N-Q 1 quantitative_final.htm quantitative_final.htm - Generated by SEC Publisher for SEC Filing

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

 

Investment Company Act file number:   811-4526  

 

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  

 

Date of fiscal year end:  September 30th

 

Date of reporting period:  December 31, 2011

 

Item 1: Schedule of Investments

  

 

 

Vanguard Growth and Income Fund

Schedule of Investments
As of December 31, 2011

    Market
    Value
  Shares ($000)
Common Stocks (96.5%)1    
Consumer Discretionary (10.7%)    
McDonald's Corp. 349,041 35,019
Home Depot Inc. 596,213 25,065
Time Warner Inc. 677,603 24,489
* priceline.com Inc. 46,562 21,777
Starbucks Corp. 404,717 18,621
News Corp. Class A 999,956 17,839
Viacom Inc. Class B 317,300 14,409
Macy's Inc. 441,800 14,217
* DIRECTV Class A 326,257 13,951
Walt Disney Co. 371,700 13,939
Coach Inc. 219,400 13,392
* O'Reilly Automotive Inc. 151,500 12,112
CBS Corp. Class B 428,960 11,642
Wyndham Worldwide Corp. 274,000 10,365
* AutoZone Inc. 30,157 9,800
* Bed Bath & Beyond Inc. 167,200 9,693
TJX Cos. Inc. 143,100 9,237
Time Warner Cable Inc. 142,000 9,027
Lowe's Cos. Inc. 339,400 8,614
Comcast Corp. Class A 356,481 8,452
Wynn Resorts Ltd. 73,205 8,088
* Big Lots Inc. 200,258 7,562
* Amazon.com Inc. 43,438 7,519
Gap Inc. 394,052 7,310
Limited Brands Inc. 172,978 6,980
McGraw-Hill Cos. Inc. 154,877 6,965
* Goodyear Tire & Rubber Co. 481,600 6,824
Harley-Davidson Inc. 174,000 6,763
* Apollo Group Inc. Class A 108,434 5,841
Ralph Lauren Corp. Class A 42,300 5,841
Genuine Parts Co. 88,789 5,434
Washington Post Co. Class B 12,401 4,673
Yum! Brands Inc. 75,034 4,428
Family Dollar Stores Inc. 75,511 4,354
NIKE Inc. Class B 38,993 3,758
Nordstrom Inc. 67,095 3,335
* Discovery Communications Inc. 75,000 2,827
Mattel Inc. 96,079 2,667
Staples Inc. 171,600 2,384
Best Buy Co. Inc. 74,300 1,736
Harman International Industries Inc. 42,700 1,624
Abercrombie & Fitch Co. 31,600 1,543
Newell Rubbermaid Inc. 94,000 1,518
Marriott International Inc. Class A 39,400 1,149
DeVry Inc. 28,666 1,102
Tiffany & Co. 13,810 915
Kohl's Corp. 18,346 905
* Coinstar Inc. 17,200 785
Hasbro Inc. 23,419 747

 

 

* Orbitz Worldwide Inc. 181,014 681
Interpublic Group of Cos. Inc. 68,959 671
* PulteGroup Inc. 97,700 616
* Aeropostale Inc. 36,800 561
* Boyd Gaming Corp. 74,600 557
International Game Technology 28,000 482
Ameristar Casinos Inc. 23,800 411
* Pier 1 Imports Inc. 29,471 411
* Ascena Retail Group Inc. 11,300 336
Scripps Networks Interactive Inc. Class A 7,495 318
H&R Block Inc. 18,900 309
* Career Education Corp. 34,944 278
* Penn National Gaming Inc. 5,443 207
* Barnes & Noble Inc. 13,600 197
Magna International Inc. 5,909 197
Blyth Inc. 3,260 185
* LodgeNet Interactive Corp. 75,900 181
* Pinnacle Entertainment Inc. 17,643 179
Ryland Group Inc. 10,700 169
Expedia Inc. 5,800 168
* Liberty Global Inc. Class A 4,100 168
Brunswick Corp. 8,900 161
Rent-A-Center Inc. 4,205 156
CTC Media Inc. 17,700 155
* Perry Ellis International Inc. 10,600 151
Six Flags Entertainment Corp. 3,600 148
Lithia Motors Inc. Class A 6,500 142
Ethan Allen Interiors Inc. 5,800 138
* Charter Communications Inc. Class A 2,359 134
Finish Line Inc. Class A 6,200 120
PEP Boys-Manny Moe & Jack 10,055 111
RadioShack Corp. 11,200 109
Target Corp. 2,122 109
Meredith Corp. 3,200 104
* Liz Claiborne Inc. 12,000 104
* Capella Education Co. 2,700 97
* Red Robin Gourmet Burgers Inc. 3,400 94
* Scientific Games Corp. Class A 9,700 94
* G-III Apparel Group Ltd. 3,500 87
Weight Watchers International Inc. 1,550 85
International Speedway Corp. Class A 3,200 81
Chico's FAS Inc. 7,200 80
* Cumulus Media Inc. Class A 23,701 79
PF Chang's China Bistro Inc. 2,300 71
Fred's Inc. Class A 4,400 64
* Wet Seal Inc. Class A 18,745 61
* Warnaco Group Inc. 1,200 60
* Carter's Inc. 1,500 60
DR Horton Inc. 4,043 51
Vail Resorts Inc. 1,200 51
* TripAdvisor Inc. 2,000 50
* Smith & Wesson Holding Corp. 10,500 46
Strayer Education Inc. 400 39
* Education Management Corp. 1,300 36
HOT Topic Inc. 5,119 34
* Charming Shoppes Inc. 6,700 33
* Knology Inc. 2,200 31

