schnitzer Steel Industries Inc. 319,847 9,701
  Innospec Inc. 276,434 9,534
* OM Group Inc. 424,533 9,425
  Quaker Chemical Corp. 171,854 9,256
  American Vanguard Corp. 291,581 9,059
* LSB Industries Inc. 251,080 8,893
  Haynes International Inc. 160,410 8,320
* Headwaters Inc. 944,704 8,087
  AK Steel Holding Corp. 1,737,421 7,992
* Flotek Industries Inc. 618,219 7,542
  Materion Corp. 255,759 6,593
^ Gold Resource Corp. 418,063 6,442
* Century Aluminum Co. 724,063 6,343
* Horsehead Holding Corp. 588,087 6,004
^ Kronos Worldwide Inc. 304,941 5,946
  Tredegar Corp. 290,528 5,933
  Neenah Paper Inc. 203,625 5,797
  Myers Industries Inc. 343,906 5,210
  Wausau Paper Corp. 572,970 4,962
  Hawkins Inc. 121,637 4,700
* Ferro Corp. 1,100,189 4,599

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
* Mercer International Inc. 608,434 4,356
* OMNOVA Solutions Inc. 608,115 4,263
* AEP Industries Inc. 69,711 4,129
  Zep Inc. 270,233 3,902
  Metals USA Holdings Corp. 212,054 3,709
*,^ Paramount Gold and Silver Corp. 1,593,686 3,697
* Spartech Corp. 404,752 3,671
* General Moly Inc. 863,505 3,463
* AM Castle & Co. 219,483 3,242
* Universal Stainless & Alloy 87,964 3,234
* Landec Corp. 323,384 3,069
  Olympic Steel Inc. 137,084 3,035
^ US Silica Holdings Inc. 174,329 2,917
* Zoltek Cos. Inc. 372,404 2,886
  Noranda Aluminum Holding Corp. 423,518 2,588
* American Pacific Corp. 127,766 1,974
*,^ Golden Minerals Co. 423,863 1,946
* Arabian American Development Co. 224,898 1,869
* ADA-ES Inc. 104,847 1,770
* Midway Gold Corp. 1,209,246 1,681
  KMG Chemicals Inc. 95,127 1,671
  Chase Corp. 87,854 1,634
* United States Lime & Minerals Inc. 30,170 1,422
* Penford Corp. 118,549 875
* Senomyx Inc. 475,555 799
* Handy & Harman Ltd. 47,178 711
* Solitario Exploration & Royalty Corp. 368,557 619
* Verso Paper Corp. 183,061 196
^ Titanium Metals Corp. 11,200 185
*,^ Clean Diesel Technologies Inc. 41,929 91
* Continental Materials Corp. 3,495 52
      8,438,114
Telecommunication Services (2.7%)    
  AT&T Inc. 77,172,321 2,601,479
  Verizon Communications Inc. 38,109,685 1,649,006
  CenturyLink Inc. 8,329,331 325,843
* Crown Castle International Corp. 3,920,045 282,870
* Sprint Nextel Corp. 40,136,433 227,574
* SBA Communications Corp. Class A 1,625,130 115,417
  Windstream Corp. 7,862,989 65,106
^ Frontier Communications Corp. 13,341,145 57,100
* tw telecom inc Class A 2,019,647 51,440
* Level 3 Communications Inc. 2,030,632 46,928
* MetroPCS Communications Inc. 4,130,453 41,057
  Telephone & Data Systems Inc. 1,267,725 28,067
* Clearwire Corp. Class A 6,708,722 19,388
*,^ NII Holdings Inc. 2,292,445 16,345
* Cincinnati Bell Inc. 2,490,979 13,651
  Cogent Communications Group Inc. 593,115 13,428
  Consolidated Communications Holdings Inc. 504,071 8,025
* 8x8 Inc. 927,623 6,855
* Premiere Global Services Inc. 642,138 6,280
* United States Cellular Corp. 173,736 6,123
* Vonage Holdings Corp. 2,181,518 5,170
* Leap Wireless International Inc. 767,242 5,102
  Atlantic Tele-Network Inc. 127,456 4,679
* Iridium Communications Inc. 672,771 4,535
  Shenandoah Telecommunications Co. 285,886 4,377
* General Communication Inc. Class A 385,747 3,699
* Cbeyond Inc. 383,611 3,468
* inContact Inc. 626,426 3,245
  USA Mobility Inc. 277,425 3,240
  NTELOS Holdings Corp. 216,276 2,835
  HickoryTech Corp. 288,112 2,803

