N-Q 1 morganfinal.htm VANGUARD MORGAN GROWTH FUND morganfinal.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: 2-29601

Name of Registrant: Vanguard Morgan Growth 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: September 30

Date of reporting period: June 30, 2011

Item 1: Schedule of Investments

 

Vanguard Morgan Growth Fund

Schedule of Investments
As of June 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (95.9%)1    
Consumer Discretionary (15.3%)    
Starbucks Corp. 2,831,614 111,820
* Amazon.com Inc. 468,006 95,703
Coach Inc. 1,218,189 77,879
Omnicom Group Inc. 1,265,968 60,969
Polo Ralph Lauren Corp. Class A 374,626 49,679
* ITT Educational Services Inc. 603,846 47,245
NIKE Inc. Class B 522,581 47,022
Ross Stores Inc. 583,016 46,711
* DIRECTV Class A 871,323 44,281
Walt Disney Co. 1,094,160 42,716
Bayerische Motoren Werke AG ADR 1,265,922 41,997
* LKQ Corp. 1,558,251 40,655
News Corp. Class A 2,147,534 38,011
* Lululemon Athletica Inc. 339,547 37,968
* priceline.com Inc. 71,047 36,371
* Ford Motor Co. 2,434,528 33,572
* Apollo Group Inc. Class A 723,134 31,586
TJX Cos. Inc. 534,492 28,077
LVMH Moet Hennessy Louis Vuitton SA ADR 767,986 27,728
Advance Auto Parts Inc. 410,685 24,021
Tractor Supply Co. 338,785 22,658
* BorgWarner Inc. 253,640 20,492
* Bed Bath & Beyond Inc. 335,700 19,595
* CarMax Inc. 583,345 19,291
Gentex Corp. 577,385 17,454
Nordstrom Inc. 370,070 17,371
DeVry Inc. 290,910 17,202
* Discovery Communications Inc. Class A 401,000 16,425
* O'Reilly Automotive Inc. 242,000 15,853
* Discovery Communications Inc. 432,415 15,805
Buckle Inc. 357,362 15,259
McDonald's Corp. 176,600 14,891
* Dollar Tree Inc. 218,650 14,566
Starwood Hotels & Resorts Worldwide Inc. 237,900 13,332
* Dick's Sporting Goods Inc. 324,000 12,458
* Deckers Outdoor Corp. 137,678 12,135
Scripps Networks Interactive Inc. Class A 245,600 12,005
Harley-Davidson Inc. 278,200 11,398
Williams-Sonoma Inc. 304,635 11,116
Chico's FAS Inc. 718,153 10,937
* Sirius XM Radio Inc. 4,985,212 10,918
Service Corp. International 924,415 10,797
Time Warner Cable Inc. 136,500 10,652
* Urban Outfitters Inc. 375,400 10,568
Target Corp. 225,000 10,555
CBS Corp. Class B 354,300 10,094
* Tenneco Inc. 210,858 9,293
Tiffany & Co. 116,600 9,155
* Ctrip.com International Ltd. ADR 204,896 8,827

 

 

