N-Q 1 worldfundfinal.htm VANGUARD WORLD FUND worldfundfinal.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 Fund

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, 2011

Item 1: Schedule of Investments

 

Vanguard U.S. Growth Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (95.8%)1    
Consumer Discretionary (16.7%)    
* priceline.com Inc. 170,120 82,660
NIKE Inc. Class B 667,600 64,210
* Apollo Group Inc. Class A 1,153,200 55,907
Harley-Davidson Inc. 1,021,150 37,548
Johnson Controls Inc. 1,154,360 36,339
Lowe's Cos. Inc. 1,494,900 35,892
Starbucks Corp. 787,700 34,249
Staples Inc. 2,351,400 33,884
News Corp. Class A 1,476,790 25,755
* Ctrip.com International Ltd. ADR 813,200 22,119
Coach Inc. 324,270 20,296
Marriott International Inc. Class A 620,136 18,989
* Amazon.com Inc. 89,900 17,287
Walt Disney Co. 463,870 16,630
* Fossil Inc. 160,100 14,343
Abercrombie & Fitch Co. 292,650 14,021
* Las Vegas Sands Corp. 288,570 13,479
* Sirius XM Radio Inc. 6,029,860 10,854
* Discovery Communications Inc. Class A 242,200 10,168
* MGM Resorts International 806,060 8,294
Ralph Lauren Corp. Class A 34,770 4,932
* Lululemon Athletica Inc. 18,560 922
    578,778
Consumer Staples (3.3%)    
* Green Mountain Coffee Roasters Inc. 735,572 38,566
Walgreen Co. 841,312 28,369
Mead Johnson Nutrition Co. 275,400 20,754
Colgate-Palmolive Co. 154,800 14,164
Whole Foods Market Inc. 183,900 12,524
    114,377
Energy (9.0%)    
EOG Resources Inc. 941,430 97,664
Schlumberger Ltd. 730,200 55,006
National Oilwell Varco Inc. 522,120 37,436
El Paso Corp. 1,261,500 31,550
Anadarko Petroleum Corp. 284,400 23,113
Occidental Petroleum Corp. 223,300 22,085
Ensco plc ADR 335,080 17,414
Consol Energy Inc. 351,040 14,617
Suncor Energy Inc. 402,000 12,068
    310,953
Exchange-Traded Fund (0.0%)    
2 Vanguard Growth ETF 3,100 193
 
Financials (5.4%)    
CME Group Inc. 227,610 56,739

 

 

* IntercontinentalExchange Inc. 427,100 51,987
American Express Co. 569,860 27,376
BlackRock Inc. 134,830 23,196
Ameriprise Financial Inc. 376,000 17,262
* Affiliated Managers Group Inc. 126,600 11,972
    188,532
Health Care (8.6%)    
Allergan Inc. 937,635 78,499
Novo Nordisk A/S ADR 371,700 42,207
* Agilent Technologies Inc. 960,560 36,021
Perrigo Co. 295,500 28,929
Covidien plc 482,200 21,964
Cardinal Health Inc. 459,800 19,523
* Gilead Sciences Inc. 415,800 16,570
* DaVita Inc. 215,100 16,386
UnitedHealth Group Inc. 279,920 13,652
* Edwards Lifesciences Corp. 201,270 13,290
* Hologic Inc. 687,100 12,100
    299,141
Industrials (8.6%)    
Caterpillar Inc. 371,070 36,320
Expeditors International of Washington Inc. 773,000 33,633
Cummins Inc. 237,340 22,863
Precision Castparts Corp. 113,430 18,688
Joy Global Inc. 202,310 18,467
WW Grainger Inc. 85,400 15,961
Goodrich Corp. 127,600 15,569
United Parcel Service Inc. Class B 211,600 15,182
AMETEK Inc. 339,690 14,552
Boeing Co. 202,090 13,882
Eaton Corp. 308,400 13,850
Rockwell Automation Inc. 182,900 13,723
* Jacobs Engineering Group Inc. 289,500 12,026
Illinois Tool Works Inc. 263,030 11,952
* Stericycle Inc. 143,200 11,602
JB Hunt Transport Services Inc. 249,800 11,421
Donaldson Co. Inc. 106,300 7,266
PACCAR Inc. 157,260 6,380
CH Robinson Worldwide Inc. 81,900 5,611
    298,948
Information Technology (39.0%)    
* Apple Inc. 608,385 232,525
Qualcomm Inc. 2,411,235 132,136
* Google Inc. Class A 176,175 105,597
Mastercard Inc. Class A 206,800 77,457
Visa Inc. Class A 774,400 75,094
VeriSign Inc. 2,062,150 69,247
* eBay Inc. 2,229,280 65,964
Intuit Inc. 1,054,600 56,147
* Citrix Systems Inc. 707,520 50,510
Altera Corp. 1,316,670 49,599
Oracle Corp. 1,463,900 45,893
* Adobe Systems Inc. 1,337,000 36,661
* Teradata Corp. 639,000 34,653
* EMC Corp. 1,497,600 34,460
* Juniper Networks Inc. 1,315,750 29,881

 

 

  Broadcom Corp. Class A     894,570 27,146
  Accenture plc Class A     387,500 22,448
* Polycom Inc.     1,255,825 21,223
* NetApp Inc.     544,245 20,045
  Analog Devices Inc.     564,770 19,688
* Alliance Data Systems Corp.     190,580 19,517
  TE Connectivity Ltd.     514,600 16,318
* F5 Networks Inc.     143,055 16,169
* Cognizant Technology Solutions Corp. Class A     217,800 14,669
* Acme Packet Inc.     370,910 12,399
* BMC Software Inc.     342,041 12,197
* Trimble Navigation Ltd.     266,300 11,472
* TIBCO Software Inc.     368,070 10,085
* Skyworks Solutions Inc.     486,110 7,928
* VMware Inc. Class A     79,640 7,700
  Texas Instruments Inc.     224,410 6,755
* Rovi Corp.     240,960 6,687
* Salesforce.com Inc.     51,110 6,052
          1,354,322
Materials (3.6%)        
  Syngenta AG ADR     863,400 50,872
  Monsanto Co.     313,970 23,061
  Praxair Inc.     199,040 20,302
  Mosaic Co.     159,010 8,389
  Freeport-McMoRan Copper & Gold Inc.     204,090 8,082
  Rio Tinto plc ADR     132,740 7,045
  Walter Energy Inc.     97,120 6,963
          124,714
Telecommunication Services (1.6%)        
* Crown Castle International Corp.     1,318,600 55,803
 
Total Common Stocks (Cost $3,012,783)       3,325,761
    Coupon      
Temporary Cash Investments (4.4%)1        
Money Market Fund (3.3%)        
3 Vanguard Market Liquidity Fund 0.135%   115,064,668 115,065
 
        Face  
      Maturity Amount  
      Date ($000)  
Repurchase Agreement (0.8%)        
  Bank of America Securities, LLC        
  (Dated 11/30/11, Repurchase Value        
  $28,800,000, collateralized by Federal        
  National Mortgage Assn. 4.000%, 11/1/40-        
  11/1/41) 0.130% 12/1/11 28,800 28,800
 
U.S. Government and Agency Obligations (0.3%)        
4 Federal Home Loan Bank Discount Notes 0.060% 12/2/11 200 200
5,6 Freddie Mac Discount Notes 0.050% 12/15/11 350 350
5,6 Freddie Mac Discount Notes 0.040% 2/17/12 10,000 9,996
          10,546
Total Temporary Cash Investments (Cost $154,414)       154,411

 

 

Total Investments (100.2%) (Cost $3,167,197) 3,480,172
Other Assets and Liabilities-Net (-0.2%) (8,329)
Net Assets (100%) 3,471,843

 

* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 98.7% and 1.5%, 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 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 The issuer is under federal conservatorship and is dependent upon the continued support of the U.S. Treasury to avoid receivership.
6 Securities with a value of $8,297,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.

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

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

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

At November 30, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
    Number of Aggregate Unrealized
    Long (Short) Settlement Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
E-mini S&P 500 Index December 2011 740 46,102 324
S&P 500 Index December 2011 105 32,707 2,332
E-mini S&P MidCap 400 Index December 2011 247 21,813 1,398

 

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

 

U.S. Growth Fund

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

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

The following table summarizes the market value of the fund's investments as of November 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 3,325,761 — —
Temporary Cash Investments 115,065 39,346 —
Futures Contracts—Assets1 4,111 — —
Total 3,444,937 39,346 —
1 Represents variation margin on the last day of the reporting period.      

 

D. At November 30, 2011, the cost of investment securities for tax purposes was $3,167,197,000. Net unrealized appreciation of investment securities for tax purposes was $312,975,000, consisting of unrealized gains of $488,407,000 on securities that had risen in value since their purchase and $175,432,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard International Growth Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (96.5%)1    
Australia (4.1%)    
^ Fortescue Metals Group Ltd. 29,815,835 148,531
Brambles Ltd. 14,934,900 111,713
Woodside Petroleum Ltd. 2,777,000 96,801
Newcrest Mining Ltd. 2,632,000 96,019
Woolworths Ltd. 2,971,200 76,488
Atlas Iron Ltd. 22,766,000 71,756
* James Hardie Industries SE 6,196,069 44,514
Sims Metal Management Ltd. 1,026,080 13,918
    659,740
Austria (0.1%)    
Wienerberger AG 2,035,000 21,600
 
Belgium (0.8%)    
Anheuser-Busch InBev NV 2,268,000 135,620
 
Brazil (6.3%)    
Petroleo Brasileiro SA ADR Type A 6,669,700 167,209
Vale SA Class B ADR 6,764,400 147,937
Petroleo Brasileiro SA ADR 4,368,000 117,892
Itau Unibanco Holding SA ADR 6,596,075 117,410
BM&FBovespa SA 20,386,500 111,383
* OGX Petroleo e Gas Participacoes SA 9,806,100 75,701
^ Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 2,034,000 74,363
Itau Unibanco Holding SA Prior Pfd. 3,619,590 63,851
Anhanguera Educacional Participacoes SA 4,076,496 39,450
Petroleo Brasileiro SA Prior Pfd. 3,080,000 37,556
Vale SA Prior Pfd. 1,550,000 33,454
Banco do Brasil SA 1,900,067 25,427
Fibria Celulose SA 716,170 5,434
    1,017,067
Canada (3.1%)    
Toronto-Dominion Bank 2,750,000 198,171
Potash Corp. of Saskatchewan Inc. 1,962,000 85,524
Suncor Energy Inc. 2,556,000 76,984
Niko Resources Ltd. 1,160,000 58,879
Teck Resources Ltd. Class B 1,365,000 49,986
Sherritt International Corp. 2,500,000 13,628
* Harry Winston Diamond Corp. 732,000 8,189
    491,361
Chile (0.3%)    
Sociedad Quimica y Minera de Chile SA ADR 823,300 47,208
 
China (8.3%)    
* Baidu Inc. ADR 3,281,400 429,831
Tencent Holdings Ltd. 14,059,000 274,784
Ping An Insurance Group Co. 12,868,000 89,388
China Mobile Ltd. 8,436,000 83,188
China Resources Enterprise Ltd. 21,314,000 74,299

 

 

  Beijing Enterprises Holdings Ltd. 13,464,500 74,276
^ China Merchants Bank Co. Ltd. 36,738,500 69,341
  CNOOC Ltd. 29,461,000 57,231
^,* Ctrip.com International Ltd. ADR 1,729,300 47,037
  Belle International Holdings Ltd. Class A 23,826,000 45,460
* Shanghai Pharmaceuticals Holding Co. Ltd. 17,509,100 33,244
^ Mindray Medical International Ltd. ADR 1,026,800 27,703
  Shandong Weigao Group Medical Polymer Co. Ltd. 13,888,000 12,043
  Hengdeli Holdings Ltd. 28,776,000 11,258
  Ports Design Ltd. 4,958,000 9,069
^ Chaoda Modern Agriculture Holdings Ltd. 17,258,719 2,444
      1,340,596
Denmark (1.5%)    
  Novozymes A/S 3,172,000 101,733
  Novo Nordisk A/S Class B 849,328 96,416
  AP Moller - Maersk A/S Class B 3,750 25,702
^,* Vestas Wind Systems A/S 1,653,736 22,309
      246,160
Finland (0.3%)    
  Metso Oyj 1,006,000 40,282
 
France (7.6%)    
  PPR 1,471,373 220,493
  L'Oreal SA 1,271,730 137,646
  Cie Generale d'Optique Essilor International SA 1,556,096 111,239
^ LVMH Moet Hennessy Louis Vuitton SA 680,000 107,068
  Schneider Electric SA 1,782,000 101,332
  Cie Generale des Etablissements Michelin Class B 1,493,000 95,177
  Safran SA 2,769,099 82,167
  GDF Suez 2,299,000 64,455
  AXA SA 4,421,000 64,015
  European Aeronautic Defence and Space Co. NV 1,480,000 44,403
  Publicis Groupe SA 900,000 42,992
  Vallourec SA 520,000 35,699
  Total SA 670,000 34,567
  Veolia Environnement SA 2,521,000 32,251
  CFAO SA 710,000 25,448
  Societe Generale SA 691,623 16,898
      1,215,850
Germany (6.2%)    
  SAP AG 3,435,000 205,687
  Adidas AG 2,861,824 201,819
  GEA Group AG 3,276,500 96,986
  Porsche Automobil Holding SE Prior Pfd. 1,518,515 93,053
^ Aixtron SE NA 3,770,512 49,352
  Symrise AG 1,650,000 44,564
  Software AG 1,030,000 44,400
^ SMA Solar Technology AG 719,595 42,779
  HeidelbergCement AG 999,207 42,158
  MTU Aero Engines Holding AG 570,000 36,614
^ Axel Springer AG 813,258 36,564
  Wincor Nixdorf AG 700,000 33,607
^,* TUI AG 5,787,423 32,368
  Siemens AG 313,000 31,675
      991,626

 

 

Hong Kong (2.2%)    
Jardine Matheson Holdings Ltd. 2,158,437 109,168
Hong Kong Exchanges and Clearing Ltd. 4,514,200 74,534
Swire Pacific Ltd. Class A 6,037,000 73,617
Sun Hung Kai Properties Ltd. 4,972,000 61,786
^ Techtronic Industries Co. 28,736,443 26,380
^ Esprit Holdings Ltd. 4,419,604 6,355
    351,840
India (1.2%)    
Housing Development Finance Corp. 7,087,800 88,815
HDFC Bank Ltd. 5,555,995 48,150
Tata Motors Ltd. 11,909,000 40,742
Reliance Capital Ltd. 1,454,500 8,057
    185,764
Ireland (0.2%)    
Kerry Group plc Class A 925,000 34,546
 
Israel (1.0%)    
* Check Point Software Technologies Ltd. 1,892,623 104,737
Teva Pharmaceutical Industries Ltd. ADR 1,592,900 63,095
    167,832
Japan (9.2%)    
Rakuten Inc. 199,916 214,493
Honda Motor Co. Ltd. 6,576,000 208,685
Canon Inc. 3,497,800 156,919
Seven & I Holdings Co. Ltd. 4,830,000 134,856
Mitsubishi Corp. 6,082,400 125,744
SMC Corp. 756,400 125,634
FANUC Corp. 604,000 99,236
Gree Inc. 2,710,000 90,983
Hoya Corp. 2,310,700 49,217
Sekisui Chemical Co. Ltd. 5,713,000 42,930
Sysmex Corp. 1,220,000 41,997
Toyota Motor Corp. 1,180,000 38,858
Astellas Pharma Inc. 1,000,000 38,546
Nintendo Co. Ltd. 212,500 32,350
Kyocera Corp. 347,900 31,228
Rohm Co. Ltd. 589,500 28,239
MISUMI Group Inc. 1,250,000 27,041
    1,486,956
Luxembourg (0.1%)    
* Reinet Investments SCA 542,339 9,036
 
Mexico (0.0%)    
Consorcio ARA SAB de CV 7,525,800 2,119
 
Netherlands (1.0%)    
* ING Groep NV 17,585,000 137,149
TNT Express NV 1,479,130 10,660
PostNL NV 1,556,470 5,415
    153,224
Norway (1.3%)    
Statoil ASA 5,308,000 137,264
DNB ASA 7,013,776 71,726
    208,990

 

 

Peru (0.5%)    
Credicorp Ltd. 763,247 82,904
 
Russia (0.5%)    
* Sberbank of Russia ADR 5,983,000 72,787
 
Singapore (0.7%)    
United Overseas Bank Ltd. 4,899,000 59,398
Singapore Exchange Ltd. 6,541,000 32,135
DBS Group Holdings Ltd. 2,580,521 25,662
    117,195
South Africa (0.6%)    
Impala Platinum Holdings Ltd. 1,778,600 37,826
Sasol Ltd. 545,000 26,146
MTN Group Ltd. 1,430,000 25,760
    89,732
South Korea (3.4%)    
Samsung Electronics Co. Ltd. 377,736 343,785
Shinhan Financial Group Co. Ltd. 1,952,586 72,798
Hyundai Mobis 214,479 59,477
Celltrion Inc. 1,368,991 45,400
Hankook Tire Co. Ltd. 785,000 32,422
    553,882
Spain (2.4%)    
Inditex SA 2,477,385 210,661
Banco Santander SA 22,690,801 170,323
    380,984
Sweden (4.0%)    
Atlas Copco AB Class A 13,381,679 287,130
Svenska Handelsbanken AB Class A 4,250,782 112,229
Sandvik AB 7,223,763 92,594
Alfa Laval AB 4,729,586 91,212
Telefonaktiebolaget LM Ericsson Class B 4,170,000 44,486
^ Oriflame Cosmetics SA 575,000 17,659
    645,310
Switzerland (7.3%)    
Novartis AG 4,199,000 226,764
Cie Financiere Richemont SA 3,861,915 209,570
Nestle SA 2,738,000 153,664
Roche Holding AG 945,000 150,325
Syngenta AG 507,934 149,471
Geberit AG 494,180 94,836
ABB Ltd. 3,984,182 75,529
Zurich Financial Services AG 192,000 42,286
Swatch Group AG (Bearer) 96,145 37,500
Holcim Ltd. 620,000 34,729
    1,174,674
Taiwan (1.0%)    
Taiwan Semiconductor Manufacturing Co. Ltd. 37,122,508 93,067
Chinatrust Financial Holding Co. Ltd. 95,112,277 54,042
Compal Electronics Inc. 21,403,304 19,523
    166,632

 

 

Thailand (0.5%)        
Kasikornbank PCL     22,113,000 85,318
 
Turkey (1.0%)        
Turkiye Garanti Bankasi AS     49,185,981 168,496
 
United Kingdom (18.6%)        
BG Group plc     14,090,900 302,238
Diageo plc     11,309,906 242,239
ARM Holdings plc     23,649,000 222,228
BHP Billiton plc     6,822,700 209,817
Standard Chartered plc     9,525,422 207,379
Prudential plc     20,524,000 202,013
GlaxoSmithKline plc     8,611,034 190,841
Xstrata plc     10,736,000 172,354
Rolls-Royce Holdings plc     13,797,616 158,599
Meggitt plc     16,409,250 98,523
SABMiller plc     2,786,000 98,368
Vodafone Group plc     36,012,000 97,490
Rio Tinto plc     1,816,000 95,606
British American Tobacco plc     1,698,464 78,822
Capita Group plc     7,803,000 77,385
United Utilities Group plc     7,425,336 73,509
Kingfisher plc     18,202,000 73,356
AMEC plc     4,379,772 59,938
Tesco plc     9,286,300 59,290
Unilever plc     1,355,000 45,518
Signet Jewelers Ltd.     950,513 42,201
G4S plc     10,000,000 40,284
Inchcape plc     7,724,221 39,674
Carnival plc     1,100,000 37,886
Ultra Electronics Holdings plc     1,580,000 35,921
HSBC Holdings plc     4,138,093 32,279
        2,993,758
United States (1.2%)        
Consumer Discretionary (1.2%)        
* Amazon.com Inc.     1,000,200 192,328
 
Total Common Stocks (Cost $14,773,106)       15,531,417
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investments (5.7%)1        
Money Market Fund (5.3%)        
2,3 Vanguard Market Liquidity Fund 0.135%   851,284,284 851,284
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (0.4%)      
4,5 Fannie Mae Discount Notes 0.045% 12/14/11 3,000 3,000
5,6 Federal Home Loan Bank Discount Notes 0.060% 12/2/11 600 600
5,6,7Federal Home Loan Bank Discount Notes 0.025%–0.040% 12/9/11 8,500 8,500
5,6,7Federal Home Loan Bank Discount Notes 0.040% 12/21/11 5,000 5,000
4,5 Freddie Mac Discount Notes 0.030% 12/6/11 1,700 1,700
4,5 Freddie Mac Discount Notes 0.050% 12/15/11 4,000 4,000

 

 

4,5 Freddie Mac Discount Notes 0.045% 12/16/11 8,000 8,000
4,5 Freddie Mac Discount Notes 0.080% 12/29/11 300 300
4,5,7Freddie Mac Discount Notes 0.050% 4/4/12 10,000 9,993
4 Freddie Mac Discount Notes 0.050% 4/24/12 15,000 14,997
          56,090
Total Temporary Cash Investments (Cost $907,379)       907,374
Total Investments (102.2%) (Cost $15,680,485)       16,438,791
Other Assets and Liabilities-Net (-2.2%)3       (349,512)
Net Assets (100%)       16,089,279

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $327,909,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.3% and 2.9%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $330,633,000 of collateral received for securities on loan.
4 The issuer is under federal conservatorship and is dependent upon the continued support of the U.S. Treasury to avoid receivership.
5 Securities with a value of $31,978,000 have been segregated as initial margin for open futures contracts.
6 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
7 Securities with a value of $5,778,000 have been segregated as collateral for open forward currency contracts.
ADR—American Depositary Receipt.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been 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.

B. 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).

 

International Growth Fund

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

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

The following table summarizes the market value of the fund's investments as of November 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks—North and South America 1,832,987 — —
Common Stocks—Other 672,403 13,026,027 —
Temporary Cash Investments 851,284 56,090 —
Futures Contracts—Assets1 25,442 — —
Forward Currency Contracts—Assets — 655 —
Forward Currency Contracts—Liabilities — (958) —
Total 3,382,116 13,081,814 —
1 Represents variation margin on the last day of the reporting period.    

 

D. 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 also enters 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 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. Counterparty risk is mitigated by entering into forward currency contracts only with highly rated counterparties, by a master netting arrangement between the fund's and the counterparty, and by the posting of collateral by the counterparty. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has posted. Any securities posted as collateral for open contracts are noted in the Schedule of Investments.

Futures contracts are valued at their quoted daily settlement prices. Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. 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).

 

International Growth Fund

At November 30, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration  Contracts Long (Short)  (Depreciation)
Dow Jones EURO STOXX 50 Index December 2011 5,519 172,808 17,110
FTSE 100 Index December 2011 1,446 124,926 6,959
Topix Index December 2011 1,015 95,119 (1,372)
S&P ASX 200 Index December 2011 514 54,308 259

 

Unrealized appreciation (depreciation) on open FTSE 100 Index futures contracts is required to be treated as realized gain (loss) for tax purposes.

At November 30, 2011, 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
  Contract       Appreciation
  Settlement       (Depreciation)
Counterparty Date   Receive Deliver ($000)
Brown Brothers Harriman & Co. 12/21/11 EUR 107,703 USD 144,940 (852)
Brown Brothers Harriman & Co. 12/21/11 GBP 73,004 USD 114,712 (106)
Brown Brothers Harriman & Co. 12/14/11 JPY 7,498,023 USD 96,674 6
Brown Brothers Harriman & Co. 12/21/11 AUD 52,218 USD 53,522 649
AUD—Australian dollar.          
EUR—Euro.          
GBP—British pound.          
JPY—Japanese yen.          
USD—U.S. dollar.          

