N-Q 1 quantitativefinal.htm VANGUARD QUANTITATIVE FUNDS quantitativefinal.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: 33-8553

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

Date of fiscal year end: September 30

Date of reporting period: June 30, 2011

Item 1: Schedule of Investments


 

Vanguard Growth and Income Fund

Schedule of Investments
As of June 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (98.7%)1    
Consumer Discretionary (9.3%)    
Target Corp. 1,413,100 66,289
* O'Reilly Automotive Inc. 944,800 61,894
Carnival Corp. 1,615,400 60,787
Wynn Resorts Ltd. 416,059 59,721
* Ford Motor Co. 3,277,500 45,197
Viacom Inc. Class B 853,400 43,523
Kohl's Corp. 760,500 38,033
CBS Corp. Class B 1,145,400 32,632
    408,076
Consumer Staples (11.6%)    
Dr Pepper Snapple Group Inc. 1,733,400 72,681
Kroger Co. 2,715,600 67,347
Coca-Cola Enterprises Inc. 2,270,800 66,262
Philip Morris International Inc. 844,100 56,361
Walgreen Co. 1,110,400 47,148
* Constellation Brands Inc. Class A 2,053,400 42,752
CVS Caremark Corp. 1,125,600 42,300
Wal-Mart Stores Inc. 749,800 39,844
Colgate-Palmolive Co. 271,700 23,749
Tyson Foods Inc. Class A 949,100 18,432
Hormel Foods Corp. 582,600 17,367
Procter & Gamble Co. 168,900 10,737
    504,980
Energy (12.0%)    
Chevron Corp. 1,353,500 139,194
Exxon Mobil Corp. 1,273,036 103,600
ConocoPhillips 1,254,400 94,318
Valero Energy Corp. 2,053,700 52,513
Devon Energy Corp. 534,000 42,085
Helmerich & Payne Inc. 475,600 31,447
National Oilwell Varco Inc. 307,000 24,010
Marathon Oil Corp. 221,100 11,648
* Tesoro Corp. 400,800 9,182
Halliburton Co. 129,200 6,589
Murphy Oil Corp. 78,500 5,154
* Denbury Resources Inc. 250,300 5,006
    524,746
Financials (14.9%)    
JPMorgan Chase & Co. 2,394,800 98,043
Discover Financial Services 2,484,100 66,450
Prudential Financial Inc. 939,600 59,749
Weyerhaeuser Co. 2,636,000 57,623
Aflac Inc. 1,231,800 57,501
KeyCorp 6,889,300 57,388
Comerica Inc. 1,574,800 54,441
Fifth Third Bancorp 3,214,300 40,982
T Rowe Price Group Inc. 621,800 37,519
Leucadia National Corp. 1,050,800 35,832

 


 

State Street Corp. 556,400 25,088
MetLife Inc. 349,300 15,324
Franklin Resources Inc. 99,100 13,011
* Berkshire Hathaway Inc. Class B 145,800 11,284
Unum Group 222,800 5,677
Huntington Bancshares Inc./OH 723,000 4,743
SunTrust Banks Inc. 171,600 4,427
Ameriprise Financial Inc. 58,900 3,397
Wells Fargo & Co. 88,100 2,472
    650,951
Health Care (11.8%)    
Eli Lilly & Co. 1,951,300 73,232
* Express Scripts Inc. 1,204,500 65,019
* Amgen Inc. 1,021,800 59,622
Abbott Laboratories 1,041,100 54,783
Humana Inc. 653,700 52,649
Bristol-Myers Squibb Co. 1,780,092 51,552
Johnson & Johnson 707,200 47,043
* Watson Pharmaceuticals Inc. 674,700 46,372
Pfizer Inc. 973,600 20,056
St. Jude Medical Inc. 390,500 18,619
* Life Technologies Corp. 348,900 18,167
Merck & Co. Inc. 195,100 6,885
* Varian Medical Systems Inc. 53,800 3,767
    517,766
Industrials (8.7%)    
General Electric Co. 4,031,900 76,042
United Parcel Service Inc. Class B 958,700 69,918
PACCAR Inc. 1,195,300 61,068
Northrop Grumman Corp. 705,700 48,940
Cummins Inc. 332,800 34,441
General Dynamics Corp. 322,800 24,055
United Technologies Corp. 262,300 23,216
Textron Inc. 939,000 22,170
Caterpillar Inc. 208,200 22,165
    382,015
Information Technology (19.7%)    
* Apple Inc. 497,500 166,996
Microsoft Corp. 4,878,500 126,841
International Business Machines Corp. 710,400 121,869
Intel Corp. 4,125,800 91,428
Corning Inc. 2,810,200 51,005
Computer Sciences Corp. 1,209,800 45,924
CA Inc. 1,989,200 45,433
Cisco Systems Inc. 2,685,200 41,916
Oracle Corp. 1,191,700 39,219
Qualcomm Inc. 620,500 35,238
* Google Inc. Class A 57,440 29,086
Visa Inc. Class A 311,400 26,239
Xerox Corp. 1,169,200 12,171
* Lexmark International Inc. Class A 276,700 8,096
Hewlett-Packard Co. 215,100 7,830
* SanDisk Corp. 155,200 6,441
* Fiserv Inc. 52,400 3,282
    859,014

