N-Q 1 quantitativefinal.htm VANGUARD QUANTITATIVE FUNDS

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: 811-4526

Name of Registrant: Vanguard Quantitative Funds

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

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

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


Date of fiscal year end: September 30

Date of reporting period: June 30, 2008

Item 1: Schedule of Investments

Vanguard Growth and Income Fund

Schedule of Investments

As of June 30, 2008

 

 

 

 

Shares

Market

Value

($000)

Common Stocks (99.0%)

Consumer Discretionary (7.0%)

 

Time Warner, Inc.

7,150,200

105,823

 

The Walt Disney Co.

3,173,585

99,016

 

Best Buy Co., Inc.

1,202,900

47,635

 

NIKE, Inc. Class B

765,000

45,602

*

Big Lots Inc.

1,407,600

43,974

*

GameStop Corp. Class A

753,300

30,433

 

The Gap, Inc.

1,591,400

26,529

 

Tiffany & Co.

395,200

16,104

 

Omnicom Group Inc.

260,200

11,678

 

Sherwin-Williams Co.

224,800

10,325

*

The Goodyear Tire & Rubber Co.

525,700

9,373

 

Hasbro, Inc.

178,200

6,365

 

Wyndham Worldwide Corp.

278,400

4,986

 

457,843

Consumer Staples (10.8%)

 

The Procter & Gamble Co.

2,649,600

161,122

 

Wal-Mart Stores, Inc.

2,685,200

150,908

 

Sysco Corp.

3,761,100

103,468

 

The Pepsi Bottling Group, Inc.

2,528,600

70,599

 

Altria Group, Inc.

3,168,600

65,146

 

Philip Morris International Inc.

805,500

39,784

 

Coca-Cola Enterprises, Inc.

2,047,400

35,420

 

Archer-Daniels-Midland Co.

818,900

27,638

 

The Coca-Cola Co.

367,400

19,098

 

Wm. Wrigley Jr. Co.

162,500

12,639

 

PepsiCo, Inc.

133,700

8,502

 

Walgreen Co.

233,200

7,581

 

701,905

Energy (16.5%)

 

ExxonMobil Corp.

4,007,136

353,149

 

ConocoPhillips Co.

2,061,419

194,577

*

National Oilwell Varco Inc.

1,726,400

153,166

 

Anadarko Petroleum Corp.

1,453,500

108,780

 

Williams Cos., Inc.

2,673,200

107,757

*

Transocean, Inc.

530,800

80,889

 

Chevron Corp.

781,200

77,440

 

1,075,758

Financials (13.2%)

 

Bank of America Corp.

4,281,699

102,204

 

American Express Co.

2,279,800

85,880

 

ProLogis REIT

1,467,800

79,775

 

Prudential Financial, Inc.

1,232,300

73,618

 

The Chubb Corp.

1,445,500

70,844

 

Northern Trust Corp.

979,500

67,164

 

The Goldman Sachs Group, Inc.

367,300

64,241

 

AFLAC Inc.

725,800

45,580

 

Wachovia Corp.

2,542,150

39,479

 

Charles Schwab Corp.

1,869,000

38,389

 

State Street Corp.

578,600

37,025

 

MetLife, Inc.

699,300

36,902

 

Cincinnati Financial Corp.

1,111,208

28,225

 

Fifth Third Bancorp

2,432,500

24,763

 

NYSE Euronext

324,200

16,424

*

IntercontinentalExchange Inc.

118,400

13,497

 

Morgan Stanley

273,300

9,858

 

BB&T Corp.

429,200

9,773

 

JPMorgan Chase & Co.

217,700

7,469

 

Wells Fargo & Co.

313,100

7,436

 

American International Group, Inc.

198,700

5,258

 

863,804

Health Care (11.2%)

 

Bristol-Myers Squibb Co.

5,337,600

109,581

*

Biogen Idec Inc.

1,554,600

86,887

 

Merck & Co., Inc.

2,115,300

79,726

 

Aetna Inc.

1,860,800

75,418

 

Pfizer Inc.

4,167,827

72,812

*

Express Scripts Inc.

1,123,200

70,447

 

Stryker Corp.

1,083,800

68,149

 

CIGNA Corp.

1,443,800

51,096

 

Eli Lilly & Co.

980,800

45,274

*

Varian Medical Systems, Inc.

600,400

31,131

 

Medtronic, Inc.

458,500

23,727

*

Thermo Fisher Scientific, Inc.

156,400

8,716

*

St. Jude Medical, Inc.

211,400

8,642

 

731,606

Industrials (11.5%)

 

General Electric Co.

8,624,700

230,193

 

The Boeing Co.

1,636,600

107,557

 

Ingersoll-Rand Co.

1,940,500

72,633

 

CSX Corp.

984,000

61,805

 

Fluor Corp.

297,800

55,415

 

Northrop Grumman Corp.

809,000

54,122

*

Allied Waste Industries, Inc.

3,231,500

40,781

 

Precision Castparts Corp.

415,700

40,061

*

Jacobs Engineering Group Inc.

387,500

31,271

 

L-3 Communications Holdings, Inc.

189,600

17,229

 

The Manitowoc Co., Inc.

457,300

14,876

 

Deere & Co.

176,400

12,724

 

Illinois Tool Works, Inc.

169,600

8,058

 

Parker Hannifin Corp.

52,800

3,766

 

 

 

Goodrich Corp.

56,600

2,686

 

753,177

Information Technology (15.9%)

 

Microsoft Corp.

6,175,700

169,893

*

Apple Inc.

856,900

143,479

 

Hewlett-Packard Co.

3,105,400

137,290

*

Oracle Corp.

4,227,700

88,782

*

Computer Sciences Corp.

1,822,600

85,371

*

Google Inc.

152,640

80,353

 

Texas Instruments, Inc.

2,325,400

65,483

*

Juniper Networks, Inc.

2,763,800

61,301

 

International Business Machines Corp.

512,900

60,794

 

Intel Corp.

2,766,100

59,416

*

Autodesk, Inc.

745,000

25,188

 

Corning, Inc.

865,400

19,947

*

Agilent Technologies, Inc.

548,200

19,483

 

Jabil Circuit, Inc.

614,800

10,089

*

Cisco Systems, Inc.

362,200

8,425

 

1,035,294

Materials (5.4%)

 

Monsanto Co.

989,000

125,049

 

Freeport-McMoRan Copper & Gold, Inc. Class B

1,022,096

119,780

 

E.I. du Pont de Nemours & Co.

894,600

38,369

 

Nucor Corp.

427,500

31,922

 

Dow Chemical Co.

723,400

25,254

 

Alcoa Inc.

409,300

14,579

 

354,953

Telecommunication Services (2.9%)

 

AT&T Inc.

3,345,300

112,703

 

CenturyTel, Inc.

2,084,100

74,173

 

Windstream Corp.

296,700

3,662

 

190,538

Utilities (4.6%)

 

Public Service Enterprise Group, Inc.

3,006,100

138,070

 

Duke Energy Corp.

5,479,800

95,239

 

American Electric Power Co., Inc.

1,125,300

45,271

 

Consolidated Edison Inc.

355,200

13,885

 

DTE Energy Co.

197,300

8,373

 

300,838

 

 

Total Common Stocks
(Cost $6,540,929)

 

6,465,716

Temporary Cash Investments (1.2%)

Money Market Fund (1.1%)

1

Vanguard Market Liquidity Fund, 2.405%

72,702,275

72,702

 

 

 

 

 

Face
Amount
($000)

Market
Value•
($000)

U.S. Government Obligation (0.1%)

2

U.S. Treasury Bill, 1.889%, 9/18/08

3,900

3,885

Total Temporary Cash Investments
(Cost $76,586)

 

76,587

Total Investments (100.2%)
(Cost $6,617,515)

 

6,542,303

Other Assets and Liabilities (-0.2%)

(15,267)

Net Assets (100%)

6,527,036

 

 

*

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.

2

Securities with a value of $3,885,000 have been segregated as initial margin for open futures contracts.

 

REIT—Real Estate Investment Trust.

 

 

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

 

At June 30, 2008, the cost of investment securities for tax purposes was $6,617,515,000. Net unrealized depreciation of investment securities for tax purposes was $75,212,000, consisting of unrealized gains of $654,100,000 on securities that had risen in value since their purchase and $729,312,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Futures Contracts: The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.1% and 0.1%, respectively, of net assets. Futures contracts are valued at their quoted daily settlement prices.

 

At June 30, 2008, the aggregate settlement value of open futures contracts expiring in September 2008 and the related unrealized appreciation (depreciation) were:

 

 

 

($000)

Futures Contracts

Number of
Long (Short)
Contracts

Aggregate
Settlement
Value

Unrealized
Appreciation
(Depreciation)

S&P 500 Index

207

66,297

(3,828)

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

 

 

Vanguard Structured Broad Market Fund

Schedule of Investments

As of June 30, 2008

 

 

 

Shares

Market
Value
($000

Common Stocks (99.7%)

Consumer Discretionary (8.7%)

 

McDonald's Corp.

28,831

1,621

 

The Walt Disney Co.

48,990

1,528

 

Time Warner, Inc.

94,990

1,406

 

Home Depot, Inc.

47,420

1,111

 

Target Corp.

21,190

985

 

Lowe's Cos., Inc.

44,470

923

 

News Corp., Class A

58,990

887

 

Omnicom Group Inc.

19,760

887

 

Best Buy Co., Inc.

20,190

799

 

Comcast Corp. Class A

40,165

762

 

CBS Corp.

37,655

734

*

DISH Network Corp.

