N-Q 1 worldfundsfinal.htm VANGUARD WORLD FUNDS worldfundsfinal.htm - Generated by SEC Publisher for SEC Filing

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

Investment Company Act file number: 811-1027

Name of Registrant: Vanguard World Funds

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

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

Date of fiscal year end: August 31

Date of reporting period: November 30, 2009

Item 1: Schedule of Investments


Vanguard U.S. Growth Fund

Schedule of Investments
As of November 30, 2009

      Market 
      Value 
    Shares  ($000) 
Common Stocks (97.4%)1     
Consumer Discretionary (8.6%)     
*  Kohl's Corp.  1,640,791  87,191 
  Johnson Controls Inc.  2,184,700  59,096 
  Target Corp.  1,203,500  56,035 
  McDonald's Corp.  452,915  28,647 
*  Discovery Communications Inc. Class A  894,700  28,586 
  Yum! Brands Inc.  585,000  20,633 
*  O'Reilly Automotive Inc.  429,300  16,648 
  Lowe's Cos. Inc.  708,900  15,461 
  Walt Disney Co.  375,700  11,354 
*  Hyatt Hotels Corp. Class A  345,000  9,919 
  Carnival Corp.  301,100  9,644 
      343,214 
Consumer Staples (6.3%)     
  PepsiCo Inc.  1,493,600  92,932 
  Costco Wholesale Corp.  999,700  59,892 
  Colgate-Palmolive Co.  377,200  31,757 
  CVS Caremark Corp.  799,640  24,797 
  Wal-Mart Stores Inc.  348,200  18,994 
*,^ Anheuser-Busch InBev NV ADR  322,100  16,198 
^  Mead Johnson Nutrition Co. Class A  154,900  6,795 
      251,365 
Energy (8.5%)     
  Schlumberger Ltd.  2,209,570  141,169 
  Occidental Petroleum Corp.  792,400  64,018 
  Suncor Energy Inc.  1,742,500  63,096 
*  Cameron International Corp.  804,740  30,419 
  Apache Corp.  153,550  14,630 
  EOG Resources Inc.  163,840  14,171 
  National Oilwell Varco Inc.  238,600  10,265 
      337,768 
Exchange-Traded Fund (0.0%)     
2  Vanguard Growth ETF  3,100  160 
 
Financials (13.2%)     
  Goldman Sachs Group Inc.  908,237  154,091 
  JPMorgan Chase & Co.  3,415,300  145,116 
  CME Group Inc.  211,755  69,504 
  Franklin Resources Inc.  624,600  67,476 
  Credit Suisse Group AG ADR  726,800  38,092 
  Principal Financial Group Inc.  1,084,500  27,535 
  Invesco Ltd.  1,234,500  27,468 
      529,282 
Health Care (12.3%)     
  Alcon Inc.  709,190  104,875 
*  Gilead Sciences Inc.  2,094,540  96,454 
*  Celgene Corp.  1,120,760  62,146 
  Teva Pharmaceutical Industries Ltd. ADR  1,124,760  59,376 


Baxter International Inc.  868,500  47,377 
* Thermo Fisher Scientific Inc.  851,575  40,220 
* Medco Health Solutions Inc.  590,600  37,302 
Allergan Inc.  325,235  18,906 
* Vertex Pharmaceuticals Inc.  352,300  13,676 
Covidien PLC  261,600  12,248 
    492,580 
Industrials (11.2%)     
Danaher Corp.  1,208,515  85,708 
Illinois Tool Works Inc.  1,604,800  78,058 
United Parcel Service Inc. Class B  886,400  50,941 
Cooper Industries PLC Class A  888,500  37,930 
FedEx Corp.  313,100  26,441 
* Vestas Wind Systems A/S ADR  1,129,500  26,351 
Goodrich Corp.  442,100  26,234 
WW Grainger Inc.  262,400  25,637 
Rockwell Automation Inc.  546,300  23,759 
Roper Industries Inc.  417,290  21,716 
JB Hunt Transport Services Inc.  620,310  19,763 
Ingersoll-Rand PLC  529,200  18,718 
* Quanta Services Inc.  434,900  8,154 
    449,410 
Information Technology (32.1%)     
* Apple Inc.  1,230,706  246,030 
* Google Inc. Class A  414,250  241,508 
Hewlett-Packard Co.  2,926,300  143,564 
QUALCOMM Inc.  3,024,395  136,098 
Microsoft Corp.  4,137,325  121,679 
Intel Corp.  5,345,010  102,624 
* EMC Corp.  4,235,900  71,290 
* Cisco Systems Inc.  2,191,480  51,281 
* Broadcom Corp. Class A  1,357,900  39,651 
KLA-Tencor Corp.  862,100  26,932 
Amphenol Corp. Class A  507,600  20,913 
* McAfee Inc.  529,100  20,185 
Visa Inc. Class A  235,300  19,059 
* Cognizant Technology Solutions Corp. Class A  425,900  18,710 
* Activision Blizzard Inc.  1,310,700  14,929 
* Lam Research Corp.  196,500  6,679 
* Yahoo! Inc.  328,200  4,913 
    1,286,045 
Materials (5.2%)     
* Freeport-McMoRan Copper & Gold Inc.  731,675  60,583 
Air Products & Chemicals Inc.  664,230  55,084 
Praxair Inc.  482,640  39,591 
^ ArcelorMittal  857,500  33,674 
Vale SA Class B ADR  681,300  19,533 
    208,465 
Total Common Stocks (Cost $3,644,149)    3,898,289 


  Coupon       
Temporary Cash Investments (3.2%)1         
Money Market Fund (2.7%)         
3,4 Vanguard Market Liquidity Fund  0.199%    109,790,509  109,791 
 
      Face   
    Maturity  Amount   
    Date  ($000)   
U.S. Government and Agency Obligations (0.5%)         
5,6 Federal Home Loan Bank Discount Notes  0.275%  2/19/10  18,000  17,999 
Total Temporary Cash Investments (Cost $127,780)        127,790 
Total Investments (100.6%) (Cost $3,771,929)        4,026,079 
Other Assets and Liabilities-Net (-0.6%)4        (22,270) 
Net Assets (100%)        4,003,809 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $31,494,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.5% and 1.1%, respectively, of net assets.
2 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Includes $32,330,000 of collateral received for securities on loan.
5 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
6 Securities with a value of $17,999,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.

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.

At November 30, 2009, the cost of investment securities for tax purposes was $3,771,929,000. Net unrealized appreciation of investment securities for tax purposes was $254,150,000, consisting of unrealized gains of $371,948,000 on securities that had risen in value since their purchase and $117,798,000 in unrealized losses on securities that had fallen in value since their purchase.

Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.


U.S. Growth Fund

Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).

At November 30, 2009, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were: 

        ($000) 
    Number of  Aggregate  Unrealized 
    Long (Short)  Settlement  Appreciation 
Futures Contracts  Expiration  Contracts  Value   (Depreciation) 
S&P 500 Index  December 2009  125  34,212  1,603 
S&P Mid-Cap 400 Index  December 2009  63  21,546  73 
E-mini S&P 500 Index  December 2009  308  16,860  93 
E-mini S&P Mid-Cap 400 Index  December 2009  170  11,628  (63) 

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

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

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

The following table summarizes the fund's investments as of November 30, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
Common Stocks  3,898,289  —  — 
Temporary Cash Investments  109,791  17,999  — 
Futures Contracts—Assets1  380  —  — 
Futures Contracts—Liabilities1  (4)  —  — 
Total  4,008,456  17,999  — 
1 Represents variation margin on the last day of the reporting period.       


Vanguard International Growth Fund

Schedule of Investments
As of November 30, 2009

    Market 
    Value 
  Shares  ($000) 
Common Stocks (96.7%)1     
Australia (3.7%)     
Woolworths Ltd.  5,214,600  133,866 
Australia & New Zealand Banking Group Ltd.  6,427,000  130,278 
Woodside Petroleum Ltd.  2,777,000  123,842 
Brambles Ltd.  14,934,900  90,096 
* James Hardie Industries NV  6,196,069  45,706 
Amcor Ltd.  6,333,889  34,307 
^ Sims Metal Management Ltd.  1,000,000  19,445 
    577,540 
Austria (0.2%)     
^ Wienerberger AG  1,600,001  27,595 
 
Belgium (0.1%)     
Barco NV  385,000  16,289 
 
Brazil (8.1%)     
Petroleo Brasileiro SA ADR Type A  7,733,400  348,467 
Itau Unibanco Holding SA ADR  8,592,375  191,180 
BM&FBOVESPA SA  17,436,600  117,204 
Redecard SA  7,504,952  114,573 
Itau Unibanco Holding SA Prior Pfd.  4,871,490  105,311 
Vale SA Prior Pfd.  4,259,000  102,793 
Vale SA Class B Pfd. ADR  3,641,900  89,227 
^ Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR  1,230,000  78,659 
Petroleo Brasileiro SA Prior Pfd.  1,515,000  33,484 
B2W Cia Global Do Varejo  1,063,000  30,579 
Banco do Brasil SA  1,370,000  24,114 
Fibria Celulose SA  716,170  12,243 
    1,247,834 
Canada (1.2%)     
Niko Resources Ltd.  1,212,600  101,498 
Canadian Pacific Railway Ltd.  1,264,000  61,044 
Sherritt International Corp.  2,300,000  14,623 
Harry Winston Diamond Corp.  732,000  6,929 
    184,094 
China (5.5%)     
China Construction Bank Corp.  152,448,000  135,561 
* Baidu Inc.  289,800  125,698 
China Resources Enterprise Ltd.  24,730,000  77,330 
Ping An Insurance Group Co. of China Ltd.  7,695,000  71,660 
CNOOC Ltd.  44,035,000  68,144 
* Ctrip.com International Ltd. ADR  789,700  57,925 
^ Dongfang Electric Corp. Ltd.  10,506,200  55,140 
^ Want Want China Holdings Ltd.  73,668,000  51,498 
^ Tencent Holdings Ltd.  2,683,000  49,588 
Denway Motors Ltd.  69,524,000  42,693 
China Unicom Hong Kong Ltd.  29,408,000  39,452 
China Overseas Land & Investment Ltd.  16,430,800  35,282 
China Merchants Bank Co. Ltd.  9,496,500  25,710 


  Chaoda Modern Agriculture Holdings Ltd.  23,000,719  20,190 
      855,871 
Denmark (1.8%)     
*  Vestas Wind Systems A/S  1,653,736  116,105 
  Novo Nordisk A/S Class B  1,135,200  75,705 
  Novozymes A/S  634,400  64,221 
  AP Moller - Maersk A/S Class B  3,000  21,950 
      277,981 
France (8.8%)     
  Cie Generale d'Optique Essilor International SA  3,380,100  195,938 
  Total SA  2,938,000  182,215 
  L'Oreal SA  1,668,495  181,135 
  BNP Paribas  1,754,500  145,645 
  Danone  2,210,000  132,039 
^  GDF Suez  2,809,012  117,419 
^  ArcelorMittal  2,609,425  102,338 
  AXA SA  3,212,270  77,155 
  PPR  605,000  73,316 
  Schneider Electric SA  516,000  56,726 
  Societe Generale  500,000  35,362 
^  Publicis Groupe SA  865,000  33,293 
  European Aeronautic Defence and Space Co. NV  1,565,000  28,080 
      1,360,661 
Germany (6.2%)     
  SAP AG  5,289,400  252,622 
  Siemens AG  1,366,000  133,972 
  Adidas AG  2,217,810  126,769 
  Linde AG  861,000  105,970 
  Fresenius Medical Care AG & Co. KGaA  1,756,000  93,321 
  Porsche Automobil Holding SE Prior Pfd.  994,400  69,306 
  ThyssenKrupp AG  1,219,000  44,489 
  Symrise AG  1,495,000  32,703 
*,^ TUI AG  3,575,300  28,338 
  Celesio AG  1,069,000  28,173 
  E.ON AG  700,000  27,694 
*,^ Q-Cells SE  986,500  15,495 
      958,852 
Hong Kong (3.0%)     
  Swire Pacific Ltd.  15,575,500  178,714 
  Hong Kong Exchanges and Clearing Ltd.  4,514,200  80,348 
  Esprit Holdings Ltd.  11,861,347  79,636 
  Sun Hung Kai Properties Ltd.  3,707,000  54,916 
  Li & Fung Ltd.  10,292,000  41,397 
^  Techtronic Industries Co.  25,499,943  20,427 
^  Ports Design Ltd.  4,958,000  13,450 
      468,888 
India (0.6%)     
  Housing Development Finance Corp.  1,225,800  73,073 
  Reliance Capital Ltd.  1,454,500  26,104 
      99,177 
Indonesia (0.5%)     
  Telekomunikasi Indonesia Tbk PT  81,778,500  77,954 
 
Ireland (0.2%)     
  Kerry Group PLC Class A  850,000  25,228 


  Kerry Group PLC Class A (London Shares)  75,000  2,221 
      27,449 
Israel (2.1%)     
  Teva Pharmaceutical Industries Ltd. ADR  4,969,100  262,319 
  Makhteshim-Agan Industries Ltd.  13,061,243  63,798 
      326,117 
Italy (0.5%)     
*  Intesa Sanpaolo SPA (Registered)  18,981,662  82,672 
 
Japan (13.1%)     
  Canon Inc.  6,525,100  249,402 
  Honda Motor Co. Ltd.  6,170,100  191,150 
  Mitsubishi Corp.  5,978,000  134,079 
  Nintendo Co. Ltd.  540,100  132,099 
  Toyota Motor Corp.  2,990,400  117,674 
  Rakuten Inc.  145,388  117,300 
  Unicharm Corp.  1,105,000  112,518 
  Nomura Holdings Inc.  14,470,700  103,980 
  Mitsui Sumitomo Insurance Group Holdings Inc.  3,434,100  89,674 
  Nippon Telegraph & Telephone Corp.  1,929,000  83,017 
  Sekisui Chemical Co. Ltd.  12,557,000  74,379 
  SMC Corp./Japan  643,300  72,072 
  Bridgestone Corp.  4,414,500  69,769 
  Japan Tobacco Inc.  23,355  69,081 
  Sony Financial Holdings Inc.  22,304  67,048 
  Yamada Denki Co. Ltd.  1,023,570  61,113 
  Hoya Corp.  2,310,700  58,684 
  THK Co. Ltd.  3,095,300  50,503 
  Yamaha Motor Co. Ltd.  4,304,200  50,158 
  Rohm Co. Ltd.  589,500  38,735 
  Kyocera Corp.  347,900  27,578 
  Astellas Pharma Inc.  685,000  25,161 
  Trend Micro Inc.  695,000  24,794 
      2,019,968 
Luxembourg (0.1%)     
*  Reinet Investments SCA  542,339  8,168 
 
Mexico (1.2%)     
  America Movil SAB de CV ADR  1,403,500  67,902 
*  Desarrolladora Homex SAB de CV ADR  1,819,212  63,272 
  Wal-Mart de Mexico SAB de CV  8,200,000  33,596 
^  Consorcio ARA SAB de CV  24,127,045  17,333 
      182,103 
Netherlands (3.0%)     
  Unilever NV  6,730,000  205,909 
  SBM Offshore NV  5,066,035  95,906 
*  ING Groep NV  6,500,000  60,551 
  Reed Elsevier NV  4,998,000  58,111 
  TNT NV  875,000  25,424 
*  ING Groep NV Rights Exp. 12/15/2009  6,500,000  16,104 
      462,005 
Norway (0.5%)     
*,^ DnB NOR ASA  4,139,000  46,769 
  Statoil ASA  1,050,000  25,862 
*  DnB NOR ASA Rights  919,777  2,593 
      75,224 


Russia (0.7%)     
Gazprom OAO ADR  4,851,000  110,957 
 
Singapore (1.3%)     
Jardine Matheson Holdings Ltd.  4,442,000  131,359 
Singapore Exchange Ltd.  6,541,000  37,184 
DBS Group Holdings Ltd.  2,450,000  25,387 
    193,930 
South Africa (0.6%)     
Impala Platinum Holdings Ltd.  1,778,600  41,272 
Sasol Ltd.  565,000  22,287 
MTN Group Ltd.  1,350,000  21,702 
    85,261 
South Korea (0.8%)     
Samsung Electronics Co. Ltd.  116,000  71,723 
Samsung Fire & Marine Insurance Co. Ltd.  186,900  32,435 
Hankook Tire Co. Ltd.  880,000  17,472 
    121,630 
Spain (3.5%)     
Banco Santander SA  13,490,528  232,232 
^ Inditex SA  2,217,885  141,295 
Banco Bilbao Vizcaya Argentaria SA  5,235,000  99,035 
Gamesa Corp. Tecnologica SA  3,390,418  64,899 
    537,461 
Sweden (3.2%)     
Atlas Copco AB Class A  15,095,533  214,705 
Sandvik AB  10,514,363  124,320 
Svenska Handelsbanken AB Class A  2,911,706  83,823 
^ Oriflame Cosmetics SA  575,000  33,965 
Telefonaktiebolaget LM Ericsson Class B  3,220,000  31,268 
    488,081 
Switzerland (9.1%)     
Novartis AG  4,499,000  249,963 
Syngenta AG  889,814  237,044 
Roche Holdings AG  1,028,684  168,079 
Credit Suisse Group AG  2,757,000  143,743 
Compagnie Financiere Richemont SA  3,236,100  104,865 
* UBS AG  6,397,691  99,988 
SGS SA  67,448  86,581 
Geberit AG  494,180  85,372 
GAM Holding Ltd.  4,571,000  54,642 
Julius Baer Group Ltd.  1,444,000  47,657 
ABB Ltd.  2,331,300  42,808 
Holcim Ltd.  486,000  35,121 
Nestle SA  710,000  33,568 
Zurich Financial Services AG  50,000  10,816 
    1,400,247 
Taiwan (0.6%)     
Taiwan Semiconductor Manufacturing Co. Ltd.  37,122,508  70,424 
Compal Electronics Inc.  14,998,200  19,852 
    90,276 


Turkey (0.4%)         
  Turkiye Garanti Bankasi AS      20,354,000  67,878 
 
United Kingdom (16.1%)         
  Tesco PLC      51,610,300  359,371 
  BG Group PLC      15,201,213  276,350 
  HSBC Holdings PLC      20,750,693  243,063 
  Standard Chartered PLC      7,532,300  184,633 
  Vodafone Group PLC      75,739,324  170,861 
  BHP Billiton PLC      5,536,700  170,352 
  British American Tobacco PLC      4,963,464  151,133 
  Rio Tinto PLC      2,574,200  131,107 
  Rolls-Royce Group PLC      13,797,616  107,812 
  Prudential PLC      9,563,000  99,051 
  Centrica PLC      17,626,000  73,899 
  SABMiller PLC      2,480,000  72,312 
  Meggitt PLC      14,917,500  58,811 
  Capita Group PLC      3,551,612  41,666 
  Unilever PLC      1,190,000  35,003 
*  Signet Jewelers Ltd.      1,356,000  34,524 
  GlaxoSmithKline PLC      1,660,000  34,369 
  Bunzl PLC      2,828,500  29,087 
  Intertek Group PLC      1,460,000  28,003 
  G4S PLC      6,850,000  27,556 
  Ultra Electronics Holdings      1,335,000  27,300 
  Inchcape PLC      58,300,000  26,798 
  Carnival PLC      765,000  25,727 
*  Lloyds Banking Group PLC      25,305,464  23,136 
  WM Morrison Supermarkets PLC      5,020,000  22,774 
  Victrex PLC      1,706,167  22,261 
*  Lloyds Banking Group PLC Rights Exp. 12/11/2009      33,909,321  9,902 
  Admiral Group PLC      237,261  4,152 
          2,491,013 
Total Common Stocks (Cost $13,240,903)        14,923,176 
          Market 
          Value 
    Coupon    Shares  ($000) 
Temporary Cash Investments (5.1%)1         
Money Market Fund (4.8%)         
2,3 Vanguard Market Liquidity Fund  0.199%    734,305,028  734,305 
 
        Face   
      Maturity  Amount   
      Date  ($000)   
U.S. Government and Agency Obligations (0.3%)         
4,5 Fannie Mae Discount Notes  0.190%  2/10/10  35,000  34,998 
4,5 Federal Home Loan Bank Discount Notes  0.275%  2/19/10  12,000  12,000 
4  Federal Home Loan Bank Discount Notes  0.220%  3/26/10  5,000  4,999 
          51,997 
Total Temporary Cash Investments (Cost $786,281)        786,302 
Total Investments (101.8%) (Cost $14,027,184)        15,709,478 
Other Assets and Liabilities-Net (-1.8%)3        (283,938) 
Net Assets (100%)        15,425,540 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $191,684,000.


1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.4% and 2.4%, 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 $203,570,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 Securities with a value of $46,998,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.

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 affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. 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.

Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

At November 30, 2009, the cost of investment securities for tax purposes was $14,027,184,000. Net unrealized appreciation of investment securities for tax purposes was $1,682,294,000, consisting of unrealized gains of $2,743,732,000 on securities that had risen in value since their purchase and $1,061,438,000 in unrealized losses on securities that had fallen in value since their purchase.

Futures and Forward Currency Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

The fund may also enter into forward currency contracts to provide the appropriate currency exposure related to any open futures contracts or to protect the value of securities and related receivables and


International Growth Fund

payables against changes in foreign exchange rates. The primary risk associated with the fund's use of these contracts is that a counterparty will fail to fulfill its obligation to pay gains due to the fund under the contracts.

Futures and forward currency contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).

At November 30, 2009, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000) 
    Number of  Aggregate  Unrealized 
    Long (Short)  Settlement  Appreciation 
Futures Contracts  Expiration  Contracts  Value (Depreciation) 
Dow Jones EURO STOXX 50 Index  December 2009  3,704  155,708  (3,834) 
Topix Index  December 2009  1,156  112,722  (11,215) 
FTSE 100 Index  December 2009  1,231  104,979  947 
S&P ASX 200 Index  December 2009  378  40,612  807 

At November 30, 2009, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

      Contract Amount (000)   
          Unrealized 
          Appreciation 
          (Depreciation) 
Contract Settlement Date    Receive    Deliver  ($000) 
12/23/09  EURO  107,222  USD  160,973  2,201 
12/16/09  JPY  11,131,535  USD  129,024  7,120 
12/23/09  GBP  62,959  USD  103,364  (971) 
12/23/09  AUD  42,083  USD  38,432  1,819 
AUD—Australian dollar.           
EUR—Euro.           
GBP—British pound.           
JPY—Japanese yen.           
USD—U.S. dollar.           

At November 30, 2009, counterparties had deposited in segregated accounts cash with a value sufficient to cover substantially all amounts due to the fund in connection with open forward currency contracts.

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

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


International Growth Fund

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

The following table summarizes the fund's investments as of November 30, 2009, based on the inputs
used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
Common Stocks  2,059,972  12,863,204  — 
Temporary Cash Investments  734,305  51,997  — 
Futures Contracts—Assets1  2,387  —  — 
Forward Currency Contracts—Assets  11,140  —  — 
Forward Currency Contracts—Liabilities  (971)  —  — 
Total  2,812,212  12,909,822  — 
1 Represents variation margin on the last day of the reporting period.     


Vanguard FTSE Social Index Fund     
 
 
 
Schedule of Investments     
As of November 30, 2009     
 
      Market 
      Value 
    Shares  ($000) 
Common Stocks (100.0%)     
Consumer Discretionary (12.1%)     
  McDonald's Corp.  138,804  8,779 
*  Amazon.com Inc.  41,257  5,607 
  Target Corp.  96,029  4,471 
  Lowe's Cos. Inc.  186,033  4,057 
  Best Buy Co. Inc.  52,976  2,269 
  Staples Inc.  91,877  2,143 
  TJX Cos. Inc.  53,941  2,070 
*  Kohl's Corp.  38,747  2,059 
  Carnival Corp.  59,440  1,904 
  Gap Inc.  66,489  1,424 
  Coach Inc.  40,412  1,404 
*  Bed Bath & Beyond Inc.  33,103  1,237 
*  Apollo Group Inc. Class A  19,532  1,115 
  Nordstrom Inc.  27,599  923 
  Macy's Inc.  53,472  872 
  Harley-Davidson Inc.  29,575  862 
  H&R Block Inc.  42,407  861 
*  AutoZone Inc.  5,158  763 
  Genuine Parts Co.  20,331  729 
  Ross Stores Inc.  15,961  702 
  Ltd Brands Inc.  40,880  678 
*  Dollar Tree Inc.  11,274  552 
*  GameStop Corp. Class A  20,735  506 
*  Royal Caribbean Cruises Ltd.  20,191  496 
  Scripps Networks Interactive Inc. Class A  12,280  486 
  Pulte Homes Inc.  48,498  443 
  PetSmart Inc.  16,223  418 
  Wyndham Worldwide Corp.  22,452  417 
*  Mohawk Industries Inc.  8,740  359 
*  Chico's FAS Inc.  22,479  316 
  RadioShack Corp.  15,926  300 
  American Eagle Outfitters Inc.  19,294  297 
  Gannett Co. Inc.  29,622  293 
*  Career Education Corp.  10,817  282 
*  Lamar Advertising Co. Class A  9,791  271 
*  Liberty Media Corp. - Capital  11,593  256 
  Lennar Corp. Class A  18,340  232 
*  Office Depot Inc.  35,457  218 
  WABCO Holdings Inc.  8,313  196 
  Foot Locker Inc.  19,977  190 
  KB Home  11,438  155 
  New York Times Co. Class A  18,113  153 
  Hillenbrand Inc.  7,884  144 
  Weight Watchers International Inc.  4,838  134 
*  HSN Inc.  6,980  125 
*  Ticketmaster Entertainment Inc.  7,680  81 
*  Interval Leisure Group Inc.  6,880  79 
*  Ascent Media Corp. Class A  1,751  40 


    52,368 
Consumer Staples (6.2%)     
CVS Caremark Corp.  185,202  5,743 
Walgreen Co.  125,555  4,883 
Costco Wholesale Corp.  54,800  3,283 
General Mills Inc.  41,779  2,841 
Sysco Corp.  74,953  2,027 
Kellogg Co.  36,116  1,899 
Safeway Inc.  52,898  1,190 
* Dr Pepper Snapple Group Inc.  32,090  840 
Hershey Co.  21,153  748 
Estee Lauder Cos. Inc. Class A  15,014  703 
McCormick & Co. Inc.  14,814  529 
Hormel Foods Corp.  12,704  477 
* Whole Foods Market Inc.  17,712  454 
* Dean Foods Co.  23,204  369 
PepsiAmericas Inc.  11,959  354 
Alberto-Culver Co. Class B  12,237  344 
    26,684 
Energy (3.7%)     
Apache Corp.  42,387  4,039 
Devon Energy Corp.  56,395  3,798 
Spectra Energy Corp.  81,953  1,591 
Peabody Energy Corp.  33,926  1,508 
Williams Cos. Inc.  73,320  1,458 
Consol Energy Inc.  22,966  1,055 
* Ultra Petroleum Corp.  19,306  907 
* Newfield Exploration Co.  16,651  704 
Pioneer Natural Resources Co.  14,334  593 
Teekay Corp.  6,789  163 
    15,816 
Financials (29.0%)     
JPMorgan Chase & Co.  496,087  21,079 
Bank of America Corp.  1,100,122  17,437 
American Express Co.  151,044  6,318 
US Bancorp  241,325  5,823 
Travelers Cos. Inc.  72,197  3,782 
MetLife Inc.  103,915  3,553 
PNC Financial Services Group Inc.  58,378  3,328 
Prudential Financial Inc.  58,638  2,923 
CME Group Inc.  8,509  2,793 
Aflac Inc.  59,227  2,726 
Charles Schwab Corp.  146,554  2,686 
Simon Property Group Inc.  36,277  2,636 
State Street Corp.  62,794  2,593 
Franklin Resources Inc.  22,084  2,386 
Chubb Corp.  44,717  2,242 
BB&T Corp.  87,556  2,180 
ACE Ltd.  42,700  2,080 
T Rowe Price Group Inc.  32,537  1,592 
Northern Trust Corp.  30,734  1,521 
SunTrust Banks Inc.  63,467  1,500 
* Progressive Corp.  85,755  1,438 
Ameriprise Financial Inc.  32,519  1,240 
Hartford Financial Services Group Inc.  48,704  1,191 
HCP Inc.  37,302  1,168 
Discover Financial Services  68,409  1,058 