 


 

Materials (2.4%)      
Freeport-McMoRan Copper & Gold Inc.   1,464,700 77,483
EI du Pont de Nemours & Co.   260,100 14,058
Eastman Chemical Co.   125,200 12,779
      104,320
Telecommunication Services (4.6%)      
AT&T Inc.   3,817,900 119,920
Verizon Communications Inc.   2,172,800 80,894
      200,814
Utilities (3.7%)      
Consolidated Edison Inc.   1,071,800 57,063
Wisconsin Energy Corp.   1,388,400 43,526
American Electric Power Co. Inc.   866,400 32,646
Entergy Corp.   172,200 11,758
Pepco Holdings Inc.   577,400 11,334
CMS Energy Corp.   298,800 5,883
      162,210
Total Common Stocks (Cost $3,781,778)     4,314,892
      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (1.5%)1      
Money Market Fund (1.5%)      
2 Vanguard Market Liquidity Fund (Cost      
$64,403) 0.140% 64,402,792 64,403
 
Total Investments (100.2%) (Cost $3,846,181)     4,379,295
Other Assets and Liabilities-Net (-0.2%)3     (8,177)
Net Assets (100%)     4,371,118

 

* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.7% and 0.5%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Cash of $7,110,000, has been segregated as initial margin for open futures contracts.

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

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

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


 

Growth and Income Fund

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

At June 30, 2011, 100% of the fund's investments were valued based on Level 1 inputs.

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

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

At 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 134 44,069 1,286

 

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

D. At June 30, 2011, the cost of investment securities for tax purposes was $3,846,181,000. Net unrealized appreciation of investment securities for tax purposes was $533,114,000, consisting of unrealized gains of $615,421,000 on securities that had risen in value since their purchase and $82,307,000 in unrealized losses on securities that had fallen in value since their purchase.


 

Vanguard Structured Broad Market Fund

Schedule of Investments
As of June 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (99.7%)1    
Consumer Discretionary (11.2%)    
Starbucks Corp. 67,600 2,670
CBS Corp. Class B 88,300 2,516
Comcast Corp. Class A 99,091 2,511
Time Warner Cable Inc. 31,962 2,494
* Ford Motor Co. 176,162 2,429
* AutoZone Inc. 7,200 2,123
Limited Brands Inc. 53,850 2,071
Macy's Inc. 69,100 2,021
Polaris Industries Inc. 17,800 1,979
* DISH Network Corp. Class A 64,500 1,978
Dillard's Inc. Class A 33,300 1,736
* Tempur-Pedic International Inc. 21,400 1,451
Ross Stores Inc. 17,900 1,434
Brinker International Inc. 58,300 1,426
Williams-Sonoma Inc. 36,682 1,339
Weight Watchers International Inc. 16,000 1,208
* Las Vegas Sands Corp. 22,900 967
Advance Auto Parts Inc. 15,800 924
* priceline.com Inc. 1,700 870
VF Corp. 7,400 803
* TRW Automotive Holdings Corp. 12,663 748
Gannett Co. Inc. 49,700 712
* Liberty Global Inc. Class A 14,700 662
Foot Locker Inc. 27,200 646
Autoliv Inc. 8,100 635
Viacom Inc. Class B 8,395 428
* Warnaco Group Inc. 7,700 402
McDonald's Corp. 2,031 171
    39,354
Consumer Staples (8.9%)    
Philip Morris International Inc. 68,650 4,584
Procter & Gamble Co. 45,551 2,896
Wal-Mart Stores Inc. 54,165 2,878
Sara Lee Corp. 112,600 2,138
Estee Lauder Cos. Inc. Class A 20,300 2,135
Coca-Cola Enterprises Inc. 69,800 2,037
Hershey Co. 35,600 2,024
* Constellation Brands Inc. Class A 86,300 1,797
Dr Pepper Snapple Group Inc. 41,400 1,736
Kroger Co. 64,900 1,609
Coca-Cola Co. 19,790 1,332
Costco Wholesale Corp. 10,400 845
B&G Foods Inc. Class A 39,000 804
PepsiCo Inc. 9,900 697
Walgreen Co. 16,200 688
* Smithfield Foods Inc. 28,100 615
Herbalife Ltd. 10,600 611
Tyson Foods Inc. Class A 25,100 487