24,250

710

*

AutoZone Inc.

5,800

702

 

The Gap, Inc.

40,800

680

 

NIKE, Inc. Class B

11,220

669

*

Hanesbrands Inc.

23,012

625

 

Burger King Holdings Inc.

22,900

613

 

Darden Restaurants Inc.

19,000

607

*

NVR, Inc.

1,200

600

*

Big Lots Inc.

19,100

597

*

Viacom Inc. Class B

18,395

562

*

Expedia, Inc.

30,400

559

 

Autoliv, Inc.

11,100

517

 

Carnival Corp.

15,100

498

 

VF Corp.

6,900

491

*

Aeropostale, Inc.

14,350

450

*

Dollar Tree, Inc.

11,800

386

*

Ford Motor Co.

71,462

344

 

DeVry, Inc.

6,000

322

*

Valassis Communications, Inc.

24,900

312

 

Royal Caribbean Cruises, Ltd.

13,600

306

*

The Goodyear Tire & Rubber Co.

17,000

303

*

thinkorswim Group, Inc.

42,100

297

*

Jack in the Box Inc.

13,100

294

 

Service Corp. International

26,400

260

 

Black & Decker Corp.

4,200

241

 

Clear Channel Communications, Inc.

6,000

211

 

Ross Stores, Inc.

5,800

206

*

Amazon.com, Inc.

2,553

187

*

Quiksilver, Inc.

18,400

181

*

Lear Corp.

11,900

169

*,^

Jos. A. Bank Clothiers, Inc.

6,158

165

 

UniFirst Corp.

3,500

156

 

RadioShack Corp.

11,200

137

 

Yum! Brands, Inc.

3,400

119

 

Regis Corp.

4,500

119

*

DIRECTV Group, Inc.

3,670

95

*

Perry Ellis International Corp.

2,400

51

 

Advance Auto Parts, Inc.

1,300

50

 

The Stanley Works

1,100

49

*

GameStop Corp. Class A

900

36

 

American Greetings Corp. Class A

2,300

28

*

Russ Berrie and Co., Inc.

2,500

20

 

Dover Downs Gaming & Entertainment, Inc.

2,800

18

*

Lin TV Corp.

2,900

17

 

CBRL Group, Inc.

200

5

 

25,607

Consumer Staples (9.4%)

 

The Procter & Gamble Co.

68,620

4,173

 

Wal-Mart Stores, Inc.

51,065

2,870

 

Philip Morris International Inc.

49,950

2,467

 

The Coca-Cola Co.

41,790

2,172

 

PepsiCo, Inc.

27,730

1,763

 

Anheuser-Busch Cos., Inc.

19,490

1,211

 

Altria Group, Inc.

58,050

1,194

 

Walgreen Co.

26,630

866

 

CVS/Caremark Corp.

21,136

836

 

Bunge Ltd.

7,600

819

 

Archer-Daniels-Midland Co.

22,300

753

 

Molson Coors Brewing Co. Class B

13,800

750

 

SuperValu Inc.

22,200

686

 

Kimberly-Clark Corp.

10,870

650

*

Dr. Pepper Snapple Group, Inc.

29,700

623

 

General Mills, Inc.

9,300

565

 

Kraft Foods Inc.

19,694

560

 

Reynolds American Inc.

11,940

557

*

NBTY, Inc.

16,200

519

 

 

 

 

 

The Kroger Co.

17,500

505

 

Herbalife Ltd.

12,700

492

 

Nash-Finch Co.

12,589

431

*

Fresh Del Monte Produce Inc.

18,000

424

 

Colgate-Palmolive Co.

6,030

417

 

Costco Wholesale Corp.

4,870

342

*

Ralcorp Holdings, Inc.

5,900

292

 

ConAgra Foods, Inc.

13,500

260

 

Sysco Corp.

7,900

217

 

Universal Corp. (VA)

1,400

63

 

27,477

Energy (15.2%)

 

ExxonMobil Corp.

113,720

10,022

 

Chevron Corp.

46,165

4,576

 

ConocoPhillips Co.

35,400

3,341

 

Schlumberger Ltd.

21,600

2,320

 

Occidental Petroleum Corp.

20,440

1,837

 

Chesapeake Energy Corp.

20,500

1,352

 

Apache Corp.

9,140

1,270

 

Williams Cos., Inc.

27,100

1,092

 

Hess Corp.

8,200

1,035

 

Devon Energy Corp.

8,513

1,023

 

Murphy Oil Corp.

10,400

1,020

 

Noble Corp.

15,600

1,013

*

National Oilwell Varco Inc.

11,400

1,011

 

Noble Energy, Inc.

9,900

996

 

Anadarko Petroleum Corp.

12,940

968

 

EOG Resources, Inc.

7,200

945

 

ENSCO International, Inc.

11,130

899

*

Pride International, Inc.

17,500

828

*

Denbury Resources, Inc.

21,700

792

 

Newfield Exploration Co.

11,800

770

*

Whiting Petroleum Corp.

7,100

753

*

Plains Exploration & Production Co.

10,300

752

*

Mariner Energy Inc.

18,700

691

*

Transocean, Inc.

4,360

664

*

Unit Corp.

7,700

639

 

Halliburton Co.

11,970

635

 

Marathon Oil Corp.

8,140

422

 

XTO Energy, Inc.

5,500

377

 

Frontline Ltd.

5,000

349

*

Gulfmark Offshore, Inc.

5,700

332

*

Swift Energy Co.

4,900

324

*

Stone Energy Corp.

3,900

257

 

Spectra Energy Corp.

8,100

233

 

Baker Hughes, Inc.

2,560

224

 

W&T Offshore, Inc.

3,300

193

 

Valero Energy Corp.

3,692

152

*

McMoRan Exploration Co.

5,400

149

 

Pioneer Natural Resources Co.

1,500

117

 

St. Mary Land & Exploration Co.

1,200

78

*

Superior Energy Services, Inc.

1,100

61

 

Berry Petroleum Class A

800

47

 

44,559

Financials (14.2%)

 

JPMorgan Chase & Co.

65,836

2,259

 

Wells Fargo & Co.

81,110

1,926

 

Bank of America Corp.

78,882

1,883

 

The Goldman Sachs Group, Inc.

9,230

1,614

 

Citigroup, Inc.

93,551

1,568

 

U.S. Bancorp

46,650

1,301

 

Bank of New York Mellon Corp.

31,491

1,191

 

Morgan Stanley

31,050

1,120

 

ACE Ltd.

17,500

964

 

American International Group, Inc.

35,800

947

 

The Chubb Corp.

19,270

944

 

Northern Trust Corp.

13,100

898

 

American Express Co.

22,520

848

 

The Travelers Cos., Inc.

19,240

835

 

State Street Corp.

12,700

813

 

BB&T Corp.

33,380

760

 

MetLife, Inc.

13,900

734

 

Unum Group

35,000

716

 

The Hartford Financial Services Group Inc.

10,970

708

 

Discover Financial Services

53,000

698

 

Charles Schwab Corp.

33,600

690

*

TD Ameritrade Holding Corp.

37,100

671

 

Ameriprise Financial, Inc.

15,700

639

 

Wachovia Corp.

40,616

631

 

Axis Capital Holdings Ltd.

20,700

617

 

PartnerRe Ltd.

8,800

608

 

BOK Financial Corp.

11,100

593

 

Bank of Hawaii Corp.

12,300

588

 

Cullen/Frost Bankers, Inc.

11,500

573

 

ProLogis REIT

10,100

549

 

Invesco, Ltd.

21,300

511

 

 

 

 

 

Capital One Financial Corp.

13,060

496

 

Odyssey Re Holdings Corp.

13,100

465

 

HCP, Inc. REIT

14,200

452

*

Nasdaq Stock Market Inc.

15,756

418

 

The Allstate Corp.

9,058

413

 

WSFS Financial Corp.

9,000

401

 

Pacific Capital Bancorp

25,580

353

 

Merrill Lynch & Co., Inc.

10,940

347

 

Taubman Co. REIT

7,000

341

 

Highwood Properties, Inc. REIT

10,629

334

 

Associated Banc-Corp.

17,300

334

 

Home Properties, Inc. REIT

6,800

327

 

Endurance Specialty Holdings Ltd.

10,600

326

 

Douglas Emmett, Inc. REIT

14,700

323

 

Aspen Insurance Holdings Ltd.

13,400

317

 

Hospitality Properties Trust REIT

12,700

311

 

Senior Housing Properties Trust REIT

15,600

305

 

National Retail Properties REIT

14,500

303

 

Mid-America Apartment Communities, Inc. REIT

5,900

301

 

Washington REIT

9,900

298

 

The St. Joe Co.

8,600

295

 

LTC Properties, Inc. REIT

11,300

289

 

AFLAC Inc.

4,540

285

 

Saul Centers, Inc. REIT

6,000

282

 

Prudential Financial, Inc.

4,240

253

*

Knight Capital Group, Inc. Class A

13,700

246

*

Crawford & Co. Class B

30,337

242

 

RenaissanceRe Holdings Ltd.

5,300

237

 

Plum Creek Timber Co. Inc. REIT

5,300

226

*

Arch Capital Group Ltd.

2,900

192

 

CME Group, Inc.

500

192

 

Nationwide Health Properties, Inc. REIT

5,500

173

 

Camden Property Trust REIT

3,800

168

 

Cash America International Inc.

5,100

158

 

Tanger Factory Outlet Centers, Inc. REIT

4,400

158

 

Fannie Mae

7,790

152

 

First Industrial Realty Trust REIT

5,300

146

 

First BanCorp Puerto Rico

22,400

142

 

Allied Capital Corp.