Principal Financial Group Inc.  40,549  1,030 
M&T Bank Corp.  15,057  987 
Regions Financial Corp.  151,152  886 
Hudson City Bancorp Inc.  66,292  881 
Lincoln National Corp.  38,115  873 
NYSE Euronext  33,083  836 
Host Hotels & Resorts Inc.  78,111  822 
Unum Group  42,189  803 
XL Capital Ltd. Class A  43,251  792 
* IntercontinentalExchange Inc.  6,889  736 
ProLogis  55,797  730 
People's United Financial Inc.  43,923  715 
Plum Creek Timber Co. Inc.  20,642  712 
Moody's Corp.  29,790  692 
* Genworth Financial Inc. Class A  61,891  667 
Keycorp  112,092  657 
* SLM Corp.  58,876  646 
Kimco Realty Corp.  47,785  589 
Legg Mason Inc.  20,617  583 
PartnerRe Ltd.  7,458  575 
Willis Group Holdings Ltd.  20,995  570 
Cincinnati Financial Corp.  20,665  527 
New York Community Bancorp Inc.  43,380  507 
* Leucadia National Corp.  23,302  501 
WR Berkley Corp.  20,164  498 
Assurant Inc.  15,046  460 
AMB Property Corp.  18,404  433 
Commerce Bancshares Inc.  10,651  428 
Liberty Property Trust  14,280  423 
* Markel Corp.  1,237  419 
RenaissanceRe Holdings Ltd.  7,838  418 
Marshall & Ilsley Corp.  66,507  382 
First American Corp.  11,817  375 
* First Horizon National Corp.  27,414  371 
Macerich Co.  12,410  369 
White Mountains Insurance Group Ltd.  1,125  367 
Huntington Bancshares Inc.  91,036  348 
Regency Centers Corp.  10,307  345 
Old Republic International Corp.  30,262  322 
Brown & Brown Inc.  17,976  321 
* E*Trade Financial Corp.  194,947  320 
Duke Realty Corp.  28,086  315 
SEI Investments Co.  17,920  314 
Janus Capital Group Inc.  23,243  304 
* St Joe Co.  11,701  291 
Federated Investors Inc. Class B  9,806  253 
City National Corp.  6,338  250 
Valley National Bancorp  18,377  243 
TCF Financial Corp.  16,199  213 
Zions Bancorporation  16,176  213 
Popular Inc.  81,415  193 
Fulton Financial Corp.  22,076  190 
Associated Banc-Corp  16,558  188 
Forest City Enterprises Inc. Class A  17,337  186 
Protective Life Corp.  10,814  179 
Unitrin Inc.  6,172  138 
Synovus Financial Corp.  60,911  119 
Erie Indemnity Co. Class A  2,676  99 


* MBIA Inc.  26,727  92 
* Forestar Group Inc.  4,248  79 
Allied Capital Corp.  21,767  77 
Wesco Financial Corp.  181  62 
* iStar Financial Inc.  13,964  34 
Ambac Financial Group Inc.  34,269  26 
Student Loan Corp.  494  25 
PMI Group Inc.  9,714  18 
    125,290 
Health Care (15.3%)     
* Amgen Inc.  129,929  7,321 
Medtronic Inc.  142,800  6,060 
* Gilead Sciences Inc.  115,865  5,336 
UnitedHealth Group Inc.  147,909  4,241 
* Medco Health Solutions Inc.  60,305  3,809 
* WellPoint Inc.  60,317  3,259 
* Celgene Corp.  58,472  3,242 
* Express Scripts Inc.  34,958  2,999 
Covidien PLC  63,874  2,991 
Allergan Inc.  39,105  2,273 
Stryker Corp.  37,890  1,910 
* Genzyme Corp.  34,390  1,744 
* Biogen Idec Inc.  36,809  1,728 
Alcon Inc.  11,358  1,680 
* St Jude Medical Inc.  43,847  1,610 
* Boston Scientific Corp.  190,663  1,596 
Cardinal Health Inc.  45,897  1,479 
CIGNA Corp.  34,560  1,109 
Quest Diagnostics Inc.  17,695  1,025 
* Hospira Inc.  20,512  963 
AmerisourceBergen Corp. Class A  37,756  932 
* Humana Inc.  21,455  891 
* DaVita Inc.  13,275  786 
* Waters Corp.  12,271  721 
* Mylan Inc.  38,399  686 
* CareFusion Corp.  22,948  593 
* Henry Schein Inc.  11,381  565 
Beckman Coulter Inc.  8,614  560 
* Cephalon Inc.  9,367  515 
* Watson Pharmaceuticals Inc.  13,222  490 
* Millipore Corp.  7,078  482 
* Coventry Health Care Inc.  18,737  423 
* Patterson Cos. Inc.  15,282  393 
* King Pharmaceuticals Inc.  30,969  366 
Omnicare Inc.  15,200  352 
Universal Health Services Inc. Class B  5,842  326 
* Health Net Inc.  12,972  275 
* Kinetic Concepts Inc.  6,745  227 
    65,958 
Industrials (3.7%)     
Deere & Co.  53,820  2,880 
Norfolk Southern Corp.  46,607  2,396 
PACCAR Inc.  46,528  1,725 
Republic Services Inc. Class A  48,202  1,359 
CH Robinson Worldwide Inc.  21,570  1,202 
WW Grainger Inc.  9,381  917 
Southwest Airlines Co.  93,510  860 


Fastenal Co.  19,166  711 
* Iron Mountain Inc.  25,590  614 
Pitney Bowes Inc.  26,339  607 
* Jacobs Engineering Group Inc.  15,555  544 
Manpower Inc.  9,810  483 
Equifax Inc.  16,018  459 
Cintas Corp.  14,740  414 
JB Hunt Transport Services Inc.  11,941  381 
* Terex Corp.  13,659  257 
    15,809 
Information Technology (27.1%)     
* Apple Inc.  113,235  22,637 
* Google Inc. Class A  29,990  17,484 
Intel Corp.  707,219  13,579 
QUALCOMM Inc.  211,430  9,514 
* Dell Inc.  248,671  3,511 
Mastercard Inc. Class A  13,956  3,361 
* eBay Inc.  123,130  3,013 
Automatic Data Processing Inc.  63,851  2,774 
* Adobe Systems Inc.  66,641  2,338 
Applied Materials Inc.  169,034  2,081 
* Symantec Corp.  104,531  1,855 
* Juniper Networks Inc.  67,208  1,756 
Western Union Co.  88,792  1,638 
* Broadcom Corp. Class A  55,469  1,620 
* Cognizant Technology Solutions Corp. Class A  36,820  1,618 
Paychex Inc.  46,340  1,453 
Tyco Electronics Ltd.  58,334  1,354 
* NetApp Inc.  42,718  1,317 
* Intuit Inc.  40,922  1,195 
CA Inc.  50,029  1,106 
Seagate Technology  62,577  947 
* Fiserv Inc.  19,922  921 
* BMC Software Inc.  23,520  911 
* Marvell Technology Group Ltd.  58,940  909 
* NVIDIA Corp.  68,706  897 
* Citrix Systems Inc.  23,132  883 
* Check Point Software Technologies  26,463  836 
* Micron Technology Inc.  107,900  811 
Xilinx Inc.  35,162  796 
Altera Corp.  37,046  779 
* McAfee Inc.  20,062  765 
Linear Technology Corp.  27,964  754 
* Flextronics International Ltd.  102,335  724 
* Autodesk Inc.  28,795  675 
KLA-Tencor Corp.  21,312  666 
* Teradata Corp.  21,847  640 
Microchip Technology Inc.  23,249  610 
* Advanced Micro Devices Inc.  83,966  589 
* SanDisk Corp.  28,367  559 
* VeriSign Inc.  24,425  548 
* Lam Research Corp.  15,812  537 
* Akamai Technologies Inc.  21,704  521 
Lender Processing Services Inc.  12,283  513 
* LSI Corp.  82,545  437 
Total System Services Inc.  25,175  435 
National Semiconductor Corp.  29,302  428 


* Synopsys Inc.    18,163  408 
* Arrow Electronics Inc.    15,263  401 
Broadridge Financial Solutions Inc.    17,650  388 
Jabil Circuit Inc.    26,196  349 
* IAC/InterActiveCorp    16,871  328 
* DST Systems Inc.    6,305  268 
* Novellus Systems Inc.    12,358  256 
Diebold Inc.    8,419  212 
* Compuware Corp.    30,155  209 
* Cadence Design Systems Inc.    34,455  207 
* JDS Uniphase Corp.    26,787  198 
* Teradyne Inc.    21,727  193 
* Convergys Corp.    15,385  172 
* EchoStar Corp. Class A    4,940  96 
      116,980 
Materials (0.8%)       
Southern Copper Corp.    32,473  1,131 
Sigma-Aldrich Corp.    15,458  825 
Vulcan Materials Co.    15,727  762 
Sealed Air Corp.    20,300  453 
* Pactiv Corp.    16,680  406 
      3,577 
Telecommunication Services (1.4%)       
CenturyTel Inc.    37,619  1,339 
* Sprint Nextel Corp.    358,194  1,329 
* Millicom International Cellular SA    13,777  1,030 
* Crown Castle International Corp.    27,585  1,012 
* NII Holdings Inc.    21,204  632 
Frontier Communications Corp.    39,583  313 
Telephone & Data Systems Inc.    6,573  200 
      5,855 
Utilities (0.7%)       
Questar Corp.    22,018  873 
* NRG Energy Inc.    33,779  809 
EQT Corp.    16,330  672 
Pepco Holdings Inc.    27,780  453 
TECO Energy Inc.    27,204  401 
      3,208 
Total Common Stocks (Cost $454,977)      431,545 
      Market 
      Value 
  Coupon  Shares  ($000) 
Temporary Cash Investment (0.3%)       
Money Market Fund (0.3%)       
1 Vanguard Market Liquidity Fund (Cost $1,240)  0.199%  1,239,852  1,240 
 
Total Investments (100.3%) (Cost $456,217)      432,785 
Other Assets and Liabilities-Net (-0.3%)      (1,259) 
Net Assets (100%)      431,526 

* Non-income-producing security.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.


FTSE Social Index Fund

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.

At November 30, 2009, the cost of investment securities for tax purposes was $456,217,000. Net unrealized depreciation of investment securities for tax purposes was $23,432,000, consisting of unrealized gains of $64,011,000 on securities that had risen in value since their purchase and $87,443,000 in unrealized losses on securities that had fallen in value since their purchase.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.


Vanguard Mega Cap 300 Index Fund

Schedule of Investments
As of November 30, 2009

      Market 
      Value 
    Shares  ($000) 
Common Stocks (99.7%)     
Consumer Discretionary (8.4%)     
  McDonald's Corp.  38,645  2,444 
  Walt Disney Co.  62,769  1,897 
*  Amazon.com Inc.  12,231  1,662 
  Home Depot Inc.  60,360  1,652 
  Time Warner Inc.  41,983  1,290 
  Target Corp.  25,422  1,184 
  Lowe's Cos. Inc.  52,454  1,144 
*  DIRECTV Class A  32,481  1,027 
  Comcast Corp. Class A  66,064  969 
*  Ford Motor Co.  99,362  883 
  NIKE Inc. Class B  13,139  853 
  News Corp. Class A  73,671  844 
  Johnson Controls Inc.  23,862  646 
  Staples Inc.  25,458  594 
  Yum! Brands Inc.  16,427  579 
*  Viacom Inc. Class B  19,204  569 
  TJX Cos. Inc.  14,707  565 
*  Starbucks Corp.  25,727  564 
  Best Buy Co. Inc.  12,593  539 
*  Kohl's Corp.  10,131  538 
  Time Warner Cable Inc.  12,326  516 
  Carnival Corp.  15,347  492 
  Comcast Corp.  32,532  449 
  Omnicom Group Inc.  10,896  400 
  Coach Inc.  11,056  384 
  Gap Inc.  16,957  363 
*  Bed Bath & Beyond Inc.  9,135  341 
  McGraw-Hill Cos. Inc.  10,991  329 
*  Apollo Group Inc. Class A  4,767  272 
  Marriott International Inc./DE Class A  10,496  270 
  CBS Corp. Class B  20,528  263 
  Macy's Inc.  14,736  240 
  VF Corp.  3,088  225 
  Sherwin-Williams Co.  3,495  213 
  JC Penney Co. Inc.  7,385  212 
  Fortune Brands Inc.  5,257  202 
*  Las Vegas Sands Corp.  11,541  177 
*  AutoZone Inc.  1,148  170 
  DISH Network Corp. Class A  7,297  151 
*,^ Sears Holdings Corp.  1,950  138 
  Garmin Ltd.  4,204  126 
*  Liberty Global Inc. Class A  4,772  92 
  News Corp. Class B  6,560  90 
*  Liberty Global Inc.  4,388  85 
      26,643 
Consumer Staples (12.1%)     
  Procter & Gamble Co.  103,363  6,445 
  Wal-Mart Stores Inc.  82,788  4,516 


Coca-Cola Co.  73,855  4,224 
PepsiCo Inc.  55,397  3,447 
Philip Morris International Inc.  68,500  3,294 
CVS Caremark Corp.  51,105  1,585 
Colgate-Palmolive Co.  17,777  1,497 
Kraft Foods Inc.  52,407  1,393 
Altria Group Inc.  73,577  1,384 
Walgreen Co.  35,290  1,372 
Kimberly-Clark Corp.  14,742  972 
Costco Wholesale Corp.  15,445  925 
General Mills Inc.  11,707  796 
Archer-Daniels-Midland Co.  20,563  634 
Sysco Corp.  20,622  558 
Avon Products Inc.  14,925  511 
Kellogg Co.  9,355  492 
Kroger Co.  21,619  492 
HJ Heinz Co.  11,010  467 
Lorillard Inc.  5,887  459 
ConAgra Foods Inc.  15,673  348 
Safeway Inc.  14,772  332 
Reynolds American Inc.  6,107  305 
Clorox Co.  4,871  294 
Sara Lee Corp.  23,150  281 
Campbell Soup Co.  7,364  257 
Molson Coors Brewing Co. Class B  5,308  240 
Coca-Cola Enterprises Inc.  10,268  202 
Pepsi Bottling Group Inc.  5,198  197 
Hershey Co.  5,533  196 
Brown-Forman Corp. Class B  2,809  144 
    38,259 
Energy (12.7%)     
Exxon Mobil Corp.  170,175  12,775 
Chevron Corp.  71,016  5,542 
Schlumberger Ltd.  42,575  2,720 
ConocoPhillips  50,084  2,593 
Occidental Petroleum Corp.  28,846  2,330 
Apache Corp.  11,929  1,137 
Anadarko Petroleum Corp.  17,369  1,034 
Devon Energy Corp.  15,008  1,011 
* Transocean Ltd.  11,412  975 
Halliburton Co.  31,926  937 
XTO Energy Inc.  19,598  832 
Marathon Oil Corp.  25,186  822 
EOG Resources Inc.  8,907  770 
National Oilwell Varco Inc.  14,880  640 
Hess Corp.  10,298  597 
* Southwestern Energy Co.  12,009  528 
Chesapeake Energy Corp.  21,586  516 
Baker Hughes Inc.  10,812  441 
Spectra Energy Corp.  22,572  438 
* Weatherford International Ltd.  25,752  430 
Peabody Energy Corp.  9,331  415 
Williams Cos. Inc.  20,281  403 
Noble Energy Inc.  6,055  395 
Noble Corp.  9,156  378 
Murphy Oil Corp.  6,336  357 
Valero Energy Corp.  19,498  310 


* Ultra Petroleum Corp.  5,318  250 
Diamond Offshore Drilling Inc.  2,421  241 
Smith International Inc.  8,773  238 
    40,055 
Financials (14.3%)     
JPMorgan Chase & Co.  139,255  5,917 
Bank of America Corp.  306,357  4,856 
Wells Fargo & Co.  157,153  4,407 
Goldman Sachs Group Inc.  17,198  2,918 
Citigroup Inc.  569,936  2,342 
US Bancorp  67,528  1,630 
American Express Co.  37,900  1,585 
Morgan Stanley  43,316  1,368 
* Berkshire Hathaway Inc. Class B  397  1,331 
Bank of New York Mellon Corp.  42,540  1,133 
Travelers Cos. Inc.  20,097  1,053 
MetLife Inc.  29,128  996 
PNC Financial Services Group Inc.  16,339  932 
Prudential Financial Inc.  16,231  809 
Aflac Inc.  16,634  766 
Simon Property Group Inc.  10,061  731 
State Street Corp.  17,298  714 
CME Group Inc.  2,127  698 
Charles Schwab Corp.  35,067  643 
Chubb Corp.  12,531  628 
Franklin Resources Inc.  5,776  624 
Capital One Financial Corp.  15,805  606 
BB&T Corp.  23,838  594 
ACE Ltd.  11,954  582 
Allstate Corp.  17,822  506 
T Rowe Price Group Inc.  8,931  437 
Loews Corp.  12,148  430 
SunTrust Banks Inc.  17,664  417 
Marsh & McLennan Cos. Inc.  18,300  413 
* Progressive Corp.  22,670  380 
Northern Trust Corp.  7,441  368 
Vornado Realty Trust  5,543  363 
Annaly Capital Management Inc.  19,101  352 
Public Storage  4,367  348 
Ameriprise Financial Inc.  8,923  340 
AON Corp.  8,737  338 
Boston Properties Inc.  4,772  320 
Invesco Ltd.  14,342  319 
Equity Residential  9,527  307 
Principal Financial Group Inc.  10,870  276 
NYSE Euronext  9,054  229 
Hudson City Bancorp Inc.  16,426  218 
BlackRock Inc.  812  184 
* TD Ameritrade Holding Corp.  9,219  181 
M&T Bank Corp.  2,667  175 
Moody's Corp.  7,000  163 
* Leucadia National Corp.  6,682  144 
    45,071 
Health Care (13.0%)     
Johnson & Johnson  97,584  6,132 
Pfizer Inc.  285,556  5,189 
* Merck & Co. Inc.  108,365  3,924 


Abbott Laboratories  54,997  2,997 
* Amgen Inc.  36,026  2,030 
Bristol-Myers Squibb Co.  70,490  1,784 
Medtronic Inc.  39,298  1,668 
* Gilead Sciences Inc.  32,256  1,485 
Eli Lilly & Co.  36,799  1,352 
UnitedHealth Group Inc.  41,161  1,180 
Baxter International Inc.  21,529  1,174 
* Medco Health Solutions Inc.  16,775  1,059 
* WellPoint Inc.  16,822  909 
* Celgene Corp.  16,379  908 
Covidien PLC  17,936  840 
* Express Scripts Inc.  9,166  786 
* Thermo Fisher Scientific Inc.  14,452  683 
Allergan Inc.  10,838  630 
Becton Dickinson and Co.  8,371  626 
McKesson Corp.  9,658  599 
Stryker Corp.  10,370  523 
* Genzyme Corp.  9,602  487 
* Biogen Idec Inc.  10,270  482 
Aetna Inc.  15,657  456 
* Zimmer Holdings Inc.  7,528  445 
* St Jude Medical Inc.  12,002  441 
* Boston Scientific Corp.  52,310  438 
Cardinal Health Inc.  12,609  406 
* Forest Laboratories Inc.  10,533  323 
Quest Diagnostics Inc./DE  5,515  319 
CIGNA Corp.  9,560  307 
CR Bard Inc.  3,487  287 
* Laboratory Corp. of America Holdings  3,799  277 
    41,146 
Industrials (10.0%)     
General Electric Co.  376,828  6,037 
United Technologies Corp.  31,848  2,141 
3M Co.  23,445  1,816 
United Parcel Service Inc. Class B  24,884  1,430 
Boeing Co.  24,551  1,287 
Caterpillar Inc.  22,001  1,285 
Burlington Northern Santa Fe Corp.  12,085  1,188 
Union Pacific Corp.  17,939  1,135 
Emerson Electric Co.  26,740  1,107 
Honeywell International Inc.  25,147  967 
Lockheed Martin Corp.  11,568  893 
FedEx Corp.  10,527  889 
Deere & Co.  15,041  805 
General Dynamics Corp.  11,646  767 
Illinois Tool Works Inc.  15,104  735 
Raytheon Co.  14,024  723 
Danaher Corp.  9,477  672 
Norfolk Southern Corp.  13,061  671 
CSX Corp.  13,932  662 
Tyco International Ltd.  16,565  594 
Northrop Grumman Corp.  10,755  589 
Waste Management Inc.  16,325  536 
Precision Castparts Corp.  4,905  509 
PACCAR Inc.  12,064  447 
Ingersoll-Rand PLC  11,118  393 


Republic Services Inc. Class A  13,187  372 
Eaton Corp.  5,483  350 
CH Robinson Worldwide Inc.  5,947  331 
L-3 Communications Holdings Inc.  4,054  318 
ITT Corp.  6,032  312 
Parker Hannifin Corp.  5,627  304 
Cummins Inc.  6,706  301 
Fluor Corp.  6,264  266 
Southwest Airlines Co.  25,982  239 
Expeditors International of Washington Inc.  7,442  238 
* First Solar Inc.  1,627  194 
    31,503 
Information Technology (19.5%)     
Microsoft Corp.  283,978  8,352 
* Apple Inc.  31,745  6,346 
International Business Machines Corp.  46,419  5,865 
* Google Inc. Class A  8,578  5,001 
* Cisco Systems Inc.  204,243  4,779 
Hewlett-Packard Co.  84,498  4,146 
Intel Corp.  198,740  3,816 
Oracle Corp.  141,867  3,132 
QUALCOMM Inc.  58,896  2,650 
Visa Inc. Class A  16,294  1,320 
* EMC Corp.  71,634  1,206 
Texas Instruments Inc.  44,667  1,130 
* eBay Inc.  38,918  952 
Corning Inc.  55,296  922 
Accenture PLC Class A  21,823  896 
* Dell Inc.  62,487  882 
Mastercard Inc. Class A  3,496  842 
Automatic Data Processing Inc.  17,852  776 
* Yahoo! Inc.  47,182  706 
* Adobe Systems Inc.  18,640  654 
Motorola Inc.  81,579  653 
Applied Materials Inc.  47,307  582 
* Symantec Corp.  28,714  510 
* Juniper Networks Inc.  18,219  476 
Western Union Co.  24,553  453 
* Cognizant Technology Solutions Corp. Class A  10,211  449 
* Broadcom Corp. Class A  15,061  440 
Tyco Electronics Ltd.  15,945  370 
* NetApp Inc.  11,593  357 
Paychex Inc.  11,369  356 
* Agilent Technologies Inc.  12,084  350 
CA Inc.  14,496  320 
* Intuit Inc.  10,647  311 
Analog Devices Inc.  10,190  306 
* NVIDIA Corp.  19,157  250 
Fidelity National Information Services Inc.  10,932  247 
Xerox Corp.  30,152  232 
* Activision Blizzard Inc.  20,265  231 
* Sun Microsystems Inc.  26,116  222 
* Electronic Arts Inc.  11,209  189 
* VMware Inc. Class A  1,776  75 
    61,752 
Materials (3.2%)     
Monsanto Co.  19,421  1,568 


*  Freeport-McMoRan Copper & Gold Inc.    14,654  1,213 
  Dow Chemical Co.    40,422  1,123 
  EI du Pont de Nemours & Co.    32,154  1,112 
  Newmont Mining Corp.    17,044  914 
  Praxair Inc.    10,942  898 
  Air Products & Chemicals Inc.    7,468  619 
  Nucor Corp.    11,185  474 
  Alcoa Inc.    34,108  427 
  Ecolab Inc.    8,230  370 
  International Paper Co.    14,372  366 
  PPG Industries Inc.    5,751  342 
  Mosaic Co.    5,452  297 
  Weyerhaeuser Co.    7,397  288 
        10,011 
Telecommunication Services (3.4%)       
  AT&T Inc.    208,921  5,628 
  Verizon Communications Inc.    100,587  3,165 
*  American Tower Corp. Class A    13,892  568 
*  Sprint Nextel Corp.    102,446  380 
*  Crown Castle International Corp.    10,120  371 
  CenturyTel Inc.    10,357  369 
  Qwest Communications International Inc.    53,855  197 
        10,678 
Utilities (3.1%)       
  Exelon Corp.    23,441  1,129 
  Southern Co.    27,843  893 
  Duke Energy Corp.    45,804  764 
  Dominion Resources Inc./VA    20,995  764 
  FPL Group Inc.    13,887  722 
  Public Service Enterprise Group Inc.    18,007  565 
  PG&E Corp.    13,110  555 
  Entergy Corp.    6,979  549 
  American Electric Power Co. Inc.    16,694  537 
  FirstEnergy Corp.    10,572  455 
  Sempra Energy    8,090  430 
  Consolidated Edison Inc.    9,591  412 
  PPL Corp.    13,120  400 
  Progress Energy Inc.    9,776  382 
  Edison International    10,853  370 
  Xcel Energy Inc.    15,952  324 
*  AES Corp.    23,225  296 
  Ameren Corp.    8,132  211 
  Constellation Energy Group Inc.    6,238  199 
        9,957 
Total Common Stocks (Cost $326,536)      315,075 
        Market 
        Value 
    Coupon  Shares  ($000) 
Temporary Cash Investment (0.1%)       
Money Market Fund (0.1%)       
1,2 Vanguard Market Liquidity Fund (Cost $133)  0.199%  133,201  133 
 
Total Investments (99.8%) (Cost $326,669)      315,208 
Other Assets and Liabilities-Net (0.2%)2      719 
Net Assets (100%)      315,927 


* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $128,000.
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 $133,000 of collateral received for securities on loan.

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.

At November 30, 2009, the cost of investment securities for tax purposes was $326,669,000. Net unrealized depreciation of investment securities for tax purposes was $11,461,000, consisting of unrealized gains of $15,112,000 on securities that had risen in value since their purchase and $26,573,000 in unrealized losses on securities that had fallen in value since their purchase.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.