 


 

Vanguard® Total Stock Market Index Fund    
Schedule of Investments    
December 31, 2012    
 
      Market
      Value
    Shares ($000)
  Lumos Networks Corp. 216,164 2,166
*,^ Towerstream Corp. 620,767 2,018
  IDT Corp. Class B 189,546 1,808
* ORBCOMM Inc. 407,424 1,597
  Primus Telecommunications Group Inc. 127,729 1,388
* Boingo Wireless Inc. 162,865 1,230
  Alaska Communications Systems Group Inc. 532,797 1,034
  Neutral Tandem Inc. 390,727 1,004
  Warwick Valley Telephone Co. 91,123 943
* Fairpoint Communications Inc. 100,000 794
*,^ Elephant Talk Communications Corp. 600,829 601
      5,639,718
Utilities (3.4%)    
  Duke Energy Corp. 9,419,191 600,944
  Southern Co. 11,702,313 500,976
  Dominion Resources Inc. 7,669,820 397,297
  NextEra Energy Inc. 5,372,503 371,723
  Exelon Corp. 11,418,377 339,583
  American Electric Power Co. Inc. 6,486,639 276,850
  FirstEnergy Corp. 5,594,546 233,628
  PG&E Corp. 5,704,871 229,222
  PPL Corp. 7,768,648 222,416
  Sempra Energy 3,071,626 217,901
  Consolidated Edison Inc. 3,918,058 217,609
  Public Service Enterprise Group Inc. 6,767,524 207,086
  Edison International 4,140,504 187,109
  Xcel Energy Inc. 6,522,153 174,207
  Northeast Utilities 4,197,820 164,051
  Entergy Corp. 2,369,703 151,069
  DTE Energy Co. 2,295,332 137,835
  Wisconsin Energy Corp. 3,079,362 113,474
  ONEOK Inc. 2,603,070 111,281
  CenterPoint Energy Inc. 5,425,517 104,441
  Ameren Corp. 3,242,316 99,604
  NRG Energy Inc. 4,306,804 99,013
  NiSource Inc. 3,807,356 94,765
  AES Corp. 8,495,846 90,906
  American Water Works Co. Inc. 2,357,730 87,542
  CMS Energy Corp. 3,541,223 86,335
  SCANA Corp. 1,668,199 76,137
  Pinnacle West Capital Corp. 1,464,980 74,685
  OGE Energy Corp. 1,319,331 74,292
* Calpine Corp. 4,069,787 73,785
  Alliant Energy Corp. 1,482,780 65,109
  AGL Resources Inc. 1,570,262 62,763
  Pepco Holdings Inc. 3,058,181 59,971
  NV Energy Inc. 3,153,160 57,198
  Integrys Energy Group Inc. 1,046,112 54,628
  ITC Holdings Corp. 688,176 52,928
  MDU Resources Group Inc. 2,398,679 50,948
  UGI Corp. 1,502,621 49,151
  Westar Energy Inc. 1,687,731 48,303
  National Fuel Gas Co. 946,088 47,957
  Aqua America Inc. 1,866,977 47,459
  Questar Corp. 2,350,929 46,454
  TECO Energy Inc. 2,749,029 46,074
  Atmos Energy Corp. 1,204,797 42,312
  Great Plains Energy Inc. 2,049,951 41,634
  Cleco Corp. 811,650 32,474
  Hawaiian Electric Industries Inc. 1,290,244 32,437
  Vectren Corp. 1,092,297 32,114
  Piedmont Natural Gas Co. Inc. 959,653 30,047
  IDACORP Inc. 667,353 28,930
  Portland General Electric Co. 1,006,225 27,530

 


 

Vanguard® Total Stock Market Index Fund        
Schedule of Investments        
December 31, 2012        
 