 

E. At November 30, 2011, the cost of investment securities for tax purposes was $15,683,354,000. Net unrealized appreciation of investment securities for tax purposes was $755,437,000, consisting of unrealized gains of $2,553,201,000 on securities that had risen in value since their purchase and $1,797,764,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard FTSE Social Index Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.1%)    
Consumer Discretionary (10.3%)    
McDonald's Corp. 113,426 10,835
* Amazon.com Inc. 37,419 7,195
* DIRECTV Class A 81,164 3,833
Lowe's Cos. Inc. 143,343 3,442
Coach Inc. 31,712 1,985
* Bed Bath & Beyond Inc. 27,403 1,658
Macy's Inc. 46,872 1,515
McGraw-Hill Cos. Inc. 33,135 1,415
Ross Stores Inc. 12,961 1,155
Staples Inc. 78,577 1,132
* Dollar Tree Inc. 13,561 1,105
Nordstrom Inc. 24,099 1,091
Mattel Inc. 37,761 1,088
Starwood Hotels & Resorts Worldwide Inc. 21,463 1,023
Genuine Parts Co. 17,231 1,008
Harley-Davidson Inc. 25,975 955
Tiffany & Co. 14,065 943
Gap Inc. 45,089 843
* Sirius XM Radio Inc. 428,824 772
* Apollo Group Inc. Class A 15,252 739
Darden Restaurants Inc. 14,841 708
Wyndham Worldwide Corp. 17,902 635
PetSmart Inc. 12,463 601
Hasbro Inc. 14,816 531
H&R Block Inc. 33,307 524
Interpublic Group of Cos. Inc. 53,045 498
Royal Caribbean Cruises Ltd. 17,691 490
Gentex Corp. 15,621 461
Scripps Networks Interactive Inc. Class A 10,380 413
* Mohawk Industries Inc. 7,570 413
Foot Locker Inc. 16,677 393
Cablevision Systems Corp. Class A 25,427 381
* GameStop Corp. Class A 15,535 359
Lennar Corp. Class A 17,340 319
Harman International Industries Inc. 7,711 319
Gannett Co. Inc. 26,622 289
* Toll Brothers Inc. 13,997 284
Weight Watchers International Inc. 4,038 237
* AMC Networks Inc. Class A 6,531 235
Wendy's Co. 43,213 214
* Lamar Advertising Co. Class A 8,591 209
RadioShack Corp. 10,876 125
* Krispy Kreme Doughnuts Inc. Warrants Exp. 03/02/2012 179 —
    52,370
Consumer Staples (9.0%)    
Procter & Gamble Co. 302,027 19,502
CVS Caremark Corp. 147,830 5,742
Costco Wholesale Corp. 48,102 4,103

 

 

General Mills Inc. 70,498 2,816
HJ Heinz Co. 35,285 1,858
Sysco Corp. 64,053 1,828
Estee Lauder Cos. Inc. Class A 13,114 1,547
Kellogg Co. 30,016 1,476
Whole Foods Market Inc. 19,312 1,315
Hershey Co. 18,253 1,053
Dr Pepper Snapple Group Inc. 23,690 865
Campbell Soup Co. 26,249 856
Avon Products Inc. 46,584 792
Safeway Inc. 38,198 764
Hormel Foods Corp. 22,008 663
McCormick & Co. Inc. 13,144 640
    45,820
Energy (1.5%)    
Apache Corp. 41,979 4,174
EQT Corp. 16,430 1,019
Noble Corp. 27,781 959
* Newfield Exploration Co. 14,551 667
QEP Resources Inc. 19,518 637
Patterson-UTI Energy Inc. 16,851 354
    7,810
Financials (25.9%)    
Wells Fargo & Co. 581,253 15,031
JPMorgan Chase & Co. 417,579 12,932
American Express Co. 132,072 6,345
Bank of America Corp. 1,108,256 6,029
US Bancorp 210,685 5,461
Simon Property Group Inc. 32,200 4,004
PNC Financial Services Group Inc. 57,898 3,139
MetLife Inc. 86,805 2,733
Prudential Financial Inc. 53,358 2,702
Bank of New York Mellon Corp. 136,123 2,649
Travelers Cos. Inc. 46,137 2,595
ACE Ltd. 36,838 2,561
Aflac Inc. 51,657 2,244
Capital One Financial Corp. 50,126 2,239
State Street Corp. 55,032 2,182
Chubb Corp. 31,417 2,119
Public Storage 14,056 1,854
Franklin Resources Inc. 18,280 1,843
CME Group Inc. 7,379 1,839
Equity Residential 32,302 1,783
BB&T Corp. 76,356 1,769
HCP Inc. 44,602 1,724
Annaly Capital Management Inc. 106,595 1,713
Loews Corp. 44,377 1,705
Ventas Inc. 31,684 1,672
Charles Schwab Corp. 139,354 1,667
T Rowe Price Group Inc. 28,137 1,597
Boston Properties Inc. 15,948 1,521
Discover Financial Services 59,709 1,422
ProLogis Inc. 50,626 1,408
Progressive Corp. 70,755 1,334
AvalonBay Communities Inc. 10,337 1,291
Ameriprise Financial Inc. 26,019 1,195

 

 

American International Group Inc. 48,099 1,121
Host Hotels & Resorts Inc. 77,230 1,093
SunTrust Banks Inc. 59,167 1,073
Invesco Ltd. 49,697 1,006
M&T Bank Corp. 13,757 1,004
Northern Trust Corp. 26,534 998
* IntercontinentalExchange Inc. 8,089 985
Moody's Corp. 25,090 871
Hartford Financial Services Group Inc. 48,504 861
Principal Financial Group Inc. 34,649 836
NYSE Euronext 28,383 811
KeyCorp 103,792 757
Unum Group 33,589 756
Macerich Co. 14,453 724
SLM Corp. 56,176 724
Lincoln National Corp. 33,615 678
XL Group plc Class A 32,451 669
Willis Group Holdings plc 18,945 668
Plum Creek Timber Co. Inc. 17,942 661
New York Community Bancorp Inc. 47,550 572
Regions Financial Corp. 137,152 564
Comerica Inc. 21,923 553
Cincinnati Financial Corp. 17,965 533
WR Berkley Corp. 15,514 529
People's United Financial Inc. 41,223 513
Huntington Bancshares Inc. 94,276 495
PartnerRe Ltd. 7,458 490
Torchmark Corp. 11,475 489
Axis Capital Holdings Ltd. 14,046 448
* Markel Corp. 1,067 428
Legg Mason Inc. 16,017 425
RenaissanceRe Holdings Ltd. 5,758 423
Assurant Inc. 10,386 408
Arthur J Gallagher & Co. 12,441 385
Liberty Property Trust 12,720 379
Transatlantic Holdings Inc. 6,866 375
Commerce Bancshares Inc. 9,996 372
White Mountains Insurance Group Ltd. 875 371
Regency Centers Corp. 9,937 369
* Genworth Financial Inc. Class A 53,791 354
Brown & Brown Inc. 15,676 327
Zions Bancorporation 20,276 326
Hudson City Bancorp Inc. 57,892 324
Duke Realty Corp. 27,466 319
Erie Indemnity Co. Class A 4,076 301
City National Corp. 5,938 252
SEI Investments Co. 14,880 250
Old Republic International Corp. 28,662 236
First Horizon National Corp. 29,272 225
Valley National Bancorp 18,835 222
* Forest City Enterprises Inc. Class A 16,237 197
* Popular Inc. 113,815 170
* St. Joe Co. 9,801 141
Janus Capital Group Inc. 21,213 140
Mercury General Corp. 2,976 134
CNA Financial Corp. 2,890 76
    131,713

 

 

Health Care (13.5%)    
UnitedHealth Group Inc. 119,137 5,810
Amgen Inc. 96,337 5,579
Medtronic Inc. 117,518 4,281
* Gilead Sciences Inc. 84,783 3,379
* Celgene Corp. 50,874 3,209
* Biogen Idec Inc. 26,501 3,046
Allergan Inc. 33,897 2,838
WellPoint Inc. 39,719 2,802
Covidien plc 54,314 2,474
* Express Scripts Inc. 53,616 2,448
* Medco Health Solutions Inc. 42,307 2,398
* Intuitive Surgical Inc. 4,322 1,877
Becton Dickinson and Co. 24,073 1,776
Aetna Inc. 40,978 1,714
Cardinal Health Inc. 38,597 1,639
Humana Inc. 18,355 1,628
Stryker Corp. 32,282 1,576
* Agilent Technologies Inc. 37,960 1,423
St. Jude Medical Inc. 36,347 1,397
Cigna Corp. 29,960 1,325
AmerisourceBergen Corp. Class A 30,156 1,120
* Zimmer Holdings Inc. 21,167 1,070
Quest Diagnostics Inc. 17,195 1,009
* Boston Scientific Corp. 168,263 993
* Laboratory Corp. of America Holdings 11,266 966
* Mylan Inc. 47,099 920
* Forest Laboratories Inc. 30,379 910
CR Bard Inc. 9,459 825
* Waters Corp. 9,971 798
* Varian Medical Systems Inc. 12,804 797
* DaVita Inc. 10,375 790
* Life Technologies Corp. 19,913 771
* Watson Pharmaceuticals Inc. 11,722 757
* Henry Schein Inc. 10,181 655
* CareFusion Corp. 24,448 606
DENTSPLY International Inc. 15,327 553
* Coventry Health Care Inc. 16,177 517
* Hospira Inc. 18,312 516
Omnicare Inc. 12,740 415
Patterson Cos. Inc. 13,082 395
Universal Health Services Inc. Class B 9,784 393
* Community Health Systems Inc. 10,425 207
    68,602
Industrials (2.5%)    
Deere & Co. 46,522 3,687
PACCAR Inc. 40,128 1,628
WW Grainger Inc. 7,581 1,417
Rockwell Automation Inc. 15,951 1,197
Southwest Airlines Co. 87,910 737
Iron Mountain Inc. 22,290 677
Equifax Inc. 13,658 507
JB Hunt Transport Services Inc. 10,171 465
Robert Half International Inc. 16,058 425
Pentair Inc. 10,873 414
Pitney Bowes Inc. 22,139 412
Dun & Bradstreet Corp. 5,329 372

 

 

Manpower Inc. 9,010 330
* Foster Wheeler AG 13,411 249
* Terex Corp. 12,159 188
    12,705
Information Technology (34.2%)    
* Apple Inc. 101,916 38,952
Oracle Corp. 556,686 17,452
* Google Inc. Class A 26,614 15,952
Intel Corp. 559,543 13,938
Cisco Systems Inc. 591,494 11,025
Qualcomm Inc. 176,454 9,670
Visa Inc. Class A 57,523 5,578
* EMC Corp. 226,524 5,212
Mastercard Inc. Class A 13,264 4,968
* eBay Inc. 141,640 4,191
* Dell Inc. 200,721 3,163
Automatic Data Processing Inc. 54,989 2,809
* Cognizant Technology Solutions Corp. Class A 33,320 2,244
Intuit Inc. 33,222 1,769
Broadcom Corp. Class A 53,169 1,613
Applied Materials Inc. 145,034 1,563
* NetApp Inc. 41,018 1,511
* Adobe Systems Inc. 54,341 1,490
* Citrix Systems Inc. 20,632 1,473
* Symantec Corp. 83,131 1,359
Altera Corp. 35,746 1,347
* Juniper Networks Inc. 58,908 1,338
* SanDisk Corp. 26,467 1,305
* Check Point Software Technologies Ltd. 22,963 1,271
Western Union Co. 69,592 1,214
Paychex Inc. 40,040 1,166
Analog Devices Inc. 32,729 1,141
* NVIDIA Corp. 65,706 1,027
* Teradata Corp. 18,547 1,006
* Marvell Technology Group Ltd. 67,440 952
Xilinx Inc. 29,062 951
* Fiserv Inc. 15,622 901
CA Inc. 41,929 889
* Autodesk Inc. 25,295 862
KLA-Tencor Corp. 18,612 858
* Electronic Arts Inc. 36,440 845
Seagate Technology plc 45,777 783
Activision Blizzard Inc. 62,428 775
Linear Technology Corp. 24,764 759
Microchip Technology Inc. 20,849 728
* BMC Software Inc. 19,420 692
* Micron Technology Inc. 110,100 659
VeriSign Inc. 18,125 609
* Akamai Technologies Inc. 20,304 587
* Lam Research Corp. 13,512 551
* Avnet Inc. 16,827 501
Jabil Circuit Inc. 23,656 479
* Arrow Electronics Inc. 12,803 468
* Synopsys Inc. 16,113 451
* Advanced Micro Devices Inc. 75,066 427
Total System Services Inc. 21,145 424
IAC/InterActiveCorp 8,621 361

 

 

* LSI Corp.   62,545 351
* First Solar Inc.   6,970 334
Broadridge Financial Solutions Inc.   13,600 307
* Novellus Systems Inc.   7,558 262
DST Systems Inc.   5,105 243
Diebold Inc.   7,219 218
* Compuware Corp.   24,355 201
* CoreLogic Inc.   12,057 160
      174,335
Materials (1.2%)      
Praxair Inc.   33,288 3,395
Sigma-Aldrich Corp.   13,358 866
Ball Corp.   17,820 625
International Flavors & Fragrances Inc.   8,824 479
Vulcan Materials Co.   14,327 465
Sealed Air Corp.   21,050 371
      6,201
Telecommunication Services (1.7%)      
* American Tower Corp. Class A   43,637 2,575
CenturyLink Inc.   67,691 2,540
* Crown Castle International Corp.   31,485 1,332
* Sprint Nextel Corp.   326,694 882
Frontier Communications Corp.   108,123 619
* NII Holdings Inc.   18,704 430
Telephone & Data Systems Inc.   5,673 153
      8,531
Utilities (0.3%)      
CenterPoint Energy Inc.   46,650 928
TECO Energy Inc.   23,474 441
Questar Corp.   19,618 379
      1,748
Total Common Stocks (Cost $454,860)     509,835
      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (0.1%)      
Money Market Fund (0.1%)      
1 Vanguard Market Liquidity Fund (Cost $346) 0.135% 345,571 346
Total Investments (100.2%) (Cost $455,206)     510,181
Other Assets and Liabilities-Net (-0.2%)     (975)
Net Assets (100%)     509,206

* 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.

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

 

FTSE Social Index Fund

trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.

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

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

At November 30, 2011, 100% of the market value of the fund's investments was based on Level 1 inputs.

C. At November 30, 2011, the cost of investment securities for tax purposes was $455,206,000. Net unrealized appreciation of investment securities for tax purposes was $54,975,000, consisting of unrealized gains of $118,360,000 on securities that had risen in value since their purchase and $63,385,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Mega Cap 300 Index Fund

Schedule of Investments
As of November 30, 2011

      Market
      Value
    Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (10.2%)    
  McDonald's Corp. 48,689 4,651
* Amazon.com Inc. 17,116 3,291
  Walt Disney Co. 83,105 2,979
  Home Depot Inc. 73,729 2,892
  Comcast Corp. Class A 96,625 2,191
* Ford Motor Co. 166,263 1,762
  Time Warner Inc. 49,243 1,715
  News Corp. Class A 95,575 1,667
  NIKE Inc. Class B 17,095 1,644
* DIRECTV Class A 34,797 1,643
  Target Corp. 30,667 1,616
  Starbucks Corp. 35,118 1,527
  Lowe's Cos. Inc. 59,411 1,426
  Yum! Brands Inc. 21,796 1,221
* priceline.com Inc. 2,333 1,134
  Viacom Inc. Class B 25,176 1,127
  TJX Cos. Inc. 18,148 1,120
  Johnson Controls Inc. 31,761 1,000
  Time Warner Cable Inc. 15,685 949
  Coach Inc. 13,779 862
* Las Vegas Sands Corp. 17,085 798
* General Motors Co. 36,580 779
  CBS Corp. Class B 29,317 763
  Comcast Corp. 32,597 729
  Carnival Corp. 21,406 711
* Bed Bath & Beyond Inc. 11,716 709
  Kohl's Corp. 12,951 697
  Macy's Inc. 19,929 644
  McGraw-Hill Cos. Inc. 14,300 611
  Omnicom Group Inc. 13,226 571
  VF Corp. 4,103 569
  Staples Inc. 33,303 480
  Wynn Resorts Ltd. 3,816 460
  Ralph Lauren Corp. Class A 2,976 422
  Best Buy Co. Inc. 15,429 418
  Marriott International Inc. Class A 13,425 411
* Liberty Media Corp. - Liberty Capital Class A 5,130 391
* AutoZone Inc. 1,182 388
  Gap Inc. 19,046 356
* Discovery Communications Inc. Class A 6,552 275
* Dollar General Corp. 6,406 260
* Discovery Communications Inc. 6,302 238
  DISH Network Corp. Class A 9,609 236
  News Corp. Class B 10,642 190
*,^ Sears Holdings Corp. 2,057 124
      48,647
Consumer Staples (11.9%)    
  Procter & Gamble Co. 129,523 8,363

 

 

Coca-Cola Co. 97,397 6,548
Philip Morris International Inc. 82,790 6,312
Wal-Mart Stores Inc. 89,614 5,278
PepsiCo Inc. 74,591 4,774
Kraft Foods Inc. 79,078 2,859
Altria Group Inc. 98,135 2,816
CVS Caremark Corp. 63,601 2,470
Colgate-Palmolive Co. 22,933 2,098
Costco Wholesale Corp. 20,635 1,760
Walgreen Co. 42,904 1,447
Kimberly-Clark Corp. 18,420 1,317
General Mills Inc. 30,476 1,218
Archer-Daniels-Midland Co. 31,852 959
Sysco Corp. 27,935 797
HJ Heinz Co. 15,056 793
Lorillard Inc. 6,758 754
Mead Johnson Nutrition Co. 9,613 724
Reynolds American Inc. 16,445 688
Estee Lauder Cos. Inc. Class A 5,652 667
Kroger Co. 26,957 625
Kellogg Co. 11,919 586
Sara Lee Corp. 26,007 493
ConAgra Foods Inc. 19,131 483
Hershey Co. 7,699 444
Clorox Co. 6,226 404
Avon Products Inc. 20,040 341
Brown-Forman Corp. Class B 3,975 317
Molson Coors Brewing Co. Class B 7,609 309
Campbell Soup Co. 8,971 293
    56,937
Energy (13.1%)    
Exxon Mobil Corp. 229,169 18,434
Chevron Corp. 94,286 9,694
Schlumberger Ltd. 63,672 4,796
ConocoPhillips 61,479 4,385
Occidental Petroleum Corp. 38,308 3,789
Anadarko Petroleum Corp. 23,363 1,899
Apache Corp. 18,007 1,791
Halliburton Co. 43,344 1,595
National Oilwell Varco Inc. 19,822 1,421
EOG Resources Inc. 12,610 1,308
Devon Energy Corp. 18,843 1,233
Baker Hughes Inc. 20,367 1,112
Marathon Oil Corp. 33,340 932
El Paso Corp. 36,303 908
Spectra Energy Corp. 30,444 896
Williams Cos. Inc. 27,537 889
Hess Corp. 14,329 863
Noble Energy Inc. 8,264 813
Chesapeake Energy Corp. 30,817 781
* Cameron International Corp. 11,516 622
* Southwestern Energy Co. 16,335 622
Valero Energy Corp. 26,795 597
Marathon Petroleum Corp. 16,690 557
* Weatherford International Ltd. 34,994 530
Peabody Energy Corp. 12,742 500
Murphy Oil Corp. 8,582 480

 

 

Noble Corp. 12,313 425
Diamond Offshore Drilling Inc. 3,290 198
Kinder Morgan Inc. 5,273 156
    62,226
Financials (12.8%)    
Wells Fargo & Co. 236,405 6,113
JPMorgan Chase & Co. 183,775 5,692
Citigroup Inc. 137,528 3,779
* Berkshire Hathaway Inc. Class B 42,745 3,367
Bank of America Corp. 477,650 2,598
American Express Co. 50,740 2,438
US Bancorp 90,386 2,343
Goldman Sachs Group Inc. 22,647 2,171
Simon Property Group Inc. 13,744 1,709
MetLife Inc. 49,654 1,563
PNC Financial Services Group Inc. 24,658 1,337
Prudential Financial Inc. 22,773 1,153
Bank of New York Mellon Corp. 58,174 1,132
Travelers Cos. Inc. 19,686 1,107
ACE Ltd. 15,811 1,099
Morgan Stanley 68,150 1,008
Capital One Financial Corp. 21,461 959
Aflac Inc. 21,924 952
State Street Corp. 23,627 937
Chubb Corp. 13,737 926
Public Storage 6,797 897
Marsh & McLennan Cos. Inc. 25,667 775
BlackRock Inc. 4,456 767
Equity Residential 13,804 762
BB&T Corp. 32,626 756
CME Group Inc. 2,990 745
HCP Inc. 19,027 735
Annaly Capital Management Inc. 45,674 734
Franklin Resources Inc. 7,280 734
T Rowe Price Group Inc. 12,179 691
Ventas Inc. 12,861 679
Allstate Corp. 24,576 658
Boston Properties Inc. 6,813 650
Aon Corp. 13,965 642
Discover Financial Services 25,627 610
Charles Schwab Corp. 50,442 603
ProLogis Inc. 21,374 595
Loews Corp. 15,401 592
Vornado Realty Trust 7,777 579
Progressive Corp. 29,257 552
Fifth Third Bancorp 43,268 523
American International Group Inc. 22,334 521
Ameriprise Financial Inc. 11,314 519
SunTrust Banks Inc. 25,231 457
Invesco Ltd. 21,717 440
Weyerhaeuser Co. 25,322 425
M&T Bank Corp. 5,278 385
Northern Trust Corp. 10,196 384
Principal Financial Group Inc. 15,167 366
Hartford Financial Services Group Inc. 19,731 350
General Growth Properties Inc. 20,307 286

 

 

TD Ameritrade Holding Corp. 10,649 174
    60,969
Health Care (11.8%)    
Johnson & Johnson 129,157 8,359
Pfizer Inc. 367,742 7,381
Merck & Co. Inc. 145,203 5,191
Abbott Laboratories 73,364 4,002
Bristol-Myers Squibb Co. 80,391 2,630
Amgen Inc. 43,595 2,525
UnitedHealth Group Inc. 50,811 2,478
Eli Lilly & Co. 48,851 1,849
Medtronic Inc. 50,265 1,831
* Gilead Sciences Inc. 36,877 1,470
Baxter International Inc. 26,728 1,381
* Celgene Corp. 21,691 1,368
* Biogen Idec Inc. 10,756 1,236
WellPoint Inc. 17,251 1,217
Allergan Inc. 14,494 1,213
Covidien plc 23,231 1,058
* Medco Health Solutions Inc. 18,171 1,030
* Express Scripts Inc. 21,859 998
McKesson Corp. 11,836 962
* Thermo Fisher Scientific Inc. 18,001 851
* Intuitive Surgical Inc. 1,841 799
Becton Dickinson and Co. 10,284 759
Aetna Inc. 17,849 747
Cardinal Health Inc. 16,433 698
Stryker Corp. 13,682 668
* Agilent Technologies Inc. 16,222 608
Cigna Corp. 13,389 592
St. Jude Medical Inc. 15,386 591
* Zimmer Holdings Inc. 8,959 453
Quest Diagnostics Inc. 7,362 432
* Boston Scientific Corp. 71,880 424
* Forest Laboratories Inc. 13,507 405
* HCA Holdings Inc. 8,153 199
    56,405
Industrials (10.3%)    
General Electric Co. 499,610 7,949
United Technologies Corp. 40,807 3,126
Caterpillar Inc. 30,451 2,981
3M Co. 31,652 2,565
United Parcel Service Inc. Class B 34,594 2,482
Union Pacific Corp. 22,998 2,378
Boeing Co. 33,183 2,279
Honeywell International Inc. 35,105 1,901
Emerson Electric Co. 35,208 1,840
Deere & Co. 19,667 1,559
Danaher Corp. 27,465 1,329
Norfolk Southern Corp. 16,563 1,251
FedEx Corp. 14,052 1,167
CSX Corp. 51,729 1,123
Precision Castparts Corp. 6,722 1,107
Tyco International Ltd. 22,010 1,056
Lockheed Martin Corp. 13,445 1,051
General Dynamics Corp. 14,852 981

 

 

Illinois Tool Works Inc. 21,089 958
Cummins Inc. 8,758 844
Raytheon Co. 16,746 763
Goodrich Corp. 5,892 719
Northrop Grumman Corp. 12,449 710
Eaton Corp. 15,189 682
Waste Management Inc. 21,062 659
Parker Hannifin Corp. 7,632 632
PACCAR Inc. 15,446 627
CH Robinson Worldwide Inc. 7,610 521
Ingersoll-Rand plc 15,548 515
Rockwell Automation Inc. 6,765 508
Stanley Black & Decker Inc. 7,508 491
Dover Corp. 8,768 482
Fluor Corp. 8,138 446
Expeditors International of Washington Inc. 9,926 432
Rockwell Collins Inc. 7,183 394
Republic Services Inc. Class A 14,144 388
    48,896
Information Technology (20.1%)    
* Apple Inc. 43,696 16,701
International Business Machines Corp. 56,290 10,583
Microsoft Corp. 355,967 9,106
* Google Inc. Class A 11,982 7,182
Intel Corp. 247,498 6,165
Oracle Corp. 190,740 5,980
Cisco Systems Inc. 259,232 4,832
Qualcomm Inc. 79,040 4,331
Hewlett-Packard Co. 97,761 2,732
Visa Inc. Class A 24,541 2,380
* EMC Corp. 97,324 2,239
Mastercard Inc. Class A 5,087 1,905
Accenture plc Class A 30,492 1,766
Texas Instruments Inc. 54,391 1,637
* eBay Inc. 54,822 1,622
* Dell Inc. 77,389 1,220
Automatic Data Processing Inc. 23,478 1,199
Corning Inc. 73,563 976
* Cognizant Technology Solutions Corp. Class A 14,256 960
* Yahoo! Inc. 58,000 911
Intuit Inc. 13,520 720
* Salesforce.com Inc. 5,952 705
Broadcom Corp. Class A 22,600 686
Motorola Solutions Inc. 14,320 668
Applied Materials Inc. 61,925 668
TE Connectivity Ltd. 20,683 656
* Adobe Systems Inc. 23,617 648
* NetApp Inc. 17,213 634
* Citrix Systems Inc. 8,827 630
* Symantec Corp. 35,574 582
Altera Corp. 15,105 569
* Juniper Networks Inc. 24,942 566
Xerox Corp. 65,863 537
Western Union Co. 29,526 515
Analog Devices Inc. 14,114 492
Paychex Inc. 15,349 447
CA Inc. 19,027 403

 

 

* VMware Inc. Class A 3,938 381
* Marvell Technology Group Ltd. 24,312 343
Activision Blizzard Inc. 24,042 299
Fidelity National Information Services Inc. 11,447 276
    95,852
Materials (3.2%)    
EI du Pont de Nemours & Co. 43,951 2,097
Monsanto Co. 25,155 1,848
Freeport-McMoRan Copper & Gold Inc. 44,454 1,760
Newmont Mining Corp. 23,131 1,593
Dow Chemical Co. 55,673 1,543
Praxair Inc. 14,245 1,453
Air Products & Chemicals Inc. 9,955 834
Mosaic Co. 14,373 758
PPG Industries Inc. 7,443 653
Ecolab Inc. 10,848 619
Nucor Corp. 14,859 586
International Paper Co. 19,529 555
Alcoa Inc. 50,032 501
LyondellBasell Industries NV Class A 13,390 437
    15,237
Telecommunication Services (3.4%)    
AT&T Inc. 279,302 8,094
Verizon Communications Inc. 133,430 5,035
* American Tower Corp. Class A 18,628 1,099
CenturyLink Inc. 28,809 1,081
* Crown Castle International Corp. 13,683 579
* Sprint Nextel Corp. 141,144 381
    16,269
Utilities (3.2%)    
Southern Co. 40,423 1,775
Dominion Resources Inc. 26,987 1,393
Exelon Corp. 31,091 1,378
Duke Energy Corp. 62,377 1,301
NextEra Energy Inc. 18,784 1,041
American Electric Power Co. Inc. 22,553 895
FirstEnergy Corp. 19,610 872
Consolidated Edison Inc. 13,704 814
PPL Corp. 27,005 811
Public Service Enterprise Group Inc. 23,744 782
Progress Energy Inc. 13,787 750
PG&E Corp. 18,654 724
Xcel Energy Inc. 22,714 597
Entergy Corp. 8,365 589
Edison International 14,559 572
Sempra Energy 10,661 567
* AES Corp. 31,243 377
    15,238
Total Common Stocks (Cost $453,613)   476,676

 

 

      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (0.0%)      
Money Market Fund (0.0%)      
1,2 Vanguard Market Liquidity Fund (Cost $99) 0.135% 99,201 99
 
Total Investments (100.0%) (Cost $453,712)     476,775
Other Assets and Liabilities-Net (0.0%)2     216
Net Assets (100%)     476,991

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $97,000.
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 $99,000 of collateral received for securities on loan.

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

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

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

At November 30, 2011, 100% of the market value of the fund's investments was based on Level 1 inputs.