Vanguard Mega Cap 300 Growth Index Fund

Schedule of Investments
As of November 30, 2009

    Market 
    Value 
  Shares  ($000) 
Common Stocks (99.9%)     
Consumer Discretionary (10.9%)     
McDonald's Corp.  85,908  5,434 
* Amazon.com Inc.  27,188  3,695 
Target Corp.  56,219  2,618 
Lowe's Cos. Inc.  116,249  2,535 
* DIRECTV Class A  71,523  2,262 
* Ford Motor Co.  223,128  1,984 
NIKE Inc. Class B  29,207  1,895 
Johnson Controls Inc.  52,245  1,413 
Staples Inc.  56,848  1,326 
Yum! Brands Inc.  36,717  1,295 
TJX Cos. Inc.  33,351  1,280 
* Starbucks Corp.  58,015  1,270 
* Kohl's Corp.  22,835  1,213 
Best Buy Co. Inc.  27,856  1,193 
Omnicom Group Inc.  24,340  894 
Coach Inc.  24,869  864 
* Bed Bath & Beyond Inc.  20,426  763 
McGraw-Hill Cos. Inc.  24,627  738 
Marriott International Inc. Class A  23,684  609 
* Apollo Group Inc. Class A  10,255  585 
Sherwin-Williams Co.  7,793  474 
* Viacom Inc. Class B  15,470  459 
Gap Inc.  19,127  410 
* Las Vegas Sands Corp.  25,582  392 
* AutoZone Inc.  2,549  377 
Garmin Ltd.  9,430  282 
JC Penney Co. Inc.  8,381  241 
* Liberty Global Inc. Class A  10,717  207 
* Liberty Global Inc.  9,758  189 
News Corp. Class B  9,949  136 
* Sears Holdings Corp.  1,515  107 
Comcast Corp.  7,317  101 
Home Depot Inc.  793  22 
Comcast Corp. Class A  1,191  17 
DISH Network Corp. Class A  127  3 
    37,283 
Consumer Staples (13.4%)     
Wal-Mart Stores Inc.  184,026  10,039 
PepsiCo Inc.  122,626  7,630 
Philip Morris International Inc.  152,281  7,323 
Colgate-Palmolive Co.  39,232  3,303 
Coca-Cola Co.  57,456  3,286 
Walgreen Co.  78,108  3,038 
CVS Caremark Corp.  74,319  2,305 
Costco Wholesale Corp.  34,228  2,051 
Avon Products Inc.  33,605  1,151 
General Mills Inc.  16,670  1,134 
Kellogg Co.  21,093  1,109 


Kimberly-Clark Corp.  11,352  749 
Clorox Co.  10,889  656 
HJ Heinz Co.  12,318  523 
Lorillard Inc.  6,585  513 
Coca-Cola Enterprises Inc.  22,907  450 
Campbell Soup Co.  10,793  377 
Hershey Co.  8,142  288 
Procter & Gamble Co.  1,771  110 
Archer-Daniels-Midland Co.  270  8 
Pepsi Bottling Group Inc.  49  2 
Brown-Forman Corp. Class B  26  1 
    46,046 
Energy (6.9%)     
Schlumberger Ltd.  94,277  6,023 
Anadarko Petroleum Corp.  38,453  2,289 
Occidental Petroleum Corp.  22,335  1,804 
EOG Resources Inc.  19,746  1,708 
National Oilwell Varco Inc.  32,720  1,408 
Halliburton Co.  45,584  1,338 
* Southwestern Energy Co.  27,113  1,192 
Baker Hughes Inc.  24,101  982 
* Weatherford International Ltd.  57,211  955 
Peabody Energy Corp.  20,935  931 
Noble Energy Inc.  13,574  886 
Hess Corp.  14,981  868 
XTO Energy Inc.  14,997  636 
* Ultra Petroleum Corp.  11,845  557 
Diamond Offshore Drilling Inc.  5,414  539 
Smith International Inc.  19,380  527 
Murphy Oil Corp.  9,225  520 
Noble Corp.  10,329  427 
* Transocean Ltd.  195  17 
    23,607 
Financials (6.3%)     
American Express Co.  83,731  3,502 
* Berkshire Hathaway Inc. Class B  876  2,937 
US Bancorp  97,276  2,347 
Citigroup Inc.  435,889  1,791 
CME Group Inc.  4,706  1,545 
Charles Schwab Corp.  77,662  1,424 
Franklin Resources Inc.  12,660  1,368 
Capital One Financial Corp.  35,385  1,357 
State Street Corp.  25,293  1,045 
T Rowe Price Group Inc.  20,005  979 
Northern Trust Corp.  17,099  846 
Simon Property Group Inc.  7,708  560 
BlackRock Inc.  1,803  409 
* TD Ameritrade Holding Corp.  20,564  404 
Moody's Corp.  15,797  367 
SunTrust Banks Inc.  13,579  321 
Public Storage  3,578  285 
AON Corp.  81  3 
Hudson City Bancorp Inc.  219  3 
    21,493 
Health Care (13.1%)     
Johnson & Johnson  108,452  6,815 
Abbott Laboratories  121,675  6,630 


* Amgen Inc.  79,923  4,504 
Medtronic Inc.  87,455  3,712 
* Gilead Sciences Inc.  71,175  3,278 
Baxter International Inc.  47,273  2,579 
* Medco Health Solutions Inc.  37,295  2,356 
* Celgene Corp.  35,949  1,993 
* Express Scripts Inc.  20,516  1,760 
Becton Dickinson and Co.  18,843  1,409 
Allergan Inc.  23,933  1,391 
McKesson Corp.  20,952  1,299 
Stryker Corp.  23,467  1,183 
* Genzyme Corp.  21,275  1,079 
* Biogen Idec Inc.  22,736  1,067 
* Zimmer Holdings Inc.  16,842  997 
* St Jude Medical Inc.  27,120  996 
Quest Diagnostics Inc./DE  12,338  715 
CR Bard Inc.  7,776  639 
* Laboratory Corp. of America Holdings  8,429  615 
* WellPoint Inc.  226  12 
UnitedHealth Group Inc.  389  11 
Aetna Inc.  146  4 
    45,044 
Industrials (6.5%)     
Caterpillar Inc.  48,320  2,821 
Boeing Co.  53,672  2,813 
Union Pacific Corp.  39,693  2,511 
United Parcel Service Inc. Class B  36,156  2,078 
Danaher Corp.  21,390  1,517 
FedEx Corp.  15,278  1,290 
Precision Castparts Corp.  11,037  1,144 
PACCAR Inc.  27,016  1,002 
Deere & Co.  16,549  885 
Honeywell International Inc.  19,679  757 
CH Robinson Worldwide Inc.  13,269  740 
Lockheed Martin Corp.  9,206  711 
ITT Corp.  13,539  700 
Parker Hannifin Corp.  12,568  678 
Fluor Corp.  14,082  598 
Southwest Airlines Co.  58,112  535 
Expeditors International of Washington Inc.  16,627  531 
* First Solar Inc.  3,644  434 
Cummins Inc.  7,456  335 
Raytheon Co.  368  19 
L-3 Communications Holdings Inc.  109  9 
Waste Management Inc.  153  5 
    22,113 
Information Technology (37.6%)     
Microsoft Corp.  631,196  18,563 
* Apple Inc.  70,505  14,095 
International Business Machines Corp.  103,247  13,045 
* Google Inc. Class A  19,044  11,103 
* Cisco Systems Inc.  453,977  10,623 
Hewlett-Packard Co.  187,822  9,215 
Oracle Corp.  315,758  6,972 
QUALCOMM Inc.  130,830  5,887 
Intel Corp.  154,208  2,961 
Visa Inc. Class A  36,206  2,933 


* EMC Corp.  159,142  2,678 
* eBay Inc.  86,327  2,112 
Accenture PLC Class A  48,347  1,984 
* Dell Inc.  138,412  1,954 
Mastercard Inc. Class A  7,761  1,869 
Automatic Data Processing Inc.  39,523  1,717 
Texas Instruments Inc.  64,611  1,634 
* Yahoo! Inc.  104,928  1,571 
* Adobe Systems Inc.  41,321  1,450 
Motorola Inc.  179,268  1,436 
Applied Materials Inc.  104,483  1,286 
* Symantec Corp.  64,285  1,141 
* Juniper Networks Inc.  40,965  1,070 
Corning Inc.  61,904  1,033 
Western Union Co.  54,912  1,013 
* Cognizant Technology Solutions Corp. Class A  22,874  1,005 
* Broadcom Corp. Class A  34,304  1,002 
Tyco Electronics Ltd.  35,676  828 
* NetApp Inc.  26,461  815 
Paychex Inc.  25,429  797 
* Agilent Technologies Inc.  27,034  782 
CA Inc.  32,979  729 
* Intuit Inc.  23,895  698 
* NVIDIA Corp.  42,937  561 
* Activision Blizzard Inc.  45,440  518 
* Sun Microsystems Inc.  58,633  499 
Analog Devices Inc.  14,824  445 
* Electronic Arts Inc.  25,335  428 
* VMware Inc. Class A  4,169  175 
    128,627 
Materials (4.4%)     
Monsanto Co.  42,968  3,470 
* Freeport-McMoRan Copper & Gold Inc.  32,412  2,684 
Newmont Mining Corp.  37,758  2,025 
Praxair Inc.  24,148  1,981 
Dow Chemical Co.  42,952  1,193 
Alcoa Inc.  75,780  949 
Ecolab Inc.  18,518  831 
Weyerhaeuser Co.  16,537  644 
Air Products & Chemicals Inc.  5,752  477 
Mosaic Co.  7,917  431 
International Paper Co.  15,988  407 
    15,092 
Telecommunication Services (0.6%)     
* American Tower Corp. Class A  31,017  1,269 
* Crown Castle International Corp.  22,774  836 
    2,105 
Utilities (0.2%)     
* AES Corp.  52,188  665 
 
Total Investments (99.9%) (Cost $326,863)    342,075 
Other Assets and Liabilities-Net (0.1%)    460 
Net Assets (100%)    342,535 

*     

Non-income-producing security.


Mega Cap 300 Growth Index Fund

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.

At November 30, 2009, the cost of investment securities for tax purposes was $326,863,000. Net unrealized appreciation of investment securities for tax purposes was $15,212,000, consisting of unrealized gains of $26,179,000 on securities that had risen in value since their purchase and $10,967,000 in unrealized losses on securities that had fallen in value since their purchase.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.


Vanguard Mega Cap 300 Value Index Fund     
 
 
 
Schedule of Investments     
As of November 30, 2009     
 
      Market 
      Value 
    Shares  ($000) 
Common Stocks (100.0%)     
Consumer Discretionary (6.2%)     
  Walt Disney Co.  103,141  3,117 
  Home Depot Inc.  98,839  2,704 
  Time Warner Inc.  69,269  2,128 
  News Corp. Class A  109,357  1,253 
  Comcast Corp. Class A  84,975  1,247 
  Comcast Corp.  74,798  1,033 
  Time Warner Cable Inc.  20,584  862 
  Carnival Corp.  25,596  820 
*  Viacom Inc. Class B  20,587  610 
  CBS Corp. Class B  34,410  441 
  Macy's Inc.  24,564  401 
  VF Corp.  5,207  379 
  Fortune Brands Inc.  8,776  337 
  Gap Inc.  14,304  306 
  DISH Network Corp. Class A  12,067  250 
*  DIRECTV Class A  6,396  202 
  JC Penney Co. Inc.  6,175  178 
*,^ Sears Holdings Corp.  2,128  151 
  News Corp. Class B  9,941  136 
  Johnson Controls Inc.  524  14 
  Garmin Ltd.  33  1 
      16,570 
Consumer Staples (10.9%)     
  Procter & Gamble Co.  169,036  10,539 
  Coca-Cola Co.  79,195  4,530 
  Kraft Foods Inc.  86,162  2,290 
  Altria Group Inc.  121,000  2,276 
  Kimberly-Clark Corp.  15,739  1,038 
  Archer-Daniels-Midland Co.  33,530  1,033 
  Sysco Corp.  34,524  933 
  CVS Caremark Corp.  29,114  903 
  Kroger Co.  36,154  822 
  ConAgra Foods Inc.  25,890  574 
  Safeway Inc.  24,338  548 
  Reynolds American Inc.  10,212  510 
  Sara Lee Corp.  38,606  469 
  General Mills Inc.  6,656  453 
  Molson Coors Brewing Co. Class B  8,873  401 
  HJ Heinz Co.  9,205  391 
  Lorillard Inc.  4,825  376 
  Pepsi Bottling Group Inc.  8,771  333 
  Brown-Forman Corp. Class B  4,623  237 
  Campbell Soup Co.  4,537  159 
  Hershey Co.  3,190  113 
  Coca-Cola Enterprises Inc.  114  2 
      28,930 
Energy (18.2%)     
  Exxon Mobil Corp.  280,799  21,080 


Chevron Corp.  117,156  9,143 
ConocoPhillips  82,295  4,260 
Occidental Petroleum Corp.  30,786  2,487 
Apache Corp.  19,612  1,869 
Devon Energy Corp.  24,629  1,659 
* Transocean Ltd.  18,593  1,588 
Marathon Oil Corp.  41,344  1,349 
XTO Energy Inc.  20,929  888 
Chesapeake Energy Corp.  35,597  851 
Spectra Energy Corp.  37,731  732 
Williams Cos. Inc.  34,053  677 
Halliburton Co.  18,891  555 
Valero Energy Corp.  32,869  522 
Hess Corp.  6,018  349 
Noble Corp.  7,610  314 
Murphy Oil Corp.  3,870  218 
Baker Hughes Inc.  242  10 
Anadarko Petroleum Corp.  137  8 
National Oilwell Varco Inc.  164  7 
EOG Resources Inc.  69  6 
    48,572 
Financials (22.0%)     
JPMorgan Chase & Co.  229,595  9,755 
Bank of America Corp.  505,395  8,010 
Wells Fargo & Co.  259,208  7,268 
Goldman Sachs Group Inc.  28,366  4,813 
Citigroup Inc.  612,427  2,517 
Morgan Stanley  71,423  2,256 
Bank of New York Mellon Corp.  70,260  1,872 
Travelers Cos. Inc.  33,169  1,738 
MetLife Inc.  47,822  1,635 
PNC Financial Services Group Inc.  26,941  1,536 
Prudential Financial Inc.  26,926  1,342 
Aflac Inc.  27,311  1,257 
Chubb Corp.  20,441  1,025 
BB&T Corp.  39,816  991 
ACE Ltd.  19,637  957 
US Bancorp  39,534  954 
Allstate Corp.  29,767  846 
Simon Property Group Inc.  10,829  787 
Loews Corp.  20,238  717 
Marsh & McLennan Cos. Inc.  30,599  690 
* Progressive Corp.  37,661  632 
Vornado Realty Trust  9,432  617 
Annaly Capital Management Inc.  31,800  585 
Ameriprise Financial Inc.  14,898  568 
AON Corp.  14,365  556 
Boston Properties Inc.  8,094  542 
Invesco Ltd.  24,301  541 
Equity Residential  16,004  515 
Principal Financial Group Inc.  18,624  473 
SunTrust Banks Inc.  19,050  450 
State Street Corp.  10,108  417 
NYSE Euronext  15,188  384 
Public Storage  4,763  379 
Hudson City Bancorp Inc.  27,369  364 
M&T Bank Corp.  4,477  294 


* Leucadia National Corp.  11,632  250 
American Express Co.  411  17 
Capital One Financial Corp.  353  14 
    58,564 
Health Care (12.9%)     
Pfizer Inc.  471,088  8,560 
* Merck & Co. Inc.  178,434  6,461 
Johnson & Johnson  80,493  5,058 
Bristol-Myers Squibb Co.  115,720  2,929 
Eli Lilly & Co.  60,410  2,219 
UnitedHealth Group Inc.  67,602  1,938 
* WellPoint Inc.  27,571  1,490 
Covidien PLC  29,353  1,374 
* Thermo Fisher Scientific Inc.  23,851  1,127 
Aetna Inc.  25,385  739 
* Boston Scientific Corp.  88,063  737 
Cardinal Health Inc.  21,034  678 
* Forest Laboratories Inc.  17,623  540 
CIGNA Corp.  15,930  511 
    34,361 
Industrials (13.4%)     
General Electric Co.  620,763  9,945 
United Technologies Corp.  52,238  3,512 
3M Co.  38,747  3,001 
Burlington Northern Santa Fe Corp.  19,863  1,952 
Emerson Electric Co.  43,906  1,818 
General Dynamics Corp.  19,121  1,260 
Illinois Tool Works Inc.  24,834  1,208 
Raytheon Co.  22,443  1,156 
Norfolk Southern Corp.  21,475  1,104 
CSX Corp.  22,910  1,088 
Honeywell International Inc.  27,124  1,043 
Tyco International Ltd.  27,695  993 
Northrop Grumman Corp.  17,657  968 
Lockheed Martin Corp.  12,240  945 
Waste Management Inc.  27,215  894 
United Parcel Service Inc. Class B  14,167  814 
Deere & Co.  12,353  661 
Ingersoll-Rand PLC  18,647  660 
Republic Services Inc. Class A  22,151  625 
Eaton Corp.  9,190  587 
L-3 Communications Holdings Inc.  6,719  527 
FedEx Corp.  5,987  506 
Cummins Inc.  5,674  255 
Boeing Co.  540  28 
Caterpillar Inc.  471  27 
    35,577 
Information Technology (2.4%)     
Intel Corp.  212,556  4,081 
Corning Inc.  44,800  747 
Texas Instruments Inc.  25,794  652 
Fidelity National Information Services Inc.  18,409  416 
Xerox Corp.  50,765  391 
Analog Devices Inc.  6,217  187 
Motorola Inc.  1,165  9 
Tyco Electronics Ltd.  358  8 
Applied Materials Inc.  364  5 


* NVIDIA Corp.    150  2 
      6,498 
Materials (2.0%)       
EI du Pont de Nemours & Co.    52,786  1,825 
Dow Chemical Co.    33,797  939 
Nucor Corp.    18,382  780 
Air Products & Chemicals Inc.    7,977  662 
PPG Industries Inc.    9,633  572 
International Paper Co.    12,168  310 
Mosaic Co.    3,183  173 
Alcoa Inc.    762  10 
Weyerhaeuser Co.    83  3 
      5,274 
Telecommunication Services (6.0%)       
AT&T Inc.    344,662  9,285 
Verizon Communications Inc.    165,940  5,220 
* Sprint Nextel Corp.    169,560  629 
CenturyTel Inc.    17,364  618 
Qwest Communications International Inc.    90,627  331 
      16,083 
Utilities (6.0%)       
Exelon Corp.    38,501  1,855 
Southern Co.    46,492  1,492 
Dominion Resources Inc./VA    34,768  1,265 
Duke Energy Corp.    75,744  1,263 
FPL Group Inc.    22,833  1,187 
Public Service Enterprise Group Inc.    29,558  927 
PG&E Corp.    21,652  917 
Entergy Corp.    11,437  900 
American Electric Power Co. Inc.    27,853  897 
FirstEnergy Corp.    17,807  767 
Sempra Energy    13,614  723 
Consolidated Edison Inc.    16,063  689 
PPL Corp.    21,998  671 
Progress Energy Inc.    16,315  638 
Edison International    18,081  616 
Xcel Energy Inc.    26,621  541 
Ameren Corp.    13,640  354 
Constellation Energy Group Inc.    10,547  336 
* AES Corp.    261  3 
      16,041 
Total Common Stocks (Cost $259,364)      266,470 
      Market 
      Value 
  Coupon  Shares  ($000) 
Temporary Cash Investment (0.1%)       
Money Market Fund (0.1%)       
1,2 Vanguard Market Liquidity Fund (Cost $215)  0.199%  214,602  215 
 
Total Investments (100.1%) (Cost $259,579)      266,685 
Other Assets and Liabilities-Net (-0.1%)2      (234) 
Net Assets (100%)      266,451 

*     

Non-income-producing security.

^     

Part of security position is on loan to broker-dealers. The total value of securities on loan is $206,000.


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 $215,000 of collateral received for securities on loan.

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.

At November 30, 2009, the cost of investment securities for tax purposes was $259,579,000. Net unrealized appreciation of investment securities for tax purposes was $7,106,000, consisting of unrealized gains of $18,897,000 on securities that had risen in value since their purchase and $11,791,000 in unrealized losses on securities that had fallen in value since their purchase.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.


Vanguard Extended Duration Treasury Index Fund

Schedule of Investments
As of November 30, 2009

      Face  Market 
    Maturity  Amount  Value 
  Coupon  Date  ($000)  ($000) 
U.S. Government Securities (100.0%)         
United States Treasury Strip Coupon  0.000%  2/15/30  14,050  5,728 
United States Treasury Strip Coupon  0.000%  5/15/30  16,700  6,715 
United States Treasury Strip Coupon  0.000%  8/15/30  16,250  6,467 
United States Treasury Strip Coupon  0.000%  11/15/30  16,755  6,591 
United States Treasury Strip Coupon  0.000%  2/15/31  20,535  7,975 
United States Treasury Strip Coupon  0.000%  5/15/31  18,350  7,060 
United States Treasury Strip Coupon  0.000%  8/15/31  14,600  5,555 
United States Treasury Strip Coupon  0.000%  11/15/31  16,100  6,058 
United States Treasury Strip Coupon  0.000%  2/15/32  14,850  5,521 
United States Treasury Strip Coupon  0.000%  5/15/32  16,305  6,006 
United States Treasury Strip Coupon  0.000%  8/15/32  16,080  5,853 
United States Treasury Strip Coupon  0.000%  11/15/32  13,495  4,863 
United States Treasury Strip Coupon  0.000%  2/15/33  17,300  6,158 
United States Treasury Strip Coupon  0.000%  5/15/33  14,605  5,152 
United States Treasury Strip Coupon  0.000%  8/15/33  17,150  5,970 
United States Treasury Strip Coupon  0.000%  11/15/33  14,780  5,096 
United States Treasury Strip Coupon  0.000%  2/15/34  16,345  5,570 
United States Treasury Strip Coupon  0.000%  5/15/34  14,360  4,845 
United States Treasury Strip Coupon  0.000%  8/15/34  15,955  5,314 
United States Treasury Strip Coupon  0.000%  11/15/34  15,665  5,165 
United States Treasury Strip Coupon  0.000%  2/15/35  15,650  5,097 
United States Treasury Strip Coupon  0.000%  5/15/35  15,175  4,895 
United States Treasury Strip Coupon  0.000%  8/15/35  15,895  5,060 
United States Treasury Strip Coupon  0.000%  11/15/35  16,435  5,188 
United States Treasury Strip Coupon  0.000%  2/15/36  21,900  6,828 
United States Treasury Strip Coupon  0.000%  5/15/36  17,275  5,307 
United States Treasury Strip Coupon  0.000%  8/15/36  14,050  4,276 
United States Treasury Strip Coupon  0.000%  11/15/36  14,930  4,488 
United States Treasury Strip Coupon  0.000%  2/15/37  26,585  7,882 
United States Treasury Strip Coupon  0.000%  5/15/37  14,000  4,115 
United States Treasury Strip Coupon  0.000%  8/15/37  18,000  5,234 
United States Treasury Strip Coupon  0.000%  11/15/37  13,900  3,997 
United States Treasury Strip Coupon  0.000%  2/15/38  12,750  3,627 
United States Treasury Strip Coupon  0.000%  5/15/38  17,725  4,998 
United States Treasury Strip Coupon  0.000%  8/15/38  15,595  4,373 
United States Treasury Strip Coupon  0.000%  11/15/38  14,600  4,061 
United States Treasury Strip Coupon  0.000%  2/15/39  10,100  2,820 
United States Treasury Strip Coupon  0.000%  5/15/39  5,900  1,597 
United States Treasury Strip Coupon  0.000%  8/15/39  9,400  2,520 
United States Treasury Strip Coupon  0.000%  11/15/39  14,350  3,802 
United States Treasury Strip Principal  0.000%  5/15/30  13,145  5,373 
United States Treasury Strip Principal  0.000%  2/15/31  10,100  3,996 
United States Treasury Strip Principal  0.000%  2/15/36  8,050  2,567 
United States Treasury Strip Principal  0.000%  2/15/37  5,200  1,574 
United States Treasury Strip Principal  0.000%  5/15/37  16,490  4,962 
United States Treasury Strip Principal  0.000%  2/15/38  14,700  4,263 
United States Treasury Strip Principal  0.000%  5/15/38  18,495  5,304 
United States Treasury Strip Principal  0.000%  2/15/39  18,950  5,312 
United States Treasury Strip Principal  0.000%  5/15/39  30,050  8,269 
United States Treasury Strip Principal  0.000%  8/15/39  20,335  5,532 


United States Treasury Strip Principal  0.000%  11/15/39  15,000  4,049 
Total U.S. Government Securities (Cost $258,503)        259,028 
      Shares   
Temporary Cash Investment (0.0%)         
Money Market Fund (0.0%)         
1 Vanguard Market Liquidity Fund (Cost $11)  0.199%    10,985  11 
Total Investments (100.0%) (Cost $258,514)        259,039 
Other Assets and Liabilities-Net (0.0%)        (115) 
Net Assets (100%)        258,924 

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.

Security Valuation: Bonds, and 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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.