 

 

  DSW Inc. Class A 700 31
* Carmike Cinemas Inc. 4,400 30
  Cablevision Systems Corp. Class A 2,100 30
* Conn's Inc. 2,536 28
  Gannett Co. Inc. 2,032 27
* Universal Technical Institute Inc. 2,084 27
* DineEquity Inc. 600 25
  CPI Corp. 12,273 22
* Ford Motor Co. 2,000 22
* Sonic Corp. 2,900 20
*,^ Sears Holdings Corp. 600 19
* Coldwater Creek Inc. 15,600 18
* Town Sports International Holdings Inc. 2,007 15
  Cato Corp. Class A 600 15
* Jack in the Box Inc. 600 13
  Arcos Dorados Holdings Inc. Class A 600 12
  Texas Roadhouse Inc. Class A 800 12
* Urban Outfitters Inc. 421 12
  Leggett & Platt Inc. 500 12
  Stage Stores Inc. 800 11
  Regal Entertainment Group Class A 800 10
* Valuevision Media Inc. Class A 4,600 9
* Domino's Pizza Inc. 230 8
* Dex One Corp. 4,600 8
  Sonic Automotive Inc. Class A 500 7
  Stewart Enterprises Inc. Class A 1,200 7
* GNC Holdings Inc. 200 6
* New York & Co. Inc. 1,700 5
* Overstock.com Inc. 500 4
  HSN Inc. 100 4
  Carnival Corp. 105 3
* ReachLocal Inc. 400 2
* Bally Technologies Inc. 30 1
* Isle of Capri Casinos Inc. 200 1
* Marriott Vacations Worldwide Corp. 49 1
* Orchard Supply Hardware Stores Corp. Class A 85 1
  Nutrisystem Inc. 28 —
  Buckle Inc. 2 —
* Orchard Supply Hardware Stores Corp. Pfd. 85 —
      428,223
Consumer Staples (9.9%)    
  Philip Morris International Inc. 832,307 65,319
  Procter & Gamble Co. 951,254 63,458
  Wal-Mart Stores Inc. 620,741 37,095
  Coca-Cola Co. 489,917 34,280
  Altria Group Inc. 1,039,168 30,811
  Lorillard Inc. 157,829 17,993
  Walgreen Co. 442,200 14,619
  CVS Caremark Corp. 320,319 13,063
  Colgate-Palmolive Co. 135,990 12,564
  PepsiCo Inc. 188,421 12,502
  Kroger Co. 438,597 10,623
  Kimberly-Clark Corp. 140,361 10,325
  Kraft Foods Inc. 247,843 9,259
  Dr Pepper Snapple Group Inc. 210,994 8,330
  Estee Lauder Cos. Inc. Class A 73,500 8,256
  Whole Foods Market Inc. 118,110 8,218

 

 