 


 

Colgate-Palmolive Co. 5,330 466
ConAgra Foods Inc. 11,100 286
Hormel Foods Corp. 9,000 268
Nu Skin Enterprises Inc. Class A 5,800 218
MGP Ingredients Inc. 12,234 107
    31,258
Energy (11.1%)    
Exxon Mobil Corp. 135,320 11,012
Chevron Corp. 63,865 6,568
ConocoPhillips 59,200 4,451
Apache Corp. 23,140 2,855
Marathon Oil Corp. 50,800 2,676
National Oilwell Varco Inc. 33,700 2,636
Occidental Petroleum Corp. 24,040 2,501
Hess Corp. 20,900 1,563
Devon Energy Corp. 17,400 1,371
Valero Energy Corp. 36,100 923
Schlumberger Ltd. 10,300 890
* Newfield Exploration Co. 12,100 823
El Paso Corp. 19,700 398
Pioneer Natural Resources Co. 3,100 278
    38,945
Financials (16.4%)    
JPMorgan Chase & Co. 132,336 5,418
Wells Fargo & Co. 95,070 2,668
American Express Co. 50,820 2,627
Capital One Financial Corp. 46,700 2,413
Travelers Cos. Inc. 38,200 2,230
PNC Financial Services Group Inc. 36,900 2,200
Chubb Corp. 34,270 2,146
US Bancorp 79,650 2,032
Ameriprise Financial Inc. 34,300 1,978
Moody's Corp. 50,600 1,941
Torchmark Corp. 28,800 1,847
* Arch Capital Group Ltd. 54,500 1,740
Aflac Inc. 34,640 1,617
Franklin Resources Inc. 12,100 1,589
* World Acceptance Corp. 21,956 1,440
* Berkshire Hathaway Inc. Class B 18,400 1,424
KeyCorp 168,200 1,401
Discover Financial Services 52,200 1,396
Reinsurance Group of America Inc. Class A 22,800 1,388
Allied World Assurance Co. Holdings Ltd. 20,341 1,171
Vornado Realty Trust 11,100 1,034
Fifth Third Bancorp 76,800 979
M&T Bank Corp. 10,500 924
Taubman Centers Inc. 14,800 876
Bank of America Corp. 76,745 841
Rayonier Inc. 12,400 810
* Forest City Enterprises Inc. Class A 41,100 767
Hospitality Properties Trust 31,500 764
American Financial Group Inc. 21,300 760
CBL & Associates Properties Inc. 41,600 754
* Credit Acceptance Corp. 8,800 743
Citigroup Inc. 17,500 729
Lexington Realty Trust 78,600 718
Sun Communities Inc. 18,900 705

 


 