C. At November 30, 2011, the cost of investment securities for tax purposes was $453,712,000. Net unrealized appreciation of investment securities for tax purposes was $23,063,000, consisting of unrealized gains of $59,561,000 on securities that had risen in value since their purchase and $36,498,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Mega Cap 300 Growth Index Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.0%)1    
Consumer Discretionary (16.7%)    
McDonald's Corp. 134,400 12,838
* Amazon.com Inc. 47,386 9,112
Comcast Corp. Class A 351,495 7,968
* Ford Motor Co. 461,457 4,891
* DIRECTV Class A 96,149 4,540
NIKE Inc. Class B 46,672 4,489
Target Corp. 83,580 4,405
Starbucks Corp. 97,276 4,230
News Corp. Class A 235,001 4,098
Home Depot Inc. 101,900 3,997
Lowe's Cos. Inc. 164,071 3,939
Yum! Brands Inc. 60,557 3,394
* priceline.com Inc. 6,488 3,152
TJX Cos. Inc. 49,708 3,067
Viacom Inc. Class B 68,211 3,053
Walt Disney Co. 80,413 2,883
Johnson Controls Inc. 88,597 2,789
Time Warner Cable Inc. 42,432 2,566
Coach Inc. 37,723 2,361
* Las Vegas Sands Corp. 47,595 2,223
CBS Corp. Class B 81,610 2,125
* Bed Bath & Beyond Inc. 32,532 1,968
Kohl's Corp. 34,641 1,864
McGraw-Hill Cos. Inc. 39,314 1,679
VF Corp. 11,440 1,587
Wynn Resorts Ltd. 10,634 1,282
Ralph Lauren Corp. Class A 8,048 1,142
Marriott International Inc. Class A 36,492 1,117
* Liberty Media Corp. - Liberty Capital Class A 14,132 1,078
News Corp. Class B 60,371 1,078
* AutoZone Inc. 3,212 1,055
Omnicom Group Inc. 23,686 1,023
Gap Inc. 50,159 937
* Discovery Communications Inc. Class A 18,393 772
* Dollar General Corp. 17,876 725
* Discovery Communications Inc. 16,392 620
DISH Network Corp. Class A 13,604 334
Comcast Corp. 5,358 120
* Sears Holdings Corp. 1,950 118
    110,619
Consumer Staples (13.9%)    
Coca-Cola Co. 269,240 18,101
Philip Morris International Inc. 228,832 17,446
Wal-Mart Stores Inc. 246,989 14,548
PepsiCo Inc. 206,176 13,195
Colgate-Palmolive Co. 63,434 5,804
Costco Wholesale Corp. 57,123 4,872
Walgreen Co. 117,995 3,979

 

 

Mead Johnson Nutrition Co. 26,648 2,008
Estee Lauder Cos. Inc. Class A 15,567 1,837
Kroger Co. 74,899 1,736
General Mills Inc. 42,042 1,679
Kellogg Co. 33,060 1,625
Hershey Co. 21,772 1,256
Avon Products Inc. 56,110 954
Sara Lee Corp. 47,401 899
Brown-Forman Corp. Class B 10,947 874
HJ Heinz Co. 14,542 766
Clorox Co. 11,126 723
Campbell Soup Co. 8,771 286
    92,588
Energy (8.5%)    
Schlumberger Ltd. 175,811 13,244
Occidental Petroleum Corp. 105,873 10,471
Halliburton Co. 119,816 4,409
National Oilwell Varco Inc. 55,236 3,960
EOG Resources Inc. 34,994 3,630
Baker Hughes Inc. 56,866 3,105
Anadarko Petroleum Corp. 32,336 2,628
El Paso Corp. 100,327 2,509
Williams Cos. Inc. 76,718 2,477
* Cameron International Corp. 31,979 1,727
* Southwestern Energy Co. 45,329 1,725
* Weatherford International Ltd. 98,819 1,498
Noble Energy Inc. 14,980 1,474
Peabody Energy Corp. 35,311 1,385
Noble Corp. 17,092 590
Diamond Offshore Drilling Inc. 9,145 550
Marathon Petroleum Corp. 16,253 543
Kinder Morgan Inc. 14,108 416
    56,341
Financials (4.5%)    
American Express Co. 139,966 6,724
Simon Property Group Inc. 38,256 4,757
* Berkshire Hathaway Inc. Class B 41,436 3,264
Public Storage 18,938 2,498
Franklin Resources Inc. 20,166 2,033
T Rowe Price Group Inc. 33,463 1,899
Ventas Inc. 35,627 1,880
Boston Properties Inc. 19,164 1,828
Charles Schwab Corp. 140,369 1,679
Weyerhaeuser Co. 70,235 1,179
Northern Trust Corp. 28,259 1,063
Aon Corp. 13,192 606
TD Ameritrade Holding Corp. 28,827 470
    29,880
Health Care (8.0%)    
UnitedHealth Group Inc. 140,268 6,841
Amgen Inc. 78,252 4,532
* Gilead Sciences Inc. 100,527 4,006
Baxter International Inc. 74,106 3,828
* Celgene Corp. 59,774 3,770
* Biogen Idec Inc. 30,086 3,458
Allergan Inc. 40,116 3,358

 

 

* Medco Health Solutions Inc. 50,385 2,855
* Express Scripts Inc. 60,311 2,753
McKesson Corp. 32,175 2,616
* Thermo Fisher Scientific Inc. 49,751 2,351
* Intuitive Surgical Inc. 5,095 2,212
Becton Dickinson and Co. 28,337 2,091
Stryker Corp. 37,985 1,855
* Agilent Technologies Inc. 45,384 1,702
St. Jude Medical Inc. 42,993 1,653
* Zimmer Holdings Inc. 24,849 1,256
Quest Diagnostics Inc. 20,621 1,210
* HCA Holdings Inc. 22,223 542
* Forest Laboratories Inc. 17,881 536
    53,425
Industrials (12.3%)    
Caterpillar Inc. 84,201 8,242
3M Co. 87,798 7,115
United Parcel Service Inc. Class B 95,989 6,887
Union Pacific Corp. 63,583 6,575
Boeing Co. 91,746 6,302
Emerson Electric Co. 97,094 5,073
Deere & Co. 53,992 4,279
Danaher Corp. 75,954 3,675
Norfolk Southern Corp. 45,304 3,422
FedEx Corp. 39,304 3,265
CSX Corp. 142,693 3,098
Precision Castparts Corp. 18,800 3,097
Tyco International Ltd. 60,564 2,905
Cummins Inc. 24,117 2,323
Goodrich Corp. 16,283 1,987
Honeywell International Inc. 33,897 1,835
PACCAR Inc. 42,879 1,740
CH Robinson Worldwide Inc. 21,553 1,477
Lockheed Martin Corp. 18,580 1,452
Rockwell Automation Inc. 18,733 1,406
Fluor Corp. 22,733 1,246
Expeditors International of Washington Inc. 27,706 1,205
Rockwell Collins Inc. 20,021 1,099
Republic Services Inc. Class A 39,301 1,079
Dover Corp. 12,115 666
    81,450
Information Technology (32.3%)    
* Apple Inc. 120,757 46,153
International Business Machines Corp. 155,568 29,247
* Google Inc. Class A 33,119 19,851
Oracle Corp. 527,164 16,527
Microsoft Corp. 638,468 16,332
Cisco Systems Inc. 716,424 13,354
Qualcomm Inc. 218,524 11,975
Visa Inc. Class A 67,907 6,585
* EMC Corp. 268,963 6,189
Mastercard Inc. Class A 14,154 5,301
Accenture plc Class A 84,018 4,867
* eBay Inc. 151,084 4,471
Automatic Data Processing Inc. 63,869 3,263
Texas Instruments Inc. 97,793 2,944

 

 

* Cognizant Technology Solutions Corp. Class A     39,613 2,668
  Intuit Inc.     37,626 2,003
* Salesforce.com Inc.     16,573 1,963
  Broadcom Corp. Class A     62,659 1,901
* NetApp Inc.     48,023 1,769
* Adobe Systems Inc.     64,409 1,766
* Citrix Systems Inc.     24,562 1,753
* Dell Inc.     106,648 1,681
* Yahoo! Inc.     101,591 1,596
  Altera Corp.     42,238 1,591
* Symantec Corp.     96,606 1,580
* Juniper Networks Inc.     69,450 1,577
  Western Union Co.     81,851 1,427
  Analog Devices Inc.     39,041 1,361
* VMware Inc. Class A     11,203 1,083
* Marvell Technology Group Ltd.     67,752 957
  Activision Blizzard Inc.     67,083 833
  Paychex Inc.     14,862 433
          215,001
Materials (2.9%)        
  Monsanto Co.     69,711 5,120
  Newmont Mining Corp.     64,373 4,434
  Praxair Inc.     39,403 4,019
  Mosaic Co.     39,862 2,103
  Ecolab Inc.     30,255 1,725
  Air Products & Chemicals Inc.     13,883 1,163
  PPG Industries Inc.     10,297 904
          19,468
Telecommunication Services (0.7%)        
* American Tower Corp. Class A     51,550 3,042
* Crown Castle International Corp.     37,381 1,582
          4,624
Utilities (0.2%)        
* AES Corp.     86,700 1,047
 
Total Common Stocks (Cost $578,831)       664,443
 
Temporary Cash Investments (0.0%)1        
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (0.0%)        
2,3 Freddie Mac Discount Notes 0.080% 12/1/11 50 50
2 Freddie Mac Discount Notes 0.050% 4/24/12 100 100
          150
Total Temporary Cash Investments (Cost $150)       150
Total Investments (100.0%) (Cost $578,981)       664,593
Other Assets and Liabilities-Net (0.0%)       259
Net Assets (100%)       664,852

* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.

 

2 The issuer is under federal conservatorship and is dependent upon the continued support of the U.S. Treasury to avoid receivership.
3 Securities with a value of $50,000 have been segregated as initial margin for open futures contracts.

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

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

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

The following table summarizes the market value of the fund's investments as of November 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 664,443 — —
Temporary Cash Investments — 150 —
Futures Contracts—Assets1 27 — —
Futures Contracts—Liabilities1 (12) — —
Total 664,458 150 —
1 Represents variation margin on the last day of the reporting period.      

 

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

 

Mega Cap 300 Growth Index 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, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
 Futures Contracts  Expiration Contracts  Long (Short)  (Depreciation)
E-mini S&P 500 Index December 2011 1 62 4

 

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

D. At November 30, 2011, the cost of investment securities for tax purposes was $578,981,000. Net unrealized appreciation of investment securities for tax purposes was $85,612,000, consisting of unrealized gains of $100,266,000 on securities that had risen in value since their purchase and $14,654,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Mega Cap 300 Value Index Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (99.8%)1    
Consumer Discretionary (3.6%)    
Walt Disney Co. 102,656 3,680
Time Warner Inc. 93,543 3,257
Home Depot Inc. 69,690 2,733
* General Motors Co. 70,416 1,499
Carnival Corp. 40,863 1,357
Macy's Inc. 38,228 1,236
Staples Inc. 64,650 932
Best Buy Co. Inc. 28,699 778
Omnicom Group Inc. 8,691 375
DISH Network Corp. Class A 9,495 233
*,^ Sears Holdings Corp. 2,423 146
    16,226
Consumer Staples (9.9%)    
Procter & Gamble Co. 246,167 15,895
Kraft Foods Inc. 150,363 5,436
Altria Group Inc. 185,504 5,322
CVS Caremark Corp. 120,441 4,678
Kimberly-Clark Corp. 35,717 2,553
Archer-Daniels-Midland Co. 60,643 1,826
Sysco Corp. 54,031 1,542
Lorillard Inc. 12,315 1,375
Reynolds American Inc. 31,251 1,308
General Mills Inc. 29,472 1,177
HJ Heinz Co. 18,826 991
ConAgra Foods Inc. 37,555 949
Molson Coors Brewing Co. Class B 14,580 592
Campbell Soup Co. 11,413 372
Sara Lee Corp. 17,754 337
Clorox Co. 4,195 272
    44,625
Energy (17.7%)    
Exxon Mobil Corp. 435,629 35,042
Chevron Corp. 179,493 18,455
ConocoPhillips 116,768 8,328
Apache Corp. 34,341 3,415
Devon Energy Corp. 35,401 2,317
Anadarko Petroleum Corp. 22,691 1,844
Marathon Oil Corp. 63,900 1,787
Spectra Energy Corp. 58,262 1,714
Hess Corp. 27,886 1,679
Chesapeake Energy Corp. 59,187 1,500
Valero Energy Corp. 51,248 1,141
Murphy Oil Corp. 16,759 937
Marathon Petroleum Corp. 20,502 685
Noble Energy Inc. 5,455 537
Noble Corp. 11,590 400
    79,781

 

 

Financials (21.2%)    
Wells Fargo & Co. 449,495 11,624
JPMorgan Chase & Co. 349,253 10,816
Citigroup Inc. 261,497 7,186
Bank of America Corp. 908,281 4,941
US Bancorp 172,107 4,461
* Berkshire Hathaway Inc. Class B 52,833 4,161
Goldman Sachs Group Inc. 42,958 4,118
MetLife Inc. 94,726 2,982
PNC Financial Services Group Inc. 47,078 2,552
Prudential Financial Inc. 43,294 2,192
Bank of New York Mellon Corp. 110,466 2,150
Travelers Cos. Inc. 37,508 2,110
ACE Ltd. 30,224 2,102
Morgan Stanley 129,731 1,919
Capital One Financial Corp. 41,119 1,836
Aflac Inc. 41,786 1,815
State Street Corp. 45,168 1,791
Chubb Corp. 25,589 1,726
Equity Residential 26,788 1,478
Marsh & McLennan Cos. Inc. 48,460 1,463
BB&T Corp. 62,400 1,446
BlackRock Inc. 8,382 1,442
CME Group Inc. 5,685 1,417
HCP Inc. 36,419 1,408
Annaly Capital Management Inc. 87,241 1,402
Allstate Corp. 46,197 1,238
Discover Financial Services 49,744 1,185
ProLogis Inc. 41,142 1,145
Loews Corp. 28,885 1,110
Vornado Realty Trust 14,808 1,103
Progressive Corp. 54,343 1,025
Fifth Third Bancorp 82,435 997
American International Group Inc. 42,438 989
Ameriprise Financial Inc. 21,328 979
SunTrust Banks Inc. 48,065 871
Invesco Ltd. 41,102 832
Aon Corp. 17,057 784
M&T Bank Corp. 10,127 739
Principal Financial Group Inc. 28,066 677
Hartford Financial Services Group Inc. 37,857 672
General Growth Properties Inc. 39,395 555
    95,439
Health Care (15.6%)    
Johnson & Johnson 245,533 15,891
Pfizer Inc. 699,032 14,030
Merck & Co. Inc. 276,095 9,870
Abbott Laboratories 139,485 7,609
Bristol-Myers Squibb Co. 152,777 4,999
Eli Lilly & Co. 93,284 3,531
Medtronic Inc. 96,717 3,523
WellPoint Inc. 32,264 2,276
Covidien plc 44,202 2,013
Amgen Inc. 28,917 1,675
Aetna Inc. 33,359 1,395
Cardinal Health Inc. 30,813 1,308
Cigna Corp. 25,505 1,128

 

 

* Boston Scientific Corp. 137,119 809
* Forest Laboratories Inc. 12,002 360
    70,417
Industrials (8.2%)    
General Electric Co. 950,016 15,115
United Technologies Corp. 77,298 5,921
Honeywell International Inc. 43,265 2,343
General Dynamics Corp. 27,534 1,819
Illinois Tool Works Inc. 39,544 1,797
Raytheon Co. 31,603 1,440
Northrop Grumman Corp. 23,625 1,348
Eaton Corp. 28,992 1,302
Waste Management Inc. 40,111 1,256
Parker Hannifin Corp. 14,061 1,164
Ingersoll-Rand plc 29,960 992
Lockheed Martin Corp. 12,500 977
Stanley Black & Decker Inc. 14,262 933
Dover Corp. 8,479 466
    36,873
Information Technology (7.6%)    
Intel Corp. 470,530 11,721
Microsoft Corp. 236,415 6,048
Hewlett-Packard Co. 186,952 5,225
Corning Inc. 140,744 1,868
Motorola Solutions Inc. 27,942 1,304
Applied Materials Inc. 118,008 1,272
TE Connectivity Ltd. 38,814 1,231
* Dell Inc. 73,506 1,158
Texas Instruments Inc. 36,862 1,110
Xerox Corp. 125,788 1,025
CA Inc. 36,807 780
* Yahoo! Inc. 37,278 586
Paychex Inc. 19,197 559
Fidelity National Information Services Inc. 21,883 527
    34,414
Materials (3.5%)    
EI du Pont de Nemours & Co. 84,093 4,013
Freeport-McMoRan Copper & Gold Inc. 84,875 3,361
Dow Chemical Co. 105,863 2,933
Nucor Corp. 28,298 1,116
International Paper Co. 37,214 1,057
Alcoa Inc. 95,378 956
LyondellBasell Industries NV Class A 25,988 849
Air Products & Chemicals Inc. 9,522 797
PPG Industries Inc. 7,052 619
    15,701
Telecommunication Services (6.2%)    
AT&T Inc. 531,056 15,390
Verizon Communications Inc. 253,709 9,572
CenturyLink Inc. 55,160 2,070
* Sprint Nextel Corp. 268,133 724
    27,756
Utilities (6.3%)    
Southern Co. 76,785 3,372
Exelon Corp. 59,355 2,630

 

 

Dominion Resources Inc.     50,921 2,628
Duke Energy Corp.     119,320 2,488
NextEra Energy Inc.     35,875 1,989
American Electric Power Co. Inc.     43,175 1,713
FirstEnergy Corp.     37,474 1,666
Consolidated Edison Inc.     26,204 1,557
PPL Corp.     51,694 1,552
Public Service Enterprise Group Inc.     45,335 1,493
Progress Energy Inc.     26,388 1,435
PG&E Corp.     35,984 1,398
Xcel Energy Inc.     43,409 1,141
Entergy Corp.     15,815 1,113
Edison International     27,699 1,089
Sempra Energy     20,307 1,080
        28,344
Total Common Stocks (Cost $463,047)       449,576
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investments (0.1%)1        
Money Market Fund (0.1%)        
2,3 Vanguard Market Liquidity Fund 0.135%   229,401 229
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (0.0%)        
4 Federal Home Loan Bank Discount Notes 0.025% 12/9/11 100 100
4,5 Federal Home Loan Bank Discount Notes 0.027% 12/28/11 100 100
        200
Total Temporary Cash Investments (Cost $430)       429
Total Investments (99.9%) (Cost $463,477)       450,005
Other Assets and Liabilities-Net (0.1%)3       320
Net Assets (100%)       450,325

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $223,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 0.0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $229,000 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 $100,000 have been segregated as initial margin for open futures contracts.

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

 

Mega Cap 300 Value Index Fund

fund's net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

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

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

The following table summarizes the market value of the fund's investments as of November 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 449,576 — —
Temporary Cash Investments 229 200 —
Futures Contracts—Assets1 22 — —
Total 449,827 200 —
1 Represents variation margin on the last day of the reporting period.    

 

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

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

At November 30, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
    Aggregate
    Number of Settlement Unrealized
    Long (Short)  Value  Appreciation
Futures Contracts Expiration  Contracts Long (Short)  (Depreciation)
E-mini S&P 500 Index December 2011 9 561 (38)

 

 

Mega Cap 300 Value Index Fund

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

D. At November 30, 2011, the cost of investment securities for tax purposes was $463,477,000. Net unrealized depreciation of investment securities for tax purposes was $13,472,000, consisting of unrealized gains of $29,130,000 on securities that had risen in value since their purchase and $42,602,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Extended Duration Treasury Index Fund

Schedule of Investments
As of November 30, 2011

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (100.0%)        
U.S. Government Securities (100.0%)        
United States Treasury Strip Coupon 0.000% 2/15/32 22,245 11,813
United States Treasury Strip Coupon 0.000% 5/15/32 25,335 13,328
United States Treasury Strip Coupon 0.000% 8/15/32 27,510 14,337
United States Treasury Strip Coupon 0.000% 11/15/32 27,125 13,991
United States Treasury Strip Coupon 0.000% 2/15/33 25,960 13,284
United States Treasury Strip Coupon 0.000% 5/15/33 26,470 13,419
United States Treasury Strip Coupon 0.000% 8/15/33 28,370 14,254
United States Treasury Strip Coupon 0.000% 11/15/33 27,305 13,601
United States Treasury Strip Coupon 0.000% 2/15/34 27,040 13,340
United States Treasury Strip Coupon 0.000% 5/15/34 26,960 13,172
United States Treasury Strip Coupon 0.000% 8/15/34 27,950 13,534
United States Treasury Strip Coupon 0.000% 11/15/34 27,050 12,976
United States Treasury Strip Coupon 0.000% 2/15/35 26,645 12,654
United States Treasury Strip Coupon 0.000% 5/15/35 28,045 13,212
United States Treasury Strip Coupon 0.000% 8/15/35 26,280 12,257
United States Treasury Strip Coupon 0.000% 11/15/35 27,965 12,908
United States Treasury Strip Coupon 0.000% 2/15/36 29,525 13,526
United States Treasury Strip Coupon 0.000% 5/15/36 27,825 12,636
United States Treasury Strip Coupon 0.000% 8/15/36 24,200 10,881
United States Treasury Strip Coupon 0.000% 11/15/36 27,275 12,152
United States Treasury Strip Coupon 0.000% 2/15/37 35,935 15,907
United States Treasury Strip Coupon 0.000% 5/15/37 37,500 16,439
United States Treasury Strip Coupon 0.000% 8/15/37 27,750 12,080
United States Treasury Strip Coupon 0.000% 11/15/37 28,620 12,322
United States Treasury Strip Coupon 0.000% 2/15/38 36,900 15,743
United States Treasury Strip Coupon 0.000% 5/15/38 34,500 14,634
United States Treasury Strip Coupon 0.000% 8/15/38 30,215 12,672
United States Treasury Strip Coupon 0.000% 11/15/38 24,950 10,376
United States Treasury Strip Coupon 0.000% 2/15/39 25,500 10,521
United States Treasury Strip Coupon 0.000% 5/15/39 27,200 11,122
United States Treasury Strip Coupon 0.000% 8/15/39 28,715 11,650
United States Treasury Strip Coupon 0.000% 11/15/39 32,610 13,120
United States Treasury Strip Coupon 0.000% 2/15/40 18,850 7,503
United States Treasury Strip Coupon 0.000% 5/15/40 22,145 8,763
United States Treasury Strip Coupon 0.000% 8/15/40 23,500 9,196
United States Treasury Strip Coupon 0.000% 11/15/40 21,465 8,331
United States Treasury Strip Coupon 0.000% 2/15/41 12,150 4,669
United States Treasury Strip Coupon 0.000% 5/15/41 4,500 1,722
United States Treasury Strip Principal 0.000% 2/15/36 22,330 10,506
United States Treasury Strip Principal 0.000% 2/15/37 16,200 7,344
United States Treasury Strip Principal 0.000% 5/15/37 17,055 7,669
United States Treasury Strip Principal 0.000% 2/15/38 18,700 8,170
United States Treasury Strip Principal 0.000% 5/15/38 17,195 7,462
United States Treasury Strip Principal 0.000% 2/15/39 25,385 10,638
United States Treasury Strip Principal 0.000% 5/15/39 27,810 11,580
United States Treasury Strip Principal 0.000% 8/15/39 26,965 11,121
United States Treasury Strip Principal 0.000% 11/15/39 22,850 9,318
United States Treasury Strip Principal 0.000% 2/15/40 34,415 13,903
United States Treasury Strip Principal 0.000% 5/15/40 29,300 11,741

 

 

United States Treasury Strip Principal 0.000% 8/15/40 35,120 13,889
United States Treasury Strip Principal 0.000% 11/15/40 30,105 11,826
United States Treasury Strip Principal 0.000% 2/15/41 50,915 19,805
United States Treasury Strip Principal 0.000% 5/15/41 91,415 35,337
United States Treasury Strip Principal 0.000% 8/15/41 41,075 15,772
United States Treasury Strip Principal 0.000% 11/15/41 16,700 6,384
Total U.S. Government and Agency Obligations (Cost $510,757)     670,510
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investment (0.0%)        
Money Market Fund (0.0%)        
1 Vanguard Market Liquidity Fund (Cost $64) 0.135%   63,879 64
 
Total Investments (100.0%) (Cost $510,821)       670,574
Other Assets and Liabilities-Net (0.0%)       120
Net Assets (100%)       670,694

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.

A. 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. Other temporary cash investments are valued at amortized cost, which approximates market 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.