  Wynn Resorts Ltd. 61,200 8,785
* AutoZone Inc. 26,800 7,902
* Warnaco Group Inc. 144,225 7,536
  Harman International Industries Inc. 162,840 7,421
* Fossil Inc. 61,746 7,269
* TRW Automotive Holdings Corp. 120,200 7,095
  Comcast Corp. Class A 233,100 5,907
* DISH Network Corp. Class A 150,200 4,607
  Comcast Corp. Class A Special Shares 183,634 4,449
* Liberty Global Inc. Class A 51,300 2,311
* Liberty Global Inc. 52,400 2,237
  Virgin Media Inc. 67,500 2,020
  Home Depot Inc. 55,100 1,996
  Weight Watchers International Inc. 21,000 1,585
  VF Corp. 10,300 1,118
  Autoliv Inc. 5,000 392
      1,437,743
Consumer Staples (3.7%)    
  Whole Foods Market Inc. 657,725 41,733
  Mead Johnson Nutrition Co. 582,638 39,357
  Estee Lauder Cos. Inc. Class A 354,702 37,311
  Herbalife Ltd. 507,330 29,242
  Costco Wholesale Corp. 350,895 28,507
  Philip Morris International Inc. 411,200 27,456
* Hansen Natural Corp. 296,938 24,037
  Wal-Mart Stores Inc. 437,000 23,222
  Coca-Cola Co. 266,878 17,958
  PepsiCo Inc. 189,800 13,368
  Colgate-Palmolive Co. 133,800 11,695
  Kraft Foods Inc. 308,943 10,884
  Kroger Co. 374,000 9,275
  Walgreen Co. 169,700 7,205
  Dr Pepper Snapple Group Inc. 157,600 6,608
  Coca-Cola Enterprises Inc. 223,700 6,528
  Sara Lee Corp. 297,300 5,646
  Hershey Co. 94,000 5,344
  Hormel Foods Corp. 94,800 2,826
  Kimberly-Clark Corp. 29,200 1,944
      350,146
Energy (9.3%)    
  Occidental Petroleum Corp. 1,014,512 105,550
  Exxon Mobil Corp. 1,105,182 89,940
  Schlumberger Ltd. 804,148 69,478
  Anadarko Petroleum Corp. 729,924 56,029
* Cameron International Corp. 1,058,144 53,214
  Valero Energy Corp. 2,051,432 52,455
  Diamond Offshore Drilling Inc. 624,539 43,974
  Canadian Natural Resources Ltd. 996,703 41,722
* Concho Resources Inc. 438,946 40,317
  Baker Hughes Inc. 459,718 33,357
* Petrohawk Energy Corp. 1,162,282 28,673
  Oceaneering International Inc. 705,850 28,587
  BP plc ADR 628,699 27,845
  Core Laboratories NV 153,849 17,160
* SandRidge Energy Inc. 1,480,760 15,785
* Continental Resources Inc. 220,700 14,326
*,^ InterOil Corp. 210,600 12,322

 

 

* McDermott International Inc. 554,200 10,979
  Ensco plc ADR 205,063 10,930
  Cabot Oil & Gas Corp. 164,600 10,915
* Superior Energy Services Inc. 277,460 10,305
  National Oilwell Varco Inc. 119,540 9,349
  Hess Corp. 124,000 9,270
* Alpha Natural Resources Inc. 191,310 8,693
  El Paso Corp. 421,000 8,504
  Williams Cos. Inc. 266,100 8,049
* Southwestern Energy Co. 178,780 7,666
  Pioneer Natural Resources Co. 84,400 7,560
  Peabody Energy Corp. 123,600 7,281
* Whiting Petroleum Corp. 111,700 6,357
* Tesoro Corp. 269,700 6,179
* Carrizo Oil & Gas Inc. 144,600 6,037
* Weatherford International Ltd. 290,380 5,445
  Murphy Oil Corp. 56,100 3,684
  Arch Coal Inc. 116,100 3,095
  Halliburton Co. 32,800 1,673
      872,705
Exchange-Traded Fund (0.7%)    
^,2 Vanguard Growth ETF 1,044,900 67,595
 
Financials (2.7%)    
  American Express Co. 1,529,217 79,061
  T Rowe Price Group Inc. 404,790 24,425
* CB Richard Ellis Group Inc. Class A 872,570 21,910
  Moody's Corp. 551,390 21,146
* Affiliated Managers Group Inc. 168,250 17,069
  Raymond James Financial Inc. 525,200 16,885
  Lazard Ltd. Class A 359,945 13,354
  Goldman Sachs Group Inc. 97,423 12,966
  Discover Financial Services 352,800 9,437
  Simon Property Group Inc. 72,100 8,380
  Franklin Resources Inc. 52,500 6,893
  Aflac Inc. 136,800 6,386
  Capital One Financial Corp. 117,600 6,076
  Ameriprise Financial Inc. 102,800 5,929
  TD Ameritrade Holding Corp. 239,500 4,673
  US Bancorp 115,600 2,949
  Public Storage 5,000 570
      258,109
Health Care (12.2%)    
  UnitedHealth Group Inc. 1,887,148 97,339
* Agilent Technologies Inc. 1,752,674 89,579
* Express Scripts Inc. 1,491,771 80,526
* Waters Corp. 713,189 68,281
* Amgen Inc. 981,658 57,280
  AmerisourceBergen Corp. Class A 1,223,241 50,642
  Shire plc ADR 526,096 49,564
  Cardinal Health Inc. 1,052,853 47,821
  Cooper Cos. Inc. 566,475 44,887
* Illumina Inc. 490,122 36,833
* Watson Pharmaceuticals Inc. 521,670 35,854
* Hologic Inc. 1,725,012 34,793
* Laboratory Corp. of America Holdings 320,702 31,041
* Intuitive Surgical Inc. 78,931 29,371

 

 