BOK Financial Corp. 12,200 668
Nelnet Inc. Class A 29,600 653
ProLogis Inc. 17,700 634
Commerce Bancshares Inc. 14,200 611
Cash America International Inc. 8,600 498
* NASDAQ OMX Group Inc. 19,300 488
Public Storage 4,100 467
* CB Richard Ellis Group Inc. Class A 16,400 412
Ashford Hospitality Trust Inc. 28,300 352
Pennsylvania REIT 16,495 259
NYSE Euronext 5,900 202
National Retail Properties Inc. 4,100 101
Montpelier Re Holdings Ltd. 2,900 52
City Holding Co. 1,300 43
    57,510
Health Care (12.5%)    
Pfizer Inc. 265,764 5,475
Johnson & Johnson 54,407 3,619
UnitedHealth Group Inc. 63,575 3,279
Bristol-Myers Squibb Co. 100,852 2,921
Eli Lilly & Co. 70,920 2,662
* Biogen Idec Inc. 24,200 2,587
McKesson Corp. 29,000 2,426
* Agilent Technologies Inc. 46,500 2,377
Humana Inc. 28,050 2,259
AmerisourceBergen Corp. Class A 53,500 2,215
* Forest Laboratories Inc. 56,000 2,203
* AMERIGROUP Corp. 28,700 2,022
* Charles River Laboratories International Inc. 42,600 1,732
CIGNA Corp. 28,100 1,445
* Express Scripts Inc. 25,000 1,350
Cooper Cos. Inc. 12,700 1,006
Cardinal Health Inc. 21,400 972
Warner Chilcott plc Class A 35,900 866
Merck & Co. Inc. 18,483 652
WellPoint Inc. 5,000 394
* Mettler-Toledo International Inc. 2,100 354
Aetna Inc. 7,700 340
* Health Management Associates Inc. Class A 20,000 216
* Bruker Corp. 9,500 193
* Waters Corp. 1,800 172
* Cephalon Inc. 1,700 136
* Par Pharmaceutical Cos. Inc. 1,800 59
    43,932
Industrials (11.3%)    
General Electric Co. 286,380 5,401
Caterpillar Inc. 32,200 3,428
CSX Corp. 92,711 2,431
Northrop Grumman Corp. 32,630 2,263
Parker Hannifin Corp. 24,200 2,172
Eaton Corp. 42,200 2,171
Cummins Inc. 20,800 2,153
PACCAR Inc. 41,500 2,120
Joy Global Inc. 20,800 1,981
United Parcel Service Inc. Class B 27,100 1,976
Deere & Co. 23,000 1,896
Towers Watson & Co. Class A 28,200 1,853

 


 

* Sauer-Danfoss Inc. 32,400 1,633
Timken Co. 30,100 1,517
Dover Corp. 18,600 1,261
United Technologies Corp. 14,140 1,252
Rockwell Automation Inc. 10,400 902
Honeywell International Inc. 14,524 865
* Delta Air Lines Inc. 78,600 721
Waste Connections Inc. 17,200 546
Pitney Bowes Inc. 14,300 329
Southwest Airlines Co. 25,600 292
Deluxe Corp. 7,100 175
* EnerSys 3,500 120
Avery Dennison Corp. 2,200 85
* Amerco Inc. 600 58
* Dollar Thrifty Automotive Group Inc. 660 49
* Esterline Technologies Corp. 600 46
    39,696
Information Technology (17.5%)    
* Apple Inc. 25,820 8,667
International Business Machines Corp. 39,842 6,835
Microsoft Corp. 235,897 6,133
Accenture plc Class A 45,800 2,767
Altera Corp. 49,200 2,280
* Motorola Solutions Inc. 46,700 2,150
* NetApp Inc. 40,600 2,143
* VMware Inc. Class A 21,200 2,125
* IAC/InterActiveCorp 55,300 2,111
Hewlett-Packard Co. 57,099 2,078
* Intuit Inc. 37,900 1,965
* Fiserv Inc. 30,200 1,891
* Dell Inc. 107,800 1,797
Texas Instruments Inc. 52,870 1,736
Western Union Co. 80,700 1,616
* Teradata Corp. 25,700 1,547
Oracle Corp. 41,248 1,357
* Motorola Mobility Holdings Inc. 54,187 1,194
* Google Inc. Class A 2,290 1,160
Anixter International Inc. 16,100 1,052
Intel Corp. 44,890 995
* Vishay Intertechnology Inc. 63,200 951
Opnet Technologies Inc. 21,000 860
* Silicon Image Inc. 112,800 729
* Electronic Arts Inc. 27,600 651
* Novellus Systems Inc. 17,700 640
* Fairchild Semiconductor International Inc. Class A 36,000 602
* Advanced Micro Devices Inc. 66,500 465
* Autodesk Inc. 12,000 463
* Ancestry.com Inc. 10,900 451
* JDS Uniphase Corp. 22,000 367
* Veeco Instruments Inc. 7,200 349
* RF Micro Devices Inc. 52,300 320
Cisco Systems Inc. 17,950 280
Qualcomm Inc. 3,300 187
MAXIMUS Inc. 1,700 141
* Teradyne Inc. 8,500 126
* Lattice Semiconductor Corp. 13,400 87
    61,268