9,300

129

 

City Bank Lynnwood (WA)

13,900

120

 

Simon Property Group, Inc. REIT

1,296

117

 

PNC Financial Services Group

2,040

116

 

Associated Estates Realty Corp. REIT

9,500

102

 

Loews Corp.

1,910

90

 

New York Community Bancorp, Inc.

4,900

87

 

SunTrust Banks, Inc.

1,790

65

 

Host Hotels & Resorts Inc. REIT

4,700

64

 

International Bancshares Corp.

3,000

64

*

CB Richard Ellis Group, Inc.

3,100

60

 

FirstMerit Corp.

3,100

51

 

Popular, Inc.

7,100

47

 

EastGroup Properties, Inc. REIT

1,000

43

^

Sierra Bancorp

2,000

33

 

Oriental Financial Group Inc.

2,100

30

 

American Physicians Capital, Inc.

500

24

 

Commerce Bancshares, Inc.

600

24

 

S & T Bancorp, Inc.

700

20

 

Franklin Resources Corp.

110

10

 

41,694

Health Care (11.8%)

 

Johnson & Johnson

63,507

4,086

 

Pfizer Inc.

121,935

2,130

 

Merck & Co., Inc.

49,610

1,870

 

Abbott Laboratories

25,700

1,361

 

Baxter International, Inc.

17,760

1,136

 

Eli Lilly & Co.

24,320

1,123

*

Amgen, Inc.

23,015

1,085

*

Genentech, Inc.

13,715

1,041

 

Wyeth

20,340

976

 

 

 

 

*

Gilead Sciences, Inc.

17,880

947

 

Cardinal Health, Inc.

17,810

919

 

Medtronic, Inc.

16,730

866

*

Express Scripts Inc.

13,700

859

*

St. Jude Medical, Inc.

20,300

830

*

Medco Health Solutions, Inc.

16,285

769

*

Thermo Fisher Scientific, Inc.

13,200

736

*

Laboratory Corp. of America Holdings

9,600

668

 

Aetna Inc.

16,380

664

 

CIGNA Corp.

17,850

632

*

Forest Laboratories, Inc.

17,600

611

*

DaVita, Inc.

11,300

600

*

Warner Chilcott Ltd.

35,000

593

*

Biogen Idec Inc.

10,600

592

*

Isis Pharmaceuticals, Inc.

41,630

567

*

Watson Pharmaceuticals, Inc.

20,700

562

 

AmerisourceBergen Corp.

13,900

556

*

CONMED Corp.

20,700

550

 

Perrigo Co.

16,800

534

*

Myriad Genetics, Inc.

11,100

505

 

Bristol-Myers Squibb Co.

24,430

502

*

Cynosure Inc.

23,100

458

*

Alnylam Pharmaceuticals Inc.

16,400

438

*

OSI Pharmaceuticals, Inc.

10,200

422

 

Covidien Ltd.

8,500

407

*

WellPoint Inc.

8,350

398

 

McKesson Corp.

7,100

397

 

UnitedHealth Group Inc.

14,875

391

 

Becton, Dickinson & Co.

4,420

359

*

AMERIGROUP Corp.

16,400

341

 

Schering-Plough Corp.

16,210

319

*

Onyx Pharmaceuticals, Inc.

7,500

267

*

Celgene Corp.

3,600

230

*

Emergent BioSolutions Inc.

21,000

209

*

Lincare Holdings, Inc.

6,000

170

 

Universal Health Services Class B

1,600

101

*

Endo Pharmaceuticals Holdings, Inc.

4,100

99

 

Ensign Group Inc.

8,500

98

*

Kindred Healthcare, Inc.

3,300

95

*

Invitrogen Corp.

2,100

82

 

Stryker Corp.

1,200

75

 

Owens & Minor, Inc. Holding Co.

1,100

50

*

Pediatrix Medical Group, Inc.

991

49

*

Enzon Pharmaceuticals, Inc.

5,800

41

*

MedCath Corp.

1,900

34

*

Hospira, Inc.

800

32

*

eResearch Technology, Inc.

1,200

21

*

Bio-Rad Laboratories, Inc. Class A

200

16

 

34,469

Industrials (12.0%)

 

General Electric Co.

194,980

5,204

 

The Boeing Co.

20,060

1,318

 

Caterpillar, Inc.

16,776

1,238

 

CSX Corp.

17,537

1,102

 

Honeywell International Inc.

21,424

1,077

 

Union Pacific Corp.

13,900

1,049

 

Waste Management, Inc.

25,900

977

 

Fluor Corp.

5,200

968

 

Lockheed Martin Corp.

9,750

962

 

United Technologies Corp.

15,040

928

 

United Parcel Service, Inc.

14,880

915

 

Cummins Inc.

13,320

873

 

Deere & Co.

12,000

866

*

First Solar, Inc.

3,100

846

 

L-3 Communications Holdings, Inc.

9,000

818

 

Parker Hannifin Corp.

11,400

813

 

Robbins & Myers, Inc.

16,200

808

 

Raytheon Co.

14,000

788

 

Ingersoll-Rand Co.

19,100

715

 

Textron, Inc.

14,488

694

 

Ryder System, Inc.

10,000

689

 

3M Co.

9,830

684

*

Allied Waste Industries, Inc.

53,920

680

 

Burlington Northern Santa Fe Corp.

6,770

676

 

The Manitowoc Co., Inc.

19,800

644

 

Cooper Industries, Inc. Class A

15,400

608

*

AGCO Corp.

11,400

598

 

Manpower Inc.

10,102

588

*

EMCOR Group, Inc.

19,600

559

 

 

 

 

*

Terex Corp.

10,800

555

*

American Reprographics Co.

32,900

548

 

GATX Corp.

12,320

546

*

Alliant Techsystems, Inc.

4,800

488

 

Emerson Electric Co.

9,540

472

 

Genco Shipping and Trading Ltd.

6,400

417

*

TBS International Ltd.

10,400

416

 

SPX Corp.

3,000

395

 

General Dynamics Corp.

4,250

358

*

United Rentals, Inc.

14,900

292

 

Flowserve Corp.

1,600

219

 

FedEx Corp.

2,544

200

*

Perini Corp.

5,400

178

*

GrafTech International Ltd.

6,500

174

 

Northrop Grumman Corp.

2,530

169

 

Arkansas Best Corp.

4,500

165

 

Illinois Tool Works, Inc.

3,380

161

*

RSC Holdings Inc.

15,900

147

 

Tyco International, Ltd.

2,450

98

*

Gardner Denver Inc.

1,700

97

 

Pentair, Inc.

2,100

74

 

Danaher Corp.

900

70

 

Precision Castparts Corp.

600

58

 

Trinity Industries, Inc.

756

26

 

Hubbell Inc. Class B

600

24

 

Pacer International, Inc.

800

17

 

Mueller Industries Inc.

500

16

*

First Advantage Corp. Class A

900

14

 

35,079

Information Technology (16.4%)

 

Microsoft Corp.

178,297

4,905

 

International Business Machines Corp.

31,142

3,691

*

Apple Inc.

16,820

2,816

 

Intel Corp.

119,490

2,567

*

Cisco Systems, Inc.

108,650

2,527

 

Hewlett-Packard Co.

54,399

2,405

*

Google Inc.

4,330

2,279

*

Oracle Corp.

95,048

1,996

 

QUALCOMM Inc.

37,820

1,678

*

Dell Inc.

51,080

1,118

 

Texas Instruments, Inc.

35,470

999

 

MasterCard, Inc. Class A

3,707

984

 

Corning, Inc.

42,170

972

 

Western Union Co.

38,600

954

*

Symantec Corp.

48,600

940

 

Tyco Electronics Ltd.

26,150

937

*

Yahoo! Inc.

42,470

877

*

EMC Corp.

58,330

857

*

BMC Software, Inc.

21,700

781

 

Analog Devices, Inc.

24,500

778

 

Accenture Ltd.

19,000

774

*

Western Digital Corp.

22,200

767

*

NVIDIA Corp.

38,550

722

 

Seagate Technology

36,200

693

*

Adobe Systems, Inc.

17,100

674

*

Multi-Fineline Electronix, Inc.

23,800

659

*

EarthLink, Inc.

72,300

625

*

Metavante Technologies

26,400

597

*

S1 Corp.

73,900

559

*

SPSS, Inc.

15,100

549

*

Skyworks Solutions, Inc.

49,800

492

*

Plexus Corp.

16,800

465

 

Intersil Corp.

17,700

431

*

Visa Inc.

5,100

415

*

MEMC Electronic Materials, Inc.

6,420

395

*

Sohu.com Inc.

5,500

387

*

Marvell Technology Group Ltd.

19,400

343

*

eBay Inc.

11,810

323

 

Methode Electronics, Inc. Class A

26,700

279

 

PC-Tel, Inc.

25,600

246

*

AsiaInfo Holdings, Inc.

20,100

238

 

Applied Materials, Inc.

12,400

237

*

Interwoven Inc.

18,100

217

 

CA, Inc.

6,900

159

*

Lexmark International, Inc.

4,600

154

*

Dolby Laboratories Inc.

3,800

153

 

Automatic Data Processing, Inc.

3,580

150

 

Black Box Corp.

5,200

141

 

Integral Systems, Inc.

3,600

139

*

Amkor Technology, Inc.

12,790

133

*

Sybase, Inc.

4,462

131

*

Cymer, Inc.

3,000

81

 

United Online, Inc.