* Vertex Pharmaceuticals Inc. 557,065 28,962
* Celgene Corp. 473,972 28,590
* Hospira Inc. 475,145 26,922
Novo Nordisk A/S ADR 202,790 25,406
Pfizer Inc. 1,179,857 24,305
Abbott Laboratories 453,180 23,846
Perrigo Co. 197,300 17,337
Teva Pharmaceutical Industries Ltd. ADR 339,716 16,381
* ResMed Inc. 511,880 15,843
* DaVita Inc. 172,500 14,940
* Bruker Corp. 716,020 14,578
* Allscripts Healthcare Solutions Inc. 730,100 14,179
Baxter International Inc. 200,000 11,938
* Mednax Inc. 154,100 11,124
* Biogen Idec Inc. 102,150 10,922
Patterson Cos. Inc. 319,900 10,522
* ICON plc ADR 441,100 10,392
McKesson Corp. 121,700 10,180
* Medco Health Solutions Inc. 174,000 9,834
* Catalyst Health Solutions Inc. 172,563 9,632
* Covance Inc. 134,420 7,981
Warner Chilcott plc Class A 258,300 6,233
* Cerner Corp. 96,354 5,888
Allergan Inc. 70,200 5,844
* Edwards Lifesciences Corp. 61,600 5,370
Stryker Corp. 90,170 5,292
* United Therapeutics Corp. 91,640 5,049
* Alexion Pharmaceuticals Inc. 104,260 4,903
* Amylin Pharmaceuticals Inc. 317,518 4,242
Lincare Holdings Inc. 91,700 2,684
Johnson & Johnson 35,300 2,348
* Varian Medical Systems Inc. 27,200 1,905
Medtronic Inc. 38,299 1,476
* Charles River Laboratories International Inc. 7,700 313
    1,149,172
Industrials (13.3%)    
Caterpillar Inc. 1,190,464 126,737
Boeing Co. 1,084,232 80,157
General Electric Co. 3,965,397 74,787
Parker Hannifin Corp. 775,126 69,560
Honeywell International Inc. 1,087,311 64,793
* BE Aerospace Inc. 1,020,464 41,645
Precision Castparts Corp. 248,316 40,885
Dover Corp. 584,133 39,604
Cummins Inc. 373,575 38,661
Illinois Tool Works Inc. 683,944 38,636
Joy Global Inc. 403,579 38,437
AMETEK Inc. 823,428 36,972
Emerson Electric Co. 604,169 33,985
Deere & Co. 411,618 33,938
Fastenal Co. 912,180 32,829
* IHS Inc. Class A 391,350 32,646
* Navistar International Corp. 412,240 23,275
CH Robinson Worldwide Inc. 254,623 20,075
MSC Industrial Direct Co. Class A 299,416 19,854
* Hertz Global Holdings Inc. 1,229,980 19,532
* Foster Wheeler AG 591,740 17,977

 

 

Tyco International Ltd. 348,574 17,230
Cooper Industries plc 276,360 16,490
Pentair Inc. 403,980 16,305
* Alaska Air Group Inc. 230,707 15,794
* Corrections Corp. of America 718,304 15,551
Ingersoll-Rand plc 342,200 15,539
United Parcel Service Inc. Class B 211,500 15,425
Pall Corp. 256,492 14,423
* HUB Group Inc. Class A 382,162 14,392
* Swift Transportation Co. 863,230 11,697
Flowserve Corp. 106,245 11,675
Chicago Bridge & Iron Co. NV 289,630 11,267
Waste Connections Inc. 334,700 10,620
Expeditors International of Washington Inc. 207,180 10,606
JB Hunt Transport Services Inc. 223,445 10,522
^ Progressive Waste Solutions Ltd. 417,455 10,395
* WESCO International Inc. 154,900 8,379
UTi Worldwide Inc. 419,681 8,264
* Stericycle Inc. 92,245 8,221
Landstar System Inc. 176,745 8,215
PACCAR Inc. 155,100 7,924
Rockwell Collins Inc. 117,800 7,267
Rockwell Automation Inc. 83,700 7,262
CSX Corp. 271,800 7,127
* Sensata Technologies Holding NV 183,300 6,901
Southwest Airlines Co. 545,300 6,227
Textron Inc. 259,300 6,122
* AGCO Corp. 116,800 5,765
Donaldson Co. Inc. 84,463 5,125
* Quanta Services Inc. 245,860 4,966
* Delta Air Lines Inc. 372,800 3,419
Union Pacific Corp. 29,600 3,090
Pitney Bowes Inc. 84,700 1,947
Robert Half International Inc. 55,000 1,487
    1,250,624
Information Technology (33.6%)    
* Apple Inc. 914,402 306,937
International Business Machines Corp. 1,787,053 306,569
Oracle Corp. 6,749,234 222,117
* EMC Corp. 7,126,721 196,341
Altera Corp. 3,556,937 164,864
Microsoft Corp. 5,939,395 154,424
Cisco Systems Inc. 9,295,508 145,103
* NetApp Inc. 1,995,787 105,338
* Autodesk Inc. 1,679,367 64,824
* VMware Inc. Class A 632,496 63,395
* Cognizant Technology Solutions Corp. Class A 789,750 57,920
* QLogic Corp. 3,575,487 56,922
Xilinx Inc. 1,558,306 56,831
* Baidu Inc. ADR 399,763 56,019
* Google Inc. Class A 110,232 55,819
* Dell Inc. 3,271,950 54,543
* Alliance Data Systems Corp. 579,755 54,538
Analog Devices Inc. 1,389,822 54,398
* Check Point Software Technologies Ltd. 893,793 50,812
Qualcomm Inc. 892,729 50,698
Avago Technologies Ltd. 1,291,762 49,087