Coca-Cola Enterprises Inc. 291,700 7,520
Hershey Co. 120,500 7,444
Reynolds American Inc. 168,753 6,990
* Constellation Brands Inc. Class A 317,600 6,565
Sysco Corp. 117,199 3,437
Tyson Foods Inc. Class A 97,900 2,021
ConAgra Foods Inc. 68,883 1,819
Safeway Inc. 61,300 1,290
Beam Inc. 15,900 815
* Dean Foods Co. 49,600 556
Clorox Co. 8,300 552
Avon Products Inc. 28,600 500
* Fresh Market Inc. 11,400 455
SUPERVALU Inc. 55,600 451
Sara Lee Corp. 20,953 396
Mead Johnson Nutrition Co. 4,473 307
* Star Scientific Inc. 38,681 84
Hormel Foods Corp. 2,153 63
Cosan Ltd. 5,600 61
* Smart Balance Inc. 7,663 41
* Spectrum Brands Holdings Inc. 1,300 36
* Central European Distribution Corp. 8,000 35
* Pantry Inc. 1,000 12
* Dole Food Co. Inc. 400 3
* Central Garden and Pet Co. Class A 224 2
    398,170
Energy (11.5%)    
Exxon Mobil Corp. 1,557,214 131,989
Chevron Corp. 785,539 83,581
ConocoPhillips 874,184 63,702
Occidental Petroleum Corp. 311,695 29,206
National Oilwell Varco Inc. 231,584 15,745
Anadarko Petroleum Corp. 169,296 12,922
Marathon Petroleum Corp. 366,200 12,191
Schlumberger Ltd. 177,435 12,121
Devon Energy Corp. 190,891 11,835
Spectra Energy Corp. 369,000 11,347
Marathon Oil Corp. 384,434 11,252
Valero Energy Corp. 409,300 8,616
Diamond Offshore Drilling Inc. 132,900 7,344
* Tesoro Corp. 276,350 6,456
Helmerich & Payne Inc. 105,844 6,177
Apache Corp. 65,444 5,928
Noble Energy Inc. 54,998 5,191
Williams Cos. Inc. 104,100 3,437
Range Resources Corp. 49,605 3,073
* Denbury Resources Inc. 199,000 3,005
Halliburton Co. 80,024 2,762
Chesapeake Energy Corp. 95,600 2,131
Cabot Oil & Gas Corp. 23,700 1,799
Pioneer Natural Resources Co. 19,596 1,753
* FMC Technologies Inc. 32,863 1,716
Murphy Oil Corp. 25,671 1,431
Baker Hughes Inc. 25,781 1,254
* Cheniere Energy Inc. 129,500 1,125
El Paso Corp. 37,178 988
Talisman Energy Inc. 49,462 631

 

 

* Hercules Offshore Inc. 69,012 306
* Exterran Holdings Inc. 28,196 257
W&T Offshore Inc. 10,580 224
Crosstex Energy Inc. 12,600 159
* Contango Oil & Gas Co. 2,200 128
* Petroleum Development Corp. 3,500 123
* Energy Partners Ltd. 5,500 80
* Helix Energy Solutions Group Inc. 4,100 65
* ATP Oil & Gas Corp. 8,800 65
* Endeavour International Corp. 6,714 58
* USEC Inc. 43,900 50
QEP Resources Inc. 1,600 47
Teekay Tankers Ltd. Class A 12,500 44
Overseas Shipholding Group Inc. 3,577 39
* Tetra Technologies Inc. 3,500 33
* Cloud Peak Energy Inc. 1,300 25
* Callon Petroleum Co. 4,900 24
* Enbridge Energy Management LLC 700 24
* Nabors Industries Ltd. 1,312 23
Alon USA Energy Inc. 2,600 23
* Superior Energy Services Inc. 767 22
* Harvest Natural Resources Inc. 2,900 21
* Newfield Exploration Co. 509 19
Teekay Corp. 400 11
* Southwestern Energy Co. 300 10
* Patriot Coal Corp. 900 8
Delek US Holdings Inc. 500 6
EQT Corp. 100 5
Bristow Group Inc. 100 5
* Alpha Natural Resources Inc. 200 4
    462,616
Exchange-Traded Fund (0.1%)    
SPDR S&P 500 ETF Trust 49,800 6,250
 
Financials (13.3%)    
JPMorgan Chase & Co. 1,345,334 44,732
Wells Fargo & Co. 1,521,769 41,940
* Berkshire Hathaway Inc. Class B 514,355 39,245
Simon Property Group Inc. 198,713 25,622
CME Group Inc. 104,188 25,387
American Express Co. 452,263 21,333
Public Storage 144,489 19,428
Marsh & McLennan Cos. Inc. 550,625 17,411
US Bancorp 564,941 15,282
* NASDAQ OMX Group Inc. 595,622 14,599
Torchmark Corp. 332,200 14,414
Discover Financial Services 559,600 13,430
Franklin Resources Inc. 118,250 11,359
Aflac Inc. 254,820 11,024
ACE Ltd. 153,600 10,770
T Rowe Price Group Inc. 188,366 10,727
Chubb Corp. 151,209 10,467
Goldman Sachs Group Inc. 108,600 9,821
Capital One Financial Corp. 228,634 9,669
HCP Inc. 228,945 9,485
Citigroup Inc. 325,134 8,554
Morgan Stanley 557,200 8,430