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

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

 

Extended Duration Treasury Index Fund

The following table summarizes the market value of the fund's investments as of November 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 670,510 —
Temporary Cash Investments 64 — —
Total 64 670,510 —

 

C. At November 30, 2011, the cost of investment securities for tax purposes was $510,821,000. Net unrealized appreciation of investment securities for tax purposes was $159,753,000, consisting of unrealized gains of $159,856,000 on securities that had risen in value since their purchase and $103,000 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, 2011

      Market
      Value
    Shares ($000)
Common Stocks (99.8%)    
Auto Components (3.7%)    
  Johnson Controls Inc. 151,257 4,762
* BorgWarner Inc. 24,398 1,608
  Autoliv Inc. 19,906 1,061
  Lear Corp. 23,113 969
  Gentex Corp. 31,875 940
* TRW Automotive Holdings Corp. 23,320 762
* Goodyear Tire & Rubber Co. 54,254 759
* Visteon Corp. 10,901 610
* Dana Holding Corp. 32,837 409
* Tenneco Inc. 13,453 390
  Cooper Tire & Rubber Co. 13,246 177
* American Axle & Manufacturing Holdings Inc. 15,029 132
* Dorman Products Inc. 2,741 106
  Drew Industries Inc. 4,420 96
* Modine Manufacturing Co. 8,660 84
  Superior Industries International Inc. 4,952 81
* Federal-Mogul Corp. 5,411 79
  Standard Motor Products Inc. 3,969 77
* Amerigon Inc. 4,704 74
* Fuel Systems Solutions Inc. 3,833 68
* Stoneridge Inc. 5,409 44
* Exide Technologies 14,404 40
* Tower International Inc. 1,466 15
      13,343
Automobiles (4.1%)    
* Ford Motor Co. 788,288 8,356
* General Motors Co. 173,764 3,699
  Harley-Davidson Inc. 52,609 1,934
*,^ Tesla Motors Inc. 11,574 379
  Thor Industries Inc. 10,019 243
* Winnebago Industries Inc. 6,347 41
      14,652
Distributors (0.9%)    
  Genuine Parts Co. 34,934 2,044
* LKQ Corp. 30,969 945
  Pool Corp. 10,712 327
  Core-Mark Holding Co. Inc. 2,048 79
  Weyco Group Inc. 1,574 39
      3,434
Diversified Consumer Services (2.1%)    
* Apollo Group Inc. Class A 27,493 1,333
  H&R Block Inc. 68,108 1,071
  Service Corp. International 53,009 543
  DeVry Inc. 14,525 501
  Sotheby's 14,998 471
  Weight Watchers International Inc. 7,386 434

 

 

  Hillenbrand Inc. 13,937 317
* Coinstar Inc. 6,497 277
  Strayer Education Inc. 2,708 263
* ITT Educational Services Inc. 4,509 248
  Matthews International Corp. Class A 6,561 218
  Regis Corp. 12,657 205
*,^ Education Management Corp. 7,116 159
* K12 Inc. 6,321 158
* American Public Education Inc. 3,955 152
* Steiner Leisure Ltd. 3,203 151
* Ascent Capital Group Inc. Class A 2,779 129
* Career Education Corp. 17,224 122
* Grand Canyon Education Inc. 7,513 116
  Stewart Enterprises Inc. Class A 18,485 115
* Capella Education Co. 3,241 110
* Bridgepoint Education Inc. 4,601 101
* Universal Technical Institute Inc. 4,804 61
* Corinthian Colleges Inc. 17,232 45
  Lincoln Educational Services Corp. 4,153 31
* Archipelago Learning Inc. 2,022 21
* School Specialty Inc. 3,574 15
      7,367
Hotels, Restaurants & Leisure (18.5%)    
  McDonald's Corp. 229,586 21,930
  Starbucks Corp. 166,023 7,219
  Yum! Brands Inc. 103,361 5,792
* Las Vegas Sands Corp. 81,240 3,795
  Carnival Corp. 101,527 3,371
* Chipotle Mexican Grill Inc. Class A 6,976 2,243
  Wynn Resorts Ltd. 18,073 2,179
  Starwood Hotels & Resorts Worldwide Inc. 43,501 2,074
  Marriott International Inc. Class A 62,822 1,924
  Darden Restaurants Inc. 29,948 1,429
  Wyndham Worldwide Corp. 36,513 1,294
  International Game Technology 66,593 1,136
* Panera Bread Co. Class A 6,445 924
  Royal Caribbean Cruises Ltd. 31,327 868
* MGM Resorts International 75,969 782
* Penn National Gaming Inc. 14,897 553
  Brinker International Inc. 18,397 443
* Bally Technologies Inc. 9,870 378
  Six Flags Entertainment Corp. 9,839 374
* Domino's Pizza Inc. 10,920 360
  Vail Resorts Inc. 8,001 356
* Hyatt Hotels Corp. Class A 9,966 356
  Wendy's Co. 70,519 350
* Life Time Fitness Inc. 8,481 345
* Cheesecake Factory Inc. 12,142 344
* Dunkin' Brands Group Inc. 11,985 303
* BJ's Restaurants Inc. 5,489 264
* Buffalo Wild Wings Inc. 4,073 263
* WMS Industries Inc. 12,400 260
  Cracker Barrel Old Country Store Inc. 5,086 242
  Choice Hotels International Inc. 6,645 239
  Bob Evans Farms Inc. 6,736 226
  Texas Roadhouse Inc. Class A 14,271 191
* Jack in the Box Inc. 9,289 190

 

 

* Papa John's International Inc. 4,568 173
* Gaylord Entertainment Co. 8,105 172
* Peet's Coffee & Tea Inc. 2,898 168
* DineEquity Inc. 3,486 164
* Orient-Express Hotels Ltd. Class A 22,500 162
PF Chang's China Bistro Inc. 5,055 153
CEC Entertainment Inc. 4,460 150
International Speedway Corp. Class A 6,071 149
* Pinnacle Entertainment Inc. 13,820 146
* Shuffle Master Inc. 12,174 135
Ameristar Casinos Inc. 7,157 125
* Interval Leisure Group Inc. 8,765 123
* Scientific Games Corp. Class A 14,040 121
Churchill Downs Inc. 2,413 117
* Marriott Vacations Worldwide Corp. 6,383 102
* Krispy Kreme Doughnuts Inc. 13,312 100
* Biglari Holdings Inc. 283 97
* Ruby Tuesday Inc. 13,002 95
* Sonic Corp. 13,281 94
* AFC Enterprises Inc. 5,598 88
* Red Robin Gourmet Burgers Inc. 3,251 86
* Boyd Gaming Corp. 12,198 82
* Bravo Brio Restaurant Group Inc. 4,051 70
* Denny's Corp. 20,152 69
Marcus Corp. 4,440 54
Speedway Motorsports Inc. 3,180 45
* Isle of Capri Casinos Inc. 4,518 22
* Krispy Kreme Doughnuts Inc. Warrants Exp. 03/02/2012 45 —
    66,059
Household Durables (3.4%)    
Newell Rubbermaid Inc. 64,644 989
Garmin Ltd. 25,866 946
Whirlpool Corp. 17,019 835
* Tempur-Pedic International Inc. 14,930 815
* NVR Inc. 1,180 790
Tupperware Brands Corp. 13,487 786
DR Horton Inc. 63,288 754
Leggett & Platt Inc. 31,721 710
* Mohawk Industries Inc. 12,982 708
* Toll Brothers Inc. 33,707 685
Harman International Industries Inc. 15,514 641
Lennar Corp. Class A 34,706 639
Jarden Corp. 19,338 602
* PulteGroup Inc. 76,839 470
* Helen of Troy Ltd. 6,468 193
* iRobot Corp. 5,311 169
MDC Holdings Inc. 8,574 153
Ryland Group Inc. 9,899 149
* Meritage Homes Corp. 6,593 144
American Greetings Corp. Class A 8,350 142
Ethan Allen Interiors Inc. 5,625 114
* La-Z-Boy Inc. 11,308 112
KB Home 15,161 111
* Standard Pacific Corp. 24,465 78
Blyth Inc. 1,143 75
* Universal Electronics Inc. 3,324 54
* Zagg Inc. 4,579 53

 

 

* Libbey Inc. 4,260 52
CSS Industries Inc. 1,728 37
* M/I Homes Inc. 3,966 36
* Beazer Homes USA Inc. 16,499 35
* Sealy Corp. 10,259 20
* Hovnanian Enterprises Inc. Class A 13,773 19
* Furniture Brands International Inc. 10,842 11
    12,127
Internet & Catalog Retail (6.6%)    
* Amazon.com Inc. 80,809 15,539
* priceline.com Inc. 11,075 5,381
Expedia Inc. 44,266 1,231
* Netflix Inc. 11,668 753
HSN Inc. 9,139 327
* Shutterfly Inc. 6,537 177
* Blue Nile Inc. 3,221 123
Nutrisystem Inc. 6,026 70
PetMed Express Inc. 4,907 46
* Overstock.com Inc. 3,534 29
* Vitacost.com Inc. 3,846 25
* Orbitz Worldwide Inc. 4,250 15
    23,716
Leisure Equipment & Products (1.4%)    
Mattel Inc. 76,300 2,198
Hasbro Inc. 26,909 964
Polaris Industries Inc. 14,615 878
Brunswick Corp. 18,803 350
Sturm Ruger & Co. Inc. 4,193 135
Jakks Pacific Inc. 5,994 114
Callaway Golf Co. 14,086 80
* Eastman Kodak Co. 59,960 65
* Leapfrog Enterprises Inc. 10,637 58
* Arctic Cat Inc. 2,688 53
* Steinway Musical Instruments Inc. 1,650 45
* Smith & Wesson Holding Corp. 12,830 40
* Marine Products Corp. 69 —
    4,980
Media (26.1%)    
Walt Disney Co. 392,350 14,066
Comcast Corp. Class A 456,458 10,348
Time Warner Inc. 232,485 8,095
* DIRECTV Class A 164,284 7,758
News Corp. Class A 438,817 7,653
Viacom Inc. Class B 116,420 5,211
Time Warner Cable Inc. 72,360 4,376
CBS Corp. Class B 139,396 3,630
Comcast Corp. 153,176 3,425
McGraw-Hill Cos. Inc. 67,045 2,863
Omnicom Group Inc. 62,308 2,690
* Liberty Interactive Corp. Class A 127,434 2,072
* Liberty Media Corp. - Liberty Capital Class A 24,172 1,844
* Sirius XM Radio Inc. 835,550 1,504
Virgin Media Inc. 66,440 1,472
* Discovery Communications Inc. Class A 31,324 1,315
* Liberty Global Inc. Class A 31,925 1,258
News Corp. Class B 65,764 1,174

 

 

  DISH Network Corp. Class A 46,212 1,135
* Discovery Communications Inc. 28,116 1,064
  Interpublic Group of Cos. Inc. 106,481 999
* Liberty Global Inc. 26,134 990
  Scripps Networks Interactive Inc. Class A 19,844 790
  Cablevision Systems Corp. Class A 46,198 693
  Gannett Co. Inc. 53,457 581
* Charter Communications Inc. Class A 9,793 518
  John Wiley & Sons Inc. Class A 10,249 493
* AMC Networks Inc. Class A 11,638 419
  Cinemark Holdings Inc. 20,568 403
  Washington Post Co. Class B 1,117 401
* Madison Square Garden Co. Class A 12,480 363
  Morningstar Inc. 5,651 340
* Lamar Advertising Co. Class A 13,811 335
* Live Nation Entertainment Inc. 33,673 291
* DreamWorks Animation SKG Inc. Class A 15,369 285
  Regal Entertainment Group Class A 18,875 269
  Meredith Corp. 8,121 236
  Arbitron Inc. 6,001 226
* New York Times Co. Class A 27,835 203
* Valassis Communications Inc. 10,482 201
  Scholastic Corp. 6,226 169
  National CineMedia Inc. 12,069 157
* Lions Gate Entertainment Corp. 15,294 134
  Belo Corp. Class A 20,976 123
  Sinclair Broadcast Group Inc. Class A 11,668 121
* Knology Inc. 7,042 100
* Clear Channel Outdoor Holdings Inc. Class A 8,786 99
  Harte-Hanks Inc. 9,058 82
* EW Scripps Co. Class A 7,612 65
* Digital Generation Inc. 5,495 64
  World Wrestling Entertainment Inc. Class A 6,010 58
* Journal Communications Inc. Class A 8,047 34
* Entercom Communications Corp. Class A 4,703 26
* Cumulus Media Inc. Class A 8,344 25
* LIN TV Corp. Class A 5,330 18
* Martha Stewart Living Omnimedia Class A 5,930 18
* McClatchy Co. Class A 13,173 15
* ReachLocal Inc. 1,835 15
* Dex One Corp. 164 —
      93,312
Multiline Retail (6.7%)    
  Target Corp. 142,739 7,522
  Kohl's Corp. 59,420 3,197
  Macy's Inc. 94,965 3,070
* Dollar Tree Inc. 27,152 2,213
  Nordstrom Inc. 38,131 1,727
  Family Dollar Stores Inc. 26,756 1,590
* Dollar General Corp. 30,362 1,232
  JC Penney Co. Inc. 35,508 1,138
* Big Lots Inc. 16,701 670
*,^ Sears Holdings Corp. 9,571 577
  Dillard's Inc. Class A 7,392 347
* Saks Inc. 25,341 241
* 99 Cents Only Stores 10,983 240
  Fred's Inc. Class A 8,122 109

 

 

* Gordmans Stores Inc. 1,230 16
    23,889
Specialty Retail (19.2%)    
Home Depot Inc. 348,088 13,652
Lowe's Cos. Inc. 280,494 6,735
TJX Cos. Inc. 84,776 5,231
* Bed Bath & Beyond Inc. 55,467 3,356
Limited Brands Inc. 56,426 2,389
* O'Reilly Automotive Inc. 30,250 2,337
Ross Stores Inc. 26,036 2,320
Staples Inc. 158,010 2,277
Best Buy Co. Inc. 70,723 1,916
* AutoZone Inc. 5,549 1,822
Tiffany & Co. 26,941 1,806
Gap Inc. 85,736 1,602
* CarMax Inc. 50,350 1,448
PetSmart Inc. 25,179 1,215
Tractor Supply Co. 15,889 1,148
Advance Auto Parts Inc. 16,407 1,136
Abercrombie & Fitch Co. 19,351 927
Signet Jewelers Ltd. 19,283 854
* Dick's Sporting Goods Inc. 21,258 836
Foot Locker Inc. 34,331 810
Williams-Sonoma Inc. 20,999 793
* Ulta Salon Cosmetics & Fragrance Inc. 10,921 760
* Urban Outfitters Inc. 28,041 757
* GameStop Corp. Class A 31,337 725
* GNC Holdings Inc. 21,607 589
American Eagle Outfitters Inc. 39,015 543
* Sally Beauty Holdings Inc. 26,710 537
Rent-A-Center Inc. 13,716 493
Aaron's Inc. 16,627 437
* Ascena Retail Group Inc. 14,730 405
Guess? Inc. 14,373 404
Chico's FAS Inc. 38,315 398
* AutoNation Inc. 9,821 355
* Pier 1 Imports Inc. 23,653 321
* Genesco Inc. 5,334 315
* Childrens Place Retail Stores Inc. 5,808 313
* JOS A Bank Clothiers Inc. 6,134 302
Men's Wearhouse Inc. 10,823 301
* Aeropostale Inc. 17,863 277
* Hibbett Sports Inc. 6,086 277
Express Inc. 11,939 271
* ANN Inc. 11,519 270
DSW Inc. Class A 5,950 268
Group 1 Automotive Inc. 5,291 260
Monro Muffler Brake Inc. 6,411 257
RadioShack Corp. 22,202 255
Buckle Inc. 6,350 254
Finish Line Inc. Class A 11,666 246
* Cabela's Inc. 9,949 234
* Vitamin Shoppe Inc. 5,752 212
* Select Comfort Corp. 11,279 209
Penske Automotive Group Inc. 10,271 208
* Collective Brands Inc. 13,631 190
Cato Corp. Class A 6,067 155

 

 

* Office Depot Inc. 62,736 141
* Asbury Automotive Group Inc. 6,667 131
PEP Boys-Manny Moe & Jack 11,488 130
Sonic Automotive Inc. Class A 8,300 123
Lithia Motors Inc. Class A 5,064 112
* Zumiez Inc. 4,723 111
Stage Stores Inc. 7,862 99
* Charming Shoppes Inc. 25,236 98
* Lumber Liquidators Holdings Inc. 5,443 92
Barnes & Noble Inc. 5,276 92
* OfficeMax Inc. 19,268 90
* Rue21 Inc. 3,462 83
Brown Shoe Co. Inc. 9,581 80
* America's Car-Mart Inc. 2,095 75
* Wet Seal Inc. Class A 20,134 69
* hhgregg Inc. 4,347 69
HOT Topic Inc. 9,626 68
Bebe Stores Inc. 8,279 61
* Body Central Corp. 2,377 51
* Systemax Inc. 3,211 47
* Shoe Carnival Inc. 1,984 47
Haverty Furniture Cos. Inc. 3,589 43
* Kirkland's Inc. 3,419 43
Stein Mart Inc. 6,207 41
Big 5 Sporting Goods Corp. 3,935 36
* Talbots Inc. 15,428 31
* Citi Trends Inc. 3,255 29
Christopher & Banks Corp. 7,661 22
* Coldwater Creek Inc. 19,571 17
* Pacific Sunwear of California Inc. 11,573 16
* New York & Co. Inc. 5,835 16
    68,571
Textiles, Apparel & Luxury Goods (7.1%)    
NIKE Inc. Class B 79,692 7,665
Coach Inc. 64,313 4,025
VF Corp. 19,531 2,709
Ralph Lauren Corp. Class A 13,715 1,946
* Lululemon Athletica Inc. 22,326 1,110
* Fossil Inc. 11,942 1,070
* Deckers Outdoor Corp. 8,585 935
PVH Corp. 13,531 919
* Under Armour Inc. Class A 8,420 685
* Hanesbrands Inc. 21,649 533
* Carter's Inc. 12,840 511
* Warnaco Group Inc. 9,567 485
Wolverine World Wide Inc. 11,030 406
* Crocs Inc. 19,908 309
* Steven Madden Ltd. 8,604 307
* Iconix Brand Group Inc. 16,286 281
Jones Group Inc. 19,485 211
* True Religion Apparel Inc. 5,419 191
* Liz Claiborne Inc. 21,295 176
* Vera Bradley Inc. 4,051 155
Columbia Sportswear Co. 2,664 135
Oxford Industries Inc. 3,097 117
* Skechers U.S.A. Inc. Class A 8,668 117
* Maidenform Brands Inc. 5,261 97

 

 

* Quiksilver Inc.   27,116 84
* G-III Apparel Group Ltd.   3,732 69
  Movado Group Inc.   3,979 63
* Perry Ellis International Inc.   2,828 40
* Unifi Inc.   3,224 25
* Kenneth Cole Productions Inc. Class A   2,118 22
* K-Swiss Inc. Class A   5,906 17
        25,415
Total Common Stocks (Cost $345,403)     356,865
    Coupon    
Temporary Cash Investment (0.3%)      
1,2 Vanguard Market Liquidity Fund (Cost $879) 0.135% 878,968 879
Total Investments (100.1%) (Cost $346,282)     357,744
Other Assets and Liabilities-Net (-0.1%)2     (252)
Net Assets (100%)     357,492

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $740,000.
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 $762,000 of collateral received for securities on loan.

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

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

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

The following table summarizes the market value of the fund's investments as of November 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 356,865 — —
Temporary Cash Investments 879 — —
Total 357,744 — —

 

 

Consumer Discretionary Index Fund

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended November 30, 2011. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in
  Common Stocks
Amount valued based on Level 3 Inputs ($000)
Balance as of August 31, 2011 12
Change in Unrealized Appreciation (Depreciation) (8)
Sales (4)
Balance as of November 30, 2011 —

 

C. At November 30, 2011, the cost of investment securities for tax purposes was $346,282,000. Net unrealized appreciation of investment securities for tax purposes was $11,462,000, consisting of unrealized gains of $44,749,000 on securities that had risen in value since their purchase and $33,287,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Consumer Staples Index Fund

Schedule of Investments
As of November 30, 2011

      Market
      Value
    Shares ($000)
Common Stocks (100.0%)    
Beverages (20.1%)    
  Coca-Cola Co. 1,284,967 86,388
  PepsiCo Inc. 958,677 61,355
  Coca-Cola Enterprises Inc. 230,168 6,012
  Dr Pepper Snapple Group Inc. 156,479 5,716
* Hansen Natural Corp. 53,952 4,974
  Brown-Forman Corp. Class B 60,200 4,805
  Molson Coors Brewing Co. Class B 115,564 4,691
  Beam Inc. 75,332 3,956
* Constellation Brands Inc. Class A 141,171 2,749
* Boston Beer Co. Inc. Class A 9,769 976
* Heckmann Corp. 128,703 753
  National Beverage Corp. 30,819 515
  Coca-Cola Bottling Co. Consolidated 9,063 508
*,^ Central European Distribution Corp. 93,458 429
* Primo Water Corp. 67,272 207
      184,034
Food & Staples Retailing (21.4%)    
  Wal-Mart Stores Inc. 1,157,580 68,181
  CVS Caremark Corp. 912,324 35,435
  Costco Wholesale Corp. 294,888 25,154
  Walgreen Co. 619,761 20,898
  Sysco Corp. 399,860 11,412
  Kroger Co. 399,017 9,249
  Whole Foods Market Inc. 104,434 7,112
  Safeway Inc. 255,822 5,116
  Casey's General Stores Inc. 32,988 1,761
* United Natural Foods Inc. 38,293 1,468
  Ruddick Corp. 36,757 1,465
  SUPERVALU Inc. 182,612 1,342
  Pricesmart Inc. 17,446 1,184
* Fresh Market Inc. 27,583 1,082
* Rite Aid Corp. 717,283 875
  Andersons Inc. 19,136 848
  Spartan Stores Inc. 36,670 661
  Weis Markets Inc. 16,500 659
* Susser Holdings Corp. 23,290 535
  Nash Finch Co. 17,352 482
* Pantry Inc. 38,687 479
  Village Super Market Inc. Class A 14,717 451
* Winn-Dixie Stores Inc. 79,389 439
  Ingles Markets Inc. Class A 26,253 405
      196,693
Food Products (20.3%)    
  Kraft Foods Inc. 1,121,056 40,526
  General Mills Inc. 433,684 17,326
  Archer-Daniels-Midland Co. 435,848 13,128
  HJ Heinz Co. 220,293 11,598
  Mead Johnson Nutrition Co. 140,587 10,595

 

 

Kellogg Co. 175,539 8,630
Sara Lee Corp. 390,587 7,406
ConAgra Foods Inc. 286,375 7,234
Hershey Co. 114,974 6,632
Bunge Ltd. 102,928 6,433
JM Smucker Co. 81,909 6,223
* Green Mountain Coffee Roasters Inc. 88,661 4,648
Campbell Soup Co. 138,696 4,521
Tyson Foods Inc. Class A 222,953 4,490
McCormick & Co. Inc. 86,492 4,212
* Ralcorp Holdings Inc. 41,192 3,350
Hormel Foods Corp. 109,653 3,302
Corn Products International Inc. 56,998 2,963
* Smithfield Foods Inc. 114,044 2,793
* TreeHouse Foods Inc. 29,286 1,931
Flowers Foods Inc. 94,325 1,865
* Dean Foods Co. 156,260 1,588
* Darling International Inc. 101,414 1,457
Lancaster Colony Corp. 18,555 1,306
* Hain Celestial Group Inc. 34,552 1,290
B&G Foods Inc. Class A 52,499 1,165
Sanderson Farms Inc. 20,751 1,068
Fresh Del Monte Produce Inc. 39,902 1,001
J&J Snack Foods Corp. 17,159 890
Snyders-Lance Inc. 39,987 845
* Pilgrim's Pride Corp. 124,960 717
Cal-Maine Foods Inc. 20,084 680
Tootsie Roll Industries Inc. 25,917 625
Calavo Growers Inc. 22,357 594
* Smart Balance Inc. 99,430 528
Diamond Foods Inc. 18,870 524
* Chiquita Brands International Inc. 57,790 480
Farmer Bros Co. 58,361 454
* Dole Food Co. Inc. 53,250 450
* Seneca Foods Corp. Class A 17,230 391
Alico Inc. 1,326 24
    185,883
Household Products (19.4%)    
Procter & Gamble Co. 1,733,523 111,934
Colgate-Palmolive Co. 329,158 30,118
Kimberly-Clark Corp. 266,324 19,034
Clorox Co. 93,980 6,105
Church & Dwight Co. Inc. 102,154 4,520
* Energizer Holdings Inc. 50,182 3,627
WD-40 Co. 18,835 780
* Spectrum Brands Holdings Inc. 26,586 745
* Central Garden and Pet Co. Class A 66,082 587
* Central Garden and Pet Co. 46,629 403
    177,853
Personal Products (2.8%)    
Estee Lauder Cos. Inc. Class A 83,392 9,839
Avon Products Inc. 300,132 5,102
Herbalife Ltd. 84,778 4,688
Nu Skin Enterprises Inc. Class A 45,260 2,161
* Elizabeth Arden Inc. 27,386 1,035
* Prestige Brands Holdings Inc. 61,635 609

 

 

* USANA Health Sciences Inc.   16,307 557
  Inter Parfums Inc.   28,468 488
* Revlon Inc. Class A   31,161 481
* Medifast Inc.   27,325 380
* Nature's Sunshine Products Inc.   1,885 33
* Schiff Nutrition International Inc.   2,682 32
        25,405
Tobacco (16.0%)      
  Philip Morris International Inc.   1,086,296 82,819
  Altria Group Inc.   1,405,808 40,333
  Lorillard Inc.   98,781 11,026
  Reynolds American Inc.   241,148 10,094
  Universal Corp.   23,009 1,090
  Vector Group Ltd.   48,834 882
* Star Scientific Inc.   162,958 430
* Alliance One International Inc.   146,041 409
        147,083
Total Common Stocks (Cost $835,498)     916,951
        Market
        Value
    Coupon Shares ($000)
Temporary Cash Investment (0.1%)      
1,2 Vanguard Market Liquidity Fund (Cost $1,378) 0.135% 1,378,113 1,378
Total Investments (100.1%) (Cost $836,876)     918,329
Other Assets and Liabilities-Net (-0.1%)2     (1,007)
Net Assets (100%)     917,322

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $142,000.
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 $155,000 of collateral received for securities on loan.

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

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

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

At November 30, 2011, 100% of the market value of the fund's investments was based on Level 1 inputs.