 

 

* Citrix Systems Inc. 608,976 48,718
* IAC/InterActiveCorp 1,197,447 45,707
* Salesforce.com Inc. 260,307 38,781
* Red Hat Inc. 834,824 38,318
  Intersil Corp. Class A 2,951,236 37,923
* BMC Software Inc. 683,363 37,380
* Juniper Networks Inc. 1,132,196 35,664
* VeriFone Systems Inc. 758,981 33,661
* eBay Inc. 1,025,959 33,108
* Rovi Corp. 529,960 30,399
* Adobe Systems Inc. 942,166 29,631
  Amphenol Corp. Class A 474,000 25,591
* Emulex Corp. 2,760,737 23,742
* Teradata Corp. 372,200 22,406
* Atmel Corp. 1,502,356 21,138
* Riverbed Technology Inc. 489,418 19,376
  Fidelity National Information Services Inc. 594,670 18,310
  Mastercard Inc. Class A 58,490 17,625
* F5 Networks Inc. 154,415 17,024
* Lam Research Corp. 324,370 14,363
* Trimble Navigation Ltd. 347,265 13,766
* Intuit Inc. 262,900 13,634
  Accenture plc Class A 221,000 13,353
* Polycom Inc. 190,420 12,244
  ADTRAN Inc. 307,800 11,915
* Alcatel-Lucent/France ADR 1,943,988 11,217
* Nuance Communications Inc. 516,040 11,079
  Hewlett-Packard Co. 302,500 11,011
* MEMC Electronic Materials Inc. 1,283,078 10,945
* Ariba Inc. 302,189 10,416
* TriQuint Semiconductor Inc. 993,800 10,127
  Jabil Circuit Inc. 483,963 9,776
* Microsemi Corp. 454,500 9,317
  FLIR Systems Inc. 271,900 9,166
* Fairchild Semiconductor International Inc. Class A 517,672 8,650
* Skyworks Solutions Inc. 371,700 8,542
  Broadcom Corp. Class A 250,458 8,425
* Fiserv Inc. 131,300 8,223
  Western Union Co. 398,700 7,986
* ON Semiconductor Corp. 720,322 7,542
* GT Solar International Inc. 458,480 7,427
* Motorola Solutions Inc. 152,057 7,001
* RF Micro Devices Inc. 1,054,775 6,455
* Motorola Mobility Holdings Inc. 251,937 5,553
* Novellus Systems Inc. 137,400 4,966
*,^ Youku.com Inc. ADR 69,479 2,387
* Flextronics International Ltd. 314,072 2,016
* MICROS Systems Inc. 37,258 1,852
  Intel Corp. 71,200 1,578
*,^ Longtop Financial Technologies Ltd. ADR 255,648 1,210
* Electronic Arts Inc. 46,300 1,093
  Visa Inc. Class A 11,400 961
* Advanced Micro Devices Inc. 121,400 849
  Texas Instruments Inc. 25,200 827
      3,167,873
Materials (3.8%)    
  Cliffs Natural Resources Inc. 409,960 37,901

 

 