 

 

Bank of America Corp. 1,443,500 8,026
PNC Financial Services Group Inc. 137,339 7,920
AvalonBay Communities Inc. 60,289 7,874
Unum Group 372,286 7,844
Moody's Corp. 221,950 7,475
Legg Mason Inc. 265,692 6,390
Ameriprise Financial Inc. 109,184 5,420
ProLogis Inc. 189,200 5,409
Leucadia National Corp. 231,287 5,259
Assurant Inc. 127,661 5,242
Prudential Financial Inc. 98,500 4,937
Equity Residential 82,339 4,696
American International Group Inc. 202,000 4,686
Federated Investors Inc. Class B 295,162 4,472
People's United Financial Inc. 340,692 4,378
Invesco Ltd. 191,255 3,842
M&T Bank Corp. 41,386 3,159
BB&T Corp. 119,900 3,018
Fifth Third Bancorp 231,600 2,946
Plum Creek Timber Co. Inc. 80,386 2,939
Loews Corp. 72,700 2,737
Travelers Cos. Inc. 43,216 2,557
Hudson City Bancorp Inc. 392,600 2,454
Erie Indemnity Co. Class A 25,106 1,962
Boston Properties Inc. 15,244 1,518
Regions Financial Corp. 330,600 1,422
Ventas Inc. 25,000 1,378
* First Industrial Realty Trust Inc. 132,900 1,360
Kimco Realty Corp. 79,420 1,290
Hartford Financial Services Group Inc. 78,000 1,267
Healthcare Realty Trust Inc. 61,100 1,136
Principal Financial Group Inc. 43,180 1,062
SunTrust Banks Inc. 58,900 1,043
Lincoln National Corp. 52,764 1,025
Apartment Investment & Management Co. 42,956 984
* IntercontinentalExchange Inc. 7,500 904
MI Developments Inc. 27,900 892
* E*Trade Financial Corp. 97,937 780
* eHealth Inc. 41,259 607
* CNO Financial Group Inc. 89,600 565
KeyCorp 71,365 549
* Genworth Financial Inc. Class A 81,100 531
First Horizon National Corp. 57,000 456
Zions Bancorporation 26,800 436
NYSE Euronext 13,254 346
Cincinnati Financial Corp. 10,077 307
Transatlantic Holdings Inc. 5,600 306
* CBRE Group Inc. Class A 18,700 285
RLJ Lodging Trust 16,700 281
* iStar Financial Inc. 49,637 263
* NewStar Financial Inc. 24,100 245
Och-Ziff Capital Management Group LLC Class A 26,248 221
Huntington Bancshares Inc. 36,900 203
Bank of New York Mellon Corp. 8,478 169
Equity Lifestyle Properties Inc. 2,500 167
American Equity Investment Life Holding Co. 14,500 151
Potlatch Corp. 4,600 143

 

 

MarketAxess Holdings Inc. 4,600 139
Post Properties Inc. 3,000 131
Willis Group Holdings plc 3,100 120
* First Cash Financial Services Inc. 3,300 116
* Ezcorp Inc. Class A 4,386 116
Employers Holdings Inc. 5,900 107
United Bankshares Inc. 3,600 102
Umpqua Holdings Corp. 7,600 94
Horace Mann Educators Corp. 6,600 90
PS Business Parks Inc. 1,600 89
Allstate Corp. 2,700 74
Charles Schwab Corp. 6,216 70
Brookfield Office Properties Inc. 4,000 63
Northern Trust Corp. 1,500 59
* Sterling Financial Corp. 3,500 58
* Central Pacific Financial Corp. 4,300 56
Progressive Corp. 2,700 53
Equity One Inc. 3,000 51
Protective Life Corp. 2,200 50
Newcastle Investment Corp. 9,786 45
UDR Inc. 1,600 40
DuPont Fabros Technology Inc. 1,600 39
BlackRock Inc. 209 37
Prospect Capital Corp. 3,101 29
Valley National Bancorp 2,300 28
Ashford Hospitality Trust Inc. 3,331 27
PrivateBancorp Inc. Class A 2,400 26
FXCM Inc. Class A 2,700 26
FNB Corp. 2,233 25
CapitalSource Inc. 3,400 23
Brookline Bancorp Inc. 2,620 22
* Sunstone Hotel Investors Inc. 2,600 21
First Financial Bancorp 1,114 19
* Investment Technology Group Inc. 1,680 18
Delphi Financial Group Inc. 400 18
* Popular Inc. 11,500 16
Symetra Financial Corp. 1,679 15
* United Community Banks Inc. 1,811 13
* Strategic Hotels & Resorts Inc. 2,200 12
BGC Partners Inc. Class A 1,960 12
* Portfolio Recovery Associates Inc. 172 12
Flushing Financial Corp. 800 10
* ICG Group Inc. 1,300 10
Piedmont Office Realty Trust Inc. Class A 500 9
Washington Real Estate Investment Trust 300 8
* Netspend Holdings Inc. 1,000 8
Oritani Financial Corp. 400 5
Compass Diversified Holdings 400 5
NorthStar Realty Finance Corp. 800 4
First Financial Bankshares Inc. 100 3
* FelCor Lodging Trust Inc. 800 2
* BBCN Bancorp Inc. 200 2
* Phoenix Cos. Inc. 480 1
Comerica Inc. 13 —
    533,291
Health Care (11.7%)    
Pfizer Inc. 3,948,184 85,439