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

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

The following table summarizes the fund's investments as of November 30, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government Securities  —  259,028  — 
Temporary Cash Investments  11  —  — 
Total  11  259,028  — 

At November 30, 2009, the cost of investment securities for tax purposes was $258,514,000. Net unrealized appreciation of investment securities for tax purposes was $525,000, consisting of unrealized gains of $4,287,000 on securities that had risen in value since their purchase and $3,762,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Consumer Discretionary Index Fund

Schedule of Investments
As of November 30, 2009

    Market 
    Value 
  Shares  ($000) 
Common Stocks (99.5%)     
Auto Components (3.4%)     
Johnson Controls Inc.  102,512  2,773 
BorgWarner Inc.  17,713  535 
Autoliv Inc.  12,931  525 
* Goodyear Tire & Rubber Co.  34,908  479 
Gentex Corp.  20,923  348 
* TRW Automotive Holdings Corp.  10,564  230 
WABCO Holdings Inc.  9,694  229 
Cooper Tire & Rubber Co.  8,509  152 
* Dana Holding Corp.  20,325  148 
* Tenneco Inc.  9,072  131 
* Fuel Systems Solutions Inc.  2,142  103 
ArvinMeritor Inc.  10,594  86 
* Exide Technologies  11,402  86 
Modine Manufacturing Co.  6,819  72 
* Drew Industries Inc.  3,127  61 
* Federal Mogul Corp.  4,089  55 
Superior Industries International Inc.  3,456  49 
American Axle & Manufacturing Holdings Inc.  7,181  45 
* Dorman Products Inc.  1,859  27 
Spartan Motors Inc.  4,679  24 
* Wonder Auto Technology Inc.  1,806  22 
* Raser Technologies Inc.  6,088  7 
    6,187 
Automobiles (2.8%)     
* Ford Motor Co.  432,549  3,845 
Harley-Davidson Inc.  35,634  1,039 
Thor Industries Inc.  5,453  155 
* Winnebago Industries  4,428  48 
    5,087 
Distributors (0.7%)     
Genuine Parts Co.  24,232  868 
* LKQ Corp.  19,196  334 
* Core-Mark Holding Co. Inc.  1,452  44 
    1,246 
Diversified Consumer Services (3.5%)     
* Apollo Group Inc. Class A  19,897  1,136 
H&R Block Inc.  51,263  1,041 
DeVry Inc.  9,779  531 
* ITT Educational Services Inc.  5,757  524 
Strayer Education Inc.  2,132  421 
* Career Education Corp.  13,015  339 
Service Corp. International  38,217  295 
* Brink's Home Security Holdings Inc.  6,979  228 
Sotheby's  10,161  193 
* Corinthian Colleges Inc.  12,601  187 
Hillenbrand Inc.  9,367  171 
Matthews International Corp. Class A  4,642  161 
* Capella Education Co.  2,156  154 


Weight Watchers International Inc.  5,283  146 
Regis Corp.  8,449  132 
* Coinstar Inc.  4,567  122 
* American Public Education Inc.  2,602  83 
* Steiner Leisure Ltd.  2,091  83 
Stewart Enterprises Inc. Class A  12,597  59 
* Universal Technical Institute Inc.  3,030  57 
* K12 Inc.  2,609  47 
* Grand Canyon Education Inc.  2,414  46 
* Lincoln Educational Services Corp.  2,038  45 
* Pre-Paid Legal Services Inc.  1,126  43 
* Bridgepoint Education Inc.  2,121  34 
Jackson Hewitt Tax Service Inc.  4,309  18 
    6,296 
Hotels, Restaurants & Leisure (16.5%)     
McDonald's Corp.  166,596  10,537 
Yum! Brands Inc.  71,184  2,511 
* Starbucks Corp.  112,485  2,463 
Carnival Corp.  66,868  2,142 
Marriott International Inc.Class A  46,161  1,187 
Starwood Hotels & Resorts Worldwide Inc.  28,371  908 
International Game Technology  45,217  854 
* Las Vegas Sands Corp.  50,091  767 
Wynn Resorts Ltd.  11,224  724 
Darden Restaurants Inc.  20,219  635 
* Royal Caribbean Cruises Ltd.  21,103  519 
Wyndham Worldwide Corp.  27,067  503 
* MGM Mirage  40,220  425 
* Chipotle Mexican Grill Inc. Class B  4,354  362 
* Bally Technologies Inc.  7,877  327 
* WMS Industries Inc.  7,698  299 
* Panera Bread Co. Class A  4,530  285 
* Penn National Gaming Inc.  10,155  272 
Wendy's/Arby's Group Inc. Class A  60,813  249 
Burger King Holdings Inc.  14,236  242 
Brinker International Inc.  15,546  215 
* Cheesecake Factory Inc.  8,646  163 
* Jack in the Box Inc.  8,674  162 
Choice Hotels International Inc.  5,076  159 
* Hyatt Hotels Corp. Class A  5,424  156 
* Vail Resorts Inc.  3,903  151 
* Scientific Games Corp. Class A  10,504  149 
Cracker Barrel Old Country Store Inc.  3,431  129 
* Life Time Fitness Inc.  5,530  125 
* Gaylord Entertainment Co.  6,959  122 
Bob Evans Farms Inc.  4,661  118 
International Speedway Corp. Class A  4,249  115 
* PF Chang's China Bistro Inc.  3,406  111 
* Buffalo Wild Wings Inc.  2,578  103 
* CEC Entertainment Inc.  3,505  102 
* Orient-Express Hotels Ltd. Class A  11,618  97 
* Pinnacle Entertainment Inc.  9,053  96 
* Sonic Corp.  8,806  85 
* Texas Roadhouse Inc. Class A  7,809  80 
* Papa John's International Inc.  3,365  74 
* Boyd Gaming Corp.  8,533  70 
* Interval Leisure Group Inc.  5,941  68 


Ameristar Casinos Inc.  3,871  67 
* Shuffle Master Inc.  8,190  67 
* Peet's Coffee & Tea Inc.  2,008  65 
CKE Restaurants Inc.  7,074  60 
* Ruby Tuesday Inc.  9,112  58 
* Domino's Pizza Inc.  6,543  52 
Churchill Downs Inc.  1,468  51 
* DineEquity Inc.  2,352  50 
* BJ's Restaurants Inc.  2,821  48 
* Steak N Shake Co.  3,853  44 
* California Pizza Kitchen Inc.  3,415  43 
* Chipotle Mexican Grill Inc. Class A  477  40 
Marcus Corp.  3,194  40 
* Landry's Restaurants Inc.  1,761  37 
* Red Robin Gourmet Burgers Inc.  2,381  37 
Speedway Motorsports Inc.  2,267  36 
* Denny's Corp.  14,406  33 
Ambassadors Group Inc.  2,598  31 
* AFC Enterprises Inc.  3,766  30 
* Krispy Kreme Doughnuts Inc.  8,541  28 
Tim Hortons Inc.  683  20 
* Isle of Capri Casinos Inc.  2,595  20 
* Morgans Hotel Group Co.  4,008  15 
* Monarch Casino & Resort Inc.  1,444  11 
Dover Downs Gaming & Entertainment Inc.  2,276  10 
* O'Charleys Inc.  77  1 
* Town Sports International Holdings Inc.  55  — 
    29,855 
Household Durables (4.9%)     
Fortune Brands Inc.  22,830  877 
Whirlpool Corp.  11,297  838 
Newell Rubbermaid Inc.  42,180  612 
Black & Decker Corp.  9,137  555 
Garmin Ltd.  18,261  546 
Pulte Homes Inc.  52,089  476 
* NVR Inc.  702  473 
DR Horton Inc.  43,353  446 
Tupperware Brands Corp.  9,520  443 
Leggett & Platt Inc.  22,631  440 
* Toll Brothers Inc.  20,804  406 
Harman International Industries Inc.  10,016  377 
Jarden Corp.  13,352  367 
* Mohawk Industries Inc.  8,843  363 
Lennar Corp. Class A  21,914  278 
* Tempur-Pedic International Inc.  10,270  221 
MDC Holdings Inc.  5,692  169 
KB Home  12,240  166 
Ryland Group Inc.  6,491  119 
American Greetings Corp. Class A  5,431  112 
* Helen of Troy Ltd.  4,342  89 
* Meritage Homes Corp.  4,502  80 
La-Z-Boy Inc.  7,878  75 
National Presto Industries Inc.  724  67 
* Standard Pacific Corp.  15,698  50 
Ethan Allen Interiors Inc.  4,064  47 
* Universal Electronics Inc.  2,090  45 
* iRobot Corp.  2,862  40 


* Hovnanian Enterprises Inc. Class A  7,934  31 
Blyth Inc.  954  31 
* M/I Homes Inc.  2,634  29 
* Furniture Brands International Inc.  5,995  25 
* Beazer Homes USA Inc.  5,564  24 
CSS Industries Inc.  1,165  22 
* Sealy Corp.  6,801  18 
* Brookfield Homes Corp.  1,589  9 
    8,966 
Internet & Catalog Retail (5.7%)     
* Amazon.com Inc.  52,712  7,164 
* priceline.com Inc.  6,127  1,312 
* Expedia Inc.  29,937  763 
* NetFlix Inc.  7,405  434 
* Blue Nile Inc.  2,193  122 
* HSN Inc.  6,453  116 
NutriSystem Inc.  4,210  104 
* Ticketmaster Entertainment Inc.  6,112  64 
PetMed Express Inc.  3,577  59 
* Shutterfly Inc.  2,848  41 
* Overstock.com Inc.  2,447  36 
* Orbitz Worldwide Inc.  5,575  33 
* Stamps.com Inc.  2,229  20 
* Gaiam Inc. Class A  2,428  17 
* 1-800-Flowers.com Inc. Class A  4,085  9 
    10,294 
Leisure Equipment & Products (1.4%)     
Mattel Inc.  54,930  1,069 
Hasbro Inc.  19,131  567 
Polaris Industries Inc.  4,698  205 
Eastman Kodak Co.  40,617  164 
Brunswick Corp.  13,422  135 
Pool Corp.  7,379  133 
Callaway Golf Co.  9,779  70 
* Jakks Pacific Inc.  4,206  51 
* RC2 Corp.  3,146  43 
* Smith & Wesson Holding Corp.  7,236  36 
Sturm Ruger & Co. Inc.  2,904  31 
* Leapfrog Enterprises Inc.  5,244  16 
Marine Products Corp.  1,838  9 
    2,529 
Media (26.7%)     
Walt Disney Co.  269,448  8,143 
Time Warner Inc.  180,977  5,560 
* DIRECTV Class A  139,872  4,424 
Comcast Corp. Class A  267,837  3,929 
News Corp. Class A  305,426  3,500 
* Viacom Inc. Class B  83,859  2,486 
Time Warner Cable Inc.  53,775  2,253 
Comcast Corp.  153,283  2,117 
Omnicom Group Inc.  47,427  1,742 
McGraw-Hill Cos. Inc.  48,041  1,439 
CBS Corp. Class B  89,770  1,150 
Cablevision Systems Corp. Class A  37,547  939 
* Liberty Media Corp. - Interactive  86,138  917 
Virgin Media Inc.  42,478  699 
* Discovery Communications Inc. Class A  20,540  656 


DISH Network Corp. Class A  31,668  656 
* Discovery Communications Inc.  21,375  599 
Scripps Networks Interactive Inc. Class A  13,760  544 
News Corp. Class B  39,290  538 
* Interpublic Group of Cos. Inc.  74,157  469 
* Marvel Entertainment Inc.  7,757  404 
* Liberty Global Inc. Class A  20,075  387 
Washington Post Co. Class B  924  382 
* Sirius XM Radio Inc.  586,419  369 
Gannett Co. Inc.  35,818  354 
* Liberty Global Inc.  18,211  353 
* DreamWorks Animation SKG Inc. Class A  10,299  345 
* Lamar Advertising Co. Class A  11,051  306 
* Liberty Media Corp. - Capital  13,680  302 
John Wiley & Sons Inc. Class A  6,692  251 
Regal Entertainment Group Class A  12,891  177 
New York Times Co. Class A  20,739  175 
Interactive Data Corp.  5,731  146 
Meredith Corp.  5,467  144 
* Morningstar Inc.  2,879  133 
Scholastic Corp.  4,728  119 
* Valassis Communications Inc.  7,266  108 
* CTC Media Inc.  6,912  96 
National CineMedia Inc.  6,361  93 
* Lions Gate Entertainment Corp.  17,504  87 
Arbitron Inc.  3,991  86 
* Live Nation Inc.  10,870  78 
Belo Corp. Class A  13,518  64 
Cinemark Holdings Inc.  4,906  62 
Harte-Hanks Inc.  6,234  60 
* Clear Channel Outdoor Holdings Inc. Class A  6,182  56 
World Wrestling Entertainment Inc. Class A  3,385  54 
* RCN Corp.  5,569  48 
* Ascent Media Corp. Class A  2,005  46 
* Knology Inc.  4,532  45 
* Dolan Media Co.  3,534  42 
* CKX Inc.  6,598  36 
* Warner Music Group Corp.  6,996  35 
* EW Scripps Co. Class A  4,537  29 
Sinclair Broadcast Group Inc. Class A  7,348  27 
* Mediacom Communications Corp. Class A  6,095  25 
Journal Communications Inc. Class A  6,032  21 
* Martha Stewart Living Omnimedia Class A  3,933  18 
* Fisher Communications Inc.  1,083  17 
* LIN TV Corp. Class A  4,209  16 
* Outdoor Channel Holdings Inc.  2,097  12 
* Liberty Media Corp. - Starz  187  9 
* Crown Media Holdings Inc. Class A  338  1 
    48,378 
Multiline Retail (7.1%)     
Target Corp.  109,005  5,075 
* Kohl's Corp.  44,273  2,353 
Macy's Inc.  63,913  1,043 
JC Penney Co. Inc.  32,386  931 
Nordstrom Inc.  24,646  824 
* Dollar Tree Inc.  13,662  669 
Family Dollar Stores Inc.  20,248  618 


*,^ Sears Holdings Corp.  8,492  603 
*  Big Lots Inc.  12,565  290 
  Dillard's Inc. Class A  8,440  143 
*  Saks Inc.  21,013  128 
*  99 Cents Only Stores  7,395  89 
  Fred's Inc. Class A  5,743  56 
*  Retail Ventures Inc.  4,279  33 
      12,855 
Specialty Retail (21.1%)     
  Home Depot Inc.  259,930  7,112 
  Lowe's Cos. Inc.  225,395  4,916 
  Staples Inc.  110,211  2,570 
  TJX Cos. Inc.  64,646  2,481 
  Best Buy Co. Inc.  54,009  2,313 
  Gap Inc.  74,437  1,594 
*  Bed Bath & Beyond Inc.  39,964  1,493 
  Sherwin-Williams Co.  15,133  921 
  Ross Stores Inc.  19,266  847 
*  O'Reilly Automotive Inc.  20,865  809 
  Tiffany & Co.  18,834  804 
*  AutoZone Inc.  4,922  728 
  Ltd Brands Inc.  41,484  688 
*  CarMax Inc.  33,514  666 
*  Urban Outfitters Inc.  19,155  606 
*  GameStop Corp. Class A  23,772  580 
  Advance Auto Parts Inc.  14,474  569 
  Abercrombie & Fitch Co.  13,352  533 
  PetSmart Inc.  19,193  494 
  American Eagle Outfitters Inc.  28,253  435 
*  Chico's FAS Inc.  26,922  379 
  RadioShack Corp.  19,012  359 
*  J Crew Group Inc.  7,607  326 
*  Aeropostale Inc.  10,249  323 
  Guess? Inc.  8,402  311 
*  AutoNation Inc.  17,486  309 
  Williams-Sonoma Inc.  13,651  277 
*  Dick's Sporting Goods Inc.  13,269  275 
*  Office Depot Inc.  41,750  256 
*  Tractor Supply Co.  4,909  229 
  Foot Locker Inc.  23,647  224 
*  Dress Barn Inc.  8,842  190 
*  Collective Brands Inc.  9,731  188 
*  Rent-A-Center Inc.  10,063  178 
*  Gymboree Corp.  4,429  177 
  Aaron's Inc.  6,991  175 
  Men's Wearhouse Inc.  7,502  153 
  Barnes & Noble Inc.  6,012  140 
*  Jo-Ann Stores Inc.  4,002  134 
*  AnnTaylor Stores Corp.  8,854  124 
*  Childrens Place Retail Stores Inc.  3,838  123 
*  OfficeMax Inc.  11,539  122 
  Buckle Inc.  4,171  114 
*  JOS A Bank Clothiers Inc.  2,788  114 
  Penske Auto Group Inc.  6,225  92 
  Group 1 Automotive Inc.  3,634  92 
*  Genesco Inc.  3,388  89 
*  Sally Beauty Holdings Inc.  12,400  87 


* Charming Shoppes Inc.  17,450  84 
Monro Muffler Brake Inc.  2,771  83 
* Hibbett Sports Inc.  4,297  81 
Cato Corp. Class A  4,186  80 
* Cabela's Inc.  6,075  73 
Stage Stores Inc.  5,781  70 
Finish Line Inc. Class A  7,782  69 
PEP Boys-Manny Moe & Jack  8,235  67 
Brown Shoe Co. Inc.  6,467  66 
* Ulta Salon Cosmetics & Fragrance Inc.  3,916  64 
* Citi Trends Inc.  2,241  61 
* hhgregg Inc.  2,847  55 
Sonic Automotive Inc. Class A  6,045  53 
* Asbury Automotive Group Inc.  4,925  53 
* Pier 1 Imports Inc.  13,830  52 
Big 5 Sporting Goods Corp.  3,118  51 
* DSW Inc. Class A  2,162  50 
* Lumber Liquidators Inc.  2,021  48 
* Wet Seal Inc. Class A  14,074  41 
* Stein Mart Inc.  3,869  40 
* Coldwater Creek Inc.  9,277  39 
* HOT Topic Inc.  6,620  38 
* America's Car-Mart Inc.  1,516  37 
* Zumiez Inc.  3,187  35 
* Pacific Sunwear Of California  9,977  33 
Haverty Furniture Cos. Inc.  2,601  31 
Christopher & Banks Corp.  5,378  31 
Talbots Inc.  3,850  25 
* Zale Corp.  4,884  23 
Bebe Stores Inc.  3,952  21 
Systemax Inc.  1,092  17 
* New York & Co. Inc.  4,212  16 
* Borders Group Inc.  9,126  13 
* Build-A-Bear Workshop Inc.  2,225  11 
* Blockbuster Inc. Class A  15,634  10 
* Conn's Inc.  1,536  9 
* Blockbuster Inc. Class B  11,003  5 
    38,354 
Textiles, Apparel & Luxury Goods (5.7%)     
NIKE Inc. Class B  56,627  3,675 
Coach Inc.  48,542  1,687 
VF Corp.  13,605  989 
Polo Ralph Lauren Corp. Class A  8,669  666 
* Hanesbrands Inc.  14,409  346 
Phillips-Van Heusen Corp.  7,831  313 
* Warnaco Group Inc.  6,969  284 
Jones Apparel Group Inc.  12,995  220 
* Fossil Inc.  7,113  219 
Wolverine World Wide Inc.  7,467  191 
* Carter's Inc.  8,607  187 
* Deckers Outdoor Corp.  1,995  185 
* Lululemon Athletica Inc.  5,847  153 
* Under Armour Inc. Class A  5,074  130 
* Iconix Brand Group Inc.  10,618  120 
* Skechers U.S.A. Inc. Class A  5,044  111 
* Timberland Co. Class A  6,508  109 
Unifirst Corp.  2,171  95 


*  Steven Madden Ltd.    2,471  88 
  Columbia Sportswear Co.    2,046  79 
*  True Religion Apparel Inc.    3,642  67 
*  CROCS Inc.    12,709  62 
  Liz Claiborne Inc.    14,304  60 
  Oxford Industries Inc.    2,025  43 
*  Maidenform Brands Inc.    2,939  43 
*  Volcom Inc.    2,574  40 
*  Fuqi International Inc.    1,780  39 
*  FGX International Holdings Ltd.    2,168  36 
  K-Swiss Inc. Class A    4,021  35 
*  Quiksilver Inc.    19,236  34 
  Movado Group Inc.    2,710  28 
  Weyco Group Inc.    1,128  26 
*  Unifi Inc.    7,338  22 
*  American Apparel Inc.    4,827  14 
  Kenneth Cole Productions Inc. Class A    1,384  13 
        10,409 
Total Common Stocks (Cost $203,049)      180,456 
Convertible Preferred Stock (0.0%)       
Household Durables (0.0%)       
1  Sealy Corp. Pfd. 8.000% (Cost $13)    115  9 
    Coupon     
Temporary Cash Investment (0.4%)       
2,3 Vanguard Market Liquidity Fund (Cost $730)  0.199%  730,329  730 
Total Investments (99.9%) (Cost $203,792)      181,195 
Other Assets and Liabilities-Net (0.1%)3      247 
Net Assets (100%)      181,442 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $248,000.
1 Non-income producing security - new issue that has not paid a dividend as of November 30, 2009.
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 $259,000 of collateral received for securities on loan.

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.

At November 30, 2009, the cost of investment securities for tax purposes was $203,792,000. Net unrealized depreciation of investment securities for tax purposes was $22,597,000, consisting of unrealized gains of $8,341,000 on securities that had risen in value since their purchase and $30,938,000 in unrealized losses on securities that had fallen in value since their purchase.

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.


Consumer Discretionary Index Fund

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.


Vanguard Consumer Staples Index Fund

Schedule of Investments
As of November 30, 2009

    Market 
    Value 
  Shares  ($000) 
Common Stocks (100.1%)     
Beverages (19.6%)     
Coca-Cola Co.  941,290  53,842 
PepsiCo Inc.  681,673  42,414 
Molson Coors Brewing Co. Class B  87,044  3,935 
* Dr Pepper Snapple Group Inc.  147,240  3,856 
Coca-Cola Enterprises Inc.  170,837  3,357 
Pepsi Bottling Group Inc.  87,005  3,302 
Brown-Forman Corp. Class B  50,114  2,564 
* Constellation Brands Inc. Class A  126,170  2,159 
* Hansen Natural Corp.  51,318  1,794 
PepsiAmericas Inc.  46,860  1,387 
* Central European Distribution Corp.  45,923  1,280 
* Heckmann Corp.  141,019  611 
* Boston Beer Co. Inc. Class A  13,160  554 
Coca-Cola Bottling Co. Consolidated  9,725  460 
* National Beverage Corp.  39,125  421 
    121,936 
Food & Staples Retailing (24.4%)     
Wal-Mart Stores Inc.  1,073,130  58,539 
CVS Caremark Corp.  751,421  23,302 
Walgreen Co.  518,296  20,157 
Costco Wholesale Corp.  229,225  13,733 
Sysco Corp.  318,951  8,624 
Kroger Co.  330,345  7,512 
Safeway Inc.  234,248  5,271 
* Whole Foods Market Inc.  83,794  2,149 
SUPERVALU Inc.  128,571  1,778 
* BJ's Wholesale Club Inc.  40,077  1,391 
Casey's General Stores Inc.  40,534  1,240 
Ruddick Corp.  38,352  1,021 
* United Natural Foods Inc.  35,532  896 
Andersons Inc.  25,196  658 
* Rite Aid Corp.  504,232  645 
* Great Atlantic & Pacific Tea Co.  56,440  628 
Nash Finch Co.  18,528  608 
* Winn-Dixie Stores Inc.  53,742  579 
Weis Markets Inc.  16,337  568 
Pricesmart Inc.  30,154  567 
Ingles Markets Inc. Class A  35,690  557 
Village Super Market Inc. Class A  15,482  468 
* Pantry Inc.  24,442  361 
Spartan Stores Inc.  21,556  298 
Arden Group Inc.  2,263  211 
* Susser Holdings Corp.  16,118  171 
    151,932 
Food Products (18.3%)     
Kraft Foods Inc.  770,346  20,476 
General Mills Inc.  174,378  11,858 
Archer-Daniels-Midland Co.  305,869  9,424 


  Kellogg Co.  142,462  7,491 
  HJ Heinz Co.  166,549  7,070 
  ConAgra Foods Inc.  248,204  5,508 
  Sara Lee Corp.  375,422  4,558 
  Bunge Ltd.  73,129  4,527 
  Campbell Soup Co.  124,844  4,366 
  JM Smucker Co.  69,315  4,095 
  Hershey Co.  92,800  3,282 
  McCormick & Co. Inc.  74,342  2,652 
*  Ralcorp Holdings Inc.  36,672  2,124 
  Tyson Foods Inc. Class A  176,674  2,124 
  Hormel Foods Corp.  48,929  1,836 
*  Dean Foods Co.  103,889  1,652 
  Del Monte Foods Co.  146,249  1,534 
*  Smithfield Foods Inc.  99,094  1,534 
  Corn Products International Inc.  52,982  1,486 
  Flowers Foods Inc.  61,128  1,399 
*  Green Mountain Coffee Roasters Inc.  21,905  1,379 
*  TreeHouse Foods Inc.  29,581  1,031 
  Lancaster Colony Corp.  20,591  982 
*  Chiquita Brands International Inc.  56,716  964 
*  American Italian Pasta Co.  26,177  835 
*  Hain Celestial Group Inc.  47,920  831 
  Diamond Foods Inc.  25,684  793 
  Lance Inc.  31,021  755 
  Sanderson Farms Inc.  17,460  701 
  Cal-Maine Foods Inc.  24,055  660 
*  Darling International Inc.  92,429  658 
  J&J Snack Foods Corp.  17,204  621 
  Tootsie Roll Industries Inc.  24,191  615 
  B&G Foods Inc. Class A  70,569  604 
*,^ American Dairy Inc.  21,864  543 
*  Zhongpin Inc.  39,738  541 
  Calavo Growers Inc.  28,019  473 
*  AgFeed Industries Inc.  87,943  469 
*  Smart Balance Inc.  75,871  409 
  Alico Inc.  14,276  371 
  Farmer Bros Co.  20,585  359 
*  Fresh Del Monte Produce Inc.  3,859  84 
      113,674 
Household Products (21.5%)     
  Procter & Gamble Co.  1,388,087  86,547 
  Colgate-Palmolive Co.  263,705  22,201 
  Kimberly-Clark Corp.  218,754  14,431 
  Clorox Co.  76,590  4,616 
  Church & Dwight Co. Inc.  41,770  2,466 
*  Energizer Holdings Inc.  40,570  2,286 
  WD-40 Co.  22,156  712 
*  Central Garden and Pet Co. Class A  55,692  460 
*  Central Garden and Pet Co.  20,825  182 
      133,901 
Personal Products (3.9%)     
  Avon Products Inc.  229,444  7,858 
  Estee Lauder Cos. Inc. Class A  67,692  3,170 
  Alberto-Culver Co. Class B  63,899  1,799 
  Herbalife Ltd.  41,380  1,735 
*  NBTY Inc.  42,923  1,723 


  Nu Skin Enterprises Inc. Class A    43,968  1,177 
  Mead Johnson Nutrition Co. Class A    26,088  1,145 
*  Chattem Inc.    15,379  1,013 
*  Bare Escentuals Inc.    73,356  938 
*  Revlon Inc. Class A    38,232  692 
  Inter Parfums Inc.    54,326  641 
*  Prestige Brands Holdings Inc.    69,095  482 
*  Elizabeth Arden Inc.    30,181  445 
*  USANA Health Sciences Inc.    12,677  407 
*  China Sky One Medical Inc.    21,703  356 
*  China-Biotics Inc.    21,423  303 
*  American Oriental Bioengineering Inc.    73,274  294 
        24,178 
Tobacco (12.4%)       
  Philip Morris International Inc.    876,922  42,171 
  Altria Group Inc.    1,080,834  20,330 
  Lorillard Inc.    90,663  7,064 
  Reynolds American Inc.    99,046  4,948 
  Universal Corp.    23,559  1,011 
  Vector Group Ltd.    49,356  687 
*  Alliance One International Inc.    124,370  593 
*  Star Scientific Inc.    69,573  39 
        76,843 
 
Total Common Stocks (Cost $633,392)      622,464 
        Market 
        Value 
    Coupon  Shares  ($000) 
Temporary Cash Investment (0.1%)       
1,2 Vanguard Market Liquidity Fund (Cost $513)  0.199%  513,365  513 
Total Investments (100.2%) (Cost $633,905)      622,977 
Other Assets and Liabilities-Net (-0.2%)2      (1,082) 
Net Assets (100%)      621,895 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $271,000.
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 $283,000 of collateral received for securities on loan.

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.

At November 30, 2009, the cost of investment securities for tax purposes was $633,905,000. Net unrealized depreciation of investment securities for tax purposes was $10,928,000, consisting of unrealized gains of $22,650,000 on securities that had risen in value since their purchase and $33,578,000 in unrealized losses on securities that had fallen in value since their purchase.


Consumer Staples Index Fund

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.