7,600

76

 

Standard Microsystem Corp.

2,800

76

*

MKS Instruments, Inc.

3,400

74

*

TriQuint Semiconductor, Inc.

9,100

55

 

National Semiconductor Corp.

2,400

49

 

 

 

 

 

Motorola, Inc.

6,530

48

*

Harmonic, Inc.

4,500

43

*

Benchmark Electronics, Inc.

2,300

38

*

Convergys Corp.

1,800

27

*

OmniVision Technologies, Inc.

1,400

17

*

Parametric Technology Corp.

900

15

 

CSG Systems International, Inc.

1,200

13

 

47,920

Materials (4.5%)

 

Monsanto Co.

12,726

1,609

 

Freeport-McMoRan Copper & Gold, Inc. Class B

9,700

1,137

 

Alcoa Inc.

24,610

877

 

AK Steel Holding Corp.

11,800

814

 

Nucor Corp.

10,800

806

 

E.I. du Pont de Nemours & Co.

17,580

754

*

The Mosaic Co.

5,200

752

 

CF Industries Holdings, Inc.

4,700

718

 

Terra Industries, Inc.

14,300

706

 

Reliance Steel & Aluminum Co.

8,300

640

*

Owens-Illinois, Inc.

14,500

605

 

International Paper Co.

24,300

566

 

Lubrizol Corp.

11,500

533

 

Celanese Corp. Series A

11,500

525

 

United States Steel Corp.

2,800

517

 

Dow Chemical Co.

10,420

364

 

Carpenter Technology Corp.

6,900

301

 

Praxair, Inc.

3,000

283

 

Innophos Holdings Inc.

7,700

246

 

Eastman Chemical Co.

2,200

151

 

Rock-Tenn Co.

4,200

126

 

Glatfelter

9,100

123

*,^

ShengdaTech Inc.

6,567

65

 

Schnitzer Steel Industries, Inc. Class A

400

46

 

Greif Inc. Class A

600

38

 

RPM International, Inc.

900

19

 

13,321

Telecommunication Services (3.1%)

 

AT&T Inc.

129,029

4,347

 

Verizon Communications Inc.

67,830

2,401

 

Telephone & Data Systems, Inc.

13,800

652

 

Qwest Communications International Inc.

105,300

414

*

Cincinnati Bell Inc.

97,500

388

 

Embarq Corp.

7,929

375

 

Sprint Nextel Corp.

19,089

181

*

American Tower Corp. Class A

2,900

123

 

CenturyTel, Inc.

2,700

96

 

8,977

Utilities (4.4%)

 

Entergy Corp.

8,900

1,072

 

Edison International

18,540

953

 

Exelon Corp.

9,740

876

 

Dominion Resources, Inc.

18,400

874

 

American Electric Power Co., Inc.

21,500

865

*

Mirant Corp.

20,700

810

 

Energen Corp.

10,200

796

 

Southern Co.

22,460

784

 

Public Service Enterprise Group, Inc.

16,400

753

 

Xcel Energy, Inc.

35,900

721

 

Duke Energy Corp.

40,690

707

 

Ameren Corp.

16,700

705

 

Consolidated Edison Inc.

18,000

704

 

Alliant Energy Corp.

17,600

603

 

ITC Holdings Corp.

11,400

583

 

DTE Energy Co.

8,300

352

 

WGL Holdings Inc.

6,400

222

 

FPL Group, Inc.

3,033

199

 

SCANA Corp.

2,971

110

 

Pepco Holdings, Inc.

2,600

67

 

12,756

Total Common Stocks
(Cost $300,842)

 

291,859

 

 

Temporary Cash Investments (0.3%)

 

Money Market Fund (0.2%)

 

1

Vanguard Market Liquidity Fund, 2.405%

507,064

507

 

 

 

Face
Amount
($000

)

Market
Value
($000

)

 

U.S. Agency Obligation (0.1%)

 

2,3

Federal Home Loan Mortgage Corp., 1.740%, 8/29/08

300

299

 

Total Temporary Cash Investments (Cost $805)

 

806

 

Total Investments (100.0%)
(Cost $301,647)

 

292,665

 

Other Assets and Liabilities - Net (0.0%)

(25)

 

Net Assets (100%)

292,640

 

 

 

 

 

 

*

Non-income-producing security.

 

^

Part of security position is on loan to broker-dealers.

 

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

The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

 

3

Securities with a value of $299,000 have been segregated as initial margin for open futures contracts.

 

 

 

REIT—Real Estate Investment Trust.

 

 

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

 

At June 30, 2008, the cost of investment securities for tax purposes was $301,647,000. Net unrealized depreciation of investment securities for tax purposes was $8,982,000, consisting of unrealized gains of $22,088,000 on securities that had risen in value since their purchase and $31,070,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Futures Contracts: 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. Futures contracts are valued at their quoted daily settlement prices.

 

At June 30, 2008, the aggregate settlement value of open futures contracts expiring in September 2008 and the related unrealized appreciation (depreciation) were:

 

 

 

($000)

Futures Contracts

Number of
Long (Short
Contracts)

Aggregate
Settlement
Value

Unrealized
Appreciation
(Depreciation)

E-mini S&P 500 Index

1

64

—

S&P 500 Index

2

640

(38)

 

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

 

Vanguard Structured Large-Cap Equity Fund

Schedule of Investments

As of June 30, 2008

 

 

 

Shares

Market
Value
($000)

Common Stocks (99.9%)

Consumer Discretionary (8.1%)

 

McDonald's Corp.

105,768

5,946

 

The Walt Disney Co.

170,263

5,312

 

Comcast Corp. Class A

277,795

5,270

 

Time Warner, Inc.

345,780

5,118

 

Home Depot, Inc.

159,960

3,746

 

Target Corp.

79,593

3,700

 

News Corp., Class A

240,444

3,616

*

AutoZone Inc.

27,800

3,364

 

Lowe's Cos., Inc.

158,758

3,294

 

VF Corp.

43,800

3,118

 

Darden Restaurants Inc.

93,600

2,990

*

The Goodyear Tire & Rubber Co.

164,800

2,938

*

Big Lots Inc.

89,100

2,784

 

The Gap, Inc.

161,200

2,687

*

Viacom Inc. Class B

71,450

2,182

 

Omnicom Group Inc.

42,000

1,885

 

Best Buy Co., Inc.

46,750

1,851

 

Carnival Corp.

55,007

1,813

 

Black & Decker Corp.

29,500

1,697

 

CBS Corp.

74,649

1,455

*

Amazon.com, Inc.

16,900

1,239

 

NIKE, Inc. Class B

18,300

1,091

 

Lennar Corp. Class A

75,600

933

 

H & R Block, Inc.

43,100

922

 

The Stanley Works

18,500

829

 

Johnson Controls, Inc.

24,300

697

 

Wyndham Worldwide Corp.

28,166

505

*

DIRECTV Group, Inc.

18,800

487

 

D. R. Horton, Inc.

36,300

394

 

Jones Apparel Group, Inc.

13,400

184

*

Ford Motor Co.

18,100

87

 

72,134

Consumer Staples (10.8%)

 

The Procter & Gamble Co.

257,199

15,640

 

Wal-Mart Stores, Inc.

200,664

11,277

 

Philip Morris International Inc.

185,440

9,159

 

The Coca-Cola Co.

141,593

7,360

 

PepsiCo, Inc.

108,499

6,900

 

CVS/Caremark Corp.

127,226

5,034

 

Anheuser-Busch Cos., Inc.

70,886

4,404

 

Altria Group, Inc.

209,940

4,316

 

General Mills, Inc.

70,600

4,290

 

The Kroger Co.

145,400

4,198

 

Molson Coors Brewing Co. Class B

64,000

3,477

 

Kimberly-Clark Corp.

48,049

2,872

 

Archer-Daniels-Midland Co.

78,100

2,636

 

Kraft Foods Inc.

88,276

2,512

 

Colgate-Palmolive Co.

31,754

2,194

 

UST, Inc.

39,700

2,168

 

Walgreen Co.

48,099

1,564

 

Costco Wholesale Corp.

20,954

1,470

 

The Pepsi Bottling Group, Inc.

41,400

1,156

 

Reynolds American Inc.

22,700

1,059

 

The Estee Lauder Cos. Inc. Class A

21,700

1,008

 

SuperValu Inc.

21,400

661

 

Sysco Corp.

13,100

360

 

ConAgra Foods, Inc.

4,100

79

 

95,794

Energy (16.2%)

 

ExxonMobil Corp.

399,955

35,248

 

Chevron Corp.

173,457

17,195

 

ConocoPhillips Co.

132,182

12,477

 

Schlumberger Ltd.

82,855

8,901

 

Occidental Petroleum Corp.

75,186

6,756

 

Chesapeake Energy Corp.

81,400

5,369

 

Williams Cos., Inc.

116,800

4,708

 

Apache Corp.

32,983

4,585

 

Murphy Oil Corp.

45,644

4,475

 

Noble Corp.

66,800

4,339

 

Noble Energy, Inc.

42,400

4,264

 

Devon Energy Corp.

34,134

4,102

 

ENSCO International, Inc.

47,700

3,851

 

Hess Corp.

29,300

3,697

 

Anadarko Petroleum Corp.

49,270

3,687

 

Massey Energy Co.

35,600

3,338

 

 

 

 

*

Transocean, Inc.

17,777

2,709

 

Halliburton Co.

48,838

2,592

 

Southwestern Energy Co.

40,400

1,924

*

National Oilwell Varco Inc.

21,300

1,890

 

Marathon Oil Corp.