 

 

Johnson & Johnson 850,909 55,803
Merck & Co. Inc. 1,056,296 39,822
Abbott Laboratories 640,123 35,994
Bristol-Myers Squibb Co. 955,712 33,679
UnitedHealth Group Inc. 621,398 31,492
WellPoint Inc. 407,462 26,994
Eli Lilly & Co. 551,775 22,932
Covidien plc 346,700 15,605
Aetna Inc. 285,068 12,027
Baxter International Inc. 230,168 11,389
* Biogen Idec Inc. 102,989 11,334
Medtronic Inc. 291,153 11,137
Humana Inc. 119,913 10,506
* Celgene Corp. 137,400 9,288
* Tenet Healthcare Corp. 1,545,777 7,930
Amgen Inc. 99,800 6,408
Cigna Corp. 149,700 6,287
St. Jude Medical Inc. 136,000 4,665
Becton Dickinson and Co. 55,402 4,140
* Forest Laboratories Inc. 121,467 3,676
PerkinElmer Inc. 167,980 3,360
Stryker Corp. 66,693 3,315
* Mylan Inc. 99,000 2,124
* Agilent Technologies Inc. 49,800 1,739
* Express Scripts Inc. 35,531 1,588
* Zimmer Holdings Inc. 19,000 1,015
* Thermo Fisher Scientific Inc. 20,800 935
* Medco Health Solutions Inc. 15,900 889
* Intuitive Surgical Inc. 1,822 844
* Boston Scientific Corp. 108,600 580
* XenoPort Inc. 137,455 524
* Idenix Pharmaceuticals Inc. 66,900 498
* Theravance Inc. 22,100 488
* Myriad Genetics Inc. 21,159 443
* Valeant Pharmaceuticals International Inc. 8,100 378
* Viropharma Inc. 9,500 260
* Neurocrine Biosciences Inc. 25,722 219
* Furiex Pharmaceuticals Inc. 12,200 204
* Allos Therapeutics Inc. 143,374 204
* Watson Pharmaceuticals Inc. 3,300 199
* Brookdale Senior Living Inc. Class A 10,800 188
Patterson Cos. Inc. 6,264 185
* Pain Therapeutics Inc. 43,149 164
* Zoll Medical Corp. 2,100 133
Medicis Pharmaceutical Corp. Class A 3,500 116
* Pharmacyclics Inc. 7,700 114
* Enzon Pharmaceuticals Inc. 16,538 111
* AngioDynamics Inc. 6,500 96
Hill-Rom Holdings Inc. 2,431 82
* NPS Pharmaceuticals Inc. 10,653 70
* Halozyme Therapeutics Inc. 7,300 69
* Oncothyreon Inc. 9,033 68
* Warner Chilcott plc Class A 4,500 68
* MedAssets Inc. 5,800 54
* AMAG Pharmaceuticals Inc. 2,437 46
* Biosante Pharmaceuticals Inc. 69,800 35
* Dynavax Technologies Corp. 10,500 35

 

 