 

Consumer Staples Index Fund

C. At November 30, 2011, the cost of investment securities for tax purposes was $836,876,000. Net unrealized appreciation of investment securities for tax purposes was $81,453,000, consisting of unrealized gains of $111,186,000 on securities that had risen in value since their purchase and $29,733,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Energy Index Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.3%)    
Energy Equipment & Services (20.5%)    
Oil & Gas Drilling (2.7%)    
Noble Corp. 343,788 11,871
Helmerich & Payne Inc. 144,564 8,234
* Nabors Industries Ltd. 392,413 7,040
* Rowan Cos. Inc. 176,250 5,977
Diamond Offshore Drilling Inc. 96,056 5,778
Patterson-UTI Energy Inc. 222,232 4,671
* Atwood Oceanics Inc. 86,745 3,556
* Unit Corp. 62,704 3,174
* Parker Drilling Co. 242,757 1,690
* Pioneer Drilling Co. 127,191 1,396
* Hercules Offshore Inc. 297,623 1,158
* Vantage Drilling Co. 678,023 814
 
Oil & Gas Equipment & Services (17.8%)    
Schlumberger Ltd. 1,480,891 111,555
Halliburton Co. 1,171,390 43,107
National Oilwell Varco Inc. 540,368 38,744
Baker Hughes Inc. 558,474 30,498
* Cameron International Corp. 318,947 17,220
* FMC Technologies Inc. 316,448 16,569
* Weatherford International Ltd. 991,355 15,029
Core Laboratories NV 63,271 7,343
Oceaneering International Inc. 151,392 7,200
* Dresser-Rand Group Inc. 113,194 5,894
* Oil States International Inc. 72,545 5,459
CARBO Ceramics Inc. 28,966 4,122
* McDermott International Inc. 344,276 3,894
Tidewater Inc. 76,224 3,842
* Superior Energy Services Inc. 120,096 3,568
* Dril-Quip Inc. 48,687 3,463
* Complete Production Services Inc. 98,462 3,433
Lufkin Industries Inc. 46,572 3,264
* Key Energy Services Inc. 202,197 3,053
* Helix Energy Solutions Group Inc. 165,284 2,932
SEACOR Holdings Inc. 32,303 2,803
Bristow Group Inc. 57,742 2,660
* Hornbeck Offshore Services Inc. 73,800 2,490
* Global Industries Ltd. 255,623 2,040
* Gulfmark Offshore Inc. 44,046 1,975
RPC Inc. 84,039 1,640
* Newpark Resources Inc. 179,774 1,611
* Tetra Technologies Inc. 163,699 1,503
* Exterran Holdings Inc. 127,091 1,456
* ION Geophysical Corp. 249,875 1,452
* Basic Energy Services Inc. 69,102 1,302
* OYO Geospace Corp. 13,166 1,198
* Tesco Corp. 84,323 1,124
Gulf Island Fabrication Inc. 39,494 1,123

 

 

* PHI Inc. 41,223 986
* Dawson Geophysical Co. 26,307 918
* Cal Dive International Inc. 368,926 871
* Matrix Service Co. 91,126 853
* Willbros Group Inc. 189,945 735
* Global Geophysical Services Inc. 101,309 705
* RigNet Inc. 41,913 690
      415,683
Oil, Gas & Consumable Fuels (79.8%)    
  Coal & Consumable Fuels (2.3%)    
  Peabody Energy Corp. 355,614 13,951
  Consol Energy Inc. 299,308 12,463
* Alpha Natural Resources Inc. 310,744 7,458
  Arch Coal Inc. 303,987 4,982
* Cloud Peak Energy Inc. 107,640 2,300
* Patriot Coal Corp. 176,408 1,836
* James River Coal Co. 121,416 1,007
*,^ Uranium Energy Corp. 269,258 821
* USEC Inc. 553,036 780
* Solazyme Inc. 61,594 719
 
  Integrated Oil & Gas (45.5%)    
  Exxon Mobil Corp. 5,572,378 448,242
  Chevron Corp. 2,364,741 243,143
  ConocoPhillips 1,425,703 101,681
  Occidental Petroleum Corp. 947,025 93,661
  Hess Corp. 393,697 23,709
  Murphy Oil Corp. 241,191 13,487
 
  Oil & Gas Exploration & Production (23.8%)    
  Anadarko Petroleum Corp. 632,583 51,410
  Apache Corp. 488,327 48,559
  EOG Resources Inc. 343,124 35,596
  Devon Energy Corp. 516,943 33,839
  Marathon Oil Corp. 917,578 25,656
  Noble Energy Inc. 227,696 22,403
  Chesapeake Energy Corp. 852,711 21,608
* Southwestern Energy Co. 451,592 17,183
  Range Resources Corp. 210,246 15,077
* Concho Resources Inc. 129,369 13,146
  Pioneer Natural Resources Co. 138,645 13,108
  Cabot Oil & Gas Corp. 141,816 12,563
  EQT Corp. 187,535 11,629
* Denbury Resources Inc. 540,622 9,137
* Newfield Exploration Co. 182,216 8,346
  QEP Resources Inc. 239,533 7,821
  Cimarex Energy Co. 115,950 7,778
* Whiting Petroleum Corp. 159,608 7,423
* Ultra Petroleum Corp. 208,100 7,327
  SM Energy Co. 88,350 7,023
* Plains Exploration & Production Co. 194,493 6,920
* Brigham Exploration Co. 167,180 6,090
  Energen Corp. 101,550 5,151
* Continental Resources Inc. 66,272 4,678
* Rosetta Resources Inc. 79,667 4,329
* SandRidge Energy Inc. 546,718 4,018
* Kodiak Oil & Gas Corp. 432,422 3,840

 

 

* Energy XXI Bermuda Ltd. 104,877 3,297
  Berry Petroleum Co. Class A 71,737 3,148
* Forest Oil Corp. 180,393 2,894
* Bill Barrett Corp. 73,666 2,873
* Gulfport Energy Corp. 86,685 2,752
* Gran Tierra Energy Inc. 417,830 2,666
* McMoRan Exploration Co. 162,157 2,591
* Oasis Petroleum Inc. 84,357 2,570
^ EXCO Resources Inc. 209,861 2,499
* Northern Oil and Gas Inc. 98,962 2,424
* Stone Energy Corp. 76,793 2,172
* Cobalt International Energy Inc. 202,474 2,164
* Swift Energy Co. 73,572 2,162
* Approach Resources Inc. 67,903 2,124
* Carrizo Oil & Gas Inc. 67,079 1,909
* Petroleum Development Corp. 52,025 1,745
  Contango Oil & Gas Co. 24,403 1,537
* Quicksilver Resources Inc. 188,079 1,523
  W&T Offshore Inc. 75,850 1,519
* Comstock Resources Inc. 90,425 1,504
* Clayton Williams Energy Inc. 19,222 1,422
* Rex Energy Corp. 85,486 1,381
* Resolute Energy Corp. 98,297 1,332
* Lone Pine Resources Inc. 175,416 1,314
* GeoResources Inc. 45,649 1,301
*,^ Hyperdynamics Corp. 350,233 1,289
*,^ Magnum Hunter Resources Corp. 265,432 1,277
* Goodrich Petroleum Corp. 73,442 1,071
* Petroquest Energy Inc. 154,248 1,060
* Energy Partners Ltd. 76,078 1,051
* Vaalco Energy Inc. 165,177 1,041
* Abraxas Petroleum Corp. 273,500 987
*,^ ATP Oil & Gas Corp. 133,107 977
*,^ BPZ Resources Inc. 298,544 952
* Harvest Natural Resources Inc. 101,955 933
* Venoco Inc. 98,131 915
* Triangle Petroleum Corp. 155,601 895
  Penn Virginia Corp. 167,303 887
^ Houston American Energy Corp. 61,699 864
* Endeavour International Corp. 124,704 862
* TransAtlantic Petroleum Ltd. 681,284 852
* FX Energy Inc. 177,520 847
* Warren Resources Inc. 289,852 826
* Gastar Exploration Ltd. 243,125 778
* Oilsands Quest Inc. 3,476,513 311
* Delta Petroleum Corp. 446,487 281
* Atlas Energy Inc. Escrow 111,051 11
 
  Oil & Gas Refining & Marketing (3.2%)    
  Valero Energy Corp. 743,711 16,562
  Marathon Petroleum Corp. 463,453 15,475
  HollyFrontier Corp. 304,740 7,085
  Sunoco Inc. 166,384 6,457
* Tesoro Corp. 206,695 4,938
  World Fuel Services Corp. 103,016 4,416
* CVR Energy Inc. 141,073 2,568
*,^ Clean Energy Fuels Corp. 105,906 1,387

 

 

* Western Refining Inc.   112,489 1,338
* Rentech Inc.   866,711 1,291
* Amyris Inc.   74,585 841
* Green Plains Renewable Energy Inc.   77,855 821
  Delek US Holdings Inc.   60,798 668
  Alon USA Energy Inc.   76,311 652
* Gevo Inc.   101,275 623
 
  Oil & Gas Storage & Transportation (5.0%)      
  El Paso Corp.   989,833 24,756
  Spectra Energy Corp.   835,198 24,572
  Williams Cos. Inc.   757,278 24,445
* Kinder Morgan Management LLC   117,720 8,331
  Southern Union Co.   161,320 6,650
  Kinder Morgan Inc.   158,811 4,685
* SemGroup Corp. Class A   71,394 2,010
* Enbridge Energy Management LLC   58,742 1,871
* Cheniere Energy Inc.   175,677 1,774
  Targa Resources Corp.   46,017 1,591
  Crosstex Energy Inc.   106,474 1,274
  Overseas Shipholding Group Inc.   85,231 899
*,^ General Maritime Corp.   164,697 3
        1,621,671
Total Common Stocks (Cost $1,805,541)     2,037,354
        Market
        Value
    Coupon Shares ($000)
Temporary Cash Investment (0.2%)      
Money Market Fund (0.2%)      
1,2 Vanguard Market Liquidity Fund (Cost      
  $3,589) 0.135% 3,589,102 3,589
Total Investments (100.5%) (Cost $1,809,130)     2,040,943
Other Assets and Liabilities-Net (-0.5%)2     (9,701)
Net Assets (100%)     2,031,242

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $3,375,000.
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 $3,589,000 of collateral received for securities on loan.

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

 

Energy Index Fund

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

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

The following table summarizes the market value of the fund's investments as of November 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 2,037,343 — 11
Temporary Cash Investments 3,589 — —
Total 2,040,932 — 11

 

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended November 30, 2011. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in
  Common Stocks
Amount valued based on Level 3 Inputs ($000)
Balance as of August 31, 2011 —
Transfers into Level 3 11
Balance as of November 30, 2011 11

 

C. At November 30, 2011, the cost of investment securities for tax purposes was $1,809,130,000. Net unrealized appreciation of investment securities for tax purposes was $231,813,000, consisting of unrealized gains of $307,726,000 on securities that had risen in value since their purchase and $75,913,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Financials Index Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (99.9%)    
Capital Markets (13.0%)    
Goldman Sachs Group Inc. 144,060 13,810
Bank of New York Mellon Corp. 369,515 7,191
Morgan Stanley 433,620 6,413
State Street Corp. 151,028 5,988
BlackRock Inc. 28,351 4,877
Franklin Resources Inc. 46,244 4,662
T Rowe Price Group Inc. 76,851 4,362
Charles Schwab Corp. 322,994 3,863
Ameriprise Financial Inc. 70,699 3,246
Invesco Ltd. 135,141 2,737
Northern Trust Corp. 64,931 2,443
* Affiliated Managers Group Inc. 15,560 1,471
Legg Mason Inc. 41,918 1,112
TD Ameritrade Holding Corp. 67,773 1,104
Raymond James Financial Inc. 32,235 961
Ares Capital Corp. 61,456 956
Eaton Vance Corp. 35,570 855
* E*Trade Financial Corp. 85,542 785
SEI Investments Co. 43,708 734
* American Capital Ltd. 103,388 721
Waddell & Reed Financial Inc. Class A 25,737 700
* Stifel Financial Corp. 15,093 478
Federated Investors Inc. Class B 28,281 449
Jefferies Group Inc. 38,844 444
Apollo Investment Corp. 58,683 423
Janus Capital Group Inc. 56,305 372
* Knight Capital Group Inc. Class A 28,149 356
^ Prospect Capital Corp. 32,724 304
Greenhill & Co. Inc. 7,779 300
Solar Capital Ltd. 10,559 243
* LPL Investment Holdings Inc. 7,992 240
* Financial Engines Inc. 9,905 218
Fifth Street Finance Corp. 21,846 214
Evercore Partners Inc. Class A 6,898 191
Walter Investment Management Corp. 8,428 188
BlackRock Kelso Capital Corp. 21,114 184
^ Cohen & Steers Inc. 5,744 156
PennantPark Investment Corp. 13,569 144
Main Street Capital Corp. 7,163 140
BGC Partners Inc. Class A 21,980 139
* Virtus Investment Partners Inc. 1,790 136
KBW Inc. 9,928 135
* Investment Technology Group Inc. 12,684 135
Duff & Phelps Corp. Class A 8,318 123
Hercules Technology Growth Capital Inc. 12,946 122
Triangle Capital Corp. 6,711 122
* INTL. FCStone Inc. 4,772 119
* Piper Jaffray Cos. 5,642 117
* HFF Inc. Class A 9,802 110

 

 

* Safeguard Scientifics Inc. 6,295 106
Epoch Holding Corp. 4,322 105
MCG Capital Corp. 23,357 103
GFI Group Inc. 22,339 95
* ICG Group Inc. 10,966 94
MVC Capital Inc. 6,995 90
TICC Capital Corp. 9,873 88
Calamos Asset Management Inc. Class A 6,238 74
Capital Southwest Corp. 841 72
GAMCO Investors Inc. 1,415 67
* Ladenburg Thalmann Financial Services Inc. 27,740 65
Golub Capital BDC Inc. 3,968 63
Westwood Holdings Group Inc. 1,623 62
Artio Global Investors Inc. Class A 9,788 57
SWS Group Inc. 8,934 57
* Cowen Group Inc. Class A 19,425 48
Oppenheimer Holdings Inc. Class A 2,979 46
THL Credit Inc. 3,007 36
* Gleacher & Co. Inc. 23,960 31
* FBR & Co. 14,201 27
Pzena Investment Management Inc. Class A 2,770 14
* Penson Worldwide Inc. 3,646 4
    76,697
Commercial Banks (19.1%)    
Wells Fargo & Co. 1,503,808 38,888
US Bancorp 575,893 14,927
PNC Financial Services Group Inc. 157,741 8,551
BB&T Corp. 208,955 4,841
Fifth Third Bancorp 276,147 3,339
SunTrust Banks Inc. 160,900 2,917
M&T Bank Corp. 33,954 2,478
KeyCorp 285,710 2,083
* CIT Group Inc. 57,227 1,938
Regions Financial Corp. 377,526 1,552
Comerica Inc. 60,337 1,522
Huntington Bancshares Inc. 259,390 1,362
Zions Bancorporation 55,139 887
East West Bancorp Inc. 44,566 872
Commerce Bancshares Inc. 23,168 863
Cullen/Frost Bankers Inc. 16,468 833
* Signature Bank 13,835 808
Hancock Holding Co. 24,003 733
First Horizon National Corp. 79,646 613
City National Corp. 14,312 607
* SVB Financial Group 12,829 603
Bank of Hawaii Corp. 14,113 600
CapitalSource Inc. 91,885 593
Valley National Bancorp 48,451 572
Fulton Financial Corp. 59,781 560
Associated Banc-Corp 52,386 545
Prosperity Bancshares Inc. 13,416 536
* First Republic Bank 17,504 497
FirstMerit Corp. 32,961 482
* Popular Inc. 309,594 461
TCF Financial Corp. 45,270 455
Iberiabank Corp. 9,111 454
BOK Financial Corp. 8,182 449

 

 

Webster Financial Corp. 22,433 442
Umpqua Holdings Corp. 34,541 432
Trustmark Corp. 18,390 411
FNB Corp. 38,152 407
Westamerica Bancorporation 8,600 395
Susquehanna Bancshares Inc. 47,270 374
United Bankshares Inc. 13,714 366
Synovus Financial Corp. 237,351 354
UMB Financial Corp. 9,704 346
National Penn Bancshares Inc. 38,833 323
Old National Bancorp 28,587 321
* Texas Capital Bancshares Inc. 11,094 320
Cathay General Bancorp 22,689 315
Wintrust Financial Corp. 10,643 296
International Bancshares Corp. 16,338 292
Community Bank System Inc. 10,625 281
First Financial Bancorp 17,522 278
Glacier Bancorp Inc. 21,852 262
MB Financial Inc. 15,449 262
First Citizens BancShares Inc. Class A 1,525 262
CVB Financial Corp. 25,532 251
First Financial Bankshares Inc. 7,531 249
Bank of the Ozarks Inc. 8,100 230
BancorpSouth Inc. 22,801 223
Park National Corp. 3,666 223
Columbia Banking System Inc. 11,949 215
First Midwest Bancorp Inc. 22,505 214
NBT Bancorp Inc. 10,013 213
* Investors Bancorp Inc. 15,285 209
PrivateBancorp Inc. Class A 19,706 189
Home Bancshares Inc. 7,015 174
PacWest Bancorp 9,276 173
Chemical Financial Corp. 8,248 170
Boston Private Financial Holdings Inc. 20,694 161
Independent Bank Corp. 6,047 158
S&T Bancorp Inc. 8,553 158
WesBanco Inc. 7,705 151
* Sterling Financial Corp. 9,508 151
First Commonwealth Financial Corp. 31,955 149
Oriental Financial Group Inc. 13,465 148
* Pinnacle Financial Partners Inc. 9,845 148
City Holding Co. 4,463 145
* Western Alliance Bancorp 22,426 141
* Nara Bancorp Inc. 13,824 130
* State Bank Financial Corp. 8,615 129
* Citizens Republic Bancorp Inc. 11,847 128
Sandy Spring Bancorp Inc. 7,155 124
SCBT Financial Corp. 4,230 120
First Busey Corp. 22,473 118
Simmons First National Corp. Class A 4,381 116
Lakeland Financial Corp. 4,686 115
Renasant Corp. 7,682 114
1st Source Corp. 4,530 114
Community Trust Bancorp Inc. 3,950 111
* Central Pacific Financial Corp. 8,163 109
First Financial Corp. 3,139 104
Tompkins Financial Corp. 2,538 102

 

 

Washington Trust Bancorp Inc. 4,242 101
Southside Bancshares Inc. 4,526 98
Hudson Valley Holding Corp. 4,715 96
TowneBank 7,262 90
* West Coast Bancorp 5,516 90
Cardinal Financial Corp. 8,193 88
StellarOne Corp. 7,046 86
Tower Bancorp Inc. 3,125 85
Union First Market Bankshares Corp. 6,459 85
SY Bancorp Inc. 3,951 84
Northfield Bancorp Inc. 5,782 83
Sterling Bancorp 9,452 82
Arrow Financial Corp. 3,284 78
* Eagle Bancorp Inc. 5,113 76
Bancfirst Corp. 2,002 74
Univest Corp. of Pennsylvania 4,717 71
Republic Bancorp Inc. Class A 3,248 69
* First Connecticut Bancorp Inc. 5,428 69
Camden National Corp. 2,253 67
Great Southern Bancorp Inc. 2,897 62
Lakeland Bancorp Inc. 7,115 62
Trico Bancshares 4,091 60
* Wilshire Bancorp Inc. 18,392 59
* United Community Banks Inc. 8,148 57
First Bancorp 4,769 56
CoBiz Financial Inc. 10,465 56
First Interstate Bancsystem Inc. 4,729 56
First Community Bancshares Inc. 4,464 55
Heartland Financial USA Inc. 3,560 55
Capital City Bank Group Inc. 3,130 33
* Southwest Bancorp Inc. 5,647 28
Suffolk Bancorp 3,103 27
* Hampton Roads Bankshares Inc. 3,143 10
    112,285
Consumer Finance (5.1%)    
American Express Co. 322,071 15,472
Capital One Financial Corp. 137,704 6,150
Discover Financial Services 163,513 3,895
SLM Corp. 154,187 1,986
Cash America International Inc. 8,757 435
* Ezcorp Inc. Class A 13,331 388
* World Acceptance Corp. 4,417 303
* First Cash Financial Services Inc. 8,269 300
* Credit Acceptance Corp. 2,988 245
* DFC Global Corp. 12,586 229
* Green Dot Corp. Class A 6,234 208
Nelnet Inc. Class A 9,035 207
Advance America Cash Advance Centers Inc. 15,251 130
* Netspend Holdings Inc. 10,812 68
* First Marblehead Corp. 18,268 21
    30,037
Diversified Financial Services (16.0%)    
JPMorgan Chase & Co. 1,168,924 36,202
Citigroup Inc. 874,937 24,043
Bank of America Corp. 3,038,490 16,529
CME Group Inc. 19,037 4,745

 

 

* IntercontinentalExchange Inc. 21,994 2,677
NYSE Euronext 78,412 2,239
Moody's Corp. 61,590 2,138
Leucadia National Corp. 62,419 1,462
* MSCI Inc. Class A 36,020 1,216
* NASDAQ OMX Group Inc. 37,295 979
CBOE Holdings Inc. 27,153 731
* Portfolio Recovery Associates Inc. 5,069 352
* PHH Corp. 16,882 259
MarketAxess Holdings Inc. 8,023 232
Interactive Brokers Group Inc. 13,692 204
* Encore Capital Group Inc. 6,664 145
* PICO Holdings Inc. 6,126 136
* NewStar Financial Inc. 7,743 77
Life Partners Holdings Inc. 3,073 19
    94,385
Insurance (23.4%)    
* Berkshire Hathaway Inc. Class B 271,966 21,420
MetLife Inc. 317,014 9,980
Prudential Financial Inc. 145,039 7,345
Travelers Cos. Inc. 125,535 7,061
ACE Ltd. 101,246 7,040
Aflac Inc. 140,051 6,084
Chubb Corp. 85,701 5,780
Marsh & McLennan Cos. Inc. 162,398 4,903
Allstate Corp. 154,811 4,147
Aon Corp. 88,072 4,049
Loews Corp. 96,833 3,721
Progressive Corp. 181,900 3,431
American International Group Inc. 142,451 3,321
Principal Financial Group Inc. 93,894 2,266
Hartford Financial Services Group Inc. 127,076 2,257
Unum Group 90,895 2,046
Lincoln National Corp. 92,423 1,865
XL Group plc Class A 89,290 1,841
Willis Group Holdings plc 49,335 1,740
* Arch Capital Group Ltd. 39,932 1,508
Everest Re Group Ltd. 16,272 1,428
Cincinnati Financial Corp. 46,441 1,377
Torchmark Corp. 31,483 1,341
PartnerRe Ltd. 19,224 1,263
WR Berkley Corp. 35,687 1,217
Axis Capital Holdings Ltd. 36,839 1,176
Reinsurance Group of America Inc. Class A 22,176 1,142
RenaissanceRe Holdings Ltd. 15,485 1,137
* Markel Corp. 2,768 1,111
Assurant Inc. 28,310 1,111
Arthur J Gallagher & Co. 33,837 1,048
Transatlantic Holdings Inc. 18,716 1,023
Fidelity National Financial Inc. Class A 63,667 1,010
* Genworth Financial Inc. Class A 147,325 971
HCC Insurance Holdings Inc. 32,929 885
White Mountains Insurance Group Ltd. 2,054 872
American Financial Group Inc. 22,503 810
Brown & Brown Inc. 36,388 759
ProAssurance Corp. 8,639 688
Allied World Assurance Co. Holdings AG 10,839 645

 

 

Erie Indemnity Co. Class A 8,680 640
Old Republic International Corp. 73,938 608
Validus Holdings Ltd. 19,313 581
Aspen Insurance Holdings Ltd. 21,316 565
Protective Life Corp. 25,337 562
Alleghany Corp. 1,850 533
Alterra Capital Holdings Ltd. 22,205 510
Hanover Insurance Group Inc. 13,718 495
Assured Guaranty Ltd. 49,756 483
* CNO Financial Group Inc. 74,751 472
StanCorp Financial Group Inc. 13,329 470
* MBIA Inc. 44,212 429
Kemper Corp. 15,400 424
Delphi Financial Group Inc. 14,658 403
RLI Corp. 5,668 402
Endurance Specialty Holdings Ltd. 10,934 395
Platinum Underwriters Holdings Ltd. 11,245 387
Mercury General Corp. 8,256 371
First American Financial Corp. 31,576 366
Montpelier Re Holdings Ltd. 18,463 314
Primerica Inc. 11,917 274
Argo Group International Holdings Ltd. 9,319 273
* Enstar Group Ltd. 2,649 268
Selective Insurance Group Inc. 16,247 268
Tower Group Inc. 11,688 245
Symetra Financial Corp. 25,123 237
* Greenlight Capital Re Ltd. Class A 9,089 217
Amtrust Financial Services Inc. 8,169 217
Harleysville Group Inc. 3,642 215
Infinity Property & Casualty Corp. 3,612 207
Employers Holdings Inc. 11,307 196
American Equity Investment Life Holding Co. 16,838 186
* National Financial Partners Corp. 12,732 176
American National Insurance Co. 2,410 173
* Navigators Group Inc. 3,579 167
Safety Insurance Group Inc. 3,929 164
Meadowbrook Insurance Group Inc. 15,554 159
FBL Financial Group Inc. Class A 4,528 154
Horace Mann Educators Corp. 12,253 150
Flagstone Reinsurance Holdings SA 17,920 147
Maiden Holdings Ltd. 16,687 145
* AMERISAFE Inc. 5,660 133
United Fire & Casualty Co. 6,611 129
National Western Life Insurance Co. Class A 803 116
* Hilltop Holdings Inc. 13,009 110
* Citizens Inc. 11,774 101
* eHealth Inc. 6,434 98
OneBeacon Insurance Group Ltd. Class A 6,132 94
* Global Indemnity plc 4,103 77
* Phoenix Cos. Inc. 35,892 65
State Auto Financial Corp. 5,002 60
Presidential Life Corp. 5,680 58
Stewart Information Services Corp. 5,276 56
Baldwin & Lyons Inc. 2,412 53
National Interstate Corp. 2,086 49
Kansas City Life Insurance Co. 1,304 42
Donegal Group Inc. Class A 2,379 32

 

 

EMC Insurance Group Inc. 1,538 31
Crawford & Co. Class B 3,768 24
Crawford & Co. Class A 4,846 20
Universal Insurance Holdings Inc. 475 2
SeaBright Holdings Inc. 155 1
    137,818
Real Estate Investment Trusts (21.0%)    
Simon Property Group Inc. 87,988 10,940
Public Storage 43,438 5,729
Equity Residential 88,906 4,907
HCP Inc. 122,065 4,718
Annaly Capital Management Inc. 290,616 4,670
Ventas Inc. 81,946 4,323
Boston Properties Inc. 44,056 4,202
ProLogis Inc. 137,702 3,831
Vornado Realty Trust 49,738 3,703
AvalonBay Communities Inc. 28,163 3,516
Host Hotels & Resorts Inc. 211,785 2,997
Health Care REIT Inc. 56,815 2,850
Weyerhaeuser Co. 161,795 2,717
Macerich Co. 39,458 1,977
Kimco Realty Corp. 122,235 1,928
American Capital Agency Corp. 66,139 1,898
Digital Realty Trust Inc. 29,854 1,896
General Growth Properties Inc. 130,735 1,841
Plum Creek Timber Co. Inc. 48,581 1,790
SL Green Realty Corp. 25,680 1,691
Federal Realty Investment Trust 18,882 1,670
UDR Inc. 65,750 1,545
Rayonier Inc. 36,483 1,483
Essex Property Trust Inc. 10,191 1,354
Realty Income Corp. 39,966 1,353
Camden Property Trust 21,433 1,237
Alexandria Real Estate Equities Inc. 18,501 1,213
BRE Properties Inc. 22,485 1,094
Taubman Centers Inc. 17,372 1,083
Senior Housing Properties Trust 48,314 1,059
Liberty Property Trust 34,581 1,031
Regency Centers Corp. 26,966 1,002
Duke Realty Corp. 75,866 880
Piedmont Office Realty Trust Inc. Class A 52,113 867
BioMed Realty Trust Inc. 46,327 825
American Campus Communities Inc. 20,946 824
Chimera Investment Corp. 308,558 824
Hospitality Properties Trust 36,998 815
National Retail Properties Inc. 30,640 811
Home Properties Inc. 14,289 785
Apartment Investment & Management Co. 35,896 782
DDR Corp. 66,428 777
MFA Financial Inc. 106,717 734
Tanger Factory Outlet Centers 25,814 732
Weingarten Realty Investors 34,519 714
Equity Lifestyle Properties Inc. 11,507 711
Mack-Cali Realty Corp. 26,037 663
Douglas Emmett Inc. 36,407 655
Mid-America Apartment Communities Inc. 11,218 643
Extra Space Storage Inc. 26,595 641