 


 

Materials (4.2%)        
EI du Pont de Nemours & Co.     55,980 3,026
Eastman Chemical Co.     18,500 1,888
Ball Corp.     45,600 1,754
Ashland Inc.     24,000 1,551
Freeport-McMoRan Copper & Gold Inc.     23,400 1,238
Dow Chemical Co.     31,300 1,127
Southern Copper Corp.     28,200 927
International Paper Co.     30,600 912
Domtar Corp.     8,500 805
Celanese Corp. Class A     13,700 730
Innophos Holdings Inc.     8,500 415
Lubrizol Corp.     1,600 215
* Solutia Inc.     4,600 105
        14,693
Telecommunication Services (3.0%)        
AT&T Inc.     193,229 6,069
Verizon Communications Inc.     112,757 4,198
CenturyLink Inc.     5,757 233
* Vonage Holdings Corp.     41,200 182
        10,682
Utilities (3.6%)        
Dominion Resources Inc.     48,600 2,346
Northeast Utilities     54,600 1,920
CMS Energy Corp.     93,600 1,843
Pinnacle West Capital Corp.     41,300 1,841
Portland General Electric Co.     69,400 1,754
Entergy Corp.     17,600 1,202
Integrys Energy Group Inc.     10,200 529
Avista Corp.     20,000 514
IDACORP Inc.     6,700 265
Southwest Gas Corp.     6,700 259
Piedmont Natural Gas Co. Inc.     1,900 57
        12,530
Total Common Stocks (Cost $278,210)       349,868
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investments (0.2%)1        
Money Market Fund (0.1%)        
2 Vanguard Market Liquidity Fund 0.140%   595,987 596
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (0.1%)        
3,4 Federal Home Loan Bank Discount Notes 0.070% 8/17/11 100 100
3,4 Freddie Mac Discount Notes 0.080% 8/15/11 150 150
        250
Total Temporary Cash Investments (Cost $846)       846
Total Investments (99.9%) (Cost $279,056)       350,714
Other Assets and Liabilities-Net (0.1%)       214
Net Assets (100%)       350,928

 


 

* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and (0.1%), respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
4 Securities with a value of $150,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.

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

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

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

The following table summarizes the 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 349,868
Temporary Cash Investments 596 250
Futures Contracts—Assets1 9
Total 350,473 250
1 Represents variation margin on the last day of the reporting period.      

 

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the 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


 

Structured Broad Market Fund

futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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

At 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 3 986 27
E-mini S&P 500 Index September 2011 4 66 1

 

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

D. At June 30, 2011, the cost of investment securities for tax purposes was $279,056,000. Net unrealized appreciation of investment securities for tax purposes was $71,658,000, consisting of unrealized gains of $77,103,000 on securities that had risen in value since their purchase and $5,445,000 in unrealized losses on securities that had fallen in value since their purchase.


 