35,376

1,835

 

XTO Energy, Inc.

26,100

1,788

 

EOG Resources, Inc.

11,900

1,561

 

Baker Hughes, Inc.

12,800

1,118

 

Valero Energy Corp.

19,821

816

 

Spectra Energy Corp.

22,100

635

 

143,860

Financials (14.2%)

 

JPMorgan Chase & Co.

286,006

9,813

 

Bank of America Corp.

313,093

7,474

 

Wells Fargo & Co.

299,311

7,109

 

The Goldman Sachs Group, Inc.

36,377

6,362

 

Citigroup, Inc.

363,612

6,094

 

U.S. Bancorp

169,602

4,730

 

American International Group, Inc.

176,483

4,670

 

Bank of New York Mellon Corp.

109,163

4,130

 

ACE Ltd.

74,550

4,107

 

The Chubb Corp.

82,236

4,030

 

Morgan Stanley

103,198

3,722

 

Northern Trust Corp.

53,800

3,689

 

AFLAC Inc.

51,869

3,257

 

Ameriprise Financial, Inc.

77,920

3,169

 

Unum Group

154,100

3,151

 

Discover Financial Services

234,099

3,083

 

State Street Corp.

47,727

3,054

 

BB&T Corp.

132,587

3,019

 

The Travelers Cos., Inc.

67,851

2,945

 

Wachovia Corp.

184,182

2,860

 

Hudson City Bancorp, Inc.

168,200

2,806

 

American Express Co.

67,243

2,533

 

The Hartford Financial Services Group Inc.

38,202

2,467

 

Simon Property Group, Inc. REIT

27,236

2,448

 

MetLife, Inc.

39,081

2,062

 

Fannie Mae

104,296

2,035

 

ProLogis REIT

37,300

2,027

 

Capital One Financial Corp.

46,098

1,752

 

Merrill Lynch & Co., Inc.

51,212

1,624

 

Plum Creek Timber Co. Inc. REIT

36,000

1,538

 

Charles Schwab Corp.

74,400

1,528

 

HCP, Inc. REIT

46,800

1,489

 

Prudential Financial, Inc.

22,782

1,361

 

Janus Capital Group Inc.

51,200

1,355

*

CB Richard Ellis Group, Inc.

58,600

1,125

 

The Allstate Corp.

24,106

1,099

 

Lincoln National Corp.

23,400

1,060

 

Apartment Investment & Management Co. Class A REIT

30,471

1,038

 

Public Storage, Inc. REIT

11,700

945

 

CME Group, Inc.

2,100

805

 

PNC Financial Services Group

12,151

694

 

Loews Corp.

12,143

570

 

Safeco Corp.

6,100

410

 

SunTrust Banks, Inc.

10,354

375

 

Lehman Brothers Holdings, Inc.

15,477

307

 

Franklin Resources Corp.

3,033

278

 

Freddie Mac

10,469

172

 

Assurant, Inc.

2,200

145

 

Boston Properties, Inc. REIT

1,100

99

 

126,615

Health Care (11.9%)

 

Johnson & Johnson

237,869

15,304

 

Pfizer Inc.

557,169

9,734

 

Merck & Co., Inc.

191,101

7,203

 

Wyeth

122,439

5,872

 

Abbott Laboratories

100,839

5,341

*

Gilead Sciences, Inc.

88,046

4,662

 

Eli Lilly & Co.

95,056

4,388

 

Baxter International, Inc.

63,964

4,090

*

Biogen Idec Inc.

70,211

3,924

*

Express Scripts Inc.

62,432

3,916

 

 

 

 

 

Medtronic, Inc.

66,334

3,433

*

Laboratory Corp. of America Holdings

45,300

3,154

 

UnitedHealth Group Inc.

120,112

3,153

*

Amgen, Inc.

66,197

3,122

*

WellPoint Inc.

60,855

2,900

*

Thermo Fisher Scientific, Inc.

47,600

2,653

 

Cardinal Health, Inc.

51,304

2,646

 

CIGNA Corp.

70,730

2,503

 

Aetna Inc.

59,413

2,408

*

Forest Laboratories, Inc.

65,300

2,269

 

Bristol-Myers Squibb Co.

110,117

2,261

*

Tenet Healthcare Corp.

360,700

2,005

*

St. Jude Medical, Inc.

42,000

1,717

*

Watson Pharmaceuticals, Inc.

57,500

1,562

 

AmerisourceBergen Corp.

38,100

1,524

 

Schering-Plough Corp.

73,857

1,454

*

Medco Health Solutions, Inc.

27,000

1,274

*

Celgene Corp.

17,300

1,105

 

Stryker Corp.

3,650

230

 

105,807

Industrials (11.1%)

 

General Electric Co.

733,911

19,588

 

The Boeing Co.

72,985

4,797

 

Caterpillar, Inc.

60,875

4,494

 

Waste Management, Inc.

114,100

4,303

 

United Parcel Service, Inc.

66,527

4,089

 

Union Pacific Corp.

53,196

4,016

 

CSX Corp.

62,700

3,938

 

United Technologies Corp.

61,954

3,823

 

Cummins Inc.

57,500

3,767

 

Honeywell International Inc.

72,287

3,635

 

Parker Hannifin Corp.

50,700

3,616

 

Lockheed Martin Corp.

35,147

3,468

 

Burlington Northern Santa Fe Corp.

32,291

3,226

 

The Manitowoc Co., Inc.

92,900

3,022

 

Cooper Industries, Inc. Class A

76,300

3,014

 

Ingersoll-Rand Co.

79,200

2,964

 

3M Co.

42,432

2,953

 

Raytheon Co.

48,005

2,702

 

Fluor Corp.

13,900

2,586

 

Ryder System, Inc.

35,700

2,459

 

Textron, Inc.

46,320

2,220

 

Emerson Electric Co.

41,258

2,040

 

General Dynamics Corp.

18,844

1,587

 

Deere & Co.

21,800

1,572

 

FedEx Corp.

13,144

1,036

 

Northrop Grumman Corp.

13,921

931

 

Tyco International, Ltd.

16,913

677

 

L-3 Communications Holdings, Inc.

6,900

627

 

Illinois Tool Works, Inc.

11,808

561

 

Danaher Corp.

6,400

495

 

Goodrich Corp.

8,100

384

*

Allied Waste Industries, Inc.

7,013

88

 

98,678

Information Technology (16.4%)

 

Microsoft Corp.

662,833

18,235

 

International Business Machines Corp.

116,545

13,814

*

Apple Inc.

72,646

12,164

 

Intel Corp.

482,068

10,355

*

Cisco Systems, Inc.

431,789

10,043

 

Hewlett-Packard Co.

215,815

9,541

*

Google Inc.

15,955

8,399

*

Oracle Corp.

356,837

7,494

 

QUALCOMM Inc.

102,592

4,552

*

Symantec Corp.

215,100

4,162

 

Tyco Electronics Ltd.

111,800

4,005

 

Texas Instruments, Inc.

136,163

3,834

 

Corning, Inc.

162,961

3,756

*

BMC Software, Inc.

95,733

3,446

*

Dell Inc.

153,964

3,369

*

EMC Corp.

220,450

3,238

 

 

 

 

*

NVIDIA Corp.

170,100

3,184

*

Yahoo! Inc.

150,845

3,116

*

MEMC Electronic Materials, Inc.

44,300

2,726

*

Adobe Systems, Inc.

65,400

2,576

*

Novell, Inc.

374,500

2,206

 

Western Union Co.

85,800

2,121

*

Lexmark International, Inc.

59,800

1,999

*

eBay Inc.

55,346

1,513

 

Analog Devices, Inc.

43,500

1,382

 

CA, Inc.

49,700

1,148

 

Applied Materials, Inc.

57,934

1,106

 

Automatic Data Processing, Inc.

19,120

801

*

Sun Microsystems, Inc.

68,525

746

 

Motorola, Inc.

58,589

430

*

QLogic Corp.

9,400

137

 

145,598

Materials (3.9%)

 

Monsanto Co.

50,470

6,381

 

Nucor Corp.

60,900

4,547

 

Freeport-McMoRan Copper & Gold, Inc. Class B

38,100

4,465

 

Eastman Chemical Co.

47,400

3,264

 

Alcoa Inc.

89,800

3,199

 

AK Steel Holding Corp.

36,000

2,484

 

Allegheny Technologies Inc.

40,100

2,377

 

E.I. du Pont de Nemours & Co.

50,070

2,148

 

Dow Chemical Co.

47,758

1,667

 

Praxair, Inc.

16,000

1,508

 

United States Steel Corp.

7,406

1,369

 

International Paper Co.

41,500

967

 

Air Products & Chemicals, Inc.

2,600

257

 

34,633

Telecommunication Services (3.3%)

 

AT&T Inc.

499,172

16,817

 

Verizon Communications Inc.

198,080

7,012

 

Windstream Corp.

148,500

1,833

 

Qwest Communications International Inc.

445,048

1,749

 

Sprint Nextel Corp.

110,382

1,049

 

Embarq Corp.

12,800

605

 

CenturyTel, Inc.

9,900

352

 

29,417

Utilities (4.0%)

 

Entergy Corp.

37,800

4,554

 

Edison International

79,200

4,069

 

American Electric Power Co., Inc.

99,100

3,987

 

Exelon Corp.

39,375

3,542

 

Consolidated Edison Inc.

84,800

3,315

 

Dominion Resources, Inc.

65,060

3,090

 

FPL Group, Inc.

44,800

2,938

 

Public Service Enterprise Group, Inc.