* Pozen Inc. 7,353 29
* Arqule Inc. 4,200 24
* PharMerica Corp. 1,500 23
* TranS1 Inc. 10,180 19
* Sciclone Pharmaceuticals Inc. 4,200 18
* Emergent Biosolutions Inc. 1,067 18
* Ligand Pharmaceuticals Inc. Class B 1,400 17
* SonoSite Inc. 300 16
* Spectrum Pharmaceuticals Inc. 1,100 16
* Rigel Pharmaceuticals Inc. 1,900 15
* LCA-Vision Inc. 4,755 14
* Isis Pharmaceuticals Inc. 1,600 11
Chemed Corp. 200 10
* Biolase Technology Inc. 3,636 9
* Vanda Pharmaceuticals Inc. 1,958 9
* Sunrise Senior Living Inc. 1,438 9
* Alkermes plc 500 9
* Endocyte Inc. 2,300 9
* GTx Inc. 2,000 7
* Alnylam Pharmaceuticals Inc. 745 6
* Align Technology Inc. 202 5
* Neoprobe Corp. 1,466 4
* Curis Inc. 800 4
* Thoratec Corp. 100 3
* Amylin Pharmaceuticals Inc. 200 2
* Orexigen Therapeutics Inc. 1,300 2
* Optimer Pharmaceuticals Inc. 137 2
    468,297
Industrials (10.1%)    
General Electric Co. 2,975,215 53,286
General Dynamics Corp. 504,881 33,529
Union Pacific Corp. 261,335 27,686
Lockheed Martin Corp. 286,354 23,166
Norfolk Southern Corp. 313,202 22,820
Tyco International Ltd. 469,480 21,929
Northrop Grumman Corp. 359,935 21,049
Caterpillar Inc. 225,471 20,428
United Technologies Corp. 272,300 19,902
United Parcel Service Inc. Class B 188,893 13,825
Precision Castparts Corp. 81,367 13,408
L-3 Communications Holdings Inc. 197,385 13,162
CSX Corp. 570,615 12,017
Honeywell International Inc. 214,400 11,653
Raytheon Co. 233,631 11,303
Equifax Inc. 276,600 10,716
WW Grainger Inc. 47,059 8,809
Emerson Electric Co. 120,329 5,606
Republic Services Inc. Class A 202,200 5,571
3M Co. 65,600 5,362
Southwest Airlines Co. 552,995 4,734
Parker Hannifin Corp. 60,694 4,628
Cummins Inc. 44,267 3,896
Expeditors International of Washington Inc. 89,100 3,650
* Sensata Technologies Holding NV 113,600 2,985
PACCAR Inc. 76,600 2,870
Snap-on Inc. 53,822 2,724
Deere & Co. 32,300 2,498

 

 

Fluor Corp. 46,189 2,321
Covanta Holding Corp. 168,300 2,304
Pitney Bowes Inc. 100,300 1,860
Illinois Tool Works Inc. 37,650 1,759
Rockwell Automation Inc. 19,337 1,419
Flowserve Corp. 12,700 1,261
Ryder System Inc. 22,426 1,192
Boeing Co. 14,697 1,078
Pall Corp. 16,742 957
* Nielsen Holdings NV 31,600 938
* Verisk Analytics Inc. Class A 19,300 775
Masco Corp. 50,800 532
Cintas Corp. 13,633 475
* WABCO Holdings Inc. 10,700 464
* Atlas Air Worldwide Holdings Inc. 9,129 351
Dun & Bradstreet Corp. 4,600 344
Avery Dennison Corp. 11,100 318
Stanley Black & Decker Inc. 4,390 297
* FuelCell Energy Inc. 326,100 284
* AerCap Holdings NV 20,900 236
Fastenal Co. 5,300 231
Eaton Corp. 4,531 197
* Jacobs Engineering Group Inc. 4,600 187
* Swift Transportation Co. 21,100 174
Acuity Brands Inc. 2,500 133
Deluxe Corp. 5,600 127
* Old Dominion Freight Line Inc. 2,700 109
* Alaska Air Group Inc. 1,400 105
Federal Signal Corp. 24,806 103
KBR Inc. 3,600 100
Xylem Inc. 3,820 98
* EnerNOC Inc. 8,416 91
Quad/Graphics Inc. 6,237 89
* Meritor Inc. 13,100 70
CH Robinson Worldwide Inc. 970 68
* Navistar International Corp. 1,700 64
Granite Construction Inc. 2,100 50
* GrafTech International Ltd. 3,166 43
* Copart Inc. 900 43
* MasTec Inc. 2,144 37
* SYKES Enterprises Inc. 2,000 31
Arkansas Best Corp. 1,600 31
* Accuride Corp. 3,762 27
* Hexcel Corp. 1,100 27
* Navigant Consulting Inc. 2,100 24
* Pendrell Corp. 8,990 23
* Ceradyne Inc. 810 22
LB Foster Co. Class A 694 20
Brink's Co. 700 19
Crane Co. 398 19
* Shaw Group Inc. 600 16
* Pacer International Inc. 2,800 15
Textainer Group Holdings Ltd. 500 15
Cooper Industries plc 200 11
Belden Inc. 300 10
Barnes Group Inc. 400 10
* Middleby Corp. 100 9