Vanguard Energy Index Fund     
 
 
 
Schedule of Investments     
As of November 30, 2009     
 
      Market 
      Value 
    Shares  ($000) 
Common Stocks (100.0%)     
Energy Equipment & Services (23.3%)     
  Oil & Gas Drilling (6.1%)     
*  Transocean Ltd.  276,987  23,652 
  Noble Corp.  230,136  9,507 
  Diamond Offshore Drilling Inc.  63,158  6,287 
  ENSCO International Inc.  126,123  5,549 
*  Nabors Industries Ltd.  260,958  5,389 
*  Pride International Inc.  161,141  5,097 
  Helmerich & Payne Inc.  97,467  3,660 
*  Rowan Cos. Inc.  112,656  2,782 
*  Atwood Oceanics Inc.  64,722  2,439 
  Patterson-UTI Energy Inc.  157,586  2,425 
*  Unit Corp.  49,369  1,857 
*  Parker Drilling Co.  141,872  709 
*  Hercules Offshore Inc.  128,834  658 
*  Bronco Drilling Co. Inc.  119,186  628 
*  Pioneer Drilling Co.  67,786  411 
*  Seahawk Drilling Inc.  10,743  231 
 
  Oil & Gas Equipment & Services (17.2%)     
  Schlumberger Ltd.  1,206,426  77,078 
  Halliburton Co.  750,678  22,040 
  National Oilwell Varco Inc.  353,967  15,228 
  Baker Hughes Inc.  262,986  10,714 
*  Weatherford International Ltd.  576,251  9,623 
*  Cameron International Corp.  227,578  8,602 
  Smith International Inc.  227,241  6,176 
*  FMC Technologies Inc.  111,026  6,048 
  BJ Services Co.  261,922  4,919 
*  Oceaneering International Inc.  52,976  2,894 
  Core Laboratories NV  22,153  2,354 
*  Dresser-Rand Group Inc.  80,622  2,264 
  Tidewater Inc.  46,446  2,088 
*  Oil States International Inc.  57,601  2,066 
*  Dril-Quip Inc.  34,784  1,879 
*  SEACOR Holdings Inc.  23,872  1,829 
*  Superior Energy Services Inc.  86,333  1,825 
  CARBO Ceramics Inc.  26,797  1,590 
*  Exterran Holdings Inc.  75,637  1,585 
*  Bristow Group Inc.  37,415  1,284 
*  Helix Energy Solutions Group Inc.  104,505  1,229 
  Lufkin Industries Inc.  19,454  1,170 
*  Key Energy Services Inc.  134,371  1,024 
*  Superior Well Services Inc.  78,455  1,018 
*  Willbros Group Inc.  63,032  993 
*  Global Industries Ltd.  159,982  939 
*  T-3 Energy Services Inc.  37,456  935 
*  Tesco Corp.  86,937  929 
*  Tetra Technologies Inc.  88,647  918 
  Gulf Island Fabrication Inc.  40,909  900 


  RPC Inc.  88,701  857 
*  Gulfmark Offshore Inc.  28,914  788 
*  Hornbeck Offshore Services Inc.  34,335  783 
*  Complete Production Services Inc.  72,035  748 
*  Cal Dive International Inc.  102,907  747 
*  ION Geophysical Corp.  125,588  683 
*  OYO Geospace Corp.  20,058  653 
*  Newpark Resources Inc.  230,821  619 
*  Matrix Service Co.  63,016  539 
*  Basic Energy Services Inc.  73,562  506 
*  Dawson Geophysical Co.  20,777  450 
*,^ Sulphco Inc.  510,601  408 
*  PHI Inc.  19,895  353 
 
*  Allis-Chalmers Energy Inc.  104,049  337 
      271,893 
Oil, Gas & Consumable Fuels (76.7%)     
  Coal & Consumable Fuels (2.7%)     
  Peabody Energy Corp.  227,316  10,106 
  Consol Energy Inc.  163,130  7,491 
*  Alpha Natural Resources Inc.  109,293  4,044 
  Massey Energy Co.  91,965  3,463 
  Arch Coal Inc.  158,785  3,312 
*  Patriot Coal Corp.  93,388  1,144 
*  James River Coal Co.  46,755  857 
*  International Coal Group Inc.  182,189  760 
*  USEC Inc.  139,288  510 
*  Uranium Energy Corp.  90,823  288 
 
  Integrated Oil & Gas (48.5%)     
  Exxon Mobil Corp.  3,293,574  247,249 
  Chevron Corp.  1,879,539  146,679 
  ConocoPhillips  1,451,608  75,150 
  Occidental Petroleum Corp.  692,576  55,953 
  Marathon Oil Corp.  587,772  19,173 
  Hess Corp.  244,794  14,188 
  Murphy Oil Corp.  156,735  8,838 
 
  Oil & Gas Exploration & Production (20.7%)     
  Apache Corp.  288,259  27,465 
  Anadarko Petroleum Corp.  429,163  25,548 
  Devon Energy Corp.  365,001  24,583 
  XTO Energy Inc.  460,195  19,531 
  EOG Resources Inc.  209,949  18,158 
*  Southwestern Energy Co.  290,607  12,775 
  Chesapeake Energy Corp.  487,785  11,668 
  Noble Energy Inc.  144,184  9,408 
  Range Resources Corp.  136,641  6,440 
*  Petrohawk Energy Corp.  272,430  6,086 
*  Ultra Petroleum Corp.  128,732  6,049 
*  Newfield Exploration Co.  117,680  4,976 
  Pioneer Natural Resources Co.  110,478  4,568 
  Cimarex Energy Co.  87,870  4,116 
  Cabot Oil & Gas Corp.  96,386  3,692 
*  Plains Exploration & Production Co.  124,005  3,374 
*  Denbury Resources Inc.  227,566  3,020 
*  Whiting Petroleum Corp.  46,491  2,894 


EXCO Resources Inc.  169,893  2,875 
* Encore Acquisition Co.  53,981  2,430 
* Concho Resources Inc.  57,106  2,335 
St Mary Land & Exploration Co.  58,536  1,895 
* Comstock Resources Inc.  49,393  1,834 
* Forest Oil Corp.  97,364  1,784 
* Arena Resources Inc.  41,184  1,684 
* Quicksilver Resources Inc.  124,880  1,662 
* Atlas Energy Inc.  64,306  1,653 
Berry Petroleum Co. Class A  55,414  1,514 
* Mariner Energy Inc.  118,069  1,477 
* Bill Barrett Corp.  46,675  1,333 
* Continental Resources Inc.  34,810  1,311 
Penn Virginia Corp.  66,216  1,200 
* CNX Gas Corp.  43,281  1,181 
* ATP Oil & Gas Corp.  72,776  1,161 
* SandRidge Energy Inc.  121,851  1,143 
* Brigham Exploration Co.  106,217  1,109 
* Gran Tierra Energy Inc.  182,820  1,044 
* McMoRan Exploration Co.  139,183  1,010 
* Carrizo Oil & Gas Inc.  46,003  968 
* Stone Energy Corp.  48,681  921 
* Rosetta Resources Inc.  57,985  913 
* Goodrich Petroleum Corp.  40,177  889 
W&T Offshore Inc.  85,506  885 
* Oilsands Quest Inc.  721,621  873 
* Swift Energy Co.  38,570  828 
* Contango Oil & Gas Co.  18,541  823 
* Petroleum Development Corp.  44,701  803 
* Harvest Natural Resources Inc.  133,094  792 
* BPZ Resources Inc.  106,203  773 
* GMX Resources Inc.  57,232  668 
* Northern Oil And Gas Inc.  73,038  668 
* Warren Resources Inc.  263,598  630 
Vaalco Energy Inc.  134,514  564 
* Clayton Williams Energy Inc.  19,857  561 
Energy XXI Bermuda Ltd.  235,132  529 
* Gastar Exploration Ltd.  114,826  528 
* Approach Resources Inc.  74,330  520 
* Gulfport Energy Corp.  50,879  484 
* Petroquest Energy Inc.  79,052  445 
* Rex Energy Corp.  47,474  430 
* Venoco Inc.  32,655  364 
* Delta Petroleum Corp.  329,116  300 
* Endeavour International Corp.  259,229  246 
 
Oil & Gas Refining & Marketing (1.7%)     
Valero Energy Corp.  496,342  7,887 
Sunoco Inc.  110,752  2,791 
World Fuel Services Corp.  33,080  1,759 
Tesoro Corp.  130,527  1,668 
Holly Corp.  54,218  1,380 
Frontier Oil Corp.  111,544  1,286 
* Clean Energy Fuels Corp.  78,696  921 
* CVR Energy Inc.  57,699  423 
* Western Refining Inc.  88,246  410 
Delek US Holdings Inc.  52,954  364 


  Alon USA Energy Inc.    35,417  255 
 
  Oil & Gas Storage & Transportation (3.1%)       
  Spectra Energy Corp.    534,777  10,380 
  Williams Cos. Inc.    504,853  10,042 
  El Paso Corp.    634,561  6,067 
*  Kinder Morgan Management LLC    68,418  3,439 
  Southern Union Co.    119,603  2,478 
  Overseas Shipholding Group Inc.    37,405  1,433 
*  Enbridge Energy Management LLC    23,079  1,127 
  General Maritime Corp.    93,382  660 
  Crosstex Energy Inc.    78,788  383 
 
*  Cheniere Energy Inc.    141,206  268 
        897,017 
Total Common Stocks (Cost $1,114,009)      1,168,910 
        Market 
        Value 
    Coupon  Shares  ($000) 
Temporary Cash Investment (0.0%)       
Money Market Fund (0.0%)       
1,2 Vanguard Market Liquidity Fund (Cost $124)  0.199%  124,302  124 
Total Investments (100.0%) (Cost $1,114,133)      1,169,034 
Other Assets and Liabilities-Net (0.0%)2      369 
Net Assets (100%)      1,169,403 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $99,000.
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 $124,000 of collateral received for securities on loan.

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.

At November 30, 2009, the cost of investment securities for tax purposes was $1,114,133,000. Net unrealized appreciation of investment securities for tax purposes was $54,901,000, consisting of unrealized gains of $110,493,000 on securities that had risen in value since their purchase and $55,592,000 in unrealized losses on securities that had fallen in value since their purchase.

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

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).


Energy Index Fund

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.


Vanguard Financials Index Fund     
 
 
 
Schedule of Investments     
As of November 30, 2009     
 
      Market 
      Value 
    Shares  ($000) 
Common Stocks (100.1%)     
Capital Markets (16.9%)     
  Goldman Sachs Group Inc.  173,798  29,487 
  Morgan Stanley  437,548  13,818 
  Bank of New York Mellon Corp.  430,213  11,461 
  State Street Corp.  176,981  7,309 
  Charles Schwab Corp.  352,988  6,470 
  Franklin Resources Inc.  57,633  6,226 
  T Rowe Price Group Inc.  91,602  4,482 
  Northern Trust Corp.  77,833  3,853 
  Ameriprise Financial Inc.  91,192  3,476 
  Invesco Ltd.  149,220  3,320 
  BlackRock Inc.  8,198  1,862 
*  TD Ameritrade Holding Corp.  94,371  1,853 
  Legg Mason Inc.  51,281  1,451 
  Eaton Vance Corp.  39,628  1,194 
*  Affiliated Managers Group Inc.  14,881  970 
  Waddell & Reed Financial Inc.  30,631  892 
*  Jefferies Group Inc.  37,233  873 
  Raymond James Financial Inc.  35,179  855 
  Federated Investors Inc. Class B  33,098  853 
  Janus Capital Group Inc.  65,100  852 
  SEI Investments Co.  47,815  837 
*  E*Trade Financial Corp.  399,440  655 
  Greenhill & Co. Inc.  7,724  631 
  Apollo Investment Corp.  58,196  560 
*  Stifel Financial Corp.  9,794  526 
*  Knight Capital Group Inc. Class A  32,038  469 
  Ares Capital Corp.  39,301  457 
*  Piper Jaffray Cos.  7,054  306 
  American Capital Ltd.  102,115  300 
*  Investment Technology Group Inc.  15,786  288 
*  KBW Inc.  11,379  280 
  optionsXpress Holdings Inc.  15,760  241 
*  MF Global Ltd.  37,050  233 
  Allied Capital Corp.  65,212  231 
  Prospect Capital Corp.  17,122  186 
*  Riskmetrics Group Inc.  11,156  167 
  BlackRock Kelso Capital Corp.  20,280  163 
  Evercore Partners Inc. Class A  5,081  158 
*  FBR Capital Markets Corp.  20,890  131 
  Fifth Street Finance Corp.  12,883  126 
  GFI Group Inc.  25,794  125 
  Hercules Technology Growth Capital Inc.  12,270  121 
*  GLG Partners Inc.  40,454  119 
  Duff & Phelps Corp. Class A  7,027  119 
  Cohen & Steers Inc.  6,044  116 
*  Broadpoint Gleacher Securities Inc.  21,142  115 
  SWS Group Inc.  8,980  112 
  Oppenheimer Holdings Inc. Class A  3,018  95 
*  TradeStation Group Inc.  12,272  90 


GAMCO Investors Inc.  1,863  86 
* International Assets Holding Corp.  5,111  84 
MVC Capital Inc.  7,816  81 
Calamos Asset Management Inc. Class A  7,241  76 
Capital Southwest Corp.  956  75 
Westwood Holdings Group Inc.  2,071  72 
BGC Partners Inc. Class A  14,721  62 
NGP Capital Resources Co.  7,953  61 
* LaBranche & Co. Inc.  18,343  49 
* Penson Worldwide Inc.  5,006  45 
* Thomas Weisel Partners Group Inc.  866  4 
    110,209 
Commercial Banks (18.3%)     
Wells Fargo & Co.  1,587,538  44,515 
US Bancorp  683,906  16,503 
PNC Financial Services Group Inc.  165,039  9,409 
BB&T Corp.  243,828  6,071 
SunTrust Banks Inc.  178,409  4,216 
Fifth Third Bancorp  270,248  2,724 
Regions Financial Corp.  424,926  2,490 
M&T Bank Corp.  27,497  1,803 
Keycorp  300,906  1,763 
Comerica Inc.  53,965  1,536 
* First Horizon National Corp.  78,143  1,059 
Commerce Bancshares Inc.  25,226  1,014 
Marshall & Ilsley Corp.  171,353  985 
Huntington Bancshares Inc.  245,495  938 
Cullen/Frost Bankers Inc.  19,377  930 
Bank of Hawaii Corp.  17,099  781 
Valley National Bancorp  48,811  645 
Bancorpsouth Inc.  27,166  630 
FirstMerit Corp.  29,925  627 
City National Corp.  15,753  622 
Prosperity Bancshares Inc.  15,029  599 
Zions Bancorporation  42,988  565 
Westamerica Bancorporation  10,574  563 
* SVB Financial Group  14,592  552 
TCF Financial Corp.  41,889  550 
Fulton Financial Corp.  63,660  549 
Associated Banc-Corp  44,003  499 
Popular Inc.  192,792  457 
* Signature Bank  14,441  447 
BOK Financial Corp.  9,554  444 
UMB Financial Corp.  11,081  435 
Hancock Holding Co.  10,440  432 
Iberiabank Corp.  6,836  388 
East West Bancorp Inc.  26,060  380 
Old National Bancorp  30,584  356 
Umpqua Holdings Corp.  30,163  355 
CapitalSource Inc.  93,098  342 
Trustmark Corp.  17,704  339 
International Bancshares Corp.  18,574  312 
MB Financial Inc.  16,674  311 
First Financial Bankshares Inc.  6,001  311 
Wilmington Trust Corp.  25,229  310 
Synovus Financial Corp.  157,043  306 
Glacier Bancorp Inc.  22,417  293 


Webster Financial Corp.  22,364  285 
Whitney Holding Corp.  33,735  272 
FNB Corp.  40,024  261 
First Citizens BancShares Inc. Class A  1,638  258 
United Bankshares Inc.  14,978  256 
NBT Bancorp Inc.  12,435  256 
Park National Corp.  4,050  242 
National Penn Bancshares Inc.  42,407  234 
CVB Financial Corp.  30,066  233 
Wintrust Financial Corp.  8,732  227 
Community Bank System Inc.  11,903  221 
First Financial Bancorp  16,106  214 
* Investors Bancorp Inc.  18,911  208 
PacWest Bancorp  10,907  201 
PrivateBancorp Inc. Class A  20,218  200 
City Holding Co.  5,800  189 
First Midwest Bancorp Inc.  17,520  183 
Chemical Financial Corp.  7,726  182 
Susquehanna Bancshares Inc.  31,421  180 
* Texas Capital Bancshares Inc.  12,144  176 
Cathay General Bancorp  20,967  164 
Home Bancshares Inc.  6,684  153 
Sterling Bancshares Inc.  29,315  147 
Columbia Banking System Inc.  9,742  143 
Independent Bank Corp.  6,836  140 
S&T Bancorp Inc.  8,594  137 
* Pinnacle Financial Partners Inc.  11,019  130 
Simmons First National Corp. Class A  5,141  130 
Bank of the Ozarks Inc.  4,869  129 
Nara Bancorp Inc.  12,592  127 
SCBT Financial Corp.  4,608  120 
* United Community Banks Inc.  30,492  118 
First Commonwealth Financial Corp.  27,748  118 
Boston Private Financial Holdings Inc.  23,317  109 
Community Trust Bancorp Inc.  4,661  109 
WesBanco Inc.  8,285  107 
Renasant Corp.  7,312  104 
First Financial Corp.  3,625  104 
Danvers Bancorp Inc.  7,632  103 
Tompkins Financial Corp.  2,475  99 
Arrow Financial Corp.  3,818  97 
Northfield Bancorp Inc.  7,467  96 
Suffolk Bancorp  3,544  95 
Lakeland Financial Corp.  5,535  94 
Southside Bancshares Inc.  4,555  93 
SY Bancorp Inc.  4,234  92 
TowneBank  7,538  91 
Harleysville National Corp.  14,779  88 
Trico Bancshares  4,970  86 
Bancfirst Corp.  2,256  85 
Univest Corp. of Pennsylvania  5,209  84 
Cardinal Financial Corp.  9,940  84 
StellarOne Corp.  8,186  83 
Oriental Financial Group Inc.  8,378  81 
Camden National Corp.  2,637  81 
* Western Alliance Bancorp  19,730  78 
Washington Trust Bancorp Inc.  5,228  78 
Union Bankshares Corp.  6,384  75 


1st Source Corp.  5,281  75 
Great Southern Bancorp Inc.  3,181  72 
First Bancorp  5,454  71 
Republic Bancorp Inc. Class A  3,686  70 
First Community Bancshares Inc.  5,409  59 
Sandy Spring Bancorp Inc.  5,955  55 
First Busey Corp.  16,695  55 
Heartland Financial USA Inc.  4,139  55 
Wilshire Bancorp Inc.  7,071  50 
Lakeland Bancorp Inc.  7,819  48 
CoBiz Financial Inc.  11,136  47 
Capital City Bank Group Inc.  3,816  47 
First Merchants Corp.  7,542  45 
First BanCorp  29,043  45 
Sterling Bancorp  6,327  43 
Ames National Corp.  2,057  40 
MainSource Financial Group Inc.  7,119  38 
South Financial Group Inc.  58,093  35 
Southwest Bancorp Inc.  5,043  34 
Citizens & Northern Corp.  3,733  33 
* Sun Bancorp Inc.  5,518  20 
* Citizens Republic Bancorp Inc.  16,882  9 
Capitol Bancorp Ltd.  2,379  5 
Green Bankshares Inc.  1,062  4 
* Sterling Financial Corp.  6,834  4 
Pacific Capital Bancorp NA  3,754  4 
Banner Corp.  1,031  3 
Central Pacific Financial Corp.  3,082  3 
Old Second Bancorp Inc.  20  — 
* Hanmi Financial Corp.  60  — 
* Frontier Financial Corp.  7  — 
    118,955 
Consumer Finance (4.5%)     
American Express Co.  382,874  16,016 
Capital One Financial Corp.  162,662  6,240 
Discover Financial Services  192,112  2,970 
* SLM Corp.  167,199  1,834 
* AmeriCredit Corp.  48,257  890 
Cash America International Inc.  10,688  344 
* Dollar Financial Corp.  8,710  213 
* Ezcorp Inc. Class A  13,321  197 
Nelnet Inc. Class A  10,391  180 
* First Cash Financial Services Inc.  8,436  161 
* World Acceptance Corp.  5,232  153 
* Credit Acceptance Corp.  3,985  138 
Advance America Cash Advance Centers Inc.  13,605  85 
Student Loan Corp.  1,469  73 
* Cardtronics Inc.  5,478  61 
* First Marblehead Corp.  24,213  50 
* CompuCredit Holdings Corp.  5,712  13 
    29,618 
Diversified Financial Services (23.2%)     
JPMorgan Chase & Co.  1,406,627  59,768 
Bank of America Corp.  3,094,982  49,055 
Citigroup Inc.  5,728,591  23,544 
CME Group Inc.  21,386  7,020 
* IntercontinentalExchange Inc.  22,154  2,366 


NYSE Euronext  92,950  2,350 
Moody's Corp.  71,798  1,668 
* Leucadia National Corp.  69,331  1,492 
* MSCI Inc. Class A  35,816  1,091 
* NASDAQ OMX Group Inc.  51,189  956 
* PHH Corp.  19,827  274 
* Portfolio Recovery Associates Inc.  5,534  249 
* Interactive Brokers Group Inc.  14,503  246 
Financial Federal Corp.  8,913  242 
* Pico Holdings Inc.  7,124  213 
MarketAxess Holdings Inc.  11,059  138 
Compass Diversified Holdings  10,817  120 
Life Partners Holdings Inc.  2,585  48 
* NewStar Financial Inc.  10,763  36 
* Asset Acceptance Capital Corp.  5,683  33 
Teton Advisors Inc. Class B  25  — 
    150,909 
Insurance (21.6%)     
* Berkshire Hathaway Inc. Class B  3,973  13,321 
Travelers Cos. Inc.  203,070  10,639 
MetLife Inc.  292,837  10,012 
Prudential Financial Inc.  164,908  8,221 
Aflac Inc.  167,225  7,697 
Chubb Corp.  125,097  6,272 
ACE Ltd.  120,204  5,855 
Allstate Corp.  182,240  5,177 
Loews Corp.  123,892  4,388 
Marsh & McLennan Cos. Inc.  187,382  4,225 
* Progressive Corp.  230,568  3,867 
AON Corp.  88,303  3,420 
Hartford Financial Services Group Inc.  128,157  3,135 
Principal Financial Group Inc.  114,092  2,897 
Lincoln National Corp.  108,075  2,476 
Unum Group  118,509  2,256 
XL Capital Ltd. Class A  122,381  2,241 
* Genworth Financial Inc. Class A  172,130  1,854 
Everest Re Group Ltd.  21,734  1,850 
Willis Group Holdings Ltd.  60,077  1,631 
PartnerRe Ltd.  20,878  1,608 
Cincinnati Financial Corp.  55,236  1,410 
Axis Capital Holdings Ltd.  48,320  1,353 
Assurant Inc.  42,159  1,289 
Torchmark Corp.  29,580  1,286 
WR Berkley Corp.  51,511  1,273 
* American International Group Inc.  43,253  1,228 
Reinsurance Group of America Inc. Class A  26,026  1,210 
RenaissanceRe Holdings Ltd.  22,283  1,187 
* Markel Corp.  3,335  1,131 
Transatlantic Holdings Inc.  20,269  1,095 
Fidelity National Financial Inc. Class A  78,340  1,088 
* Arch Capital Group Ltd.  15,188  1,061 
HCC Insurance Holdings Inc.  40,088  1,048 
First American Corp.  32,332  1,026 
Old Republic International Corp.  87,132  927 
White Mountains Insurance Group Ltd.  2,842  926 
Assured Guaranty Ltd.  39,180  889 
Validus Holdings Ltd.  33,376  884 


Arthur J Gallagher & Co.  36,298  813 
Aspen Insurance Holdings Ltd.  30,055  779 
Brown & Brown Inc.  42,980  767 
Hanover Insurance Group Inc.  18,118  754 
Allied World Assurance Co. Holdings Ltd.  15,245  729 
American Financial Group Inc.  27,386  664 
StanCorp Financial Group Inc.  17,804  661 
Endurance Specialty Holdings Ltd.  17,280  646 
Platinum Underwriters Holdings Ltd.  17,759  627 
* ProAssurance Corp.  11,062  589 
* Alleghany Corp.  2,098  560 
Protective Life Corp.  30,283  501 
Montpelier Re Holdings Ltd.  29,743  498 
Erie Indemnity Co. Class A  11,154  412 
Unitrin Inc.  18,018  402 
Zenith National Insurance Corp.  13,550  387 
Max Capital Group Ltd.  17,453  380 
Delphi Financial Group Inc.  17,185  376 
Mercury General Corp.  9,899  366 
Tower Group Inc.  14,774  365 
RLI Corp.  6,691  337 
* Conseco Inc.  68,467  328 
* Argo Group International Holdings Ltd.  11,172  326 
Selective Insurance Group  19,054  297 
Employers Holdings Inc.  16,861  258 
* Navigators Group Inc.  5,241  244 
* MBIA Inc.  60,318  209 
American National Insurance Co.  1,890  205 
* Hilltop Holdings Inc.  16,474  200 
Infinity Property & Casualty Corp.  4,918  197 
* Greenlight Capital Re Ltd. Class A  7,603  184 
Safety Insurance Group Inc.  4,847  173 
Horace Mann Educators Corp.  14,251  171 
Harleysville Group Inc.  5,089  160 
National Western Life Insurance Co. Class A  883  151 
Flagstone Reinsurance Holdings Ltd.  13,843  150 
United Fire & Casualty Co.  8,279  143 
American Equity Investment Life Holding Co.  19,369  142 
Meadowbrook Insurance Group Inc.  19,870  136 
* National Financial Partners Corp.  14,929  131 
* Enstar Group Ltd.  1,643  121 
OneBeacon Insurance Group Ltd. Class A  8,572  120 
Amtrust Financial Services Inc.  9,740  116 
* AMERISAFE Inc.  6,768  114 
Phoenix Cos. Inc.  41,968  104 
* eHealth Inc.  7,638  101 
American Physicians Capital Inc.  3,663  100 
FBL Financial Group Inc. Class A  5,366  95 
* FPIC Insurance Group Inc.  2,684  94 
* Citizens Inc.  15,290  94 
State Auto Financial Corp.  5,781  94 
Maiden Holdings Ltd.  12,166  92 
* CNA Surety Corp.  6,517  88 
* SeaBright Insurance Holdings Inc.  7,938  87 
* United America Indemnity Ltd. Class A  12,067  83 
Presidential Life Corp.  7,984  81 
Ambac Financial Group Inc.  104,387  80 
First Mercury Financial Corp.  5,456  71 


Baldwin & Lyons Inc.  2,869  67 
Stewart Information Services Corp.  6,302  65 
Donegal Group Inc. Class A  4,438  65 
Kansas City Life Insurance Co.  1,639  44 
EMC Insurance Group Inc.  2,067  43 
National Interstate Corp.  2,364  41 
Universal Insurance Holdings Inc.  6,419  35 
* Crawford & Co. Class B  4,448  17 
* Crawford & Co. Class A  5,006  15 
    140,898 
Real Estate Investment Trusts (13.2%)     
Simon Property Group Inc.  101,294  7,360 
Vornado Realty Trust  57,797  3,783 
Public Storage  45,444  3,616 
Annaly Capital Management Inc.  194,649  3,583 
Boston Properties Inc.  49,590  3,322 
HCP Inc.  103,931  3,253 
Equity Residential  97,964  3,155 
Ventas Inc.  55,995  2,404 
Host Hotels & Resorts Inc.  217,467  2,288 
ProLogis  158,361  2,071 
AvalonBay Communities Inc.  28,514  2,060 
Plum Creek Timber Co. Inc.  58,245  2,009 
Health Care REIT Inc.  42,764  1,905 
Kimco Realty Corp.  127,814  1,575 
Federal Realty Investment Trust  21,863  1,406 
Nationwide Health Properties Inc.  38,480  1,309 
Digital Realty Trust Inc.  25,872  1,259 
AMB Property Corp.  52,239  1,230 
SL Green Realty Corp.  27,561  1,224 
Liberty Property Trust  39,491  1,171 
Rayonier Inc.  28,234  1,122 
Macerich Co.  33,537  998 
Regency Centers Corp.  28,996  970 
Senior Housing Properties Trust  45,357  942 
Realty Income Corp.  37,214  941 
Chimera Investment Corp.  227,798  918 
Duke Realty Corp.  81,096  909 
Camden Property Trust  22,911  888 
Alexandria Real Estate Equities Inc.  15,447  871 
Hospitality Properties Trust  44,161  857 
Mack-Cali Realty Corp.  27,856  855 
Essex Property Trust Inc.  10,155  810 
UDR Inc.  53,800  805 
Weingarten Realty Investors  41,266  801 
Highwoods Properties Inc.  25,339  776 
MFA Financial Inc.  98,822  748 
Corporate Office Properties Trust SBI MD  20,747  709 
Taubman Centers Inc.  19,254  662 
BRE Properties Inc.  18,972  594 
National Retail Properties Inc.  28,931  580 
Apartment Investment & Management Co.  42,546  575 
Tanger Factory Outlet Centers  14,479  568 
Washington Real Estate Investment Trust  21,204  553 
Omega Healthcare Investors Inc.  30,025  543 
Home Properties Inc.  11,899  535 
American Campus Communities Inc.  18,547  500 