62,100

2,852

 

Duke Energy Corp.

146,770

2,551

 

Questar Corp.

23,900

1,698

 

Southern Co.

33,312

1,163

 

Ameren Corp.

23,300

984

 

DTE Energy Co.

15,300

649

 

CMS Energy Corp.

700

11

 

35,403

Total Common Stocks
(Cost $910,591)

 

887,939

Temporary Cash Investments (0.1%)

U.S. Agency Obligations

1,2

Federal Home Loan Mortgage Corp., 1.740%, 8/29/08

300

299

1,2

Federal National Mortgage Assn., 2.037%, 8/18/08

200

200

Total Temporary Cash Investments (Cost $499)

 

499

Total Investments (100.0%)
(Cost $911,090)

 

888,438

Other Assets and Liabilities-Net (0.0%)

(282)

Net Assets (100%)

888,156

 

 

 

*

Non-income-producing security.

1

The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

 

 

 

 

2

Securities with a value of $499,000 have been segregated as initial margin for open futures contracts.

 

 

 

REIT—Real Estate Investment Trust.

 

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.

 

At June 30, 2008, the cost of investment securities for tax purposes was $911,090,000. Net unrealized depreciation of investment securities for tax purposes was $22,652,000, consisting of unrealized gains of $78,738,000 on securities that had risen in value since their purchase and $101,390,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Futures Contracts: 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. Futures contracts are valued at their quoted daily settlement prices.

 

At June 30, 2008, the aggregate settlement value of open futures contracts expiring in September 2008 and the related unrealized appreciation (depreciation) were:

 

 

 

($000)

Futures Contracts

Number of
Long
Contracts

Aggregate
Settlement
Value

Unrealized
Appreciation
(Depreciation)

E-mini S&P 500 Index

10

640

(16)

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

 

 

 

 

Vanguard Structured Large-Cap Growth Fund

Schedule of Investments

As of June 30, 2008

 

 

 

Shares

Market
Value
($000

)

Common Stocks (100.1%)

Consumer Discretionary (8.7%)

 

McDonald's Corp.

7,864

442

 

Target Corp.

7,720

359

 

Omnicom Group Inc.

6,902

310

 

Best Buy Co., Inc.

7,373

292

 

H & R Block, Inc.

11,400

244

*

AutoZone Inc.

2,000

242

*

ITT Educational Services, Inc.

2,700

223

 

NIKE, Inc. Class B

3,728

222

*

Big Lots Inc.

7,000

219

 

Darden Restaurants Inc.

6,684

214

*

DISH Network Corp.

7,286

213

*

GameStop Corp. Class A

5,100

206

*

The Goodyear Tire & Rubber Co.

11,100

198

 

Burger King Holdings Inc.

7,308

196

*

Hanesbrands Inc.

7,200

195

 

News Corp., Class A

11,934

180

*

Amazon.com, Inc.

2,000

147

 

Marriott International, Inc. Class A

5,000

131

 

The Walt Disney Co.

4,142

129

*

Viacom Inc. Class B

3,959

121

*

DIRECTV Group, Inc.

4,460

116

 

Time Warner, Inc.

6,849

101

 

TJX Cos., Inc.

2,900

91

 

Carnival Corp.

2,485

82

 

Lowe's Cos., Inc.

3,823

79

 

Comcast Corp. Class A

4,029

76

*

Urban Outfitters, Inc.

2,400

75

 

Starwood Hotels & Resorts Worldwide, Inc.

1,200

48

 

Polo Ralph Lauren Corp.

200

13

*

Las Vegas Sands Corp.

130

6

 

5,170

Consumer Staples (11.4%)

 

Philip Morris International Inc.

19,869

981

 

Wal-Mart Stores, Inc.

16,357

919

 

PepsiCo, Inc.

14,111

897

 

The Coca-Cola Co.

13,983

727

 

The Procter & Gamble Co.

11,149

678

 

Altria Group, Inc.

16,669

343

 

Costco Wholesale Corp.

4,675

328

 

Walgreen Co.

8,910

290

 

Anheuser-Busch Cos., Inc.

4,489

279

 

Colgate-Palmolive Co.

3,605

249

 

CVS/Caremark Corp.

5,184

205

 

The Kroger Co.

6,400

185

*

NBTY, Inc.

4,800

154

 

General Mills, Inc.

2,000

121

 

Herbalife Ltd.

2,700

105

*

Lorillard, Inc.

1,300

90

*

Bare Escentuals, Inc.

4,500

84

 

Tyson Foods, Inc.

4,000

60

 

Kimberly-Clark Corp.

679

40

 

Sysco Corp.

1,194

33

*

Dr. Pepper Snapple Group, Inc.

1,000

21

 

6,789

Energy (13.3%)

 

Schlumberger Ltd.

9,900

1,064

 

Occidental Petroleum Corp.

8,000

719

 

ExxonMobil Corp.

7,973

703

*

Transocean, Inc.

2,957

451

 

Williams Cos., Inc.

9,700

391

 

Hess Corp.

3,000

379

 

Noble Corp.

5,452

354

 

Murphy Oil Corp.

3,600

353

 

Halliburton Co.

6,490

344

 

ENSCO International, Inc.

3,697

299

*

Denbury Resources, Inc.

7,408

270

*

National Oilwell Varco Inc.

2,948

262

 

Massey Energy Co.

2,700

253

*

Plains Exploration & Production Co.

3,400

248

*

Unit Corp.

2,800

232

 

 

 

 

*

Whiting Petroleum Corp.

2,100

223

 

W&T Offshore, Inc.

3,700

217

*

Mariner Energy Inc.

5,200

192

*

Pride International, Inc.

3,600

170

 

Baker Hughes, Inc.

1,939

169

 

EOG Resources, Inc.

1,150

151

 

Tidewater Inc.

2,200

143

*

Southwestern Energy Co.

2,500

119

*

Weatherford International Ltd.

1,800

89

 

Noble Energy, Inc.

800

80

 

7,875

Financials (4.3%)

 

Northern Trust Corp.

4,130

283

*

TD Ameritrade Holding Corp.

12,800

232

 

Charles Schwab Corp.

11,115

228

 

American Express Co.

5,927

223

 

AFLAC Inc.

3,169

199

 

Simon Property Group, Inc. REIT

1,791

161

 

The Goldman Sachs Group, Inc.

745

130

*

Nasdaq Stock Market Inc.

4,800

127

 

State Street Corp.

1,966

126

 

Hudson City Bancorp, Inc.

5,200

87

 

Taubman Co. REIT

1,700

83

 

CME Group, Inc.

202

77

 

Camden Property Trust REIT

1,600

71

 

Morgan Stanley

1,900

69

 

Discover Financial Services

5,200

69

 

Transatlantic Holdings, Inc.

1,200

68

 

HCP, Inc. REIT

2,100

67

 

Bank of New York Mellon Corp.

1,730

65

 

ACE Ltd.

1,100

61

 

Ventas, Inc. REIT

1,300

55

 

Freddie Mac

2,090

34

 

Axis Capital Holdings Ltd.

300

9

 

Franklin Resources Corp.

86

8

 

Invesco, Ltd.

300

7

 

2,539

Health Care (12.3%)

 

Abbott Laboratories

12,369

655

*

Gilead Sciences, Inc.

9,270

491

 

Johnson & Johnson

7,612

490

 

Medtronic, Inc.

8,640

447

 

Baxter International, Inc.

6,642

425

 

Cardinal Health, Inc.

5,880

303

*

St. Jude Medical, Inc.

7,400

303

*

Express Scripts Inc.

4,678

293

 

Merck & Co., Inc.

7,303

275

 

Bristol-Myers Squibb Co.

13,018

267

*

Medco Health Solutions, Inc.

5,090

240

*

Genentech, Inc.

3,155

240

*

Forest Laboratories, Inc.

6,294

219

 

Schering-Plough Corp.

10,932

215

*

Cephalon, Inc.

3,038

203

*

Warner Chilcott Ltd.

11,600

197

*

DaVita, Inc.

3,600

191

*

Watson Pharmaceuticals, Inc.

7,000

190

 

AmerisourceBergen Corp.

4,730

189

*

Invitrogen Corp.

4,800

189

 

McKesson Corp.

3,340

187

*

Celgene Corp.

2,900

185

 

Aetna Inc.

4,517

183

*

Thermo Fisher Scientific, Inc.

2,500

139

 

UnitedHealth Group Inc.

5,149

135

 

Stryker Corp.

1,627

102

*

WellCare Health Plans Inc.

2,300

83

 

PDL BioPharma Inc.

6,700

71

*

Amgen, Inc.

1,418

67

*

Intuitive Surgical, Inc.

200

54

*

Biogen Idec Inc.

731

41

 

Becton, Dickinson & Co.

341

28

 

7,297

 

 

 

 

Industrials (13.4%)

 

The Boeing Co.

7,504

493

 

Caterpillar, Inc.

6,325

467

 

Union Pacific Corp.

5,366

405

 

CSX Corp.

6,435

404

 

Emerson Electric Co.

8,046

398

 

Honeywell International Inc.

7,780

391

 

3M Co.

5,226

364

 

Lockheed Martin Corp.

3,554

351

 

Fluor Corp.

1,700

316

 

United Parcel Service, Inc.

4,947

304

 

Cummins Inc.

4,570

299

 

Waste Management, Inc.

6,758

255

 

Textron, Inc.

5,278

253

 

SPX Corp.

1,900

250

 

United Technologies Corp.

3,982

246

 

KBR Inc.

6,500

227

 

Deere & Co.

2,900

209

 

Precision Castparts Corp.