Vanguard Structured Large-Cap Equity Fund

Schedule of Investments
As of June 30, 2011

    Market
    Value
  Shares ($000)
Common Stocks (99.7%)1    
Consumer Discretionary (11.4%)    
* DIRECTV Class A 78,600 3,994
* Ford Motor Co. 282,806 3,900
Starbucks Corp. 92,475 3,652
Time Warner Cable Inc. 45,100 3,520
NIKE Inc. Class B 38,500 3,464
CBS Corp. Class B 115,140 3,280
* priceline.com Inc. 6,100 3,123
Macy's Inc. 104,300 3,050
VF Corp. 27,200 2,953
* AutoZone Inc. 9,560 2,819
Wynn Resorts Ltd. 19,250 2,763
Comcast Corp. Class A Special Shares 111,200 2,694
Limited Brands Inc. 70,018 2,692
Target Corp. 48,600 2,280
Ross Stores Inc. 27,800 2,227
Comcast Corp. Class A 79,925 2,025
Viacom Inc. Class B 22,800 1,163
McDonald's Corp. 9,697 818
Walt Disney Co. 14,429 563
* Amazon.com Inc. 1,500 307
    51,287
Consumer Staples (10.5%)    
Philip Morris International Inc. 101,936 6,806
Procter & Gamble Co. 104,344 6,633
Wal-Mart Stores Inc. 73,596 3,911
Altria Group Inc. 144,900 3,827
Coca-Cola Co. 48,240 3,246
Kroger Co. 121,300 3,008
Coca-Cola Enterprises Inc. 98,700 2,880
Sara Lee Corp. 151,000 2,868
Lorillard Inc. 25,800 2,809
Reynolds American Inc. 69,300 2,568
Colgate-Palmolive Co. 22,600 1,975
Whole Foods Market Inc. 26,100 1,656
PepsiCo Inc. 23,392 1,648
Dr Pepper Snapple Group Inc. 33,200 1,392
Walgreen Co. 26,200 1,112
* Constellation Brands Inc. Class A 21,800 454
Safeway Inc. 17,200 402
    47,195
Energy (12.3%)    
Exxon Mobil Corp. 211,939 17,248
Chevron Corp. 96,856 9,961
ConocoPhillips 84,359 6,343
Marathon Oil Corp. 70,500 3,714
El Paso Corp. 148,625 3,002
Hess Corp. 39,600 2,960
Occidental Petroleum Corp. 27,851 2,898

 


 

Anadarko Petroleum Corp. 31,500 2,418
Schlumberger Ltd. 23,025 1,989
Halliburton Co. 33,500 1,708
* Tesoro Corp. 62,700 1,436
Chesapeake Energy Corp. 45,950 1,364
Devon Energy Corp. 2,900 229
    55,270
Financials (15.0%)    
JPMorgan Chase & Co. 199,929 8,185
Wells Fargo & Co. 263,935 7,406
Citigroup Inc. 108,025 4,498
US Bancorp 156,224 3,985
Capital One Financial Corp. 64,400 3,328
Travelers Cos. Inc. 55,668 3,250
Franklin Resources Inc. 24,726 3,246
PNC Financial Services Group Inc. 52,800 3,147
Discover Financial Services 116,850 3,126
Chubb Corp. 48,643 3,046
Ameriprise Financial Inc. 47,400 2,734
Moody's Corp. 67,100 2,573
Torchmark Corp. 40,100 2,572
* CB Richard Ellis Group Inc. Class A 99,300 2,494
Kimco Realty Corp. 121,800 2,270
ACE Ltd. 34,400 2,264
* NASDAQ OMX Group Inc. 85,400 2,161
Bank of America Corp. 179,553 1,968
* Berkshire Hathaway Inc. Class B 18,705 1,448
* Berkshire Hathaway Inc. Class A 11 1,277
Aflac Inc. 19,094 891
Simon Property Group Inc. 6,300 732
Vornado Realty Trust 5,000 466
Goldman Sachs Group Inc. 2,998 399
    67,466
Health Care (11.9%)    
Pfizer Inc. 400,619 8,253
Johnson & Johnson 85,346 5,677
UnitedHealth Group Inc. 88,154 4,547
Bristol-Myers Squibb Co. 147,200 4,263
Eli Lilly & Co. 101,287 3,801
* Biogen Idec Inc. 31,700 3,389
WellPoint Inc. 42,500 3,348
CIGNA Corp. 59,500 3,060
Humana Inc. 36,120 2,909
AmerisourceBergen Corp. Class A 69,898 2,894
* Forest Laboratories Inc. 73,250 2,882
* Watson Pharmaceuticals Inc. 41,440 2,848
* Agilent Technologies Inc. 47,550 2,430
Merck & Co. Inc. 47,394 1,673
Baxter International Inc. 11,200 669
Abbott Laboratories 9,768 514
Aetna Inc. 6,270 276
    53,433
Industrials (10.6%)    
General Electric Co. 508,822 9,596
Caterpillar Inc. 45,800 4,876
United Parcel Service Inc. Class B 65,621 4,786
Honeywell International Inc. 64,400 3,838

 


 