HRPT Properties Trust  81,199  499 
Developers Diversified Realty Corp.  49,224  498 
Equity Lifestyle Properties Inc.  10,269  493 
BioMed Realty Trust Inc.  35,585  487 
Entertainment Properties Trust  15,262  482 
Douglas Emmett Inc.  35,064  481 
Healthcare Realty Trust Inc.  21,629  478 
Mid-America Apartment Communities Inc.  10,219  475 
Kilroy Realty Corp.  15,460  466 
Brandywine Realty Trust  45,552  447 
LaSalle Hotel Properties  23,093  430 
CBL & Associates Properties Inc.  46,240  428 
Potlatch Corp.  14,454  426 
Hatteras Financial Corp.  13,138  402 
Redwood Trust Inc.  26,021  374 
EastGroup Properties Inc.  9,142  347 
DCT Industrial Trust Inc.  72,728  345 
PS Business Parks Inc.  6,939  330 
Capstead Mortgage Corp.  23,008  329 
Extra Space Storage Inc.  29,642  326 
Post Properties Inc.  17,256  318 
Sovran Self Storage Inc.  9,806  317 
* DiamondRock Hospitality Co.  39,193  315 
Franklin Street Properties Corp.  25,639  289 
Medical Properties Trust Inc.  29,186  283 
National Health Investors Inc.  8,536  282 
Sunstone Hotel Investors Inc.  34,604  280 
Anworth Mortgage Asset Corp.  37,014  267 
Equity One Inc.  15,690  253 
Colonial Properties Trust  22,323  241 
* DuPont Fabros Technology Inc.  14,672  235 
Investors Real Estate Trust  26,062  230 
Acadia Realty Trust  13,617  222 
Cousins Properties Inc.  30,386  219 
Inland Real Estate Corp.  27,453  216 
American Capital Agency Corp.  7,983  211 
* Alexander's Inc.  743  207 
LTC Properties Inc.  7,517  193 
U-Store-It Trust  29,086  189 
Lexington Realty Trust  33,139  161 
Getty Realty Corp.  6,749  153 
Saul Centers Inc.  4,849  150 
Parkway Properties Inc.  7,815  146 
Universal Health Realty Income Trust  4,025  123 
Sun Communities Inc.  6,335  120 
First Potomac Realty Trust  10,097  119 
Walter Investment Management Corp.  8,974  109 
Pennsylvania Real Estate Investment Trust  13,869  102 
Cedar Shopping Centers Inc.  16,480  100 
Ramco-Gershenson Properties Trust  10,681  97 
Education Realty Trust Inc.  19,294  96 
First Industrial Realty Trust Inc.  20,814  93 
* Ashford Hospitality Trust Inc.  21,601  90 
* iStar Financial Inc.  36,766  89 
Urstadt Biddle Properties Inc. Class A  6,396  88 
Government Properties Income Trust  3,457  86 
* FelCor Lodging Trust Inc.  23,584  79 
NorthStar Realty Finance Corp.  22,985  78 


  CapLease Inc.  17,531  76 
  Cypress Sharpridge Investments Inc.  5,636  74 
  Glimcher Realty Trust  23,645  70 
  Kite Realty Group Trust  21,441  68 
  Hersha Hospitality Trust  18,446  49 
*  Strategic Hotels & Resorts Inc.  28,011  48 
  Winthrop Realty Trust  4,971  45 
*  Gramercy Capital Corp.  15,273  43 
  RAIT Financial Trust  22,964  36 
  Urstadt Biddle Properties Inc.  5  — 
      85,911 
Real Estate Management & Development (0.6%)     
*  CB Richard Ellis Group Inc. Class A  86,938  994 
*  St Joe Co.  33,038  822 
  Jones Lang LaSalle Inc.  14,959  761 
  Forest City Enterprises Inc. Class A  43,131  463 
*  Forestar Group Inc.  12,383  230 
*  Tejon Ranch Co.  4,598  122 
*  Altisource Portfolio Solutions SA  4,506  73 
  Consolidated-Tomoka Land Co.  1,939  70 
*  Avatar Holdings Inc.  2,830  43 
*  Grubb & Ellis Co.  14,134  21 
      3,599 
Thrifts & Mortgage Finance (1.8%)     
  Hudson City Bancorp Inc.  168,671  2,242 
  People's United Financial Inc.  124,623  2,030 
  New York Community Bancorp Inc.  117,228  1,370 
  First Niagara Financial Group Inc.  65,472  864 
  Washington Federal Inc.  39,563  754 
  NewAlliance Bancshares Inc.  34,888  411 
  TFS Financial Corp.  33,829  378 
*,^ Federal National Mortgage Assn.  402,565  354 
  Astoria Financial Corp.  30,048  312 
*  Ocwen Financial Corp.  26,070  243 
*,^ Federal Home Loan Mortgage Corp.  235,326  242 
  Capitol Federal Financial  8,054  235 
  Provident Financial Services Inc.  19,572  207 
  Brookline Bancorp Inc.  21,420  204 
*  MGIC Investment Corp.  45,390  182 
  Trustco Bank Corp.  27,772  171 
  Northwest Bancorp Inc.  7,095  164 
  Radian Group Inc.  29,678  133 
  Bank Mutual Corp.  16,097  113 
*  Beneficial Mutual Bancorp Inc.  11,912  111 
  Provident New York Bancorp  13,051  109 
  Flushing Financial Corp.  9,790  107 
  Dime Community Bancshares  8,807  99 
  Berkshire Hills Bancorp Inc.  4,890  92 
  Westfield Financial Inc.  10,432  86 
  First Financial Holdings Inc.  5,792  78 
  Kearny Financial Corp.  7,513  74 
  United Financial Bancorp Inc.  5,274  68 
  BankFinancial Corp.  7,166  67 
  ESSA Bancorp Inc.  4,962  63 
  WSFS Financial Corp.  2,224  59 
  PMI Group Inc.  30,261  56 
  ViewPoint Financial Group  4,133  54 


  Oritani Financial Corp.    4,046  53 
  Abington Bancorp Inc.    7,216  49 
  First Financial Northwest Inc.    6,635  45 
  Roma Financial Corp.    2,936  35 
  Rockville Financial Inc.    3,099  33 
*  Meridian Interstate Bancorp Inc.    3,837  32 
  Clifton Savings Bancorp Inc.    3,553  32 
  NASB Financial Inc.    1,093  26 
*  Flagstar Bancorp Inc.    17,223  12 
*  Waterstone Financial Inc.    221  — 
        12,049 
Total Common Stocks (Cost $883,073)      652,148 
        Market 
        Value 
    Coupon  Shares  ($000) 
Temporary Cash Investment (0.1%)       
1,2 Vanguard Market Liquidity Fund (Cost $454)  0.199%  454,000  454 
Total Investments (100.2%) (Cost $883,527)      652,602 
Other Assets and Liabilities-Net (-0.2%)2      (1,413) 
Net Assets (100%)      651,189 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $306,000.
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 $454,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.


Financials Index Fund

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.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.

At November 30, 2009, the cost of investment securities for tax purposes was $883,527,000. Net unrealized depreciation of investment securities for tax purposes was $230,925,000, consisting of unrealized gains of $7,574,000 on securities that had risen in value since their purchase and $238,499,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Health Care Index Fund     
 
 
 
Schedule of Investments     
As of November 30, 2009     
 
      Market 
      Value 
    Shares  ($000) 
Common Stocks (99.8%)     
Biotechnology (14.1%)     
*  Amgen Inc.  476,776  26,866 
*  Gilead Sciences Inc.  424,461  19,546 
*  Celgene Corp.  215,214  11,934 
*  Genzyme Corp.  126,679  6,423 
*  Biogen Idec Inc.  135,558  6,363 
*  Vertex Pharmaceuticals Inc.  84,831  3,293 
*  Human Genome Sciences Inc.  74,834  2,082 
*  Cephalon Inc.  34,738  1,909 
*  Alexion Pharmaceuticals Inc.  40,873  1,854 
*  Dendreon Corp.  54,382  1,487 
*  Myriad Genetics Inc.  44,903  1,038 
*  United Therapeutics Corp.  22,382  1,020 
*  Amylin Pharmaceuticals Inc.  66,145  943 
*  OSI Pharmaceuticals Inc.  27,273  909 
*  Onyx Pharmaceuticals Inc.  28,699  821 
*  BioMarin Pharmaceutical Inc.  47,014  776 
*  Regeneron Pharmaceuticals Inc.  29,276  537 
*  Isis Pharmaceuticals Inc.  43,826  469 
*  Cubist Pharmaceuticals Inc.  27,111  452 
*  Acorda Therapeutics Inc.  17,865  430 
*  Savient Pharmaceuticals Inc.  31,022  417 
*  Incyte Corp. Ltd.  48,969  408 
*  Medivation Inc.  13,196  405 
*  Alkermes Inc.  44,388  399 
  PDL BioPharma Inc.  56,104  365 
*  Seattle Genetics Inc.  39,062  363 
*  Exelixis Inc.  50,039  342 
*  Cepheid Inc.  27,302  338 
*  AMAG Pharmaceuticals Inc.  7,941  297 
*  Theravance Inc.  22,516  296 
*  Alnylam Pharmaceuticals Inc.  16,420  276 
*  Martek Biosciences Corp.  15,668  273 
*  Celera Corp.  38,506  240 
*  Allos Therapeutics Inc.  34,928  226 
*  MannKind Corp.  30,945  225 
*  Halozyme Therapeutics Inc.  39,928  218 
*  Geron Corp.  41,866  217 
*  Targacept Inc.  8,986  210 
*  Enzon Pharmaceuticals Inc.  20,687  201 
*  Immunogen Inc.  24,838  196 
*  Pharmasset Inc.  9,788  196 
*  InterMune Inc.  18,189  195 
*  Facet Biotech Corp.  11,397  187 
*  Protalix BioTherapeutics Inc.  18,609  184 
*  Affymax Inc.  8,724  178 
*  Rigel Pharmaceuticals Inc.  23,202  176 
*  Momenta Pharmaceuticals Inc.  16,352  163 
*  Cell Therapeutics Inc.  154,794  159 
*  Arena Pharmaceuticals Inc.  43,024  156 


* Micromet Inc.  20,390  139 
* Genomic Health Inc.  6,798  129 
* Abraxis Bioscience Inc.  3,782  127 
* SIGA Technologies Inc.  13,688  124 
* Nabi Biopharmaceuticals  23,942  118 
* Clinical Data Inc.  7,452  116 
* Zymogenetics Inc.  17,914  109 
* Sangamo Biosciences Inc.  18,997  103 
* Dyax Corp.  27,413  102 
* Ligand Pharmaceuticals Inc. Class B  47,765  95 
* Emergent Biosolutions Inc.  6,425  92 
* Lexicon Pharmaceuticals Inc.  56,227  88 
* Orexigen Therapeutics Inc.  12,619  84 
* OncoGenex Pharmaceutical Inc.  2,456  77 
* Maxygen Inc.  13,284  72 
* Arqule Inc.  19,987  72 
* NPS Pharmaceuticals Inc.  22,352  70 
* Cel-Sci Corp.  50,968  63 
* Progenics Pharmaceuticals Inc.  14,671  57 
* Myriad Pharmaceuticals Inc.  11,265  56 
* Biospecifics Technologies Corp.  1,899  56 
* Opko Health Inc.  30,741  54 
* Osiris Therapeutics Inc.  7,748  52 
* XOMA Ltd.  62,818  47 
* GTx Inc.  7,368  29 
* Idenix Pharmaceuticals Inc.  10,112  19 
* Array Biopharma Inc.  5,287  9 
* Amicus Therapeutics Inc.  1,182  4 
    98,821 
Health Care Equipment & Supplies (18.5%)     
Medtronic Inc.  520,942  22,109 
Baxter International Inc.  282,934  15,434 
Covidien PLC  235,848  11,042 
Becton Dickinson and Co.  112,543  8,418 
Stryker Corp.  139,867  7,049 
* Zimmer Holdings Inc.  101,021  5,977 
* St Jude Medical Inc.  162,789  5,976 
* Boston Scientific Corp.  707,623  5,923 
* Intuitive Surgical Inc.  17,788  4,990 
CR Bard Inc.  45,790  3,764 
* Hospira Inc.  75,362  3,538 
* Varian Medical Systems Inc.  58,873  2,752 
DENTSPLY International Inc.  66,314  2,210 
* CareFusion Corp.  84,565  2,184 
* Edwards Lifesciences Corp.  26,293  2,163 
Beckman Coulter Inc.  31,898  2,072 
* ResMed Inc.  35,461  1,783 
* Hologic Inc.  120,472  1,743 
* Inverness Medical Innovations Inc.  35,134  1,477 
* IDEXX Laboratories Inc.  27,774  1,390 
* Gen-Probe Inc.  24,442  1,019 
Teleflex Inc.  18,725  975 
STERIS Corp.  27,533  890 
* Kinetic Concepts Inc.  25,014  843 
* Thoratec Corp.  26,551  791 
Cooper Cos. Inc.  21,293  713 
* Haemonetics Corp.  12,115  647 


Hill-Rom Holdings Inc.  27,969  620 
* Immucor Inc.  33,119  611 
* American Medical Systems Holdings Inc.  34,648  609 
* Masimo Corp.  23,010  607 
West Pharmaceutical Services Inc.  15,473  596 
* NuVasive Inc.  17,195  558 
* Align Technology Inc.  26,429  432 
Meridian Bioscience Inc.  19,029  394 
* ev3 Inc.  30,086  382 
Invacare Corp.  13,852  345 
* Sirona Dental Systems Inc.  11,526  335 
* Integra LifeSciences Holdings Corp.  9,911  324 
* Wright Medical Group Inc.  17,929  323 
* Volcano Corp.  20,233  298 
* Conmed Corp.  13,663  284 
* Zoll Medical Corp.  9,917  244 
Analogic Corp.  6,002  243 
* Conceptus Inc.  14,350  243 
* Cyberonics Inc.  12,921  233 
* Abaxis Inc.  10,226  230 
* Orthofix International NV  7,330  222 
* Neogen Corp.  6,542  213 
* ICU Medical Inc.  6,193  204 
* Merit Medical Systems Inc.  12,338  203 
* Greatbatch Inc.  10,796  199 
* SonoSite Inc.  8,028  181 
* Insulet Corp.  14,528  178 
* Natus Medical Inc.  13,028  174 
* Quidel Corp.  12,602  158 
* SurModics Inc.  6,959  156 
* Symmetry Medical Inc.  16,654  134 
* DexCom Inc.  18,133  131 
* ABIOMED Inc.  14,544  123 
* Cantel Medical Corp.  6,569  118 
* Orthovita Inc.  31,808  115 
* Kensey Nash Corp.  4,702  110 
* Angiodynamics Inc.  6,957  108 
* Accuray Inc.  20,856  108 
* RTI Biologics Inc.  25,541  104 
Atrion Corp.  727  99 
* IRIS International Inc.  8,281  93 
* Somanetics Corp.  5,697  82 
* OraSure Technologies Inc.  21,012  81 
* Electro-Optical Sciences Inc.  6,930  73 
* Palomar Medical Technologies Inc.  7,923  73 
* CryoLife Inc.  12,338  71 
* Synovis Life Technologies Inc.  5,465  66 
* Stereotaxis Inc.  17,790  66 
* ATS Medical Inc.  22,003  65 
* MAKO Surgical Corp.  7,578  65 
* Exactech Inc.  3,732  59 
* TomoTherapy Inc.  17,000  58 
* Cynosure Inc. Class A  4,596  46 
* Hansen Medical Inc.  14,067  36 
    129,755 
Health Care Providers & Services (17.5%)     
UnitedHealth Group Inc.  545,594  15,642 


* Medco Health Solutions Inc.  222,388  14,046 
* WellPoint Inc.  222,936  12,045 
* Express Scripts Inc.  122,457  10,507 
McKesson Corp.  124,861  7,744 
Aetna Inc.  204,821  5,962 
Cardinal Health Inc.  169,172  5,452 
Quest Diagnostics Inc.  73,977  4,286 
CIGNA Corp.  128,038  4,107 
* Laboratory Corp. of America Holdings  50,874  3,712 
AmerisourceBergen Corp. Class A  139,492  3,444 
* Humana Inc.  79,639  3,306 
* DaVita Inc.  48,611  2,880 
* Henry Schein Inc.  42,318  2,102 
* Coventry Health Care Inc.  69,659  1,571 
* Community Health Systems Inc.  43,454  1,326 
Omnicare Inc.  55,680  1,291 
* Mednax Inc.  21,538  1,211 
Universal Health Services Inc. Class B  21,326  1,192 
* Lincare Holdings Inc.  31,790  1,129 
* Patterson Cos. Inc.  43,013  1,106 
* Health Net Inc.  48,760  1,035 
* Tenet Healthcare Corp.  225,227  1,025 
* VCA Antech Inc.  39,761  901 
Owens & Minor Inc.  19,588  760 
* Healthsouth Corp.  41,482  728 
* Health Management Associates Inc. Class A  115,769  710 
* LifePoint Hospitals Inc.  24,289  705 
* WellCare Health Plans Inc.  19,856  655 
* Emergency Medical Services Corp. Class A  13,168  635 
* Magellan Health Services Inc.  16,580  610 
* Catalyst Health Solutions Inc.  17,570  598 
* AMERIGROUP Corp.  24,835  589 
* Psychiatric Solutions Inc.  25,170  558 
* HMS Holdings Corp.  12,217  540 
* PSS World Medical Inc.  27,880  539 
* Brookdale Senior Living Inc.  33,509  522 
Chemed Corp.  10,628  480 
* Amedisys Inc.  12,929  479 
* Centene Corp.  20,235  381 
* Healthspring Inc.  22,768  377 
* RehabCare Group Inc.  11,213  316 
* Gentiva Health Services Inc.  12,804  303 
* Amsurg Corp. Class A  14,406  298 
* Healthways Inc.  15,666  269 
* inVentiv Health Inc.  15,811  250 
Landauer Inc.  4,348  247 
* LHC Group Inc.  7,728  238 
* Odyssey HealthCare Inc.  15,459  225 
* Universal American Corp.  21,591  224 
* Kindred Healthcare Inc.  14,502  215 
* PharMerica Corp.  14,157  213 
* IPC The Hospitalist Co. Inc.  6,375  201 
* MWI Veterinary Supply Inc.  5,377  199 
* Hanger Orthopedic Group Inc.  14,499  193 
* Bio-Reference Labs Inc.  5,525  181 
* Air Methods Corp.  5,099  176 
* Genoptix Inc.  4,750  172 
* Sun Healthcare Group Inc.  20,271  171 


* Emeritus Corp.  10,048  157 
* Triple-S Management Corp. Class B  9,525  153 
* Res-Care Inc.  11,701  150 
* Molina Healthcare Inc.  6,079  127 
* Almost Family Inc.  3,505  127 
* AMN Healthcare Services Inc.  15,195  121 
* Corvel Corp.  4,032  121 
National Healthcare Corp.  3,182  111 
* Cross Country Healthcare Inc.  13,039  111 
* Assisted Living Concepts Inc. Class A  4,630  108 
* Chindex International Inc.  6,088  83 
Ensign Group Inc.  5,374  74 
* Alliance HealthCare Services Inc.  11,710  69 
* Sunrise Senior Living Inc.  21,591  68 
* Skilled Healthcare Group Inc.  9,308  63 
* Nighthawk Radiology Holdings Inc.  11,029  58 
* Medcath Corp.  7,525  55 
* Clarient Inc.  21,070  54 
* Virtual Radiologic Corp.  3,307  43 
* CardioNet Inc.  6,285  31 
    122,863 
Health Care Technology (1.1%)     
* Cerner Corp.  32,209  2,425 
IMS Health Inc.  85,373  1,824 
* Allscripts-Misys Healthcare Solutions Inc.  30,218  580 
Quality Systems Inc.  8,664  515 
* Eclipsys Corp.  26,364  484 
* athenahealth Inc.  10,170  426 
* Phase Forward Inc.  20,336  310 
* MedAssets Inc.  12,921  302 
Computer Programs & Systems Inc.  4,612  213 
* Omnicell Inc.  14,018  143 
* Medidata Solutions Inc.  5,319  90 
* Vital Images Inc.  6,488  82 
    7,394 
Life Sciences Tools & Services (4.3%)     
* Thermo Fisher Scientific Inc.  191,539  9,046 
* Life Technologies Corp.  82,042  4,084 
* Waters Corp.  45,337  2,665 
* Millipore Corp.  26,072  1,775 
* Illumina Inc.  57,813  1,672 
* Covance Inc.  30,004  1,593 
* Mettler-Toledo International Inc.  15,882  1,580 
Techne Corp.  16,661  1,131 
Pharmaceutical Product Development Inc.  49,826  1,068 
PerkinElmer Inc.  54,795  1,034 
* Charles River Laboratories International Inc.  31,063  999 
* Bio-Rad Laboratories Inc. Class A  8,967  867 
* Varian Inc.  13,552  694 
* Dionex Corp.  8,343  585 
* Bruker Corp.  30,877  350 
* Parexel International Corp.  27,073  325 
* Luminex Corp.  18,282  250 
* Affymetrix Inc.  32,817  156 
* eResearchTechnology Inc.  19,366  114 
* Sequenom Inc.  27,372  112 
* Kendle International Inc.  6,669  100 


* Albany Molecular Research Inc.  10,440  88 
* Enzo Biochem Inc.  15,355  80 
    30,368 
Pharmaceuticals (44.3%)     
Johnson & Johnson  1,293,651  81,293 
Pfizer Inc.  3,785,608  68,785 
* Merck & Co. Inc.  1,433,874  51,921 
Abbott Laboratories  726,046  39,562 
Bristol-Myers Squibb Co.  930,575  23,553 
Eli Lilly & Co.  485,766  17,842 
Allergan Inc.  143,058  8,316 
* Forest Laboratories Inc.  141,622  4,342 
* Mylan Inc.  143,164  2,558 
* Watson Pharmaceuticals Inc.  46,998  1,743 
Perrigo Co.  36,858  1,480 
* King Pharmaceuticals Inc.  116,392  1,377 
* Warner Chilcott PLC Class A  53,131  1,306 
* Endo Pharmaceuticals Holdings Inc.  54,672  1,204 
* Valeant Pharmaceuticals International  36,702  1,200 
* Auxilium Pharmaceuticals Inc.  21,502  750 
Medicis Pharmaceutical Corp. Class A  27,679  653 
* Salix Pharmaceuticals Ltd.  25,431  580 
* Par Pharmaceutical Cos. Inc.  16,331  387 
* Nektar Therapeutics  43,505  379 
* Vivus Inc.  35,281  287 
* Viropharma Inc.  35,996  272 
* Impax Laboratories Inc.  20,911  238 
* XenoPort Inc.  12,452  205 
* Medicines Co.  24,492  192 
* Inspire Pharmaceuticals Inc.  31,168  181 
* Questcor Pharmaceuticals Inc.  26,859  116 
* Cadence Pharmaceuticals Inc.  11,900  102 
* Cypress Bioscience Inc.  17,709  94 
* Pain Therapeutics Inc.  16,227  83 
* Pozen Inc.  11,391  80 
* Durect Corp.  34,789  78 
* MAP Pharmaceuticals Inc.  6,029  55 
* KV Pharmaceutical Co. Class A  15,683  53 
* Akorn Inc.  26,064  42 
* Caraco Pharmaceutical Laboratories Ltd.  4,856  20 
* Sucampo Pharmaceuticals Inc. Class A  3,546  12 
    311,341 
Total Investments (99.8%) (Cost $785,360)    700,542 
Other Assets and Liabilities-Net (0.2%)    1,669 
Net Assets (100%)    702,211 

* Non-income-producing security.


Health Care Index Fund

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.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.