2,147

207

 

Parker Hannifin Corp.

2,900

207

 

The Manitowoc Co., Inc.

6,312

205

*

AGCO Corp.

3,900

204

 

Burlington Northern Santa Fe Corp.

1,900

190

*

Allied Waste Industries, Inc.

14,409

182

*

First Solar, Inc.

600

164

*

Hertz Global Holdings Inc.

16,000

154

 

Raytheon Co.

2,604

147

 

L-3 Communications Holdings, Inc.

1,400

127

 

GATX Corp.

2,516

111

*

Kirby Corp.

2,100

101

 

Dover Corp.

2,000

97

 

Ingersoll-Rand Co.

1,700

64

 

Danaher Corp.

800

62

 

Manpower Inc.

850

49

 

Tyco International, Ltd.

500

20

 

7,923

Information Technology (28.7%)

 

Microsoft Corp.

72,685

2,000

 

International Business Machines Corp.

12,607

1,494

*

Apple Inc.

7,812

1,308

*

Cisco Systems, Inc.

49,850

1,160

*

Google Inc.

2,175

1,145

 

Intel Corp.

47,020

1,010

 

Hewlett-Packard Co.

22,677

1,003

*

Oracle Corp.

37,296

783

 

QUALCOMM Inc.

15,603

692

 

Texas Instruments, Inc.

13,761

388

 

Corning, Inc.

16,407

378

 

MasterCard, Inc. Class A

1,390

369

*

Dell Inc.

16,281

356

 

Western Union Co.

13,759

340

*

Yahoo! Inc.

14,957

309

 

Accenture Ltd.

6,835

278

*

Marvell Technology Group Ltd.

15,700

277

*

Visa Inc.

3,200

260

*

BMC Software, Inc.

7,210

260

*

EMC Corp.

17,194

253

*

salesforce.com, inc.

3,600

246

*

NVIDIA Corp.

13,100

245

*

Adobe Systems, Inc.

6,183

244

*

Western Digital Corp.

7,000

242

 

Seagate Technology

11,200

214

*

eBay Inc.

7,656

209

*

Symantec Corp.

10,500

203

*

Genpact, Ltd.

12,500

187

 

Applied Materials, Inc.

8,699

166

 

Analog Devices, Inc.

5,200

165

 

National Semiconductor Corp.

7,502

154

 

Automatic Data Processing, Inc.

3,200

134

*

Juniper Networks, Inc.

5,300

118

*

Metavante Technologies

4,500

102

*

Integrated Device Technology Inc.

9,500

94

*

Lexmark International, Inc.

2,400

80

*

MEMC Electronic Materials, Inc.

1,291

79

*

Sohu.com Inc.

900

63

*

Arrow Electronics, Inc.

1,252

38

 

 

 

 

*

WebMD Health Corp. Class A

100

3

 

17,049

Materials (4.8%)

 

Monsanto Co.

5,327

674

*

The Mosaic Co.

1,800

260

 

Alcoa Inc.

7,300

260

 

CF Industries Holdings, Inc.

1,700

260

 

Celanese Corp. Series A

4,870

222

 

Greif Inc. Class A

3,200

205

*

Owens-Illinois, Inc.

4,800

200

 

Praxair, Inc.

2,070

195

 

AK Steel Holding Corp.

2,400

166

 

Allegheny Technologies Inc.

1,500

89

 

Lubrizol Corp.

1,883

87

 

Steel Dynamics, Inc.

2,226

87

 

Terra Industries, Inc.

1,300

64

 

Nucor Corp.

700

52

 

Southern Peru Copper Corp. (U.S. Shares)

136

15

 

2,836

Telecommunication Services (0.8%)

 

Telephone & Data Systems, Inc.

4,200

199

*

American Tower Corp. Class A

4,200

177

 

Embarq Corp.

2,100

99

 

475

Utilities (2.4%)

*

AES Corp.

15,500

298

 

Public Service Enterprise Group, Inc.

5,800

266

 

Entergy Corp.

2,100

253

*

Mirant Corp.

6,300

247

 

Exelon Corp.

2,172

195

 

Sierra Pacific Resources

12,300

156

 

1,415

Total Common Stocks
(Cost $55,168)

 

59,368

Temporary Cash Investments (0.3%)

Money Market Fund (0.1%)

1

Vanguard Market Liquidity Fund, 2.405%

29,274

29

 

 

Face
Amount
($000)

Market
Value•
($000)

U.S. Government and Agency Obligations (0.2%)

2

Federal National Mortgage Assn., 2.124%, 8/1/08

100

100

Total Temporary Cash Investments (Cost $128)

129

Total Investments (100.4%)
(Cost $55,296)

 

59,497

Other Assets and Liabilities-Net (-0.4%)

(212)

Net Assets (100%)

59,285

 

 

 

*

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.

2

The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

 

REIT—Real Estate Investment Trust.

 

 

 

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

 

At June 30, 2008, the cost of investment securities for tax purposes was $55,296,000. Net unrealized appreciation of investment securities for tax purposes was $4,201,000, consisting of unrealized gains of $6,631,000 on securities that had risen in value since their purchase and $2,430,000 in unrealized losses on securities that had fallen in value since their purchase.

 

 

 

 

Vanguard Structured Large-Cap Value Fund

Schedule of Investments

As of June 30, 2008

 

 

 

Shares

Market
Value
($000

)

Common Stocks (100.0%)

Consumer Discretionary (8.5%)

 

The Walt Disney Co.

20,490

639

 

Time Warner, Inc.

39,220

580

 

Lowe's Cos., Inc.

18,300

380

 

Home Depot, Inc.

15,200

356

 

Comcast Corp. Class A

17,375

330

 

CBS Corp.

16,750

326

 

News Corp., Class A

19,410

292

 

The Gap, Inc.

16,700

278

*

Expedia, Inc.

12,900

237

 

The Stanley Works

5,000

224

 

Omnicom Group Inc.

4,800

215

 

Barnes & Noble, Inc.

8,500

211

*

TRW Automotive Holdings Corp.

11,400

211

 

Autoliv, Inc.

4,500

210

*

NVR, Inc.

400

200

 

Lennar Corp. Class A

14,300

177

 

Clear Channel Communications, Inc.

4,400

155

 

McDonald's Corp.

2,504

141

 

Black & Decker Corp.

1,900

109

*

Toll Brothers, Inc.

5,300

99

 

Royal Caribbean Cruises, Ltd.

4,400

99

 

Target Corp.

2,100

98

 

Carnival Corp.

1,400

46

*

Interpublic Group of Cos., Inc.

5,000

43

 

International Speedway Corp.

1,100

43

 

Limited Brands, Inc.

1,700

29

 

Johnson Controls, Inc.

200

6

 

5,734

Consumer Staples (8.1%)

 

The Procter & Gamble Co.

22,190

1,349

 

Kraft Foods Inc.

14,101

401

 

Bunge Ltd.

3,200

345

 

Wal-Mart Stores, Inc.

6,100

343

 

The Coca-Cola Co.

6,190

322

 

Archer-Daniels-Midland Co.

9,100

307

 

Molson Coors Brewing Co. Class B

5,400

293

 

Reynolds American Inc.

6,140

286

*

Dr. Pepper Snapple Group, Inc.

11,900

250

*

Constellation Brands, Inc. Class A

12,300

244

 

CVS/Caremark Corp.

5,400

214

 

The Kroger Co.

7,300

211

 

Altria Group, Inc.

9,430

194

 

Anheuser-Busch Cos., Inc.

3,090

192

 

SuperValu Inc.

5,400

167

 

ConAgra Foods, Inc.

6,700

129

 

Kimberly-Clark Corp.

1,570

94

 

Alberto-Culver Co.

2,900

76

 

Del Monte Foods Co.

4,100

29

 

5,446

Energy (18.3%)

 

ExxonMobil Corp.

47,210

4,161

 

Chevron Corp.

23,290

2,309

 

ConocoPhillips Co.

17,574

1,659

 

Devon Energy Corp.

5,500

661

 

Apache Corp.

4,200

584

 

Noble Energy, Inc.

4,000

402

 

Anadarko Petroleum Corp.

4,750

355

 

Pioneer Natural Resources Co.

4,300

337

 

Marathon Oil Corp.

6,400

332

*

Newfield Exploration Co.

4,600

300

 

XTO Energy, Inc.

3,800

260

*

Unit Corp.

2,900

241

*

Forest Oil Corp.

2,800

208

 

Cimarex Energy Co.

2,500

174

 

Valero Energy Corp.

3,900

161

 

Occidental Petroleum Corp.

920

83

*

Plains Exploration & Production Co.

1,100

80

 

EOG Resources, Inc.

500

65

 

ENSCO International, Inc.

300

24

 

12,396

Financials (24.9%)

 

JPMorgan Chase & Co.

35,680

1,224

 

 

 

 

 

Bank of America Corp.

46,892

1,119

 

Wells Fargo & Co.

39,200

931

 

Citigroup, Inc.

55,390

928

 

The Goldman Sachs Group, Inc.

4,260

745

 

U.S. Bancorp

21,670

604

 

American International Group, Inc.

22,540

596

 

Bank of New York Mellon Corp.

14,143

535

 

Morgan Stanley

12,790

461

 

The Chubb Corp.

8,500

417

 

ACE Ltd.

7,418

409

 

Wachovia Corp.

24,340

378

 

The Travelers Cos., Inc.

8,300

360

 

BB&T Corp.

14,350

327

 

MetLife, Inc.

6,110

322

 

The Hartford Financial Services Group Inc.