CSX Corp. 136,044 3,567
Northrop Grumman Corp. 46,016 3,191
Eaton Corp. 57,200 2,943
Cummins Inc. 27,795 2,876
Parker Hannifin Corp. 32,000 2,872
PACCAR Inc. 49,600 2,534
General Dynamics Corp. 20,700 1,542
Deere & Co. 14,050 1,158
Union Pacific Corp. 9,500 992
WW Grainger Inc. 5,100 784
United Technologies Corp. 7,736 685
Pitney Bowes Inc. 22,400 515
Avery Dennison Corp. 9,000 348
3M Co. 1,613 153
Dover Corp. 1,700 115
    47,371
Information Technology (17.2%)    
* Apple Inc. 40,042 13,441
International Business Machines Corp. 59,690 10,240
Microsoft Corp. 305,741 7,949
Oracle Corp. 211,588 6,963
Texas Instruments Inc. 104,200 3,421
Intel Corp. 144,253 3,197
* NetApp Inc. 60,565 3,196
* Cognizant Technology Solutions Corp. Class A 41,600 3,051
* Motorola Solutions Inc. 63,050 2,903
Western Union Co. 133,900 2,682
* Fiserv Inc. 40,800 2,555
* Google Inc. Class A 4,955 2,509
* Dell Inc. 147,500 2,459
* Motorola Mobility Holdings Inc. 98,956 2,181
Altera Corp. 40,900 1,896
* Electronic Arts Inc. 76,100 1,796
Cisco Systems Inc. 99,015 1,546
Hewlett-Packard Co. 34,400 1,252
Qualcomm Inc. 17,657 1,003
* Advanced Micro Devices Inc. 137,800 963
* Autodesk Inc. 18,000 695
* Teradata Corp. 10,739 646
Jabil Circuit Inc. 26,500 535
* Novellus Systems Inc. 7,600 275
    77,354
Materials (3.8%)    
EI du Pont de Nemours & Co. 78,563 4,246
Freeport-McMoRan Copper & Gold Inc. 76,900 4,068
Dow Chemical Co. 92,300 3,323
PPG Industries Inc. 31,900 2,896
Eastman Chemical Co. 24,200 2,470
    17,003
Telecommunication Services (3.5%)    
AT&T Inc. 293,235 9,211
Verizon Communications Inc. 165,996 6,180
CenturyLink Inc. 7,820 316
    15,707
Utilities (3.5%)    
Northeast Utilities 72,700 2,557

 


 

Structured Large-Cap Equity Fund        
 
 
 
* AES Corp.     200,400 2,553
CMS Energy Corp.     129,438 2,549
TECO Energy Inc.     125,100 2,363
Pepco Holdings Inc.     114,700 2,252
Ameren Corp.     48,700 1,404
Integrys Energy Group Inc.     25,000 1,296
Pinnacle West Capital Corp.     11,000 490
Sempra Energy     3,400 180
Entergy Corp.     800 55
        15,699
Total Common Stocks (Cost $356,354)       447,785
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investments (0.2%)1        
Money Market Fund (0.1%)        
2 Vanguard Market Liquidity Fund 0.140%   641,000 641
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (0.1%)        
3,4 Federal Home Loan Bank Discount Notes 0.050% 8/5/11 200 200
Total Temporary Cash Investments (Cost $840)       841
Total Investments (99.9%) (Cost $357,194)       448,626
Other Assets and Liabilities-Net (0.1%)       282
Net Assets (100%)       448,908

* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and (0.1%), respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.

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


 

Structured Large-Cap Equity Fund

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

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

The following table summarizes the 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 447,785
Temporary Cash Investments 641 200
Futures Contracts—Assets1 10
Total 448,436 200
1 Represents variation margin on the last day of the reporting period.      

 

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

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

At 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 2 658 17
E-mini S&P 500 Index September 2011 7 460 15

 

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


 

Structured Large-Cap Equity Fund

D. At June 30, 2011, the cost of investment securities for tax purposes was $357,194,000. Net unrealized appreciation of investment securities for tax purposes was $91,432,000, consisting of unrealized gains of $94,430,000 on securities that had risen in value since their purchase and $2,998,000 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 QUANTITATIVE FUNDS
 
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 QUANTITATIVE FUNDS
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: August 18, 2011

  VANGUARD QUANTITATIVE FUNDS
 
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.