At November 30, 2009, the cost of investment securities for tax purposes was $785,360,000. Net unrealized depreciation of investment securities for tax purposes was $84,818,000, consisting of unrealized gains of $26,481,000 on securities that had risen in value since their purchase and $111,299,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Industrials Index Fund

Schedule of Investments
As of November 30, 2009

      Market 
      Value 
    Shares  ($000) 
Common Stocks (99.9%)     
Aerospace & Defense (21.5%)     
  United Technologies Corp.  228,943  15,394 
  Boeing Co.  176,686  9,260 
  Honeywell International Inc.  182,888  7,036 
  Lockheed Martin Corp.  83,677  6,462 
  General Dynamics Corp.  83,804  5,523 
  Raytheon Co.  99,712  5,138 
  Northrop Grumman Corp.  77,391  4,241 
  Precision Castparts Corp.  35,899  3,722 
  L-3 Communications Holdings Inc.  29,846  2,339 
  ITT Corp.  44,362  2,294 
  Rockwell Collins Inc.  40,364  2,158 
  Goodrich Corp.  31,742  1,884 
*  Alliant Techsystems Inc.  8,437  723 
*  Spirit Aerosystems Holdings Inc. Class A  26,581  485 
*  BE Aerospace Inc.  24,652  475 
  TransDigm Group Inc.  9,921  430 
  Curtiss-Wright Corp.  11,598  330 
*  Esterline Technologies Corp.  7,629  308 
*  Teledyne Technologies Inc.  8,806  295 
*  Moog Inc. Class A  10,573  279 
*  Hexcel Corp.  24,763  261 
  Triumph Group Inc.  4,292  206 
*  AAR Corp.  9,949  186 
*  Orbital Sciences Corp.  14,549  182 
  American Science & Engineering Inc.  2,268  158 
*  GeoEye Inc.  4,740  148 
  Cubic Corp.  4,121  144 
*  DynCorp International Inc. Class A  9,375  131 
  HEICO Corp. Class A  3,674  118 
*  DigitalGlobe Inc.  5,002  115 
*  Aerovironment Inc.  3,829  110 
*  Ceradyne Inc.  6,311  107 
*  Stanley Inc.  3,678  98 
*  GenCorp Inc.  12,092  94 
*  Argon ST Inc.  3,652  66 
*  Taser International Inc.  15,125  64 
  Applied Signal Technology Inc.  3,194  63 
*  Ladish Co. Inc.  4,050  56 
  HEICO Corp.  1,502  56 
  Ducommun Inc.  2,565  48 
      71,187 
Air Freight & Logistics (6.6%)     
  United Parcel Service Inc. Class B  179,826  10,335 
  FedEx Corp.  75,977  6,416 
  CH Robinson Worldwide Inc.  43,082  2,401 
  Expeditors International of Washington Inc.  54,312  1,734 
  UTi Worldwide Inc.  24,472  320 
*  HUB Group Inc. Class A  9,563  253 


Forward Air Corp.  7,473  169 
* Atlas Air Worldwide Holdings Inc.  5,479  161 
Pacer International Inc.  8,984  26 
    21,815 
Airlines (1.8%)     
Southwest Airlines Co.  189,827  1,746 
* Delta Air Lines Inc.  198,456  1,625 
* AMR Corp.  84,397  510 
* Continental Airlines Inc. Class B  35,428  505 
* JetBlue Airways Corp.  61,450  339 
* UAL Corp.  43,003  334 
* Alaska Air Group Inc.  8,996  269 
Skywest Inc.  14,324  211 
* US Airways Group Inc.  39,955  148 
* AirTran Holdings Inc.  32,549  134 
* Allegiant Travel Co. Class A  3,111  128 
* Hawaiian Holdings Inc.  13,309  83 
* Republic Airways Holdings Inc.  8,846  60 
    6,092 
Building Products (1.1%)     
Masco Corp.  92,144  1,251 
* Owens Corning  19,691  465 
Lennox International Inc.  12,100  449 
Simpson Manufacturing Co. Inc.  10,051  250 
* USG Corp.  17,813  246 
* Armstrong World Industries Inc.  5,175  215 
Universal Forest Products Inc.  4,445  160 
Quanex Building Products Corp.  9,700  157 
* Griffon Corp.  13,465  140 
Ameron International Corp.  2,236  127 
Apogee Enterprises Inc.  7,147  98 
Gibraltar Industries Inc.  6,195  93 
AAON Inc.  3,294  63 
American Woodmark Corp.  2,354  46 
* Builders FirstSource Inc.  881  3 
* China Architectural Engineering Inc.  1,666  2 
* NCI Building Systems Inc.  78  — 
    3,765 
Commercial Services & Supplies (6.4%)     
Waste Management Inc.  119,832  3,935 
Republic Services Inc. Class A  97,082  2,738 
Pitney Bowes Inc.  53,022  1,222 
* Stericycle Inc.  20,721  1,134 
* Iron Mountain Inc.  46,761  1,122 
RR Donnelley & Sons Co.  52,720  1,085 
Cintas Corp.  35,336  993 
Avery Dennison Corp.  26,074  979 
* Corrections Corp. of America  29,597  740 
* Waste Connections Inc.  20,556  667 
* Copart Inc.  18,257  592 
* Covanta Holding Corp.  31,824  543 
* Tetra Tech Inc.  15,480  408 
* Clean Harbors Inc.  6,052  324 
* United Stationers Inc.  6,077  310 
* Geo Group Inc.  13,123  261 
Brink's Co.  11,085  249 
HNI Corp.  9,833  249 


* SYKES Enterprises Inc.  8,990  221 
Herman Miller Inc.  14,300  217 
Mine Safety Appliances Co.  8,778  217 
Healthcare Services Group Inc.  10,542  208 
ABM Industries Inc.  11,203  206 
Rollins Inc.  11,542  205 
Deluxe Corp.  13,108  169 
EnergySolutions Inc.  19,384  166 
* Mobile Mini Inc.  9,154  139 
* EnerNOC Inc.  4,571  121 
McGrath Rentcorp  5,785  120 
Knoll Inc.  12,131  118 
* ATC Technology Corp.  5,099  112 
* Cenveo Inc.  13,722  105 
G&K Services Inc. Class A  4,762  105 
* M&F Worldwide Corp.  2,990  99 
Viad Corp.  5,292  98 
Ennis Inc.  6,653  96 
Interface Inc. Class A  12,357  95 
Steelcase Inc. Class A  17,113  93 
* ACCO Brands Corp.  14,156  92 
* Cornell Cos. Inc.  3,911  86 
* Consolidated Graphics Inc.  2,572  76 
* Team Inc.  4,592  75 
American Ecology Corp.  4,493  73 
* Waste Services Inc.  7,595  60 
Bowne & Co. Inc.  9,893  60 
* Standard Parking Corp.  3,531  57 
Kimball International Inc. Class B  6,481  53 
* American Reprographics Co.  9,407  52 
Schawk Inc. Class A  3,923  44 
* APAC Customer Services Inc.  7,211  38 
* Fuel Tech Inc.  4,345  37 
* Metalico Inc.  8,879  37 
* Innerworkings Inc.  7,023  36 
Courier Corp.  2,578  34 
Standard Register Co.  2,484  11 
    21,382 
Construction & Engineering (3.0%)     
Fluor Corp.  46,049  1,956 
* Jacobs Engineering Group Inc.  31,769  1,112 
* Foster Wheeler AG  32,483  969 
* Quanta Services Inc.  50,779  952 
* URS Corp.  21,582  897 
KBR Inc.  41,231  768 
* Shaw Group Inc.  21,449  612 
* Aecom Technology Corp.  22,430  570 
* EMCOR Group Inc.  16,923  403 
Granite Construction Inc.  8,935  268 
* Insituform Technologies Inc. Class A  10,022  207 
* MasTec Inc.  15,633  200 
* Layne Christensen Co.  4,997  130 
* Orion Marine Group Inc.  6,737  125 
* Tutor Perini Corp.  6,887  114 
Comfort Systems USA Inc.  9,958  113 
Great Lakes Dredge & Dock Corp.  13,583  80 
* Michael Baker Corp.  2,060  78 


* Dycom Industries Inc.  10,044  78 
* MYR Group Inc.  4,829  75 
* Northwest Pipe Co.  2,354  60 
* Sterling Construction Co. Inc.  3,228  56 
* Pike Electric Corp.  4,732  43 
* Furmanite Corp.  9,107  30 
* Argan Inc.  1,468  19 
Primoris Services Corp.  26  — 
    9,915 
Electrical Equipment (6.6%)     
Emerson Electric Co.  192,426  7,968 
Cooper Industries PLC Class A  42,688  1,822 
Rockwell Automation Inc.  36,343  1,581 
* First Solar Inc.  11,948  1,423 
Roper Industries Inc.  23,265  1,211 
AMETEK Inc.  27,602  1,009 
Hubbell Inc. Class B  13,332  605 
* Thomas & Betts Corp.  13,551  495 
* GrafTech International Ltd.  30,906  455 
Regal-Beloit Corp.  9,170  435 
* General Cable Corp.  13,327  391 
Brady Corp. Class A  12,499  371 
Woodward Governor Co.  15,663  364 
Acuity Brands Inc.  11,023  356 
* American Superconductor Corp.  10,615  353 
Baldor Electric Co.  11,359  293 
* SunPower Corp. Class A  13,999  289 
* EnerSys  11,730  267 
Belden Inc.  11,961  265 
AO Smith Corp.  5,776  242 
* SunPower Corp. Class B  10,796  193 
* II-VI Inc.  6,446  184 
Franklin Electric Co. Inc.  4,729  130 
* Energy Conversion Devices Inc.  11,620  115 
* AZZ Inc.  3,128  106 
Encore Wire Corp.  4,758  95 
* Harbin Electric Inc.  4,660  93 
* Powell Industries Inc.  2,217  78 
* Polypore International Inc.  6,308  74 
* Ener1 Inc.  11,836  69 
* Evergreen Solar Inc.  48,753  68 
* Power-One Inc.  16,824  62 
* FuelCell Energy Inc.  17,420  53 
* Broadwind Energy Inc.  7,221  52 
* Capstone Turbine Corp.  39,539  50 
* GT Solar International Inc.  9,079  43 
* Vicor Corp.  5,020  41 
* Fushi Copperweld Inc.  3,920  32 
Preformed Line Products Co.  668  27 
* Plug Power Inc.  21,350  17 
* Valence Technology Inc.  15,827  17 
* Orion Energy Systems Inc.  58  — 
    21,794 
Industrial Conglomerates (19.5%)     
General Electric Co.  2,720,606  43,584 
3M Co.  169,820  13,151 
Tyco International Ltd.  121,380  4,354 


Textron Inc.  69,169  1,387 
* McDermott International Inc.  58,783  1,231 
Carlisle Cos. Inc.  15,725  505 
Otter Tail Corp.  8,684  200 
Seaboard Corp.  95  138 
Raven Industries Inc.  4,179  112 
Tredegar Corp.  6,591  95 
Standex International Corp.  3,069  56 
    64,813 
Machinery (19.0%)     
Caterpillar Inc.  158,991  9,283 
Deere & Co.  108,284  5,794 
Illinois Tool Works Inc.  108,839  5,294 
Danaher Corp.  69,578  4,934 
PACCAR Inc.  88,367  3,277 
Ingersoll-Rand PLC  81,723  2,891 
Eaton Corp.  40,278  2,574 
Parker Hannifin Corp.  41,096  2,218 
Cummins Inc.  49,083  2,204 
Dover Corp.  47,655  1,948 
Flowserve Corp.  14,319  1,424 
Joy Global Inc.  26,174  1,401 
Bucyrus International Inc. Class A  19,329  1,001 
Pall Corp.  30,216  962 
Oshkosh Corp.  22,502  894 
Stanley Works  18,303  889 
Donaldson Co. Inc.  18,873  802 
Pentair Inc.  23,973  722 
* AGCO Corp.  23,798  721 
SPX Corp.  12,592  671 
Harsco Corp.  20,630  640 
IDEX Corp.  20,741  615 
Lincoln Electric Holdings Inc.  10,915  561 
* Navistar International Corp.  16,284  537 
Snap-On Inc.  14,815  536 
Timken Co.  21,139  521 
* Terex Corp.  27,641  520 
Gardner Denver Inc.  13,331  499 
Kennametal Inc.  20,624  464 
Wabtec Corp.  11,660  449 
Graco Inc.  15,397  434 
CLARCOR Inc.  13,078  417 
Nordson Corp.  7,766  416 
Trinity Industries Inc.  20,160  380 
Toro Co.  9,180  366 
Valmont Industries Inc.  4,734  363 
Crane Co.  12,006  336 
Manitowoc Co. Inc.  33,423  328 
Kaydon Corp.  8,557  304 
Actuant Corp. Class A  16,997  278 
Briggs & Stratton Corp.  12,824  242 
Watts Water Technologies Inc. Class A  7,588  233 
* ESCO Technologies Inc.  6,729  225 
Mueller Industries Inc.  9,530  224 
Mueller Water Products Inc. Class A  38,989  196 
* Middleby Corp.  4,285  192 
Barnes Group Inc.  11,642  181 


Robbins & Myers Inc.  7,188  165 
Albany International Corp.  7,084  128 
Badger Meter Inc.  3,626  128 
* Astec Industries Inc.  4,928  123 
John Bean Technologies Corp.  7,101  122 
* Chart Industries Inc.  7,323  122 
Tennant Co.  4,321  118 
* EnPro Industries Inc.  5,124  118 
CIRCOR International Inc.  4,370  105 
Lindsay Corp.  3,003  105 
* Blount International Inc.  10,421  101 
Gorman-Rupp Co.  3,891  97 
* Force Protection Inc.  17,825  92 
* RBC Bearings Inc.  3,787  88 
* Colfax Corp.  6,641  82 
Sun Hydraulics Corp.  3,219  76 
* Columbus McKinnon Corp.  4,633  73 
* LB Foster Co. Class A  2,629  72 
Titan International Inc.  8,486  70 
NACCO Industries Inc. Class A  1,375  69 
Federal Signal Corp.  11,834  68 
* SmartHeat Inc.  4,955  65 
Ampco-Pittsburgh Corp.  2,222  65 
Dynamic Materials Corp.  3,308  63 
* K-Tron International Inc.  648  62 
FreightCar America Inc.  3,068  56 
* 3D Systems Corp.  4,906  54 
Cascade Corp.  2,219  50 
* Energy Recovery Inc.  8,414  47 
* Kadant Inc.  3,108  45 
Greenbrier Cos. Inc.  4,045  43 
* Tecumseh Products Co. Class A  3,467  40 
Sauer-Danfoss Inc.  3,120  27 
American Railcar Industries Inc.  2,470  26 
* China Fire & Security Group Inc.  1,691  21 
* Tecumseh Products Co. Class B  822  9 
* Trimas Corp.  679  3 
    63,159 
Marine (0.3%)     
* Kirby Corp.  13,129  438 
Alexander & Baldwin Inc.  10,520  321 
* Genco Shipping & Trading Ltd.  7,340  172 
* Eagle Bulk Shipping Inc.  15,807  90 
* American Commercial Lines Inc.  2,442  48 
Horizon Lines Inc. Class A  7,430  40 
* TBS International Ltd. Class A  3,337  26 
    1,135 
Professional Services (2.8%)     
Dun & Bradstreet Corp.  13,510  1,062 
Manpower Inc.  20,132  992 
Equifax Inc.  32,439  929 
Robert Half International Inc.  36,941  825 
* IHS Inc. Class A  12,945  651 
* Verisk Analytics Inc. Class A  23,235  625 
* FTI Consulting Inc.  13,189  610 
Watson Wyatt Worldwide Inc. Class A  10,959  453 
* Monster Worldwide Inc.  30,777  450 


* MPS Group Inc.  23,711  324 
* Resources Connection Inc.  10,981  212 
* CoStar Group Inc.  4,864  193 
* Korn/Ferry International  11,542  187 
Corporate Executive Board Co.  8,754  183 
* Navigant Consulting Inc.  12,883  171 
* TrueBlue Inc.  11,247  137 
Administaff Inc.  5,872  131 
Heidrick & Struggles International Inc.  4,379  124 
* Huron Consulting Group Inc.  4,979  114 
* School Specialty Inc.  4,851  111 
* Kforce Inc.  8,462  110 
* Advisory Board Co.  3,988  104 
* Exponent Inc.  3,492  94 
* CBIZ Inc.  11,988  82 
Kelly Services Inc. Class A  7,279  76 
* CRA International Inc.  2,794  69 
* Spherion Corp.  12,968  68 
* ICF International Inc.  2,321  63 
CDI Corp.  3,390  40 
* Hill International Inc.  6,262  38 
* Volt Information Sciences Inc.  3,469  31 
* Odyssey Marine Exploration Inc.  13,041  18 
* LECG Corp.  1,168  4 
    9,281 
Road & Rail (9.6%)     
Burlington Northern Santa Fe Corp.  87,053  8,557 
Union Pacific Corp.  129,115  8,168 
Norfolk Southern Corp.  94,122  4,838 
CSX Corp.  100,407  4,767 
JB Hunt Transport Services Inc.  22,664  722 
* Kansas City Southern  24,561  703 
Ryder System Inc.  14,358  582 
Landstar System Inc.  13,177  492 
* Hertz Global Holdings Inc.  47,151  462 
Con-way Inc.  12,541  380 
* Genesee & Wyoming Inc. Class A  9,679  301 
Knight Transportation Inc.  16,045  273 
* Avis Budget Group Inc.  26,185  255 
Heartland Express Inc.  15,178  224 
Werner Enterprises Inc.  11,997  224 
* Old Dominion Freight Line Inc.  7,170  190 
Arkansas Best Corp.  6,200  153 
* Dollar Thrifty Automotive Group Inc.  5,009  93 
* Amerco Inc.  1,761  90 
* Marten Transport Ltd.  4,238  72 
* Saia Inc.  3,478  50 
* Patriot Transportation Holding Inc.  441  41 
Universal Truckload Services Inc.  1,646  25 
* YRC Worldwide Inc.  14,894  17 
    31,679 
Trading Companies & Distributors (1.7%)     
WW Grainger Inc.  16,004  1,564 
Fastenal Co.  34,224  1,269 
MSC Industrial Direct Co. Class A  11,278  518 
Watsco Inc.  7,107  356 
GATX Corp.  11,788  340 


* WESCO International Inc.  10,309  269 
Applied Industrial Technologies Inc.  9,795  203 
* Beacon Roofing Supply Inc.  11,636  179 
Kaman Corp.  6,625  150 
* Interline Brands Inc.  8,370  141 
* United Rentals Inc.  13,942  129 
Aircastle Ltd.  13,235  117 
* Rush Enterprises Inc. Class A  6,772  73 
TAL International Group Inc.  4,019  55 
* H&E Equipment Services Inc.  5,378  50 
Houston Wire & Cable Co.  4,287  48 
* RSC Holdings Inc.  6,661  42 
* Titan Machinery Inc.  3,417  38 
Aceto Corp.  6,388  33 
* Rush Enterprises Inc. Class B  1,943  19 
Lawson Products Inc.  1,128  16 
    5,609 
Transportation Infrastructure (0.0%)     
Macquarie Infrastructure Co. LLC  10,922  102 
 
Total Investments (99.9%) (Cost $416,562)    331,728 
Other Assets and Liabilities-Net (0.1%)    261 
Net Assets (100%)    331,989 
* Non-income-producing security.     

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.

At November 30, 2009, the cost of investment securities for tax purposes was $416,562,000. Net unrealized depreciation of investment securities for tax purposes was $84,834,000, consisting of unrealized gains of $1,481,000 on securities that had risen in value since their purchase and $86,315,000 in unrealized losses on securities that had fallen in value since their purchase.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.


Vanguard Information Technology Index Fund     
 
 
 
Schedule of Investments     
As of November 30, 2009     
 
      Market 
      Value 
    Shares  ($000) 
Common Stocks (100.0%)     
Communications Equipment (13.1%)     
*  Cisco Systems Inc.  2,311,722  54,094 
  QUALCOMM Inc.  666,206  29,979 
  Motorola Inc.  919,951  7,369 
*  Juniper Networks Inc.  210,097  5,490 
  Harris Corp.  53,071  2,330 
*  F5 Networks Inc.  31,628  1,487 
*  3Com Corp.  156,014  1,150 
*  Brocade Communications Systems Inc.  159,589  1,131 
*  CommScope Inc.  37,460  941 
*  Tellabs Inc.  151,512  850 
*  Polycom Inc.  33,760  728 
*  Palm Inc.  61,995  676 
*  JDS Uniphase Corp.  85,759  634 
*  Starent Networks Corp.  17,061  588 
*  Arris Group Inc.  49,766  497 
  ADTRAN Inc.  22,557  477 
  Plantronics Inc.  19,632  454 
*  Riverbed Technology Inc.  22,089  450 
*  Ciena Corp.  36,399  442 
*  Avocent Corp.  17,475  437 
*  Blue Coat Systems Inc.  15,862  419 
*  InterDigital Inc.  17,561  418 
*  Viasat Inc.  11,285  346 
*  Tekelec  24,062  342 
*  Comtech Telecommunications Corp.  11,311  325 
*  Emulex Corp.  33,318  325 
*  EchoStar Corp. Class A  14,920  290 
*  Infinera Corp.  34,491  284 
*  Netgear Inc.  14,011  278 
*  Sonus Networks Inc.  109,902  240 
*  ADC Telecommunications Inc.  38,745  237 
*  Sycamore Networks Inc.  80,204  227 
*  DG FastChannel Inc.  8,023  216 
  Black Box Corp.  7,011  198 
*  Harmonic Inc.  38,394  194 
*  Aruba Networks Inc.  24,239  194 
*  Finisar Corp.  20,327  185 
*  Loral Space & Communications Inc.  4,887  162 
*  Harris Stratex Networks Inc. Class A  23,437  147 
*  Oplink Communications Inc.  8,161  141 
*  Acme Packet Inc.  11,622  119 
*  Hughes Communications Inc.  3,912  101 
*  Ixia  14,593  97 
*  ShoreTel Inc.  17,761  91 
*  EMS Technologies Inc.  6,115  79 
*  Extreme Networks  35,411  77 
*  Symmetricom Inc.  17,485  77 
*  Anaren Inc.  5,503  76 
*  Utstarcom Inc.  43,678  75 


* Digi International Inc.  9,456  75 
* Powerwave Technologies Inc.  52,246  73 
* Seachange International Inc.  12,163  68 
* Cogo Group Inc.  10,963  62 
* Airvana Inc.  9,983  61 
Bel Fuse Inc. Class B  3,346  60 
* BigBand Networks Inc.  15,449  55 
* Opnext Inc.  8,721  16 
Bel Fuse Inc. Class A  805  14 
* Emcore Corp.  13,217  12 
    116,660 
Computers & Peripherals (25.9%)     
* Apple Inc.  359,018  71,771 
International Business Machines Corp.  525,441  66,389 
Hewlett-Packard Co.  956,419  46,922 
* EMC Corp.  810,754  13,645 
* Dell Inc.  704,815  9,952 
* NetApp Inc.  134,740  4,153 
* Western Digital Corp.  89,724  3,305 
Seagate Technology  197,830  2,993 
* Sun Microsystems Inc.  301,128  2,563 
* Teradata Corp.  68,859  2,018 
* SanDisk Corp.  91,319  1,801 
* QLogic Corp.  47,834  858 
* Lexmark International Inc. Class A  31,436  791 
Diebold Inc.  26,686  671 
* NCR Corp.  63,732  600 
* Synaptics Inc.  13,816  372 
* Intermec Inc.  19,932  245 
* Electronics for Imaging Inc.  19,759  237 
* Quantum Corp.  84,154  205 
* STEC Inc.  14,923  185 
* Compellent Technologies Inc.  8,728  181 
* Avid Technology Inc.  14,999  178 
* Netezza Corp.  15,711  159 
* Adaptec Inc.  48,774  153 
* Stratasys Inc.  7,763  115 
* 3PAR Inc.  11,037  113 
Imation Corp.  12,600  111 
* Novatel Wireless Inc.  12,280  103 
* Super Micro Computer Inc.  10,367  101 
* Intevac Inc.  6,558  82 
* Silicon Graphics International Corp.  11,839  72 
* Isilon Systems Inc.  8,841  53 
    231,097 
Electronic Equipment, Instruments & Components (4.9%)     
Corning Inc.  623,062  10,393 
Tyco Electronics Ltd.  183,844  4,267 
* Agilent Technologies Inc.  137,622  3,980 
Amphenol Corp. Class A  68,952  2,841 
* Flextronics International Ltd.  326,130  2,306 
* FLIR Systems Inc.  60,501  1,736 
* Avnet Inc.  60,828  1,658 
* Arrow Electronics Inc.  48,158  1,266 
* Trimble Navigation Ltd.  48,132  1,075 
* Ingram Micro Inc.  58,593  995 
Jabil Circuit Inc.  73,172  974 


* Itron Inc.  15,917  968 
* Dolby Laboratories Inc. Class A  21,167  947 
* Tech Data Corp.  20,237  852 
National Instruments Corp.  23,466  669 
* Anixter International Inc.  12,050  521 
* Vishay Intertechnology Inc.  69,359  503 
Molex Inc. Class A  29,663  486 
* Benchmark Electronics Inc.  26,300  474 
Molex Inc.  25,082  466 
* Plexus Corp.  15,843  430 
* Rofin-Sinar Technologies Inc.  11,659  266 
* Sanmina-SCI Corp.  32,696  264 
Cognex Corp.  15,265  251 
* Coherent Inc.  9,791  249 
AVX Corp.  20,617  249 
* Scansource Inc.  10,650  248 
* Littelfuse Inc.  8,715  228 
* SYNNEX Corp.  7,968  226 
* Checkpoint Systems Inc.  15,581  221 
* DTS Inc.  7,052  213 
* L-1 Identity Solutions Inc.  33,794  207 
* Brightpoint Inc.  26,362  189 
* Insight Enterprises Inc.  18,504  188 
Park Electrochemical Corp.  7,780  184 
* TTM Technologies Inc.  17,244  179 
* Rogers Corp.  6,304  178 
MTS Systems Corp.  6,020  155 
* Cogent Inc.  17,960  153 
* Maxwell Technologies Inc.  9,088  149 
* Universal Display Corp.  13,146  140 
* IPG Photonics Corp.  9,106  136 
* Echelon Corp.  12,319  136 
* OSI Systems Inc.  6,388  131 
CTS Corp.  13,521  125 
* FARO Technologies Inc.  6,370  124 
Methode Electronics Inc.  15,358  122 
Daktronics Inc.  13,830  117 
* Electro Scientific Industries Inc.  10,976  107 
* Newport Corp.  14,523  106 
* China Security & Surveillance Technology Inc.  16,775  101 
* Multi-Fineline Electronix Inc.  4,019  100 
* SMART Modular Technologies WWH Inc.  19,756  88 
* Comverge Inc.  8,447  87 
Technitrol Inc.  16,376  83 
Electro Rent Corp.  7,570  77 
Agilysys Inc.  9,170  76 
* CPI International Inc.  2,949  28 
* ICx Technologies Inc.  4,744  24 
    43,712 
Internet Software & Services (10.0%)     
* Google Inc. Class A  96,975  56,536 
* eBay Inc.  439,591  10,757 
* Yahoo! Inc.  534,006  7,994 
* VeriSign Inc.  77,626  1,742 
* Akamai Technologies Inc.  69,590  1,670 
* Equinix Inc.  15,473  1,488 
* VistaPrint NV  16,173  922 


*  WebMD Health Corp.  21,384  776 
*  IAC/InterActiveCorp  38,384  747 
*  Sohu.com Inc.  12,336  688 
*  MercadoLibre Inc.  10,480  517 
*  Digital River Inc.  15,328  387 
*  Rackspace Hosting Inc.  19,284  357 
  Earthlink Inc.  43,113  355 
*  GSI Commerce Inc.  15,865  354 
*  j2 Global Communications Inc.  17,622  350 
*  ValueClick Inc.  34,939  330 
*  DealerTrack Holdings Inc.  15,308  261 
  United Online Inc.  33,566  228 
*  Art Technology Group Inc.  51,602  208 
*  SAVVIS Inc.  15,264  191 
*  Switch & Data Facilities Co. Inc.  9,030  167 
*  Constant Contact Inc.  8,506  152 
*  ModusLink Global Solutions Inc.  18,458  149 
  NIC Inc.  16,430  142 
*  RealNetworks Inc.  38,484  126 
*  comScore Inc.  7,833  125 
*  Vocus Inc.  7,347  120 
*  Infospace Inc.  13,952  114 
*  LoopNet Inc.  10,957  112 
*  Knot Inc.  11,591  111 
*  Perficient Inc.  12,922  108 
*  Terremark Worldwide Inc.  16,822  103 
*  Internet Capital Group Inc.  15,084  97 
*  Move Inc.  58,429  90 
*  Internap Network Services Corp.  19,557  73 
*  OpenTable Inc.  2,647  70 
*  Internet Brands Inc. Class A  9,212  64 
*  DivX Inc.  11,202  57 
*  Liquidity Services Inc.  6,706  55 
*  Limelight Networks Inc.  14,726  51 
  Marchex Inc. Class B  9,629  45 
*  Dice Holdings Inc.  8,222  44 
*  TechTarget Inc.  4,975  29 
      89,062 
IT Services (9.9%)     
  Visa Inc. Class A  184,364  14,934 
  Accenture PLC Class A  246,189  10,104 
  Mastercard Inc. Class A  39,519  9,519 
  Automatic Data Processing Inc.  201,255  8,745 
  Western Union Co.  281,174  5,188 
*  Cognizant Technology Solutions Corp. Class A  117,655  5,169 
  Paychex Inc.  130,250  4,083 
*  Computer Sciences Corp.  60,989  3,373 
  Fidelity National Information Services Inc.  126,859  2,867 
*  Fiserv Inc.  61,879  2,861 
*  Affiliated Computer Services Inc. Class A  36,631  2,022 
  Global Payments Inc.  32,359  1,659 
  Lender Processing Services Inc.  38,261  1,599 
*  SAIC Inc.  81,728  1,456 
*  Hewitt Associates Inc. Class A  33,575  1,349 
*  Alliance Data Systems Corp.  21,322  1,300 
  Broadridge Financial Solutions Inc.  55,833  1,227 
  Total System Services Inc.  67,470  1,166 