 

 

* KEYW Holding Corp. 1,236 9
JB Hunt Transport Services Inc. 200 9
* Odyssey Marine Exploration Inc. 2,800 8
Comfort Systems USA Inc. 600 6
* Consolidated Graphics Inc. 100 5
* Beacon Roofing Supply Inc. 200 4
* ACCO Brands Corp. 400 4
* EnerSys 100 3
* Spirit Aerosystems Holdings Inc. Class A 100 2
* American Reprographics Co. 100 —
* Kforce Inc. 34 —
    404,875
Information Technology (19.1%)    
* Apple Inc. 381,323 154,436
International Business Machines Corp. 464,001 85,320
Microsoft Corp. 3,231,247 83,883
Intel Corp. 2,287,109 55,462
* Google Inc. Class A 72,513 46,836
Oracle Corp. 1,355,325 34,764
Qualcomm Inc. 627,406 34,319
Visa Inc. Class A 300,841 30,544
Cisco Systems Inc. 1,439,709 26,030
Mastercard Inc. Class A 64,639 24,099
Accenture plc Class A 339,818 18,089
Motorola Solutions Inc. 311,700 14,429
* Dell Inc. 882,884 12,917
* Novellus Systems Inc. 284,450 11,745
Hewlett-Packard Co. 370,500 9,544
* Symantec Corp. 573,200 8,971
Intuit Inc. 153,500 8,073
* NVIDIA Corp. 535,400 7,421
* Western Digital Corp. 233,200 7,218
* eBay Inc. 233,266 7,075
Jabil Circuit Inc. 345,700 6,796
* Marvell Technology Group Ltd. 400,836 5,552
* Cognizant Technology Solutions Corp. Class A 78,448 5,045
VeriSign Inc. 119,100 4,254
* LSI Corp. 570,000 3,391
Texas Instruments Inc. 115,102 3,351
Corning Inc. 233,100 3,026
Automatic Data Processing Inc. 55,602 3,003
KLA-Tencor Corp. 60,005 2,895
Analog Devices Inc. 79,184 2,833
* Yahoo! Inc. 170,982 2,758
* Red Hat Inc. 65,756 2,715
* Compuware Corp. 324,211 2,697
* Akamai Technologies Inc. 83,472 2,694
* Zebra Technologies Corp. 64,000 2,290
* Salesforce.com Inc. 22,500 2,283
* Citrix Systems Inc. 33,300 2,022
Applied Materials Inc. 169,309 1,813
* Fiserv Inc. 27,102 1,592
* Magma Design Automation Inc. 214,400 1,539
* SanDisk Corp. 31,200 1,535
* AOL Inc. 100,200 1,513
Lexmark International Inc. Class A 42,000 1,389
* Quest Software Inc. 72,200 1,343

 

 

* Micron Technology Inc. 191,700 1,206
* Autodesk Inc. 39,000 1,183
Paychex Inc. 38,300 1,153
* Sina Corp. 21,000 1,092
Harris Corp. 30,293 1,092
* Electronic Arts Inc. 49,400 1,018
* F5 Networks Inc. 8,700 923
* Juniper Networks Inc. 44,779 914
Linear Technology Corp. 27,967 840
Avago Technologies Ltd. 26,499 765
* BMC Software Inc. 21,300 698
Microchip Technology Inc. 17,878 655
* Acxiom Corp. 46,500 568
Xerox Corp. 52,400 417
* Entegris Inc. 41,200 359
* Research In Motion Ltd. 21,400 310
Fidelity National Information Services Inc. 10,700 285
Seagate Technology plc 16,052 263
* Agilysys Inc. 30,416 242
* Tekelec 21,700 237
* Amkor Technology Inc. 37,200 162
* Digital River Inc. 10,300 155
Fair Isaac Corp. 3,935 141
* STEC Inc. 15,818 136
Computer Sciences Corp. 5,300 126
Earthlink Inc. 18,558 120
* Ancestry.com Inc. 4,366 100
* Kulicke & Soffa Industries Inc. 10,400 96
* Flextronics International Ltd. 16,500 93
Micrel Inc. 8,779 89
* Aspen Technology Inc. 5,042 87
* LTX-Credence Corp. 14,300 76
* Photronics Inc. 11,700 71
* Global Cash Access Holdings Inc. 15,900 71
* Tessera Technologies Inc. 4,000 67
MKS Instruments Inc. 2,400 67
* Entropic Communications Inc. 11,900 61
* Convergys Corp. 4,600 59
* Ingram Micro Inc. 3,200 58
* Demand Media Inc. 8,100 54
* JDS Uniphase Corp. 4,900 51
Cypress Semiconductor Corp. 2,600 44
* Yandex NV Class A 2,123 42
* Web.com Group Inc. 3,500 40
* IntraLinks Holdings Inc. 5,900 37
* OSI Systems Inc. 700 34
* Arris Group Inc. 3,000 32
Tellabs Inc. 7,605 31
TE Connectivity Ltd. 905 28
* WebMD Health Corp. 700 26
* Lam Research Corp. 700 26
* Freescale Semiconductor Holdings I Ltd. 1,700 21
* Applied Micro Circuits Corp. 3,100 21
* Teradyne Inc. 1,500 20
* THQ Inc. 26,300 20
* Active Network Inc. 1,400 19
Altera Corp. 500 19