  EI du Pont de Nemours & Co.     694,727 37,550
  Rio Tinto plc ADR     479,256 34,660
  Sherwin-Williams Co.     411,390 34,503
  Teck Resources Ltd. Class B     622,038 31,562
  Walter Energy Inc.     242,749 28,110
  Freeport-McMoRan Copper & Gold Inc.     492,078 26,031
  Nucor Corp.     579,531 23,888
* WR Grace & Co.     354,325 16,168
  Praxair Inc.     143,930 15,601
* Crown Holdings Inc.     347,400 13,486
  Albemarle Corp.     178,240 12,334
  Allegheny Technologies Inc.     158,642 10,069
  FMC Corp.     107,474 9,245
  PPG Industries Inc.     81,700 7,418
  Alcoa Inc.     417,900 6,628
  International Paper Co.     212,200 6,328
  Ball Corp.     66,800 2,569
  Lubrizol Corp.     11,600 1,557
  Monsanto Co.     7,400 537
          356,145
Telecommunication Services (1.2%)        
* American Tower Corp. Class A     876,853 45,886
  Vodafone Group plc ADR     1,413,375 37,765
* NII Holdings Inc.     317,130 13,440
* Crown Castle International Corp.     279,700 11,409
* MetroPCS Communications Inc.     351,800 6,054
          114,554
Utilities (0.1%)        
* AES Corp.     838,370 10,681
 
Total Common Stocks (Cost $6,736,846)       9,035,347
          Market
          Value
    Coupon   Shares ($000)
Temporary Cash Investments (4.9%)1        
Money Market Fund (2.5%)        
3,4 Vanguard Market Liquidity Fund 0.140%   230,723,305 230,723
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
Repurchase Agreement (2.3%)        
  Banc of America Securities, LLC        
  (Dated 6/30/11, Repurchase Value        
  213,400,000, collateralized by Federal        
  Home Loan Mortgage Corp. 3.001%-        
  3.301%, 5/1/41-7/1/41, and Federal        
  National Mortgage Assn. 3.031%-3.845%,        
  6/1/40-4/1/41) 0.050% 7/1/11 213,400 213,400
 
U.S. Government and Agency Obligations (0.1%)        
5,6 Federal Home Loan Bank Discount Notes 0.110% 7/15/11 100 100
5,6 Freddie Mac Discount Notes 0.090% 7/5/11 100 100
5,6 Freddie Mac Discount Notes 0.110% 8/10/11 10,000 9,999
5,6 Freddie Mac Discount Notes 0.090% 8/22/11 1,050 1,050

 

 

Morgan Growth Fund

5,6 Freddie Mac Discount Notes 0.070% 8/24/11 2,000 2,000
        13,249
Total Temporary Cash Investments (Cost $457,372)       457,372
Total Investments (100.8%) (Cost $7,194,218)       9,492,719
Other Assets and Liabilities-Net (-0.8%)3       (76,036)
Net Assets (100%)       9,416,683

 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $31,203,000.
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 97.2% and 3.6%, respectively, of net assets.
2 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
3 Includes $34,641,000 of collateral received for securities on loan.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
5 Securities with a value of $10,799,000 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.
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).

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

 

Morgan Growth Fund

to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 9,034,137 — 1,210
Temporary Cash Investments 230,723 226,649 —
Futures Contracts—Assets1 1,422 — —
Futures Contracts—Liabilities1 (222) — —
Total 9,266,060 226,649 1,210
1 Represents variation margin on the last day of the reporting period.    

 

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended June 30, 2011:

  Investments in
  Common Stocks
Amount valued based on Level 3 Inputs ($000)
Balance as of September 30, 2010 —
Transfers into Level 3 4,839
Change in Unrealized Appreciation (Depreciation) (3,629)
Balance as of June 30, 2011 1,210

 

D. 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).

 

Morgan Growth Fund

At June 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)
S&P 500 Index September 2011 347 114,120 3,069
E-mini S&P 500 Index September 2011 29 1,907 20

 

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

E. At June 30, 2011, the cost of investment securities for tax purposes was $7,194,218,000. Net unrealized appreciation of investment securities for tax purposes was $2,298,501,000, consisting of unrealized gains of $2,502,078,000 on securities that had risen in value since their purchase and $203,577,000 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 MORGAN GROWTH FUND
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: August 18, 2011

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 MORGAN GROWTH FUND
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: August 18, 2011

  VANGUARD MORGAN GROWTH FUND
 
By:  /s/ THOMAS J. HIGGINS* 
  THOMAS J. HIGGINS 
  CHIEF FINANCIAL OFFICER 
 
Date: August 18, 2011

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683, Incorporated by Reference.