* NeuStar Inc. Class A  29,785  697 
* DST Systems Inc.  15,992  679 
* CACI International Inc. Class A  12,064  560 
* Convergys Corp.  49,275  551 
* Unisys Corp.  16,920  543 
* Gartner Inc.  24,632  466 
* Cybersource Corp.  26,409  453 
* Wright Express Corp.  14,640  427 
* VeriFone Holdings Inc.  30,637  406 
* Genpact Ltd.  30,208  392 
* Euronet Worldwide Inc.  18,251  388 
* Mantech International Corp. Class A  8,796  381 
Syntel Inc.  10,006  379 
* Acxiom Corp.  29,879  345 
MAXIMUS Inc.  7,035  327 
* SRA International Inc. Class A  17,033  307 
* Sapient Corp.  40,924  301 
* TeleTech Holdings Inc.  15,254  294 
* CSG Systems International Inc.  14,074  272 
* TNS Inc.  10,119  254 
* Forrester Research Inc.  6,470  162 
* RightNow Technologies Inc.  9,071  128 
* Global Cash Access Holdings Inc.  17,225  128 
* infoGROUP Inc.  13,769  112 
Heartland Payment Systems Inc.  9,082  97 
* ExlService Holdings Inc.  5,857  95 
iGate Corp.  9,744  93 
* Ciber Inc.  26,045  83 
Cass Information Systems Inc.  2,589  73 
* Ness Technologies Inc.  14,320  72 
* NCI Inc. Class A  2,679  67 
* China Information Security Technology Inc.  10,700  64 
* Integral Systems Inc.  6,887  61 
    88,278 
Office Electronics (0.4%)     
Xerox Corp.  348,111  2,680 
* Zebra Technologies Corp.  23,924  637 
    3,317 
Semiconductors & Semiconductor Equipment (13.8%)     
Intel Corp.  2,243,575  43,077 
Texas Instruments Inc.  505,625  12,787 
Applied Materials Inc.  534,253  6,577 
* Broadcom Corp. Class A  174,677  5,101 
Analog Devices Inc.  117,241  3,516 
* Marvell Technology Group Ltd.  211,529  3,262 
* NVIDIA Corp.  219,868  2,871 
* Micron Technology Inc.  339,367  2,552 
Xilinx Inc.  110,339  2,498 
Altera Corp.  118,119  2,484 
Linear Technology Corp.  89,467  2,413 
Maxim Integrated Products Inc.  122,698  2,159 
KLA-Tencor Corp.  68,389  2,136 
Microchip Technology Inc.  73,312  1,924 
* Cree Inc.  38,859  1,859 
* Lam Research Corp.  50,888  1,730 
* Advanced Micro Devices Inc.  228,146  1,599 
National Semiconductor Corp.  94,703  1,383 


* LSI Corp.  261,264  1,382 
* ON Semiconductor Corp.  160,746  1,247 
* MEMC Electronic Materials Inc.  89,984  1,083 
* Varian Semiconductor Equipment Associates Inc.  29,444  858 
* Skyworks Solutions Inc.  68,583  844 
* Novellus Systems Inc.  39,255  812 
* Silicon Laboratories Inc.  17,066  721 
* PMC - Sierra Inc.  89,688  711 
* Rambus Inc.  39,876  711 
* Atheros Communications Inc.  24,605  701 
* Atmel Corp.  172,541  685 
Intersil Corp. Class A  49,210  636 
* Teradyne Inc.  69,532  616 
* Cypress Semiconductor Corp.  62,032  594 
* International Rectifier Corp.  28,895  541 
* Microsemi Corp.  32,611  497 
* Tessera Technologies Inc.  19,542  463 
* RF Micro Devices Inc.  101,442  438 
* Veeco Instruments Inc.  15,197  415 
* Fairchild Semiconductor International Inc. Class A  49,787  403 
* Semtech Corp.  24,595  394 
* Cymer Inc.  11,340  379 
* Integrated Device Technology Inc.  66,967  379 
* FEI Co.  15,016  367 
Power Integrations Inc.  10,392  349 
* FormFactor Inc.  19,821  336 
* TriQuint Semiconductor Inc.  59,194  322 
* Netlogic Microsystems Inc.  7,506  306 
* Cavium Networks Inc.  14,920  301 
* Avago Technologies Ltd.  18,910  300 
* Hittite Microwave Corp.  7,922  299 
* Cabot Microelectronics Corp.  9,410  288 
* MKS Instruments Inc.  18,774  284 
* Omnivision Technologies Inc.  20,372  284 
* Amkor Technology Inc.  47,754  265 
* Monolithic Power Systems Inc.  11,564  249 
* Verigy Ltd.  23,557  245 
* Diodes Inc.  13,294  233 
* Entegris Inc.  51,442  215 
* ATMI Inc.  12,656  197 
* Applied Micro Circuits Corp.  26,473  197 
* Zoran Corp.  20,746  190 
* Brooks Automation Inc.  25,818  189 
* Standard Microsystems Corp.  8,776  169 
* Volterra Semiconductor Corp.  9,092  150 
* Advanced Energy Industries Inc.  13,425  147 
* Cirrus Logic Inc.  24,758  134 
Micrel Inc.  18,094  129 
* Sigma Designs Inc.  10,679  125 
* Kulicke & Soffa Industries Inc.  27,373  124 
* Actel Corp.  10,416  121 
* Ultratech Inc.  8,952  118 
* Kopin Corp.  27,066  117 
* Supertex Inc.  4,576  109 
Cohu Inc.  8,933  105 
* Pericom Semiconductor Corp.  10,088  104 
* Exar Corp.  14,683  103 
* Lattice Semiconductor Corp.  46,441  102 


* Rubicon Technology Inc.  5,081  89 
* Silicon Storage Technology Inc.  34,271  78 
* Anadigics Inc.  25,369  78 
* Rudolph Technologies Inc.  11,768  76 
* Silicon Image Inc.  29,869  65 
* IXYS Corp.  9,105  59 
* DSP Group Inc.  9,122  57 
* Advanced Analogic Technologies Inc.  16,812  54 
* Conexant Systems Inc.  22,859  52 
* Mattson Technology Inc.  19,510  48 
* Trident Microsystems Inc.  25,344  48 
    123,415 
Software (22.0%)     
Microsoft Corp.  3,214,151  94,528 
Oracle Corp.  1,607,893  35,502 
* Adobe Systems Inc.  210,409  7,381 
* Symantec Corp.  326,478  5,795 
CA Inc.  167,931  3,711 
* Intuit Inc.  122,836  3,588 
* BMC Software Inc.  73,745  2,856 
* Salesforce.com Inc.  44,740  2,804 
* Citrix Systems Inc.  73,354  2,801 
* Activision Blizzard Inc.  229,362  2,612 
* McAfee Inc.  62,997  2,403 
* Electronic Arts Inc.  130,003  2,196 
* Autodesk Inc.  92,046  2,158 
* Red Hat Inc.  75,355  2,012 
* ANSYS Inc.  35,299  1,375 
* Sybase Inc.  32,450  1,306 
* Synopsys Inc.  57,962  1,302 
Factset Research Systems Inc.  17,942  1,298 
* Nuance Communications Inc.  80,850  1,228 
* Rovi Corp.  40,715  1,214 
Solera Holdings Inc.  26,600  930 
* MICROS Systems Inc.  32,316  907 
* VMware Inc. Class A  21,230  891 
* Informatica Corp.  35,091  788 
Jack Henry & Associates Inc.  32,037  732 
* Parametric Technology Corp.  46,671  703 
* Compuware Corp.  95,222  661 
* Cadence Design Systems Inc.  106,191  637 
* Concur Technologies Inc.  16,573  614 
* TIBCO Software Inc.  71,059  611 
* Novell Inc.  138,732  542 
* Blackboard Inc.  12,073  504 
* TiVo Inc.  43,409  430 
* Quest Software Inc.  24,769  417 
Blackbaud Inc.  17,608  392 
* Progress Software Corp.  16,077  387 
* Ariba Inc.  35,100  380 
* Take-Two Interactive Software Inc.  32,222  363 
Fair Isaac Corp.  19,602  358 
* Lawson Software Inc.  52,463  344 
* CommVault Systems Inc.  15,880  330 
* MicroStrategy Inc. Class A  3,654  320 
* Mentor Graphics Corp.  38,538  284 
* Websense Inc.  17,968  283 


* AsiaInfo Holdings Inc.  11,472  282 
* JDA Software Group Inc.  11,993  282 
* Net 1 UEPS Technologies Inc.  15,064  281 
* Taleo Corp. Class A  13,399  277 
* SuccessFactors Inc.  18,040  272 
* Tyler Technologies Inc.  13,449  269 
* Advent Software Inc.  6,734  255 
* Ultimate Software Group Inc.  9,284  250 
* ACI Worldwide Inc.  14,066  232 
* Manhattan Associates Inc.  9,506  224 
* SolarWinds Inc.  11,601  215 
  Pegasystems Inc.  6,451  185 
* SonicWALL Inc.  21,618  168 
* Epicor Software Corp.  21,340  160 
* EPIQ Systems Inc.  12,316  160 
* Bottomline Technologies Inc.  9,607  155 
* Ebix Inc.  2,873  149 
* ArcSight Inc.  6,368  145 
* Netscout Systems Inc.  11,289  142 
* TeleCommunication Systems Inc. Class A  15,843  134 
* THQ Inc.  27,140  133 
* i2 Technologies Inc.  7,107  131 
* S1 Corp.  21,644  129 
* Sourcefire Inc.  6,307  124 
* Synchronoss Technologies Inc.  7,992  108 
* Radiant Systems Inc.  10,644  103 
* DemandTec Inc.  10,216  90 
* Kenexa Corp.  8,137  88 
* Interactive Intelligence Inc.  5,075  88 
* NetSuite Inc.  6,191  86 
* VASCO Data Security International Inc.  11,905  78 
* Rosetta Stone Inc.  4,432  78 
* Smith Micro Software Inc.  11,673  74 
* Monotype Imaging Holdings Inc.  8,959  69 
* Double-Take Software Inc.  6,600  58 
* Symyx Technologies Inc.  13,537  58 
* FalconStor Software Inc.  14,886  57 
   Opnet Technologies Inc.  5,331  56 
* PROS Holdings Inc.  7,185  56 
* Deltek Inc.  6,421  49 
* Magma Design Automation Inc.  17,439  43 
Renaissance Learning Inc.  3,473  38 
* China TransInfo Technology Corp.  2,751  20 
* Chordiant Software Inc.  1,636  5 
    196,934 
Total Investments (100.0%) (Cost $881,589)    892,475 
Other Assets and Liabilities-Net (0.0%)    6 
Net Assets (100%)    892,481 

* Non-income-producing security.


Information Technology Index Fund

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.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.

At November 30, 2009, the cost of investment securities for tax purposes was $881,589,000. Net unrealized appreciation of investment securities for tax purposes was $10,886,000, consisting of unrealized gains of $70,294,000 on securities that had risen in value since their purchase and $59,408,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Materials Index Fund     
 
 
 
Schedule of Investments     
As of November 30, 2009     
 
      Market 
      Value 
    Shares  ($000) 
Common Stocks (100.0%)     
Chemicals (54.9%)     
  Monsanto Co.  671,316  54,209 
  Dow Chemical Co.  1,403,239  38,982 
  EI du Pont de Nemours & Co.  1,111,266  38,428 
  Praxair Inc.  377,293  30,949 
  Air Products & Chemicals Inc.  258,274  21,419 
  Ecolab Inc.  291,210  13,078 
  PPG Industries Inc.  202,729  12,048 
  Mosaic Co.  191,479  10,426 
  Sigma-Aldrich Corp.  149,783  7,989 
  Lubrizol Corp.  83,135  6,029 
  Eastman Chemical Co.  89,332  5,371 
  Celanese Corp. Class A  176,493  5,253 
  CF Industries Holdings Inc.  56,571  4,829 
  FMC Corp.  84,695  4,742 
  Terra Industries Inc.  122,620  4,731 
  Airgas Inc.  90,863  4,202 
  Nalco Holding Co.  169,849  4,155 
  International Flavors & Fragrances Inc.  97,101  3,954 
  RPM International Inc.  159,589  3,128 
  Ashland Inc.  86,883  3,122 
  Valspar Corp.  117,406  3,078 
  Albemarle Corp.  90,045  3,039 
  Scotts Miracle-Gro Co. Class A  56,543  2,258 
*  WR Grace & Co.  88,749  2,029 
  Cytec Industries Inc.  59,660  2,027 
  Huntsman Corp.  204,280  1,945 
  Cabot Corp.  80,394  1,844 
*  Intrepid Potash Inc.  55,729  1,696 
  Olin Corp.  96,785  1,623 
*  Solutia Inc.  146,372  1,576 
  NewMarket Corp.  14,955  1,566 
  Sensient Technologies Corp.  59,956  1,519 
  HB Fuller Co.  60,465  1,231 
*  Rockwood Holdings Inc.  54,637  1,230 
  Minerals Technologies Inc.  22,936  1,212 
*  OM Group Inc.  37,754  1,156 
*  Calgon Carbon Corp.  65,030  910 
  Arch Chemicals Inc.  30,824  826 
*  PolyOne Corp.  107,913  775 
  Balchem Corp.  22,682  723 
  Koppers Holdings Inc.  25,265  714 
  Ferro Corp.  100,155  648 
  Westlake Chemical Corp.  24,531  642 
  Stepan Co.  9,459  593 
  Innophos Holdings Inc.  22,167  549 
  Zep Inc.  27,439  485 
  A Schulman Inc.  28,707  469 
  Spartech Corp.  37,244  405 
*  Zoltek Cos. Inc.  36,096  324 


Innospec Inc.  28,836  256 
* LSB Industries Inc.  19,226  235 
Hawkins Inc.  10,442  228 
* China Green Agriculture Inc.  12,081  193 
* Landec Corp.  29,943  188 
American Vanguard Corp.  24,531  180 
* ShengdaTech Inc.  26,041  165 
    315,581 
Construction Materials (2.6%)     
Vulcan Materials Co.  153,718  7,452 
Martin Marietta Materials Inc.  54,763  4,671 
Eagle Materials Inc.  51,411  1,386 
Texas Industries Inc.  29,399  1,021 
* Headwaters Inc.  61,782  291 
* United States Lime & Minerals Inc.  3,426  117 
    14,938 
Containers & Packaging (8.1%)     
* Owens-Illinois Inc.  207,012  6,473 
Ball Corp.  109,905  5,430 
* Crown Holdings Inc.  196,853  4,955 
Sealed Air Corp.  195,198  4,351 
* Pactiv Corp.  162,195  3,950 
Bemis Co. Inc.  132,729  3,889 
Sonoco Products Co.  122,754  3,459 
Aptargroup Inc.  83,195  3,005 
Packaging Corp. of America  126,520  2,520 
Temple-Inland Inc.  124,339  2,237 
Rock-Tenn Co. Class A  45,071  2,036 
Silgan Holdings Inc.  32,795  1,757 
Greif Inc. Class A  29,942  1,673 
Myers Industries Inc.  37,380  309 
* Boise Inc.  60,590  296 
* Graphic Packaging Holding Co.  103,701  280 
* Bway Holding Co.  13,229  211 
    46,831 
Metals & Mining (28.0%)     
* Freeport-McMoRan Copper & Gold Inc.  506,425  41,932 
Newmont Mining Corp.  589,870  31,641 
Nucor Corp.  386,973  16,411 
Alcoa Inc.  1,198,200  15,001 
United States Steel Corp.  176,218  7,870 
Cliffs Natural Resources Inc.  161,067  7,097 
Walter Energy Inc.  64,980  4,458 
Steel Dynamics Inc.  238,105  4,029 
Allegheny Technologies Inc.  108,498  3,692 
Reliance Steel & Aluminum Co.  81,240  3,321 
AK Steel Holding Corp.  134,498  2,690 
Compass Minerals International Inc.  40,027  2,605 
Royal Gold Inc.  47,575  2,560 
Commercial Metals Co.  138,350  2,200 
* Coeur d'Alene Mines Corp.  92,679  2,114 
* Hecla Mining Co.  290,758  1,922 
Titanium Metals Corp.  144,342  1,410 
Carpenter Technology Corp.  54,830  1,271 
Schnitzer Steel Industries Inc.  27,231  1,215 
* Allied Nevada Gold Corp.  75,970  987 
Worthington Industries Inc.  78,667  921 


AMCOL International Corp.  28,170  768 
Kaiser Aluminum Corp.  19,119  739 
* RTI International Metals Inc.  35,984  713 
* Century Aluminum Co.  60,260  587 
* Horsehead Holding Corp.  52,146  585 
* Stillwater Mining Co.  59,462  566 
* Brush Engineered Materials Inc.  24,783  439 
* Haynes International Inc.  15,046  403 
Olympic Steel Inc.  11,177  310 
AM Castle & Co.  20,666  271 
* General Moly Inc.  77,190  174 
    160,902 
Paper & Forest Products (6.4%)     
International Paper Co.  505,564  12,867 
Weyerhaeuser Co.  259,845  10,118 
MeadWestvaco Corp.  210,402  5,759 
* Domtar Corp.  50,963  2,875 
Schweitzer-Mauduit International Inc.  21,347  1,314 
* Louisiana-Pacific Corp.  151,587  946 
* Clearwater Paper Corp.  14,090  692 
Glatfelter  56,990  634 
Wausau Paper Corp.  58,393  593 
Deltic Timber Corp.  13,181  504 
* Buckeye Technologies Inc.  47,325  458 
Neenah Paper Inc.  17,771  247 
    37,007 
Total Investments (100.0%) (Cost $618,719)    575,259 
Other Assets and Liabilities-Net (0.0%)    (53) 
Net Assets (100%)    575,206 
* Non-income-producing security.     

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.

At November 30, 2009, the cost of investment securities for tax purposes was $618,719,000. Net unrealized depreciation of investment securities for tax purposes was $43,460,000, consisting of unrealized gains of $27,752,000 on securities that had risen in value since their purchase and $71,212,000 in unrealized losses on securities that had fallen in value since their purchase.

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

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


Materials Index Fund

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.

 

Vanguard Telecommunication Services Index Fund

Schedule of Investments
As of November 30, 2009

      Market 
      Value 
    Shares  ($000) 
Common Stocks (98.7%)     
Diversified Telecommunication Services (70.1%)     
  Alternative Carriers (10.3%)     
*  tw telecom inc Class A  251,959  3,666 
*  Level 3 Communications Inc.  2,563,521  3,204 
*  Global Crossing Ltd.  236,819  2,676 
*  Cogent Communications Group Inc.  286,966  2,442 
*  PAETEC Holding Corp.  637,253  2,339 
*,^ Vonage Holdings Corp.  1,557,363  1,993 
*  Premiere Global Services Inc.  194,898  1,474 
*  Neutral Tandem Inc.  63,229  1,459 
*  AboveNet Inc.  7,313  375 
 
  Integrated Telecommunication Services (59.8%)     
  AT&T Inc.  1,433,556  38,620 
  Verizon Communications Inc.  1,227,352  38,613 
  CenturyTel Inc.  248,979  8,861 
  Qwest Communications International Inc.  1,249,912  4,562 
  Windstream Corp.  402,698  3,995 
  Atlantic Tele-Network Inc.  75,602  3,544 
*  Cincinnati Bell Inc.  954,063  2,843 
  Frontier Communications Corp.  354,942  2,804 
  Consolidated Communications Holdings Inc.  155,205  2,359 
  Iowa Telecommunications Services Inc.  120,218  1,912 
*  Cbeyond Inc.  127,138  1,641 
*  General Communication Inc. Class A  251,639  1,520 
  Alaska Communications Systems Group Inc.  191,521  1,400 
 
*  SureWest Communications  142,060  1,237 
      133,539 
Wireless Telecommunication Services (28.6%)     
*  American Tower Corp. Class A  240,222  9,830 
*  Crown Castle International Corp.  242,822  8,909 
*  Sprint Nextel Corp.  1,914,383  7,102 
*  NII Holdings Inc.  179,426  5,347 
*  SBA Communications Corp. Class A  125,937  4,035 
*  Syniverse Holdings Inc.  144,960  2,299 
*  MetroPCS Communications Inc.  364,637  2,297 
*  FiberTower Corp.  3,176,709  1,715 
*  United States Cellular Corp.  45,184  1,684 
*  Leap Wireless International Inc.  116,564  1,682 
  Telephone & Data Systems Inc.  52,447  1,599 
  NTELOS Holdings Corp.  94,939  1,596 
*  USA Mobility Inc.  152,310  1,520 
  Telephone & Data Systems Inc.  51,105  1,469 
  Shenandoah Telecommunications Co.  74,039  1,244 
*  ICO Global Communications Holdings Ltd.  1,311,379  1,128 
*  TerreStar Corp.  965,213  1,091 
      54,547 
Total Common Stocks (Cost $221,601)    188,086 


Telecommunication Services Index Fund       
 
 
      Market 
      Value 
  Coupon  Shares  ($000) 
Temporary Cash Investment (0.3%)       
Money Market Fund (0.3%)       
1,2 Vanguard Market Liquidity Fund (Cost $600)  0.199%  600,401  600 
Total Investments (99.0%) (Cost $222,201)      188,686 
Other Assets and Liabilities-Net (1.0%)2      1,862 
Net Assets (100%)      190,548 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $384,000.
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 $600,000 of collateral received for securities on loan.

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.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.

At November 30, 2009, the cost of investment securities for tax purposes was $222,201,000. Net unrealized depreciation of investment securities for tax purposes was $33,515,000, consisting of unrealized gains of $8,797,000 on securities that had risen in value since their purchase and $42,312,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Utilities Index Fund

Schedule of Investments
As of November 30, 2009

    Market 
    Value 
  Shares  ($000) 
Common Stocks (99.9%)     
Electric Utilities (48.9%)     
Exelon Corp.  696,705  33,567 
Southern Co.  841,311  26,998 
Duke Energy Corp.  1,370,626  22,862 
FPL Group Inc.  413,197  21,474 
Entergy Corp.  206,976  16,279 
American Electric Power Co. Inc.  504,014  16,224 
FirstEnergy Corp.  322,241  13,882 
PPL Corp.  398,074  12,149 
Progress Energy Inc.  295,242  11,541 
Edison International  327,193  11,141 
Northeast Utilities  185,289  4,467 
Allegheny Energy Inc.  179,160  3,938 
Pepco Holdings Inc.  233,420  3,805 
Pinnacle West Capital Corp.  106,979  3,754 
DPL Inc.  122,596  3,293 
NV Energy Inc.  248,025  2,887 
Great Plains Energy Inc.  142,886  2,543 
Westar Energy Inc.  115,073  2,369 
ITC Holdings Corp.  52,804  2,348 
Hawaiian Electric Industries Inc.  96,804  1,923 
Cleco Corp.  63,931  1,632 
Portland General Electric Co.  79,466  1,558 
IDACORP Inc.  49,946  1,477 
Unisource Energy Corp.  37,801  1,127 
Allete Inc.  30,631  1,024 
PNM Resources Inc.  91,619  1,021 
* El Paso Electric Co.  47,534  941 
MGE Energy Inc.  24,431  839 
UIL Holdings Corp.  30,051  810 
Empire District Electric Co.  36,405  661 
Central Vermont Public Service Corp.  12,343  240 
    228,774 
Gas Utilities (9.3%)     
Questar Corp.  184,174  7,306 
EQT Corp.  131,461  5,410 
Oneok Inc.  105,841  4,236 
National Fuel Gas Co.  76,326  3,574 
Energen Corp.  72,018  3,133 
AGL Resources Inc.  81,692  2,822 
UGI Corp.  114,606  2,691 
Atmos Energy Corp.  97,539  2,672 
Nicor Inc.  47,819  1,873 
Piedmont Natural Gas Co. Inc.  77,135  1,828 
WGL Holdings Inc.  52,969  1,667 
New Jersey Resources Corp.  44,417  1,565 
Southwest Gas Corp.  47,381  1,242 
Northwest Natural Gas Co.  27,998  1,200 
South Jersey Industries Inc.  31,476  1,135 


Laclede Group Inc.  22,287  698 
Chesapeake Utilities Corp.  9,376  294 
* China Natural Gas Inc.  10,582  106 
    43,452 
Independent Power Producers & Energy Traders (6.8%)     
* AES Corp.  705,088  8,983 
* NRG Energy Inc.  280,424  6,714 
Constellation Energy Group Inc.  190,860  6,073 
* Calpine Corp.  373,770  4,156 
* Mirant Corp.  153,378  2,184 
* RRI Energy Inc.  371,544  1,828 
* Dynegy Inc. Class A  533,814  966 
Ormat Technologies Inc.  21,596  889 
    31,793 
Multi-Utilities (33.0%)     
Dominion Resources Inc.  629,163  22,889 
Public Service Enterprise Group Inc.  534,872  16,774 
PG&E Corp.  391,820  16,590 
Sempra Energy  246,365  13,092 
Consolidated Edison Inc.  290,679  12,473 
Xcel Energy Inc.  481,746  9,789 
DTE Energy Co.  173,856  6,973 
Ameren Corp.  246,835  6,415 
Wisconsin Energy Corp.  123,589  5,574 
Centerpoint Energy Inc.  388,311  5,153 
SCANA Corp.  123,030  4,331 
MDU Resources Group Inc.  184,855  4,178 
NiSource Inc.  291,052  4,147 
NSTAR  112,908  3,741 
OGE Energy Corp.  102,072  3,532 
CMS Energy Corp.  241,961  3,445 
Alliant Energy Corp.  116,942  3,214 
TECO Energy Inc.  214,644  3,166 
Integrys Energy Group Inc.  80,788  3,114 
Vectren Corp.  81,420  1,912 
Avista Corp.  57,726  1,201 
NorthWestern Corp.  38,018  980 
Black Hills Corp.  41,037  967 
CH Energy Group Inc.  16,673  673 
    154,323 
Water Utilities (1.9%)     
American Water Works Co. Inc.  184,571  4,105 
Aqua America Inc.  143,678  2,345 
California Water Service Group  20,869  763 
American States Water Co.  19,554  647 
SJW Corp.  14,683  315 
Middlesex Water Co.  14,145  229 
Connecticut Water Service Inc.  9,005  204 
Consolidated Water Co. Ltd.  14,616  191 
    8,799 
Total Investments (99.9%) (Cost $567,625)    467,141 
Other Assets and Liabilities-Net (0.1%)    625 
Net Assets (100%)    467,766 

* Non-income-producing security.


Utilities Index Fund

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.

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

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

At November 30, 2009, 100% of the fund's investments were valued based on Level 1 inputs.

At November 30, 2009, the cost of investment securities for tax purposes was $567,625,000. Net unrealized depreciation of investment securities for tax purposes was $100,484,000, consisting of unrealized gains of $899,000 on securities that had risen in value since their purchase and $101,383,000 in unrealized losses on securities that had fallen in value since their purchase.


Item 2: Controls and Procedures

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

(b) Internal Control Over Financial Reporting. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3: Exhibits

(a) Certifications

  VANGUARD WORLD FUNDS
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: January 25, 2010  

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 WORLD FUNDS
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: January 25, 2010  

  VANGUARD WORLD FUNDS
 
By:  /s/ THOMAS J. HIGGINS* 
  THOMAS J. HIGGINS 
  CHIEF FINANCIAL OFFICER 
 
Date: January 25, 2010  

*By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on July 24, 2009, see File Number 2-88373,
and a Power of Attorney filed on October 16, 2009, see File Number 2-52698,
both Incorporated by Reference.