4,500

291

 

Invesco, Ltd.

11,800

283

 

Unum Group

13,400

274

 

Discover Financial Services

20,745

273

 

State Street Corp.

4,200

269

 

Merrill Lynch & Co., Inc.

8,300

263

*

Arch Capital Group Ltd.

3,700

245

 

Ameriprise Financial, Inc.

6,000

244

 

Cullen/Frost Bankers, Inc.

4,800

239

 

Axis Capital Holdings Ltd.

7,800

233

 

RenaissanceRe Holdings Ltd.

5,200

232

 

Bank of Hawaii Corp.

4,830

231

 

Allied World Assurance Holdings, Ltd.

5,800

230

 

ProLogis REIT

4,100

223

 

Northern Trust Corp.

3,200

219

 

The Allstate Corp.

4,550

207

 

Associated Banc-Corp.

10,400

201

 

Equity Residential REIT

4,780

183

 

Prudential Financial, Inc.

2,850

170

 

Fannie Mae

8,327

163

 

Everest Re Group, Ltd.

2,000

159

 

Loews Corp.

3,200

150

 

PNC Financial Services Group

2,600

149

 

HCP, Inc. REIT

4,400

140

 

Plum Creek Timber Co. Inc. REIT

3,200

137

 

Popular, Inc.

20,300

134

 

Annaly Mortgage Management Inc. REIT

8,400

130

 

Regency Centers Corp. REIT

1,900

112

 

Developers Diversified Realty Corp. REIT

3,200

111

 

PartnerRe Ltd.

1,600

111

 

Capital One Financial Corp.

2,840

108

 

Host Hotels & Resorts Inc. REIT

7,500

102

 

Apartment Investment & Management Co. Class A REIT

2,912

99

 

Nationwide Health Properties, Inc. REIT

3,100

98

 

SunTrust Banks, Inc.

2,660

96

 

Hospitality Properties Trust REIT

3,700

91

 

Mack-Cali Realty Corp. REIT

2,600

89

 

Camden Property Trust REIT

2,000

89

 

Weingarten Realty Investors REIT

2,600

79

 

New York Community Bancorp, Inc.

4,300

77

 

The St. Joe Co.

2,100

72

 

Raymond James Financial, Inc.

2,400

63

 

Vornado Realty Trust REIT

700

62

 

Lehman Brothers Holdings, Inc.

3,060

61

*

Nasdaq Stock Market Inc.

1,900

50

 

Boston Properties, Inc. REIT

400

36

 

 

 

 

 

Taubman Co. REIT

700

34

 

Freddie Mac

2,070

34

 

Public Storage, Inc. REIT

400

32

 

Douglas Emmett, Inc. REIT

1,300

29

 

Countrywide Financial Corp.

6,300

27

 

MBIA, Inc.

3,900

17

 

Kimco Realty Corp. REIT

312

11

 

CapitalSource Inc. REIT

800

9

 

Avalonbay Communities, Inc. REIT

50

4

 

16,831

Health Care (10.9%)

 

Johnson & Johnson

23,690

1,524

 

Pfizer Inc.

78,120

1,365

 

Merck & Co., Inc.

18,580

700

*

Amgen, Inc.

13,300

627

 

Wyeth

12,750

611

 

Eli Lilly & Co.

8,130

375

 

Cardinal Health, Inc.

5,000

258

*

Tenet Healthcare Corp.

39,800

221

*

DaVita, Inc.

4,000

213

 

Universal Health Services Class B

3,300

209

*

Thermo Fisher Scientific, Inc.

3,700

206

*

WellPoint Inc.

3,790

181

*

Watson Pharmaceuticals, Inc.

6,100

166

*

Health Management Associates Class A

24,600

160

*

LifePoint Hospitals, Inc.

5,500

156

 

UnitedHealth Group Inc.

5,400

142

 

Covidien Ltd.

2,575

123

 

Aetna Inc.

2,600

105

 

7,342

Industrials (9.5%)

 

General Electric Co.

105,550

2,817

 

Waste Management, Inc.

9,300

351

 

General Dynamics Corp.

3,380

285

 

SPX Corp.

1,900

250

 

Parker Hannifin Corp.

3,350

239

 

CSX Corp.

3,800

239

*

United Rentals, Inc.

12,100

237

 

Ryder System, Inc.

3,200

220

*

AGCO Corp.

4,200

220

 

United Technologies Corp.

3,300

204

 

Raytheon Co.

3,600

203

 

FedEx Corp.

2,400

189

*

Alliant Techsystems, Inc.

1,500

152

 

Illinois Tool Works, Inc.

3,200

152

 

Northrop Grumman Corp.

1,750

117

*

Allied Waste Industries, Inc.

8,700

110

*

Gardner Denver Inc.

1,800

102

 

Ingersoll-Rand Co.

2,200

82

 

Honeywell International Inc.

1,600

80

 

Union Pacific Corp.

1,040

79

 

L-3 Communications Holdings, Inc.

700

64

 

Tyco International, Ltd.

825

33

 

KBR Inc.

800

28

 

6,453

Information Technology (3.4%)

 

Tyco Electronics Ltd.

11,775

422

*

Symantec Corp.

19,700

381

 

Seagate Technology

13,200

253

 

CA, Inc.

9,300

215

*

Lexmark International, Inc.

5,900

197

*

Integrated Device Technology Inc.

19,200

191

 

Intel Corp.

7,700

165

 

Western Union Co.

6,000

148

 

Motorola, Inc.

15,280

112

 

International Business Machines Corp.

660

78

*

Western Digital Corp.

1,900

66

*

Fairchild Semiconductor International, Inc.

2,700

32

 

 

 

 

*

EMC Corp.

1,700

25

 

2,285

Materials (4.2%)

 

Freeport-McMoRan Copper & Gold, Inc. Class B

4,800

563

 

Nucor Corp.

5,700

426

 

E.I. du Pont de Nemours & Co.

8,000

343

 

Dow Chemical Co.

8,210

287

 

Reliance Steel & Aluminum Co.

3,700

285

 

Eastman Chemical Co.

4,100

282

*

Owens-Illinois, Inc.

5,900

246

 

Celanese Corp. Series A

4,638

212

 

Alcoa Inc.

4,220

150

*

The Mosaic Co.

500

72

 

2,866

Telecommunication Services (5.7%)

 

AT&T Inc.

67,013

2,258

 

Verizon Communications Inc.

30,440

1,077

 

Sprint Nextel Corp.

22,520

214

 

Qwest Communications International Inc.

45,100

177

 

Telephone & Data Systems, Inc.

2,800

132

*

Clearwire Corp.

2,300

30

 

3,888

Utilities (6.5%)

 

Edison International

8,000

411

 

American Electric Power Co., Inc.

9,700

390

 

Dominion Resources, Inc.

7,868

374

 

Duke Energy Corp.

18,304

318

 

Xcel Energy, Inc.

14,900

299

 

Consolidated Edison Inc.

7,600

297

 

Entergy Corp.

2,300

277

 

Pepco Holdings, Inc.

10,200

262

 

Exelon Corp.

2,800

252

 

SCANA Corp.

6,700

248

 

Southern Co.

6,439

225

 

FPL Group, Inc.

3,400

223

 

Sierra Pacific Resources

17,500

222

 

Alliant Energy Corp.

5,600

192

 

Ameren Corp.

3,700

156

 

MDU Resources Group, Inc.

3,600

126

 

FirstEnergy Corp.

600

49

*

Reliant Energy, Inc.

2,300

49

 

DTE Energy Co.

800

34

 

4,404

Total Common Stocks
(Cost $71,184)

 

67,645

Temporary Cash Investments (1.1%)

Money Market Fund (0.8%)

1

Vanguard Market Liquidity Fund, 2.405%

524,122

524

 

 

 

 

 

Face
Amount
($000)

Market
Value•
($000)

U.S. Government and Agency Obligation (0.3%)

2,3

Federal National Mortgage Assn., 2.124%, 8/1/08

200

200

Total Temporary Cash Investments

(Cost $723)

724

Total Investments (101.1%)
(Cost $71,907)

 

68,369

Other Assets and Liabilities-Net (-1.1%)

(749)

Net Assets (100%)

67,620

 

 

 

*

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.

2

The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

3

Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.

 

REIT—Real Estate Investment Trust.

 

 

 

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

 

At June 30, 2008, the cost of investment securities for tax purposes was $71,907,000. Net unrealized depreciation of investment securities for tax purposes was $3,538,000, consisting of unrealized gains of $6,741,000 on securities that had risen in value since their purchase and $10,279,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Futures Contracts: 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 100.2% and 0.9%, respectively, of net assets. Futures contracts are valued at their quoted daily settlement prices.

 

At June 30, 2008, the aggregate settlement value of open futures contracts expiring in September 2008 and the related unrealized appreciation (depreciation) were:

 

 

 

($000)

Futures Contracts

Number of
Long
Contracts

Aggregate
Settlement
Value

Unrealized
Appreciation
(Depreciation)

E-mini S&P 500 Index

2

128

—

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

 

 

 

 

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.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

VANGUARD QUANTITATIVE FUNDS

BY: (signature)
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER

Date: August 19, 2008

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

VANGUARD QUANTITATIVE FUNDS

BY: (signature)
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER

Date: August 19, 2008

VANGUARD QUANTITATIVE FUNDS

BY: (signature)
(HEIDI STAM)
THOMAS J. HIGGINS*
TREASURER

Date: August 19, 2008

*By Power of Attorney, Filed on January 18, 2008, See File Number 2-29601. Incorporated by Reference.