 

 

Kilroy Realty Corp. 17,498 632
Entertainment Properties Trust 13,995 626
Highwoods Properties Inc. 21,641 624
CBL & Associates Properties Inc. 42,266 604
Post Properties Inc. 15,049 602
Hatteras Financial Corp. 22,448 602
LaSalle Hotel Properties 25,414 595
Omega Healthcare Investors Inc. 30,444 546
Invesco Mortgage Capital Inc. 34,527 544
Washington REIT 19,825 539
Starwood Property Trust Inc. 28,087 501
Colonial Properties Trust 24,834 493
RLJ Lodging Trust 28,683 459
Corporate Office Properties Trust 21,493 448
DiamondRock Hospitality Co. 50,320 442
DuPont Fabros Technology Inc. 18,424 415
CommonWealth REIT 24,621 412
Healthcare Realty Trust Inc. 23,350 411
Two Harbors Investment Corp. 42,197 395
Potlatch Corp. 12,013 386
DCT Industrial Trust Inc. 74,087 356
Brandywine Realty Trust 40,809 355
Sovran Self Storage Inc. 8,324 347
EastGroup Properties Inc. 8,105 345
CubeSmart 34,267 342
CYS Investments Inc. 24,924 327
Lexington Realty Trust 42,696 324
Medical Properties Trust Inc. 33,664 322
Equity One Inc. 19,019 318
Capstead Mortgage Corp. 25,379 317
PS Business Parks Inc. 5,945 313
National Health Investors Inc. 7,149 302
Pebblebrook Hotel Trust 15,446 286
Glimcher Realty Trust 32,281 281
* Sunstone Hotel Investors Inc. 35,842 273
LTC Properties Inc. 9,158 263
Education Realty Trust Inc. 27,131 253
Acadia Realty Trust 12,856 252
Government Properties Income Trust 11,420 248
Alexander's Inc. 619 246
Redwood Trust Inc. 23,765 245
Franklin Street Properties Corp. 22,277 243
Anworth Mortgage Asset Corp. 38,384 243
* First Industrial Realty Trust Inc. 24,999 237
* Strategic Hotels & Resorts Inc. 44,571 224
CreXus Investment Corp. 22,073 215
Sun Communities Inc. 5,995 214
Associated Estates Realty Corp. 12,674 205
Inland Real Estate Corp. 26,985 200
Hersha Hospitality Trust Class A 45,985 198
First Potomac Realty Trust 15,057 192
Investors Real Estate Trust 24,026 169
Cousins Properties Inc. 28,084 167
ARMOUR Residential REIT Inc. 22,983 164
American Assets Trust Inc. 7,502 155
Retail Opportunity Investments Corp. 12,760 150
Pennsylvania REIT 15,981 149

 

 

Colony Financial Inc. 10,017 148
* iStar Financial Inc. 25,441 141
Chesapeake Lodging Trust 8,861 141
Newcastle Investment Corp. 30,886 137
PennyMac Mortgage Investment Trust 8,465 136
Universal Health Realty Income Trust 3,628 134
Ashford Hospitality Trust Inc. 16,528 132
Getty Realty Corp. 8,067 129
NorthStar Realty Finance Corp. 29,010 127
Saul Centers Inc. 3,624 127
Sabra Health Care REIT Inc. 10,781 114
Urstadt Biddle Properties Inc. Class A 6,435 109
Resource Capital Corp. 19,765 105
Dynex Capital Inc. 11,536 103
Coresite Realty Corp. 6,025 101
Ramco-Gershenson Properties Trust 11,210 95
Campus Crest Communities Inc. 9,390 95
* FelCor Lodging Trust Inc. 34,612 91
Excel Trust Inc. 7,740 85
Winthrop Realty Trust 9,057 85
CapLease Inc. 20,056 83
Hudson Pacific Properties Inc. 6,095 78
Kite Realty Group Trust 18,201 77
Monmouth Real Estate Investment Corp. Class A 8,647 73
Apollo Commercial Real Estate Finance Inc. 5,328 72
Parkway Properties Inc. 6,795 69
Cedar Realty Trust Inc. 17,015 57
Cogdell Spencer Inc. 14,837 56
Summit Hotel Properties Inc. 5,682 48
    123,595
Real Estate Management & Development (0.7%)    
* CBRE Group Inc. Class A 87,844 1,477
Jones Lang LaSalle Inc. 13,118 845
* Forest City Enterprises Inc. Class A 39,733 482
* Howard Hughes Corp. 8,015 370
* St. Joe Co. 20,671 297
* Altisource Portfolio Solutions SA 5,846 278
* Forestar Group Inc. 10,387 158
* Tejon Ranch Co. 4,394 108
Kennedy-Wilson Holdings Inc. 9,285 103
* Avatar Holdings Inc. 2,677 16
Consolidated-Tomoka Land Co. 405 11
    4,145
Thrifts & Mortgage Finance (1.6%)    
New York Community Bancorp Inc. 131,377 1,582
People's United Financial Inc. 113,068 1,408
Hudson City Bancorp Inc. 142,407 796
First Niagara Financial Group Inc. 88,374 778
Capitol Federal Financial Inc. 50,555 572
Washington Federal Inc. 33,034 430
* Ocwen Financial Corp. 30,184 398
Northwest Bancshares Inc. 30,900 384
* TFS Financial Corp. 27,893 258
Provident Financial Services Inc. 16,377 214
Oritani Financial Corp. 16,251 211
Astoria Financial Corp. 26,749 202

 

 

  BankUnited Inc.   8,773 190
* MGIC Investment Corp.   54,815 158
  Trustco Bank Corp. NY   27,567 145
  Brookline Bancorp Inc.   17,718 142
  ViewPoint Financial Group   10,613 136
  Flushing Financial Corp.   9,141 118
  Berkshire Hills Bancorp Inc.   5,687 113
  Dime Community Bancshares Inc.   9,033 107
* Beneficial Mutual Bancorp Inc.   11,133 97
  Rockville Financial Inc.   8,827 90
  Radian Group Inc.   41,019 89
  United Financial Bancorp Inc.   4,517 76
  WSFS Financial Corp.   2,065 75
  Provident New York Bancorp   10,743 75
* Walker & Dunlop Inc.   5,052 64
  Territorial Bancorp Inc.   3,069 61
  Westfield Financial Inc.   7,804 57
  Home Federal Bancorp Inc.   4,804 52
  Bank Mutual Corp.   13,774 47
  First Financial Holdings Inc.   4,749 39
* Flagstar Bancorp Inc.   67,726 35
* Doral Financial Corp.   36,604 31
  Roma Financial Corp.   2,557 25
* PMI Group Inc.   46,429 1
        9,256
Total Common Stocks (Cost $833,054)     588,218
        Market
        Value
    Coupon Shares ($000)
Temporary Cash Investments (0.1%)      
1,2 Vanguard Market Liquidity Fund (Cost $443) 0.135% 443,084 443
Total Investments (100.0%) (Cost $833,497)     588,661
Other Assets and Liabilities-Net (0.0%)2     (161)
Net Assets (100%)     588,500

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $218,000.
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 $224,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.

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

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

 

Financials 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, 2011, 100% of the market value of the fund's investments was based on Level 1 inputs.

C. At November 30, 2011, the cost of investment securities for tax purposes was $833,497,000. Net unrealized depreciation of investment securities for tax purposes was $244,836,000, consisting of unrealized gains of $19,023,000 on securities that had risen in value since their purchase and $263,859,000 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, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.0%)    
Food Products (0.0%)    
Smart Balance Inc. 10,018 178
 
Biotechnology (13.7%)    
Amgen Inc. 445,569 25,803
* Gilead Sciences Inc. 371,825 14,817
* Celgene Corp. 221,261 13,957
* Biogen Idec Inc. 111,165 12,778
* Alexion Pharmaceuticals Inc. 89,010 6,111
* Pharmasset Inc. 32,741 4,289
* Vertex Pharmaceuticals Inc. 100,387 2,910
* Regeneron Pharmaceuticals Inc. 34,535 2,052
* BioMarin Pharmaceutical Inc. 53,923 1,867
* Onyx Pharmaceuticals Inc. 30,733 1,355
* Cubist Pharmaceuticals Inc. 29,530 1,139
* Cepheid Inc. 30,243 1,037
* United Therapeutics Corp. 25,308 1,035
* Theravance Inc. 38,883 908
* Myriad Genetics Inc. 41,174 875
* Seattle Genetics Inc. 47,122 784
* Ariad Pharmaceuticals Inc. 63,451 767
* Incyte Corp. Ltd. 54,798 755
* Medivation Inc. 15,923 732
* Alkermes plc 47,074 720
* Human Genome Sciences Inc. 91,001 698
* Amylin Pharmaceuticals Inc. 63,132 682
* Dendreon Corp. 71,802 620
* InterMune Inc. 26,351 479
* Immunogen Inc. 36,838 448
* Acorda Therapeutics Inc. 18,902 438
PDL BioPharma Inc. 67,066 429
* Halozyme Therapeutics Inc. 39,307 373
* Pharmacyclics Inc. 23,354 356
* Spectrum Pharmaceuticals Inc. 25,078 347
* Opko Health Inc. 68,008 337
* Isis Pharmaceuticals Inc. 45,292 336
* Ironwood Pharmaceuticals Inc. 27,229 329
* Momenta Pharmaceuticals Inc. 20,714 312
* Exelixis Inc. 61,031 281
* Rigel Pharmaceuticals Inc. 34,420 262
* Idenix Pharmaceuticals Inc. 33,076 251
* AVEO Pharmaceuticals Inc. 14,597 247
* NPS Pharmaceuticals Inc. 41,080 233
* Micromet Inc. 35,187 216
* Ardea Biosciences Inc. 11,480 214
* Exact Sciences Corp. 24,825 211
* Emergent Biosolutions Inc. 11,890 203
* Genomic Health Inc. 7,042 191

 

 

* Dynavax Technologies Corp. 57,526 179
* Neurocrine Biosciences Inc. 23,804 156
* Protalix BioTherapeutics Inc. 24,581 149
* Achillion Pharmaceuticals Inc. 21,900 146
* Arqule Inc. 24,298 136
* ZIOPHARM Oncology Inc. 26,072 136
*,^ MannKind Corp. 40,634 124
* Alnylam Pharmaceuticals Inc. 17,074 121
* Enzon Pharmaceuticals Inc. 16,421 116
* Immunomedics Inc. 34,526 116
* Arena Pharmaceuticals Inc. 69,648 110
* Progenics Pharmaceuticals Inc. 15,216 102
* Geron Corp. 60,983 102
* Lexicon Pharmaceuticals Inc. 86,727 101
* Ligand Pharmaceuticals Inc. Class B 8,562 100
* Raptor Pharmaceutical Corp. 18,035 100
* Targacept Inc. 13,226 99
* Cell Therapeutics Inc. 88,515 99
* Savient Pharmaceuticals Inc. 33,633 84
* PROLOR Biotech Inc. 16,502 72
* Sangamo Biosciences Inc. 23,515 71
* Metabolix Inc. 14,686 70
* Novavax Inc. 46,726 64
* Dyax Corp. 44,051 63
* Biotime Inc. 11,106 50
* Allos Therapeutics Inc. 37,220 50
* Codexis Inc. 9,085 44
* Trius Therapeutics Inc. 5,570 41
* SIGA Technologies Inc. 18,161 38
* Osiris Therapeutics Inc. 7,846 37
* BioMimetic Therapeutics Inc. 9,679 30
* Orexigen Therapeutics Inc. 16,063 29
* Nabi Biopharmaceuticals 13,806 25
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 8,685 8
* Biospecifics Technologies Corp. 301 5
* Lexicon Pharmaceuticals Inc. Rights Exp. 12/21/2011 86,727 3
      106,160
Health Care Equipment & Supplies (16.4%)    
  Medtronic Inc. 511,349 18,628
  Baxter International Inc. 274,368 14,174
  Covidien plc 238,489 10,863
* Intuitive Surgical Inc. 18,905 8,209
  Becton Dickinson and Co. 105,298 7,769
  Stryker Corp. 140,466 6,859
  St. Jude Medical Inc. 158,955 6,110
* Zimmer Holdings Inc. 92,342 4,668
* Boston Scientific Corp. 738,048 4,354
* Edwards Lifesciences Corp. 55,489 3,664
  CR Bard Inc. 41,795 3,644
* Varian Medical Systems Inc. 56,534 3,518
* CareFusion Corp. 107,545 2,665
  DENTSPLY International Inc. 68,241 2,464
* Hologic Inc. 126,431 2,226
* IDEXX Laboratories Inc. 27,594 2,075
* ResMed Inc. 73,515 1,915
* Gen-Probe Inc. 23,273 1,466
  Cooper Cos. Inc. 23,026 1,411

 

 

* Sirona Dental Systems Inc. 27,014 1,200
Teleflex Inc. 19,714 1,200
Hill-Rom Holdings Inc. 30,376 960
* Alere Inc. 39,084 914
* Thoratec Corp. 28,895 879
STERIS Corp. 28,408 854
* Align Technology Inc. 30,322 743
* Haemonetics Corp. 12,336 731
West Pharmaceutical Services Inc. 16,208 624
* Volcano Corp. 25,115 620
Masimo Corp. 25,883 535
* Zoll Medical Corp. 10,554 486
* NxStage Medical Inc. 20,934 410
* Insulet Corp. 21,722 404
* MAKO Surgical Corp. 13,731 395
* Arthrocare Corp. 13,097 390
Meridian Bioscience Inc. 19,736 378
* Neogen Corp. 10,657 375
* Cyberonics Inc. 12,195 370
* CONMED Corp. 13,583 357
Analogic Corp. 6,113 342
* Integra LifeSciences Holdings Corp. 10,352 333
* HeartWare International Inc. 4,658 321
* ABIOMED Inc. 15,433 311
* Orthofix International NV 8,923 306
* Abaxis Inc. 10,763 298
Invacare Corp. 14,049 289
* Wright Medical Group Inc. 18,796 276
* SonoSite Inc. 6,627 274
* ICU Medical Inc. 6,005 264
* NuVasive Inc. 19,030 263
* Merit Medical Systems Inc. 18,825 261
* Quidel Corp. 14,305 260
* DexCom Inc. 32,093 257
* Greatbatch Inc. 11,264 249
* Endologix Inc. 19,163 217
* OraSure Technologies Inc. 21,217 202
Atrion Corp. 777 189
Cantel Medical Corp. 7,015 185
* AngioDynamics Inc. 11,830 179
* Staar Surgical Co. 16,990 167
* Conceptus Inc. 14,317 157
* Symmetry Medical Inc. 17,530 137
* Unilife Corp. 33,186 136
* Accuray Inc. 30,163 121
* Tornier NV 6,665 120
* Antares Pharma Inc. 44,710 117
* Natus Medical Inc. 13,731 115
* RTI Biologics Inc. 24,766 106
* Kensey Nash Corp. 3,840 98
* SurModics Inc. 7,786 97
* Neoprobe Corp. 38,237 95
* Palomar Medical Technologies Inc. 8,435 70
* Exactech Inc. 3,858 58
* Stereotaxis Inc. 5,285 5
* Alimera Sciences Inc. 3,665 5
    126,387

 

 

Health Care Providers & Services (19.7%)    
  UnitedHealth Group Inc. 518,726 25,298
  WellPoint Inc. 173,788 12,261
* Medco Health Solutions Inc. 185,825 10,531
* Express Scripts Inc. 223,556 10,205
  McKesson Corp. 118,659 9,648
  Aetna Inc. 179,683 7,514
  Humana Inc. 80,392 7,129
  Cardinal Health Inc. 166,035 7,050
  Cigna Corp. 137,679 6,090
  AmerisourceBergen Corp. Class A 129,694 4,818
  Quest Diagnostics Inc. 76,376 4,480
* Laboratory Corp. of America Holdings 48,863 4,189
* DaVita Inc. 44,974 3,426
* Henry Schein Inc. 44,464 2,861
* Coventry Health Care Inc. 71,662 2,289
* HCA Holdings Inc. 84,047 2,049
  Omnicare Inc. 55,828 1,821
  Universal Health Services Inc. Class B 43,704 1,758
* Healthspring Inc. 30,976 1,692
* Mednax Inc. 23,607 1,591
  Patterson Cos. Inc. 47,359 1,429
* AMERIGROUP Corp. 23,865 1,364
* Health Net Inc. 43,563 1,357
* HMS Holdings Corp. 40,675 1,234
* WellCare Health Plans Inc. 20,499 1,198
* Catalyst Health Solutions Inc. 21,539 1,120
* Tenet Healthcare Corp. 235,560 1,095
  Lincare Holdings Inc. 45,464 1,078
* Health Management Associates Inc. Class A 121,801 1,001
* LifePoint Hospitals Inc. 25,238 990
  Owens & Minor Inc. 30,687 945
* Centene Corp. 24,132 934
* Community Health Systems Inc. 45,647 907
* HealthSouth Corp. 45,781 791
* Magellan Health Services Inc. 15,476 784
* Brookdale Senior Living Inc. Class A 50,005 778
* VCA Antech Inc. 39,466 776
* PSS World Medical Inc. 26,724 652
  Chemed Corp. 10,249 550
* Air Methods Corp. 5,464 441
* MWI Veterinary Supply Inc. 5,756 398
* Amsurg Corp. Class A 15,108 394
*,^ Accretive Health Inc. 16,122 372
* IPC The Hospitalist Co. Inc. 7,935 366
* Kindred Healthcare Inc. 25,074 311
* Team Health Holdings Inc. 13,957 306
* Molina Healthcare Inc. 13,155 287
* Select Medical Holdings Corp. 26,702 232
* Hanger Orthopedic Group Inc. 14,448 231
  Landauer Inc. 4,475 227
* PharMerica Corp. 14,187 222
* Emeritus Corp. 13,797 219
  Universal American Corp. 16,382 215
* Triple-S Management Corp. Class B 9,421 184
* Amedisys Inc. 14,008 166
  National Healthcare Corp. 3,923 163

 

 

* Corvel Corp. 3,383 161
Ensign Group Inc. 6,582 156
* Vanguard Health Systems Inc. 14,884 152
* Bio-Reference Labs Inc. 12,144 151
Assisted Living Concepts Inc. Class A 9,492 130
* Sunrise Senior Living Inc. 24,733 124
* MedQuist Holdings Inc. 13,084 122
* BioScrip Inc. 19,871 122
* LHC Group Inc. 7,524 105
* Healthways Inc. 16,012 104
* ExamWorks Group Inc. 14,849 100
* Gentiva Health Services Inc. 14,006 82
* AMN Healthcare Services Inc. 14,785 68
* Cross Country Healthcare Inc. 13,117 68
* Almost Family Inc. 4,001 60
* Skilled Healthcare Group Inc. 9,142 39
* Sun Healthcare Group Inc. 11,217 35
* Alliance HealthCare Services Inc. 44 —
    152,196
Health Care Technology (1.2%)    
* Cerner Corp. 69,293 4,225
* Allscripts Healthcare Solutions Inc. 91,557 1,782
* athenahealth Inc. 15,889 944
Quality Systems Inc. 19,588 692
* Omnicell Inc. 15,879 257
Computer Programs & Systems Inc. 5,024 228
* MedAssets Inc. 22,601 216
* Medidata Solutions Inc. 9,945 201
* HealthStream Inc. 9,155 154
* Merge Healthcare Inc. 25,604 138
* Transcend Services Inc. 4,637 126
* Epocrates Inc. 7,450 64
    9,027
Life Sciences Tools & Services (4.5%)    
* Thermo Fisher Scientific Inc. 184,380 8,712
* Agilent Technologies Inc. 167,803 6,293
* Waters Corp. 44,138 3,531
* Life Technologies Corp. 87,017 3,370
* Mettler-Toledo International Inc. 15,492 2,476
Pharmaceutical Product Development Inc. 52,184 1,733
* Illumina Inc. 60,022 1,670
* Covance Inc. 29,143 1,338
Techne Corp. 16,944 1,143
PerkinElmer Inc. 54,282 1,027
* Bio-Rad Laboratories Inc. Class A 9,332 880
* Charles River Laboratories International Inc. 22,300 632
* PAREXEL International Corp. 28,361 569
* Bruker Corp. 35,897 449
* Luminex Corp. 18,159 377
* Sequenom Inc. 47,557 199
* Affymetrix Inc. 31,671 143
* eResearchTechnology Inc. 23,630 108
* Fluidigm Corp. 7,764 105
* Pacific Biosciences of California Inc. 16,582 47
* Enzo Biochem Inc. 16,415 40
* Complete Genomics Inc. 7,352 27

 

 

* Albany Molecular Research Inc.   9,966 23
        34,892
Pharmaceuticals (44.5%)      
  Johnson & Johnson   1,321,348 85,518
  Pfizer Inc.   3,761,947 75,502
  Merck & Co. Inc.   1,485,476 53,106
  Abbott Laboratories   750,377 40,933
  Bristol-Myers Squibb Co.   822,240 26,904
  Eli Lilly & Co.   502,243 19,010
  Allergan Inc.   148,288 12,415
* Watson Pharmaceuticals Inc.   64,741 4,184
* Mylan Inc.   205,423 4,012
* Forest Laboratories Inc.   132,304 3,964
  Perrigo Co.   40,334 3,949
* Hospira Inc.   80,638 2,273
* Endo Pharmaceuticals Holdings Inc.   56,027 1,918
* Questcor Pharmaceuticals Inc.   28,643 1,288
* Salix Pharmaceuticals Ltd.   28,530 1,259
* Warner Chilcott plc Class A   67,179 1,056
  Medicis Pharmaceutical Corp. Class A   29,656 968
* Viropharma Inc.   36,446 875
* Impax Laboratories Inc.   29,811 600
* Par Pharmaceutical Cos. Inc.   17,621 571
* Medicines Co.   25,786 488
* Vivus Inc.   42,882 434
* Auxilium Pharmaceuticals Inc.   22,856 398
* Jazz Pharmaceuticals Inc.   9,067 359
* Akorn Inc.   31,676 341
* Nektar Therapeutics   54,518 273
* Optimer Pharmaceuticals Inc.   21,007 242
* Hi-Tech Pharmacal Co. Inc.   4,521 188
* AVANIR Pharmaceuticals Inc.   53,399 131
* MAP Pharmaceuticals Inc.   9,511 131
* Depomed Inc.   25,696 125
* Cadence Pharmaceuticals Inc.   27,858 122
* Endocyte Inc.   11,170 115
* Sagent Pharmaceuticals Inc.   4,721 98
* Aegerion Pharmaceuticals Inc.   5,631 90
* Obagi Medical Products Inc.   8,731 88
* XenoPort Inc.   15,303 73
  Pain Therapeutics Inc.   17,950 69
* Ampio Pharmaceuticals Inc.   7,683 56
* Pozen Inc.   11,934 48
* Durect Corp.   34,423 47
* Sucampo Pharmaceuticals Inc. Class A   782 3
        344,224
Total Common Stocks (Cost $796,551)     773,064
        Market
        Value
    Coupon Shares ($000)
Temporary Cash Investment (0.0%)      
1,2 Vanguard Market Liquidity Fund (Cost $235) 0.135% 235,068 235
Total Investments (100.0%) (Cost $796,786)     773,299
Other Assets and Liabilities-Net (0.0%)2     (203)
Net Assets (100%)     773,096

 

 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $192,000.
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 $202,000 of collateral received for securities on loan.