          Market
          Value
        Shares ($000)
  WGL Holdings Inc.     686,964 26,922
  Southwest Gas Corp.     613,563 26,021
  UIL Holdings Corp.     673,422 24,115
  UNS Energy Corp.     551,263 23,385
  New Jersey Resources Corp.     552,720 21,899
  PNM Resources Inc.     1,058,689 21,714
  South Jersey Industries Inc.     410,590 20,665
  Black Hills Corp.     560,725 20,377
  ALLETE Inc.     460,463 18,870
  Avista Corp.     781,292 18,837
  NorthWestern Corp.     495,228 17,199
  El Paso Electric Co.     503,083 16,053
  Northwest Natural Gas Co.     356,365 15,751
  MGE Energy Inc.     306,895 15,636
  CH Energy Group Inc.     186,762 12,181
  American States Water Co.     250,822 12,034
  Empire District Electric Co.     560,089 11,415
  Laclede Group Inc.     283,171 10,933
  Otter Tail Corp.     432,296 10,807
  California Water Service Group     526,365 9,659
  Chesapeake Utilities Corp.     125,428 5,694
  Ormat Technologies Inc.     244,325 4,711
  Middlesex Water Co.     236,771 4,631
  SJW Corp.     169,280 4,503
  Unitil Corp.     167,994 4,354
  Connecticut Water Service Inc.     139,906 4,166
  York Water Co.     164,572 2,892
  Artesian Resources Corp. Class A     95,030 2,132
  Delta Natural Gas Co. Inc.     74,169 1,450
  Genie Energy Ltd. Class B     196,911 1,398
  Consolidated Water Co. Ltd.     179,323 1,327
* Cadiz Inc.     164,550 1,303
  RGC Resources Inc.     19,587 373
* Pure Cycle Corp.     127,260 360
* Synthesis Energy Systems Inc.     310,134 332
*,^ American DG Energy Inc.     140,793 325
          7,166,611
Total Common Stocks (Cost $175,465,722)       209,719,786
 
          Market
          Value
    Coupon   Shares ($000)
Temporary Cash Investments (0.7%)        
Money Market Fund (0.7%)1        
2,3 Vanguard Market Liquidity Fund 0.162%   1,373,387,773 1,373,388
 
      Maturity    
      Date    
U.S. Government and Agency Obligations (0.0%)        
4,5 Fannie Mae Discount Notes 0.097% 3/27/13 18,200 18,194
5,6 Federal Home Loan Bank Discount Notes 0.140% 2/13/13 10,000 9,999
          28,193
Total Temporary Cash Investments (Cost $1,401,582)       1,401,581
Total Investments (100.4%) (Cost $176,867,304)       211,121,367
Other Assets and Liabilities—Net (-0.4%)3,5       (751,710))
Net Assets (100%)       210,369,657

 


 

Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2012

Securities with a market value of less than $500 are displayed with a dash.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $428,331,000.
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 0.4%, 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 $450,537,000 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 $23,146,000 and cash of $18,200,000 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.


 

Report of Independent Registered Public Accounting Firm

To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Total Stock Market Index Fund:

We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements (not presented herein) of Vanguard Total Stock Market Index Fund (the “Fund”) as of December 31, 2012 and for the year then ended and have issued our unqualified report thereon dated February 11, 2013. Our audit included an audit of the Fund’s schedule of investments as of December 31, 2012. This schedule of investments is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this schedule of investments based on our audit.

In our opinion, the accompanying schedule of investments referred to above, when read in conjunction with the financial statements of the Fund referred to above, presents fairly, in all material respects, the information set forth therein.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 11, 2013


 

© 2013 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.

SNA850 022013


 

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. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and Alfred M. Rankin, Jr.

Item 4: Principal Accountant Fees and Services.

(a) Audit Fees.

Audit Fees of the Registrant

Fiscal Year Ended December 31, 2012: $403,000 Fiscal Year Ended December 31, 2011: $392,000

Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.

Fiscal Year Ended December 31, 2012: $4,809,780
Fiscal Year Ended December 31, 2011: $3,978,540

(b) Audit-Related Fees.

Fiscal Year Ended December 31, 2012: $1,812,565
Fiscal Year Ended December 31, 2011: $1,341,750

Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.

(c) Tax Fees.

Fiscal Year Ended December 31, 2012: $490,518
Fiscal Year Ended December 31, 2011: $373,830

Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.

(d) All Other Fees.

Fiscal Year Ended December 31, 2012: $16,000
Fiscal Year Ended December 31, 2011: $16,000

Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.

(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: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. 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: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.

     (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 December 31, 2012: $506,518
Fiscal Year Ended December 31, 2011: $389,830

Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.

(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.

Item 5: Audit Committee of Listed Registrants.

The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: Emerson U. Fullwood, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, Alfred M. Rankin, Jr., and Peter F. Volanakis.

Item 6: Investments.

Not Applicable.

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

Not Applicable.

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


 

Not Applicable.

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

Not Applicable.

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

Not Applicable.

Item 11: Controls and Procedures.

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

     (b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.


 

Item 12: Exhibits.

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

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

  VANGUARD INDEX FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: February 14, 2012

 

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 INDEX FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: February 14, 2012

 

  VANGUARD INDEX FUNDS
 
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: February 14, 2012

 

* 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.