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

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

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

The following table summarizes the market value of the fund's investments as of November 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 773,053 3 8
Temporary Cash Investments 235 — —
Total 773,288 3 8

 

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended November 30, 2011. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in
  Common Stock
Amount valued based on Level 3 Inputs ($000)
Balance as of August 31, 2011 8
Change in Unrealized Appreciation (Depreciation) —
Balance as of November 30, 2011 8

 

C. At November 30, 2011, the cost of investment securities for tax purposes was $796,786,000. Net unrealized depreciation of investment securities for tax purposes was $23,487,000, consisting of unrealized gains of $58,400,000 on securities that had risen in value since their purchase and $81,887,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Industrials Index Fund

Schedule of Investments
As of November 30, 2011

      Market
      Value
    Shares ($000)
Common Stocks (99.9%)    
Aerospace & Defense (21.1%)    
  United Technologies Corp. 257,128 19,696
  Boeing Co. 209,699 14,404
  Honeywell International Inc. 221,393 11,988
  Precision Castparts Corp. 42,899 7,068
  Lockheed Martin Corp. 84,970 6,640
  General Dynamics Corp. 91,589 6,050
  Raytheon Co. 105,324 4,800
  Goodrich Corp. 37,233 4,543
  Northrop Grumman Corp. 78,678 4,490
  Rockwell Collins Inc. 45,769 2,513
  L-3 Communications Holdings Inc. 31,389 2,081
  Textron Inc. 82,604 1,605
* TransDigm Group Inc. 14,191 1,368
* BE Aerospace Inc. 29,189 1,137
  Triumph Group Inc. 13,128 781
* Hexcel Corp. 29,359 732
* Spirit Aerosystems Holdings Inc. Class A 35,289 689
* Teledyne Technologies Inc. 10,373 588
  Alliant Techsystems Inc. 9,813 577
  ITT Corp. 26,265 530
* Moog Inc. Class A 11,854 496
* Esterline Technologies Corp. 9,077 489
  Exelis Inc. 52,002 465
  Curtiss-Wright Corp. 13,269 437
* Huntington Ingalls Industries Inc. 13,745 436
  HEICO Corp. Class A 7,032 288
* Orbital Sciences Corp. 17,394 258
  AAR Corp. 11,868 217
* Ceradyne Inc. 7,034 209
  American Science & Engineering Inc. 2,773 203
  Cubic Corp. 4,756 202
  HEICO Corp. 3,252 193
* DigitalGlobe Inc. 10,949 163
* Aerovironment Inc. 5,212 159
  National Presto Industries Inc. 1,429 135
* GeoEye Inc. 5,912 112
* Taser International Inc. 18,069 109
* Astronics Corp. 2,761 98
* GenCorp Inc. 13,060 71
  Ducommun Inc. 2,999 36
* KEYW Holding Corp. 3,760 31
      97,087
Air Freight & Logistics (6.7%)    
  United Parcel Service Inc. Class B 219,391 15,741
  FedEx Corp. 89,756 7,457
  CH Robinson Worldwide Inc. 49,119 3,365
  Expeditors International of Washington Inc. 63,247 2,752

 

 

UTi Worldwide Inc. 30,430 474
* Atlas Air Worldwide Holdings Inc. 7,793 329
* HUB Group Inc. Class A 10,946 326
Forward Air Corp. 8,888 285
* Air Transport Services Group Inc. 16,231 79
* Pacer International Inc. 10,444 45
    30,853
Airlines (1.7%)    
* Delta Air Lines Inc. 252,088 2,047
Southwest Airlines Co. 239,472 2,007
* United Continental Holdings Inc. 98,678 1,773
* Alaska Air Group Inc. 10,735 745
* JetBlue Airways Corp. 74,632 307
* Allegiant Travel Co. Class A 4,530 236
* US Airways Group Inc. 48,329 228
SkyWest Inc. 15,727 191
* Spirit Airlines Inc. 6,478 105
* Hawaiian Holdings Inc. 14,119 84
* Republic Airways Holdings Inc. 13,602 52
    7,775
Building Products (1.2%)    
Masco Corp. 107,441 1,029
* Owens Corning 34,925 1,002
* Fortune Brands Home & Security Inc. 41,296 689
AO Smith Corp. 11,494 451
Lennox International Inc. 13,479 447
Simpson Manufacturing Co. Inc. 11,504 381
Armstrong World Industries Inc. 6,059 240
* USG Corp. 22,005 215
Quanex Building Products Corp. 11,281 170
Griffon Corp. 15,986 150
Universal Forest Products Inc. 5,223 146
AAON Inc. 5,519 121
* Gibraltar Industries Inc. 8,098 110
Apogee Enterprises Inc. 8,380 89
* Trex Co. Inc. 3,891 87
* Ameresco Inc. Class A 4,299 51
American Woodmark Corp. 2,704 34
    5,412
Commercial Services & Supplies (5.5%)    
Waste Management Inc. 133,571 4,181
Republic Services Inc. Class A 89,720 2,463
* Stericycle Inc. 24,367 1,974
Iron Mountain Inc. 54,457 1,654
Pitney Bowes Inc. 60,208 1,122
Cintas Corp. 35,171 1,069
Waste Connections Inc. 32,081 1,051
* Clean Harbors Inc. 14,266 855
RR Donnelley & Sons Co. 55,936 840
Avery Dennison Corp. 30,167 791
* Copart Inc. 17,417 783
* Corrections Corp. of America 31,898 670
Covanta Holding Corp. 38,308 572
United Stationers Inc. 12,569 422
* Tetra Tech Inc. 18,553 415
Rollins Inc. 17,488 388

 

 

Mine Safety Appliances Co. 10,332 364
Herman Miller Inc. 16,466 355
Deluxe Corp. 15,314 350
HNI Corp. 13,303 349
* Geo Group Inc. 19,546 346
Brink's Co. 13,852 341
Healthcare Services Group Inc. 18,790 339
ABM Industries Inc. 15,027 327
Unifirst Corp. 4,465 258
Knoll Inc. 14,192 215
* Mobile Mini Inc. 11,369 205
* SYKES Enterprises Inc. 12,549 204
Steelcase Inc. Class A 25,798 202
Interface Inc. Class A 17,309 199
McGrath Rentcorp 6,826 191
G&K Services Inc. Class A 5,574 167
* KAR Auction Services Inc. 12,193 160
* ACCO Brands Corp. 16,322 154
* Consolidated Graphics Inc. 2,985 152
* Team Inc. 5,516 151
Quad/Graphics Inc. 8,316 133
Ennis Inc. 7,730 115
Viad Corp. 6,093 113
* Swisher Hygiene Inc. 28,265 109
US Ecology Inc. 5,424 100
Multi-Color Corp. 3,594 94
* Standard Parking Corp. 4,761 86
* M&F Worldwide Corp. 3,418 85
* InnerWorkings Inc. 9,029 82
* EnergySolutions Inc. 23,633 75
Schawk Inc. Class A 4,560 58
* EnerNOC Inc. 5,800 57
* Cenveo Inc. 16,699 51
* American Reprographics Co. 10,148 48
Kimball International Inc. Class B 7,719 47
* Metalico Inc. 12,625 45
    25,577
Construction & Engineering (2.6%)    
Fluor Corp. 51,768 2,838
* Jacobs Engineering Group Inc. 37,992 1,578
KBR Inc. 44,912 1,298
* Quanta Services Inc. 61,780 1,272
* URS Corp. 23,710 857
* AECOM Technology Corp. 31,923 685
* Foster Wheeler AG 35,873 665
* Shaw Group Inc. 21,459 533
EMCOR Group Inc. 19,905 510
* MasTec Inc. 17,660 283
Granite Construction Inc. 10,366 258
* Dycom Industries Inc. 10,122 203
* Aegion Corp. Class A 11,813 179
* Tutor Perini Corp. 9,069 150
* Layne Christensen Co. 5,839 146
Primoris Services Corp. 8,360 119
Comfort Systems USA Inc. 11,228 117
* MYR Group Inc. 5,956 104
Great Lakes Dredge & Dock Corp. 16,528 100

 

 

* Furmanite Corp. 10,339 70
* Northwest Pipe Co. 2,766 64
* Sterling Construction Co. Inc. 4,648 59
* Michael Baker Corp. 2,458 49
* Orion Marine Group Inc. 7,994 48
* Pike Electric Corp. 5,520 38
    12,223
Electrical Equipment (6.9%)    
Emerson Electric Co. 221,811 11,590
Rockwell Automation Inc. 42,655 3,200
Cooper Industries plc 49,153 2,729
Roper Industries Inc. 28,634 2,439
AMETEK Inc. 48,097 2,060
Hubbell Inc. Class B 15,783 1,033
* Sensata Technologies Holding NV 26,197 819
* Thomas & Betts Corp. 14,921 776
* Babcock & Wilcox Co. 33,450 759
Woodward Inc. 17,503 741
Acuity Brands Inc. 12,892 648
Regal-Beloit Corp. 11,502 606
* Polypore International Inc. 10,373 509
* GrafTech International Ltd. 34,497 498
Belden Inc. 14,080 465
Brady Corp. Class A 14,629 438
* General Cable Corp. 15,505 411
* EnerSys 14,896 358
* II-VI Inc. 15,847 310
Franklin Electric Co. Inc. 5,891 277
* Generac Holdings Inc. 8,020 201
AZZ Inc. 3,747 159
Encore Wire Corp. 5,534 143
* Global Power Equipment Group Inc. 4,734 110
* Powell Industries Inc. 2,763 84
* Capstone Turbine Corp. 78,520 82
* A123 Systems Inc. 28,022 70
* American Superconductor Corp. 14,331 57
* Thermon Group Holdings Inc. 3,518 54
Vicor Corp. 6,212 50
Preformed Line Products Co. 801 43
* Broadwind Energy Inc. 5,252 3
    31,722
Industrial Conglomerates (18.0%)    
General Electric Co. 3,157,664 50,239
3M Co. 200,769 16,270
Danaher Corp. 173,565 8,397
Tyco International Ltd. 138,311 6,633
Carlisle Cos. Inc. 18,350 819
Raven Industries Inc. 5,096 307
Seaboard Corp. 109 219
Standex International Corp. 3,732 119
    83,003
Machinery (21.4%)    
Caterpillar Inc. 192,432 18,835
Deere & Co. 123,287 9,771
Illinois Tool Works Inc. 131,731 5,986
Cummins Inc. 55,092 5,307

 

 

Eaton Corp. 96,597 4,338
PACCAR Inc. 98,044 3,978
Parker Hannifin Corp. 46,185 3,823
Ingersoll-Rand plc 98,628 3,267
Stanley Black & Decker Inc. 47,639 3,117
Dover Corp. 55,407 3,046
Joy Global Inc. 31,287 2,856
Pall Corp. 34,646 1,888
Flowserve Corp. 16,638 1,710
Donaldson Co. Inc. 21,363 1,460
Gardner Denver Inc. 15,607 1,338
* AGCO Corp. 28,735 1,315
Xylem Inc. 52,220 1,248
Pentair Inc. 29,371 1,117
Timken Co. 24,839 1,043
Wabtec Corp. 14,357 980
SPX Corp. 15,249 967
* WABCO Holdings Inc. 20,066 943
Lincoln Electric Holdings Inc. 23,784 939
Kennametal Inc. 24,318 927
IDEX Corp. 24,799 904
Snap-on Inc. 16,450 844
Nordson Corp. 17,236 811
Graco Inc. 18,172 781
* Navistar International Corp. 20,593 767
CLARCOR Inc. 14,230 689
Trinity Industries Inc. 23,983 685
Crane Co. 13,859 665
Robbins & Myers Inc. 12,276 653
Valmont Industries Inc. 6,684 569
* Oshkosh Corp. 27,123 557
* Chart Industries Inc. 8,733 531
Toro Co. 9,133 516
* Terex Corp. 32,656 504
Harsco Corp. 24,012 496
* Middleby Corp. 5,292 483
Actuant Corp. Class A 20,430 468
Mueller Industries Inc. 11,250 429
Manitowoc Co. Inc. 37,150 411
Barnes Group Inc. 14,087 351
Watts Water Technologies Inc. Class A 8,109 310
Kaydon Corp. 9,713 307
* RBC Bearings Inc. 6,527 276
Titan International Inc. 11,853 255
Briggs & Stratton Corp. 14,931 225
* Blount International Inc. 14,441 221
ESCO Technologies Inc. 7,941 215
Tennant Co. 5,111 215
Lindsay Corp. 3,749 212
* Colfax Corp. 7,075 207
* EnPro Industries Inc. 6,140 206
* 3D Systems Corp. 12,970 202
Albany International Corp. 8,285 201
* Astec Industries Inc. 5,706 191
Gorman-Rupp Co. 5,592 165
* Meritor Inc. 26,775 159
* Greenbrier Cos. Inc. 7,030 156

 

 

  Sun Hydraulics Corp. 6,090 153
* Wabash National Corp. 20,521 151
  CIRCOR International Inc. 4,593 149
* Trimas Corp. 7,194 147
* Altra Holdings Inc. 7,935 141
  John Bean Technologies Corp. 8,496 140
* Sauer-Danfoss Inc. 3,602 135
  Cascade Corp. 2,795 122
  NACCO Industries Inc. Class A 1,530 121
* Force Protection Inc. 20,919 115
  Twin Disc Inc. 2,537 108
  Mueller Water Products Inc. Class A 46,594 104
* PMFG Inc. 3,920 91
  LB Foster Co. Class A 3,037 87
* Commercial Vehicle Group Inc. 7,694 86
  Dynamic Materials Corp. 4,006 86
  Douglas Dynamics Inc. 5,245 81
* FreightCar America Inc. 3,529 80
  Alamo Group Inc. 2,661 76
* American Railcar Industries Inc. 3,145 75
* Kadant Inc. 3,609 74
  Federal Signal Corp. 18,530 68
* Columbus McKinnon Corp. 5,391 68
* Accuride Corp. 10,526 64
  Ampco-Pittsburgh Corp. 2,105 43
* Energy Recovery Inc. 10,885 31
* Tecumseh Products Co. Class A 4,018 21
      98,653
Marine (0.3%)    
* Kirby Corp. 14,918 959
  Alexander & Baldwin Inc. 12,387 469
*,^ Genco Shipping & Trading Ltd. 9,587 73
  Baltic Trading Ltd. 4,915 25
* Eagle Bulk Shipping Inc. 18,395 21
      1,547
Professional Services (3.0%)    
* Verisk Analytics Inc. Class A 38,134 1,498
  Equifax Inc. 36,459 1,354
* IHS Inc. Class A 12,590 1,113
  Robert Half International Inc. 40,993 1,086
  Towers Watson & Co. Class A 16,408 1,069
  Dun & Bradstreet Corp. 14,688 1,026
  Manpower Inc. 24,438 895
* Nielsen Holdings NV 26,798 779
* FTI Consulting Inc. 12,481 535
* CoStar Group Inc. 7,538 502
* Acacia Research - Acacia Technologies 12,716 443
  Corporate Executive Board Co. 10,258 402
* Advisory Board Co. 4,826 349
* Korn/Ferry International 14,284 240
* Huron Consulting Group Inc. 6,413 223
* Exponent Inc. 4,157 197
* Navigant Consulting Inc. 15,810 178
  Insperity Inc. 7,080 176
* TrueBlue Inc. 13,191 170
* ICF International Inc. 5,833 151

 

 

Resources Connection Inc. 13,729 147
* Kforce Inc. 10,820 133
Kelly Services Inc. Class A 8,957 130
* Pendrell Corp. 43,950 120
* On Assignment Inc. 11,032 115
Heidrick & Struggles International Inc. 5,287 113
* Mistras Group Inc. 4,431 104
* Dolan Co. 8,584 78
* CBIZ Inc. 12,860 77
* CRA International Inc. 3,203 65
* RPX Corp. 3,613 51
CDI Corp. 3,899 51
* Hill International Inc. 7,400 41
    13,611
Road & Rail (8.7%)    
Union Pacific Corp. 145,377 15,033
Norfolk Southern Corp. 103,584 7,825
CSX Corp. 326,230 7,082
* Kansas City Southern 32,715 2,226
JB Hunt Transport Services Inc. 28,693 1,312
* Hertz Global Holdings Inc. 80,884 915
Ryder System Inc. 15,274 799
* Genesee & Wyoming Inc. Class A 11,935 729
Landstar System Inc. 14,230 658
* Dollar Thrifty Automotive Group Inc. 8,615 578
* Old Dominion Freight Line Inc. 12,807 497
Con-way Inc. 16,606 466
* Avis Budget Group Inc. 31,144 368
Werner Enterprises Inc. 13,015 305
Knight Transportation Inc. 17,972 269
Heartland Express Inc. 16,180 222
* Swift Transportation Co. 23,484 200
* Amerco Inc. 2,338 182
Arkansas Best Corp. 7,224 138
* RailAmerica Inc. 6,987 98
Marten Transport Ltd. 4,917 91
Celadon Group Inc. 6,808 73
* Roadrunner Transportation Systems Inc. 4,017 57
* Zipcar Inc. 3,489 56
* Saia Inc. 4,470 52
* Patriot Transportation Holding Inc. 1,633 37
Universal Truckload Services Inc. 4 —
    40,268
Trading Companies & Distributors (2.7%)    
Fastenal Co. 83,531 3,479
WW Grainger Inc. 17,696 3,307
MSC Industrial Direct Co. Inc. Class A 14,166 985
* WESCO International Inc. 12,919 658
GATX Corp. 12,556 536
* United Rentals Inc. 18,578 523
Watsco Inc. 7,581 481
* Air Lease Corp. 20,618 462
Applied Industrial Technologies Inc. 11,500 397
* Beacon Roofing Supply Inc. 13,669 267
Aircastle Ltd. 18,133 211
* RSC Holdings Inc. 17,052 207

 

 

  Kaman Corp.   6,635 206
* Interline Brands Inc.   9,919 157
  TAL International Group Inc.   5,939 156
* Rush Enterprises Inc. Class A   8,039 154
* Titan Machinery Inc.   4,908 107
* H&E Equipment Services Inc.   8,315 106
* DXP Enterprises Inc.   2,945 89
  Houston Wire & Cable Co.   5,030 56
* CAI International Inc.   3,439 53
  SeaCube Container Leasing Ltd.   3,296 51
        12,648
Transportation Infrastructure (0.1%)      
  Macquarie Infrastructure Co. LLC   12,266 321
 
Total Common Stocks (Cost $513,359)     460,700
    Coupon    
Temporary Cash Investment (0.0%)      
1,2 Vanguard Market Liquidity Fund (Cost $24) 0.135% 24,001 24
Total Investments (99.9%) (Cost $513,383)     460,724
Other Assets and Liabilities-Net (0.1%)2     350
Net Assets (100%)     461,074

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $23,000.
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 $24,000 of collateral received for securities on loan.

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

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

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

 

Industrials Index Fund

At November 30, 2011, 100% of the market value of the fund's investments was based on Level 1 inputs.

C. At November 30, 2011, the cost of investment securities for tax purposes was $513,383,000. Net unrealized depreciation of investment securities for tax purposes was $52,659,000, consisting of unrealized gains of $28,256,000 on securities that had risen in value since their purchase and $80,915,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Information Technology Index Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.0%)    
Commercial Services & Supplies (0.0%)    
* Higher One Holdings Inc. 690 12
 
Communications Equipment (10.9%)    
Cisco Systems Inc. 4,136,624 77,107
Qualcomm Inc. 1,255,711 68,813
Motorola Solutions Inc. 230,574 10,761
* Juniper Networks Inc. 402,380 9,138
* Motorola Mobility Holdings Inc. 211,712 8,257
* F5 Networks Inc. 61,380 6,938
Harris Corp. 96,700 3,442
* Riverbed Technology Inc. 111,071 2,888
* Polycom Inc. 135,161 2,284
* Brocade Communications Systems Inc. 364,616 1,962
* JDS Uniphase Corp. 174,555 1,916
* Acme Packet Inc. 47,748 1,596
ADTRAN Inc. 47,243 1,560
InterDigital Inc. 34,775 1,529
* Viasat Inc. 30,638 1,450
Plantronics Inc. 37,229 1,283
* Finisar Corp. 69,266 1,277
* Aruba Networks Inc. 59,907 1,264
* Netgear Inc. 28,673 1,089
Tellabs Inc. 267,175 1,061
* Arris Group Inc. 91,434 983
* Ciena Corp. 74,250 899
Comtech Telecommunications Corp. 21,152 641
* Blue Coat Systems Inc. 35,030 630
* EchoStar Corp. Class A 27,385 602
* Emulex Corp. 71,040 561
* Tekelec 50,380 555
* Infinera Corp. 79,732 550
* Harmonic Inc. 93,788 504
* Loral Space & Communications Inc. 7,808 485
* Sonus Networks Inc. 173,185 452
Black Box Corp. 14,956 427
Sycamore Networks Inc. 18,146 359
* Ixia 31,884 351
* Oplink Communications Inc. 17,015 281
* Digi International Inc. 21,715 239
* Extreme Networks 75,524 228
* Anaren Inc. 12,683 212
* Symmetricom Inc. 40,231 207
* Calix Inc. 22,520 203
* ShoreTel Inc. 29,876 180
Bel Fuse Inc. Class B 8,634 158
* Oclaro Inc. 48,670 151
* Aviat Networks Inc. 62,914 111
* Powerwave Technologies Inc. 36,108 84
* Mitel Networks Corp. 28,779 74

 

 

* Meru Networks Inc. 13,786 65
* Globecomm Systems Inc. 934 13
    215,820
Computers & Peripherals (20.6%)    
* Apple Inc. 688,970 263,324
Hewlett-Packard Co. 1,624,245 45,398
* EMC Corp. 1,548,349 35,627
* Dell Inc. 1,278,334 20,147
* NetApp Inc. 277,461 10,219
* SanDisk Corp. 180,022 8,877
Seagate Technology plc 325,384 5,564
* Western Digital Corp. 175,918 5,114
* NCR Corp. 121,439 2,124
Lexmark International Inc. Class A 60,930 2,039
Diebold Inc. 47,662 1,438
* QLogic Corp. 81,301 1,213
* Synaptics Inc. 26,811 870
* Electronics for Imaging Inc. 37,459 554
* Stratasys Inc. 16,561 509
* Quantum Corp. 176,271 474
* Silicon Graphics International Corp. 23,750 354
* STEC Inc. 36,174 330
* Super Micro Computer Inc. 22,998 313
* Intermec Inc. 38,429 282
* OCZ Technology Group Inc. 39,945 279
* Avid Technology Inc. 34,102 271
* Cray Inc. 30,417 188
* Imation Corp. 29,094 171
* Intevac Inc. 22,094 165
* Novatel Wireless Inc. 33,607 108
* Fusion-io Inc. 411 14
    405,966
Electronic Equipment, Instruments & Components (4.4%)    
Corning Inc. 1,182,902 15,697
TE Connectivity Ltd. 331,574 10,514
Amphenol Corp. Class A 133,102 6,034
* Trimble Navigation Ltd. 93,124 4,012
* Avnet Inc. 116,116 3,459
* Flextronics International Ltd. 575,412 3,435
FLIR Systems Inc. 121,441 3,262
* Arrow Electronics Inc. 88,370 3,231
Jabil Circuit Inc. 149,620 3,033
* Ingram Micro Inc. 123,354 2,222
National Instruments Corp. 73,182 1,925
* Tech Data Corp. 35,963 1,770
* Anixter International Inc. 22,666 1,392
* Dolby Laboratories Inc. Class A 41,021 1,350
Molex Inc. Class A 58,503 1,225
* Universal Display Corp. 31,366 1,222
* FEI Co. 30,027 1,212
Molex Inc. 48,556 1,211
* Vishay Intertechnology Inc. 117,497 1,162
* Itron Inc. 31,557 1,118
Cognex Corp. 30,660 1,094
* Coherent Inc. 19,555 993
* IPG Photonics Corp. 22,022 844

 

 

Littelfuse Inc. 17,828 833
* Plexus Corp. 29,536 802
* Scansource Inc. 21,330 749
* Benchmark Electronics Inc. 48,181 665
* OSI Systems Inc. 13,739 657
* FARO Technologies Inc. 13,212 640
* SYNNEX Corp. 20,394 599
* Rofin-Sinar Technologies Inc. 22,902 551
* Sanmina-SCI Corp. 64,823 549
* Brightpoint Inc. 54,784 547
* Insight Enterprises Inc. 37,375 547
AVX Corp. 41,171 533
MTS Systems Corp. 12,751 512
* Rogers Corp. 12,871 511
* TTM Technologies Inc. 42,954 473
Park Electrochemical Corp. 16,234 446
* DTS Inc. 14,454 416
* Newport Corp. 31,088 405
* Checkpoint Systems Inc. 33,032 399
* Maxwell Technologies Inc. 21,847 371
Badger Meter Inc. 11,908 370
* Mercury Computer Systems Inc. 25,301 349
* Power-One Inc. 81,167 346
* Measurement Specialties Inc. 11,894 339
* Electro Scientific Industries Inc. 24,284 320
* Kemet Corp. 37,372 309
Daktronics Inc. 30,531 287
Methode Electronics Inc. 32,014 284
Electro Rent Corp. 15,138 248
* Fabrinet 17,141 243
CTS Corp. 25,825 220
* Multi-Fineline Electronix Inc. 8,964 188
* Aeroflex Holding Corp. 19,428 187
* Agilysys Inc. 21,836 178
* Echelon Corp. 29,535 145
Pulse Electronics Corp. 42,102 128
* Viasystems Group Inc. 5,805 106
* GSI Group Inc. 1,150 13
* X-Rite Inc. 2,594 12
    86,894
Internet Software & Services (9.6%)    
* Google Inc. Class A 185,979 111,474
* eBay Inc. 879,131 26,013
* Yahoo! Inc. 932,916 14,656
* Akamai Technologies Inc. 141,863 4,101
VeriSign Inc. 121,411 4,077
* Equinix Inc. 35,676 3,568
* Rackspace Hosting Inc. 78,653 3,412
IAC/InterActiveCorp 65,105 2,727
MercadoLibre Inc. 22,271 1,953
* WebMD Health Corp. 43,108 1,561
* AOL Inc. 82,769 1,187
* VistaPrint NV 33,382 1,092
j2 Global Communications Inc. 35,725 968
* ValueClick Inc. 61,204 946
* DealerTrack Holdings Inc. 32,618 845
* RightNow Technologies Inc. 19,434 834

 

 

* Monster Worldwide Inc. 96,348 704
* LogMeIn Inc. 14,539 625
  NIC Inc. 45,926 597
* Ancestry.com Inc. 23,436 556
  Earthlink Inc. 88,121 555
* Liquidity Services Inc. 14,815 505
* Digital River Inc. 31,519 504
* Constant Contact Inc. 22,824 499
* LivePerson Inc. 38,713 487
* OpenTable Inc. 13,085 463
* comScore Inc. 20,937 416
* LoopNet Inc. 22,856 413
  United Online Inc. 72,871 385
* Vocus Inc. 16,315 346
* InfoSpace Inc. 32,142 310
* Dice Holdings Inc. 38,843 302
* Internap Network Services Corp. 44,133 229
* Move Inc. 35,203 229
* Perficient Inc. 26,100 224
* QuinStreet Inc. 22,792 211
* Limelight Networks Inc. 63,977 197
* SciQuest Inc. 13,466 197
  ModusLink Global Solutions Inc. 41,748 182
* XO Group Inc. 24,372 180
* IntraLinks Holdings Inc. 32,939 174
* Envestnet Inc. 15,343 160
  RealNetworks Inc. 20,745 157
*,^ Travelzoo Inc. 5,592 157
  Marchex Inc. Class B 21,658 150
* TechTarget Inc. 13,057 70
  Keynote Systems Inc. 718 13
  Stamps.com Inc. 463 13
* Cornerstone OnDemand Inc. 773 12
* Demand Media Inc. 1,747 12
* Bankrate Inc. 666 12
* LinkedIn Corp. Class A 182 12
* Responsys Inc. 1,408 12
* Active Network Inc. 920 12
* KIT Digital Inc. 979 9
      189,705
IT Services (19.3%)    
  International Business Machines Corp. 896,888 168,615
  Visa Inc. Class A 393,745 38,181
  Mastercard Inc. Class A 81,733 30,613
  Accenture plc Class A 488,741 28,313
  Automatic Data Processing Inc. 376,485 19,235
* Cognizant Technology Solutions Corp. Class A 229,337 15,446
  Western Union Co. 477,638 8,330
  Paychex Inc. 246,275 7,169
* Teradata Corp. 127,618 6,921
* Fiserv Inc. 108,683 6,267
  Fidelity National Information Services Inc. 185,204 4,462
* Alliance Data Systems Corp. 38,699 3,963
* VeriFone Systems Inc. 78,958 3,462
  Computer Sciences Corp. 117,820 2,878
  Global Payments Inc. 61,132 2,704
* SAIC Inc. 218,116 2,628

 

 

* Gartner Inc. 66,848 2,529
Total System Services Inc. 125,232 2,510
Broadridge Financial Solutions Inc. 94,626 2,136
Jack Henry & Associates Inc. 62,917 2,090
* NeuStar Inc. Class A 56,833 1,918
* Wright Express Corp. 28,337 1,487
DST Systems Inc. 28,638 1,361
Lender Processing Services Inc. 66,919 1,269
* CACI International Inc. Class A 22,131 1,248
* Convergys Corp. 94,589 1,222
MAXIMUS Inc. 26,968 1,122
Sapient Corp. 85,946 1,055
* CoreLogic Inc. 68,543 910
* Acxiom Corp. 63,993 796
* Cardtronics Inc. 29,023 789
* Unisys Corp. 30,440 735
Heartland Payment Systems Inc. 30,774 694
* Euronet Worldwide Inc. 36,573 658
Syntel Inc. 13,300 636
* FleetCor Technologies Inc. 22,367 635
Mantech International Corp. Class A 18,576 628
* ExlService Holdings Inc. 17,768 473
* CSG Systems International Inc. 28,612 434
Forrester Research Inc. 12,950 419
* TeleTech Holdings Inc. 23,527 414
* TNS Inc. 21,057 411
iGate Corp. 26,205 407
Cass Information Systems Inc. 7,000 271
* Global Cash Access Holdings Inc. 57,850 260
* CIBER Inc. 62,633 259
* Virtusa Corp. 15,002 236
* Echo Global Logistics Inc. 10,918 172
* NCI Inc. Class A 8,571 104
* MoneyGram International Inc. 718 12
* ServiceSource International Inc. 922 12
    379,499
Office Electronics (0.5%)    
Xerox Corp. 1,057,928 8,622
* Zebra Technologies Corp. 42,010 1,590
    10,212
Semiconductors & Semiconductor Equipment (14.1%)    
Intel Corp. 3,886,140 96,804
Texas Instruments Inc. 874,163 26,312
Broadcom Corp. Class A 363,711 11,037
Applied Materials Inc. 993,611 10,711
Altera Corp. 243,204 9,161
Analog Devices Inc. 226,305 7,889
* NVIDIA Corp. 453,977 7,096
Xilinx Inc. 201,025 6,576
KLA-Tencor Corp. 127,215 5,865
Maxim Integrated Products Inc. 223,722 5,738
* Marvell Technology Group Ltd. 393,751 5,560
Linear Technology Corp. 172,191 5,274
Microchip Technology Inc. 144,175 5,033
Avago Technologies Ltd. 167,303 5,006
* Micron Technology Inc. 683,700 4,095

 

 

* Lam Research Corp. 94,441 3,850
* Atmel Corp. 347,116 3,079
* LSI Corp. 461,962 2,596
* ON Semiconductor Corp. 339,713 2,558
* Advanced Micro Devices Inc. 447,168 2,544
* Novellus Systems Inc. 68,343 2,366
Cypress Semiconductor Corp. 122,177 2,330
* Netlogic Microsystems Inc. 47,117 2,329
* Skyworks Solutions Inc. 141,863 2,314
* Cree Inc. 83,909 2,088
* First Solar Inc. 43,114 2,063
* Teradyne Inc. 142,372 1,916
* Silicon Laboratories Inc. 32,706 1,414
* RF Micro Devices Inc. 212,595 1,324
* Fairchild Semiconductor International Inc. Class A 98,287 1,273
* Hittite Microwave Corp. 21,864 1,190
* Microsemi Corp. 66,840 1,187
* Semtech Corp. 50,452 1,170
* Cavium Inc. 35,657 1,164
* International Rectifier Corp. 53,889 1,133
MKS Instruments Inc. 38,664 1,039
Intersil Corp. Class A 97,252 1,034
* Cymer Inc. 22,628 1,012
* PMC - Sierra Inc. 180,547 1,009
* Entegris Inc. 105,306 888
* Cirrus Logic Inc. 49,632 808
Power Integrations Inc. 22,696 798
* Veeco Instruments Inc. 31,914 794
* Cabot Microelectronics Corp. 18,622 774
* GT Advanced Technologies Inc. 99,563 769
* MEMC Electronic Materials Inc. 178,693 745
* Tessera Technologies Inc. 40,989 711
* Integrated Device Technology Inc. 117,531 682
* Lattice Semiconductor Corp. 94,234 649
* Rambus Inc. 74,815 597
* Diodes Inc. 28,938 593
* TriQuint Semiconductor Inc. 128,535 562
* ATMI Inc. 26,575 550
* Ceva Inc. 18,630 537
Brooks Automation Inc. 53,521 511
* Kulicke & Soffa Industries Inc. 55,078 501
* Freescale Semiconductor Holdings I Ltd. 39,043 495
* Omnivision Technologies Inc. 45,658 493
* Volterra Semiconductor Corp. 20,021 490
* Ultratech Inc. 20,604 478
* Standard Microsystems Corp. 18,864 472
Micrel Inc. 43,183 449
* Amkor Technology Inc. 96,825 430
* Applied Micro Circuits Corp. 53,724 401
* Spansion Inc. Class A 44,535 389
* Advanced Energy Industries Inc. 33,368 333
* Monolithic Power Systems Inc. 27,545 332
* Silicon Image Inc. 66,102 325
* Entropic Communications Inc. 64,449 321
* SunPower Corp. Class A 37,988 297
* Photronics Inc. 46,434 269
* LTX-Credence Corp. 43,282 264

 

 

* Formfactor Inc. 44,083 261
* IXYS Corp. 21,744 251
* STR Holdings Inc. 26,668 244
* Rudolph Technologies Inc. 28,918 227
* MIPS Technologies Inc. Class A 46,674 224
* Exar Corp. 34,936 220
  Cohu Inc. 20,586 208
* Kopin Corp. 56,108 197
* Sigma Designs Inc. 27,392 191
* Inphi Corp. 17,522 189
* Supertex Inc. 9,943 184
* Pericom Semiconductor Corp. 22,630 176
* Rubicon Technology Inc. 17,570 167
* Anadigics Inc. 66,821 150
* MaxLinear Inc. 20,342 98
* Trident Microsystems Inc. 129,249 33
* Magnachip Semiconductor Corp. 1,627 13
* Nanometrics Inc. 769 13
* Alpha & Omega Semiconductor Ltd. 1,360 12
*,^ Energy Conversion Devices Inc. 20,331 7
      276,911
Software (20.6%)    
  Microsoft Corp. 5,613,739 143,599
  Oracle Corp. 2,967,641 93,035
  Intuit Inc. 216,740 11,539
* Salesforce.com Inc. 95,919 11,359
* Adobe Systems Inc. 380,496 10,433
* Citrix Systems Inc. 141,904 10,130
* Symantec Corp. 570,006 9,320
* Red Hat Inc. 145,803 7,302
  CA Inc. 306,203 6,491
* VMware Inc. Class A 63,263 6,116
* Autodesk Inc. 174,103 5,932
* Electronic Arts Inc. 251,197 5,825
  Activision Blizzard Inc. 389,378 4,836
* BMC Software Inc. 133,778 4,770
* Nuance Communications Inc. 183,383 4,508
* ANSYS Inc. 69,704 4,320
* Informatica Corp. 80,496 3,619
* TIBCO Software Inc. 126,081 3,455
* Synopsys Inc. 111,693 3,124
  Factset Research Systems Inc. 33,421 3,116
* MICROS Systems Inc. 61,821 2,916
  Solera Holdings Inc. 53,935 2,552
* Rovi Corp. 85,674 2,377
* Cadence Design Systems Inc. 205,990 2,253
* Ariba Inc. 73,890 2,243
* Parametric Technology Corp. 91,795 1,912
* Fortinet Inc. 69,867 1,676
* Concur Technologies Inc. 35,182 1,662
* CommVault Systems Inc. 32,241 1,600
* QLIK Technologies Inc. 55,728 1,525
* SuccessFactors Inc. 54,750 1,402
* Compuware Corp. 167,942 1,387
* SolarWinds Inc. 39,636 1,300
* Ultimate Software Group Inc. 19,109 1,267
* Aspen Technology Inc. 69,182 1,235

 

 

  Fair Isaac Corp.   31,248 1,136
* Progress Software Corp.   52,016 1,060
* JDA Software Group Inc.   33,078 1,043
* Taleo Corp. Class A   31,964 1,035
  Blackbaud Inc.   34,770 1,023
* Mentor Graphics Corp.   75,145 957
* TiVo Inc.   93,117 920
* Quest Software Inc.   49,082 887
* Take-Two Interactive Software Inc.   57,649 804
* ACI Worldwide Inc.   26,320 792
* Manhattan Associates Inc.   17,209 777
* MicroStrategy Inc. Class A   6,283 774
* Sourcefire Inc.   22,602 749
* NetSuite Inc.   18,337 743
* Advent Software Inc.   26,961 728
* Tyler Technologies Inc.   21,720 696
* RealPage Inc.   27,494 688
  Ebix Inc.   31,888 686
* Synchronoss Technologies Inc.   21,207 634
* Bottomline Technologies Inc.   27,183 612
* Websense Inc.   31,931 578
* BroadSoft Inc.   16,069 564
* VirnetX Holding Corp.   28,254 561
* Kenexa Corp.   20,542 514
* Netscout Systems Inc.   27,765 491
* SS&C Technologies Holdings Inc.   28,039 450
  OPNET   12,481 445
* Verint Systems Inc.   15,638 442
* Monotype Imaging Holdings Inc.   29,631 439
* S1 Corp.   41,917 408
  Pegasystems Inc.   13,649 394
  EPIQ Systems Inc.   26,803 362
* Accelrys Inc.   47,778 341
* RealD Inc.   30,373 291
* PROS Holdings Inc.   17,597 282
* Interactive Intelligence Group   11,963 267
* Actuate Corp.   37,311 246
* VASCO Data Security International Inc.   29,036 245
* Net 1 UEPS Technologies Inc.   34,254 226
* DemandTec Inc.   29,505 224
* Seachange International Inc.   24,139 193
* Deltek Inc.   20,979 171
* TeleNav Inc.   16,871 139
* TeleCommunication Systems Inc. Class A   48,729 131
* THQ Inc.   68,899 117
* Rosetta Stone Inc.   12,681 88
*,^ Motricity Inc.   38,171 52
* Magma Design Automation Inc.   2,250 13
* Smith Micro Software Inc.   3,239 3
        405,557
Total Common Stocks (Cost $1,811,428)     1,970,576
        Market
        Value
    Coupon Shares ($000)
Temporary Cash Investment (0.0%)      
1,2 Vanguard Market Liquidity Fund (Cost $149) 0.135% 148,701 149

 

 

Total Investments (100.0%) (Cost $1,811,577) 1,970,725
Other Assets and Liabilities-Net (0.0%)2 (151)
Net Assets (100%) 1,970,574

 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $109,000.
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 $149,000 of collateral received for securities on loan.

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

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

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

At November 30, 2011, 100% of the market value of the fund's investments was based on Level 1 inputs.

C. At November 30, 2011, the cost of investment securities for tax purposes was $1,811,577,000. Net unrealized appreciation of investment securities for tax purposes was $159,148,000, consisting of unrealized gains of $297,783,000 on securities that had risen in value since their purchase and $138,635,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Materials Index Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.0%)    
Chemicals (58.4%)    
EI du Pont de Nemours & Co. 1,133,721 54,101
Monsanto Co. 649,933 47,738
Dow Chemical Co. 1,436,077 39,794
Praxair Inc. 367,203 37,455
Air Products & Chemicals Inc. 259,206 21,708
Mosaic Co. 371,773 19,615
PPG Industries Inc. 191,368 16,792
Ecolab Inc. 281,908 16,074
CF Industries Holdings Inc. 87,233 12,195
LyondellBasell Industries NV Class A 347,467 11,352
Sigma-Aldrich Corp. 148,290 9,611
Sherwin-Williams Co. 109,763 9,531
Celanese Corp. Class A 190,192 8,842
FMC Corp. 87,039 7,304
Eastman Chemical Co. 170,549 6,757
Airgas Inc. 87,187 6,709
Nalco Holding Co. 160,524 6,220
Albemarle Corp. 106,118 5,787
International Flavors & Fragrances Inc. 98,333 5,335
Ashland Inc. 94,749 5,270
Valspar Corp. 108,100 3,987
RPM International Inc. 159,435 3,763
* WR Grace & Co. 89,221 3,718
* Rockwood Holdings Inc. 79,290 3,533
Cytec Industries Inc. 57,362 2,705
NewMarket Corp. 13,406 2,653
Cabot Corp. 79,859 2,650
Huntsman Corp. 235,069 2,569
* Solutia Inc. 148,419 2,363
Scotts Miracle-Gro Co. Class A 53,358 2,353
Sensient Technologies Corp. 57,695 2,179
Olin Corp. 97,065 1,844
* Intrepid Potash Inc. 64,053 1,483
Balchem Corp. 35,172 1,460
HB Fuller Co. 60,237 1,389
* Chemtura Corp. 117,284 1,366
Innophos Holdings Inc. 26,433 1,302
Minerals Technologies Inc. 21,892 1,270
PolyOne Corp. 113,703 1,223
* Calgon Carbon Corp. 68,807 1,024
Westlake Chemical Corp. 24,336 1,022
* OM Group Inc. 39,350 895
Koppers Holdings Inc. 24,907 823
* Kraton Performance Polymers Inc. 38,952 819
Stepan Co. 9,917 806
* Georgia Gulf Corp. 41,367 795
A Schulman Inc. 37,610 777

 

 

* Innospec Inc. 26,017 756
* LSB Industries Inc. 21,653 677
Tredegar Corp. 27,843 608
Quaker Chemical Corp. 15,321 596
* Ferro Corp. 94,388 548
Kronos Worldwide Inc. 27,968 546
Hawkins Inc. 10,572 418
* Flotek Industries Inc. 43,993 401
* TPC Group Inc. 14,608 351
American Vanguard Corp. 26,529 338
Zep Inc. 22,392 315
* Zoltek Cos. Inc. 35,346 290
* Omnova Solutions Inc. 49,058 213
* Spartech Corp. 37,279 159
    405,177
Construction Materials (1.6%)    
Vulcan Materials Co. 156,928 5,091
Martin Marietta Materials Inc. 55,599 4,351
Eagle Materials Inc. 51,483 1,192
Texas Industries Inc. 22,108 560
* Headwaters Inc. 73,440 188
* United States Lime & Minerals Inc. 2,635 145
    11,527
Containers & Packaging (7.2%)    
Ball Corp. 188,755 6,627
* Crown Holdings Inc. 183,547 5,930
Rock-Tenn Co. Class A 86,705 5,051
Temple-Inland Inc. 132,114 4,205
Aptargroup Inc. 81,062 4,117
Sonoco Products Co. 121,448 3,945
* Owens-Illinois Inc. 199,303 3,892
Bemis Co. Inc. 125,569 3,703
Sealed Air Corp. 198,499 3,498
Packaging Corp. of America 123,841 3,221
Silgan Holdings Inc. 59,718 2,325
Greif Inc. Class A 28,799 1,343
Boise Inc. 133,049 794
* Graphic Packaging Holding Co. 164,060 727
Myers Industries Inc. 31,984 392
    49,770
Metals & Mining (27.8%)    
Freeport-McMoRan Copper & Gold Inc. 1,152,176 45,626
Newmont Mining Corp. 600,674 41,374
Nucor Corp. 384,744 15,171
Alcoa Inc. 1,292,296 12,949
Cliffs Natural Resources Inc. 177,590 12,042
Allegheny Technologies Inc. 122,848 6,169
Walter Energy Inc. 75,888 5,441
Royal Gold Inc. 63,083 5,138
United States Steel Corp. 175,045 4,779
Reliance Steel & Aluminum Co. 90,919 4,465
* Allied Nevada Gold Corp. 103,019 3,697
Steel Dynamics Inc. 252,461 3,327
* Coeur d'Alene Mines Corp. 109,052 3,192
Compass Minerals International Inc. 40,095 3,073
Carpenter Technology Corp. 53,672 2,906

 

 

*,^ Molycorp Inc.   71,237 2,411
  Hecla Mining Co.   339,826 2,104
  Commercial Metals Co.   140,564 1,965
  Titanium Metals Corp.   108,053 1,684
* Stillwater Mining Co.   140,019 1,528
  Schnitzer Steel Industries Inc.   29,599 1,373
  Worthington Industries Inc.   70,570 1,241
  AK Steel Holding Corp.   134,202 1,135
  Globe Specialty Metals Inc.   73,244 1,094
  AMCOL International Corp.   30,395 1,007
* RTI International Metals Inc.   36,804 1,005
  Haynes International Inc.   14,763 885
  Kaiser Aluminum Corp.   18,830 878
^ Gold Resource Corp.   38,852 783
* Century Aluminum Co.   73,702 710
* US Gold Corp.   144,439 599
* Materion Corp.   24,022 591
* Horsehead Holding Corp.   53,729 499
* Paramount Gold and Silver Corp.   125,454 331
* AM Castle & Co.   20,812 283
  Olympic Steel Inc.   11,128 264
* General Moly Inc.   71,226 239
* Golden Minerals Co.   34,673 239
  Noranda Aluminum Holding Corp.   28,080 231
* Midway Gold Corp.   90,211 213
* Metals USA Holdings Corp.   15,609 176
        192,817
Paper & Forest Products (5.0%)      
  International Paper Co.   504,766 14,335
  MeadWestvaco Corp.   207,582 6,196
  Domtar Corp.   47,739 3,749
* AbitibiBowater Inc.   118,246 1,777
  Buckeye Technologies Inc.   47,642 1,476
  Schweitzer-Mauduit International Inc.   19,502 1,389
* Louisiana-Pacific Corp.   160,886 1,284
* Clearwater Paper Corp.   28,059 988
  Deltic Timber Corp.   12,930 828
  PH Glatfelter Co.   56,034 813
* KapStone Paper and Packaging Corp.   47,830 793
  Wausau Paper Corp.   56,304 435
* Mercer International Inc.   59,414 352
  Neenah Paper Inc.   18,492 346
        34,761
Total Common Stocks (Cost $746,056)     694,052
    Coupon    
Temporary Cash Investment (0.3%)      
1,2 Vanguard Market Liquidity Fund (Cost      
  $1,783) 0.135% 1,782,902 1,783
Total Investments (100.3%) (Cost $747,839)     695,835
Other Assets and Liabilities-Net (-0.3%)2     (2,056)
Net Assets (100%)     693,779

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $1,720,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

2 Includes $1,783,000 of collateral received for securities on loan.

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

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

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

At November 30, 2011, 100% of the market value of the fund's investments was based on Level 1 inputs.

C. At November 30, 2011, the cost of investment securities for tax purposes was $747,839,000. Net unrealized depreciation of investment securities for tax purposes was $52,004,000, consisting of unrealized gains of $61,204,000 on securities that had risen in value since their purchase and $113,208,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Telecommunication Services Index Fund

Schedule of Investments
As of November 30, 2011

      Market
      Value
    Shares ($000)
Common Stocks (99.5%)    
Diversified Telecommunication Services (74.0%)    
  Alternative Carriers (13.4%)    
* Level 3 Communications Inc. 483,811 9,971
* tw telecom inc Class A 364,953 6,857
* Cogent Communications Group Inc. 331,347 5,636
  AboveNet Inc. 89,144 5,325
* PAETEC Holding Corp. 965,381 5,184
* Premiere Global Services Inc. 580,021 4,797
* Vonage Holdings Corp. 1,618,034 4,175
* Neutral Tandem Inc. 383,316 4,144
* Iridium Communications Inc. 559,863 3,981
* Lumos Networks Corp. 227,891 3,334
* Boingo Wireless Inc. 277,568 2,359
 
  Integrated Telecommunication Services (60.6%)    
  Verizon Communications Inc. 2,460,252 92,825
  AT&T Inc. 3,156,803 91,484
  CenturyLink Inc. 489,961 18,383
  Windstream Corp. 867,735 10,205
  Frontier Communications Corp. 1,681,009 9,615
  Atlantic Tele-Network Inc. 127,416 5,275
* General Communication Inc. Class A 501,960 5,115
  Consolidated Communications Holdings Inc. 231,473 4,275
* Cincinnati Bell Inc. 1,395,908 4,104
* Cbeyond Inc. 547,336 4,056
  IDT Corp. Class B 285,957 3,718
^ Alaska Communications Systems Group Inc. 670,411 3,587
      308,405
Wireless Telecommunication Services (25.5%)    
  Wireless Telecommunication Services (25.5%)    
* American Tower Corp. Class A 313,850 18,517
* Crown Castle International Corp. 413,813 17,513
* Sprint Nextel Corp. 4,534,527 12,243
* SBA Communications Corp. Class A 229,456 9,382
* NII Holdings Inc. 336,576 7,745
* MetroPCS Communications Inc. 707,153 5,926
  Telephone & Data Systems Inc. 202,927 5,477
* Leap Wireless International Inc. 526,083 4,772
* United States Cellular Corp. 104,685 4,577
  Telephone & Data Systems Inc. (Special Common Shares) 183,368 4,509
  Shenandoah Telecommunications Co. 371,503 4,101
* NTELOS Holdings Corp. 187,651 3,961
  USA Mobility Inc. 269,867 3,784
*,^ Clearwire Corp. Class A 2,048,970 3,647
      106,154
Total Common Stocks (Cost $449,576)   414,559

 

 

      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (0.3%)      
Money Market Fund (0.3%)      
1,2 Vanguard Market Liquidity Fund (Cost      
$1,286) 0.135% 1,286,072 1,286
Total Investments (99.8%) (Cost $450,862)     415,845
Other Assets and Liabilities-Net (0.2%)2     651
Net Assets (100%)     416,496

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $705,000.
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 $791,000 of collateral received for securities on loan.

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

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

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

At November 30, 2011, 100% of the market value of the fund's investments was based on Level 1 inputs.

C. At November 30, 2011, the cost of investment securities for tax purposes was $450,862,000. Net unrealized depreciation of investment securities for tax purposes was $35,017,000, consisting of unrealized gains of $16,006,000 on securities that had risen in value since their purchase and $51,023,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Utilities Index Fund

Schedule of Investments
As of November 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.0%)    
Electric Utilities (49.5%)    
Southern Co. 1,980,955 86,984
Exelon Corp. 1,530,689 67,825
Duke Energy Corp. 3,075,086 64,116
NextEra Energy Inc. 926,803 51,382
American Electric Power Co. Inc. 1,113,924 44,200
FirstEnergy Corp. 966,051 42,960
PPL Corp. 1,334,463 40,061
Progress Energy Inc. 680,549 37,008
Entergy Corp. 408,369 28,733
Edison International 714,960 28,105
Northeast Utilities 408,634 14,143
Pinnacle West Capital Corp. 252,023 11,948
Pepco Holdings Inc. 522,954 10,344
ITC Holdings Corp. 118,562 8,764
NV Energy Inc. 545,236 8,364
Westar Energy Inc. 267,589 7,391
Great Plains Energy Inc. 313,864 6,604
Hawaiian Electric Industries Inc. 221,248 5,732
Cleco Corp. 140,869 5,091
IDACORP Inc. 114,780 4,705
Portland General Electric Co. 173,941 4,357
UIL Holdings Corp. 116,658 4,064
PNM Resources Inc. 190,172 3,634
Unisource Energy Corp. 84,807 3,128
Allete Inc. 75,724 3,018
El Paso Electric Co. 86,763 2,995
MGE Energy Inc. 53,382 2,388
Empire District Electric Co. 96,994 2,042
Otter Tail Corp. 74,935 1,625
Central Vermont Public Service Corp. 29,313 1,031
Unitil Corp. 25,280 701
    603,443
Gas Utilities (7.7%)    
ONEOK Inc. 227,126 18,888
National Fuel Gas Co. 162,475 9,415
Questar Corp. 409,764 7,908
UGI Corp. 258,215 7,736
AGL Resources Inc. 181,360 7,478
Atmos Energy Corp. 208,546 7,134
Nicor Inc. 105,201 5,904
Piedmont Natural Gas Co. Inc. 166,191 5,479
WGL Holdings Inc. 118,589 5,084
New Jersey Resources Corp. 95,838 4,534
Southwest Gas Corp. 100,591 4,067
South Jersey Industries Inc. 69,357 3,897
Northwest Natural Gas Co. 61,556 2,897
Laclede Group Inc. 49,212 1,975

 

 

Chesapeake Utilities Corp. 21,940 943
    93,339
Independent Power Producers & Energy Traders (5.3%)    
* AES Corp. 1,536,148 18,557
Constellation Energy Group Inc. 441,815 17,743
* Calpine Corp. 742,666 11,170
* NRG Energy Inc. 557,274 10,967
* GenOn Energy Inc. 1,781,098 4,844
Ormat Technologies Inc. 42,128 799
* Dynegy Inc. Class A 226,364 668
* Genie Energy Ltd. Class B 38,691 280
    65,028
Multi-Utilities (35.5%)    
Dominion Resources Inc. 1,314,744 67,867
Consolidated Edison Inc. 676,514 40,198
Public Service Enterprise Group Inc. 1,168,548 38,492
PG&E Corp. 929,089 36,086
Xcel Energy Inc. 1,119,228 29,424
Sempra Energy 525,706 27,962
DTE Energy Co. 391,187 20,596
Ameren Corp. 558,325 18,877
CenterPoint Energy Inc. 934,521 18,597
Wisconsin Energy Corp. 540,001 17,917
NiSource Inc. 648,279 14,852
SCANA Corp. 283,190 12,353
CMS Energy Corp. 584,923 12,237
OGE Energy Corp. 226,388 11,990
NSTAR 239,155 10,879
Alliant Energy Corp. 256,208 10,815
MDU Resources Group Inc. 435,841 9,357
Integrys Energy Group Inc. 180,815 9,310
TECO Energy Inc. 473,356 8,890
Vectren Corp. 188,721 5,492
Avista Corp. 133,772 3,344
NorthWestern Corp. 83,752 2,921
Black Hills Corp. 86,461 2,832
CH Energy Group Inc. 33,786 1,904
    433,192
Water Utilities (2.0%)    
American Water Works Co. Inc. 405,266 12,592
Aqua America Inc. 319,635 7,000
California Water Service Group 91,509 1,686
American States Water Co. 43,108 1,521
SJW Corp. 31,901 788
Middlesex Water Co. 36,174 669
Connecticut Water Service Inc. 20,233 587
    24,843
 
Total Investments (100.0%) (Cost $1,172,323)   1,219,845
Other Assets and Liabilities-Net (0.0%)   334
Net Assets (100%)   1,220,179
* Non-income-producing security.    

 

 

Utilities Index Fund

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

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

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

At November 30, 2011, 100% of the market value of the fund's investments was based on Level 1 inputs.

C. At November 30, 2011, the cost of investment securities for tax purposes was $1,172,323,000. Net unrealized appreciation of investment securities for tax purposes was $47,522,000, consisting of unrealized gains of $112,082,000 on securities that had risen in value since their purchase and $64,560,000 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 FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: January 20, 2012

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

  VANGUARD WORLD FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: January 20, 2012

 

  VANGUARD WORLD FUND
 
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: January 20, 2012

 

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on November 28, 2011, see file Number 33-23444,
Incorporated by Reference.