 

 

* Infinera Corp. 2,600 16
* ValueClick Inc. 800 13
* Checkpoint Systems Inc. 1,100 12
* Imation Corp. 1,800 10
* Integrated Device Technology Inc. 1,500 8
* Advent Software Inc. 300 7
* Silicon Image Inc. 1,500 7
* Symmetricom Inc. 1,106 6
* ShoreTel Inc. 800 5
* Quantum Corp. 2,049 5
* Polycom Inc. 300 5
* Zix Corp. 1,700 5
* TIBCO Software Inc. 200 5
* Amtech Systems Inc. 500 4
* Smith Micro Software Inc. 3,500 4
* Glu Mobile Inc. 1,200 4
* Arrow Electronics Inc. 100 4
* Advanced Analogic Technologies Inc. 600 3
* UTStarcom Holdings Corp. 2,038 3
OPNET 66 2
* PLX Technology Inc. 600 2
* Monster Worldwide Inc. 200 2
* Websense Inc. 82 2
* Network Equipment Technologies Inc. 600 1
    766,259
Materials (3.3%)    
Freeport-McMoRan Copper & Gold Inc. 784,857 28,875
Monsanto Co. 271,900 19,052
CF Industries Holdings Inc. 104,909 15,210
Newmont Mining Corp. 198,817 11,931
International Flavors & Fragrances Inc. 176,196 9,236
EI du Pont de Nemours & Co. 193,946 8,879
International Paper Co. 273,700 8,102
Eastman Chemical Co. 194,980 7,616
PPG Industries Inc. 47,000 3,924
Airgas Inc. 45,759 3,573
Sealed Air Corp. 159,700 2,748
Dow Chemical Co. 82,900 2,384
Ecolab Inc. 40,533 2,343
Nucor Corp. 48,800 1,931
FMC Corp. 16,800 1,446
Sherwin-Williams Co. 6,800 607
Ball Corp. 15,400 550
MeadWestvaco Corp. 17,984 539
Innophos Holdings Inc. 8,800 427
Sigma-Aldrich Corp. 6,500 406
* Georgia Gulf Corp. 19,300 376
Pan American Silver Corp. 15,500 338
Titanium Metals Corp. 22,297 334
Boise Inc. 42,400 302
* Mercer International Inc. 47,100 287
Mosaic Co. 4,600 232
* Headwaters Inc. 96,500 214
* Owens-Illinois Inc. 7,100 138
* Jaguar Mining Inc. 17,400 111
Worthington Industries Inc. 5,780 95
* Rockwood Holdings Inc. 1,800 71

 

 

Domtar Corp. 800 64
Albemarle Corp. 1,122 58
* Aurizon Mines Ltd. 9,779 48
Aptargroup Inc. 800 42
* WR Grace & Co. 900 41
* OM Group Inc. 1,396 31
* General Moly Inc. 8,500 26
Air Products & Chemicals Inc. 300 26
Packaging Corp. of America 800 20
Valspar Corp. 400 16
* Stillwater Mining Co. 1,400 15
* Novagold Resources Inc. 1,700 14
* Golden Star Resources Ltd. 7,900 13
* Century Aluminum Co. 1,500 13
* Allied Nevada Gold Corp. 400 12
* Seabridge Gold Inc. 700 11
American Vanguard Corp. 600 8
* Rare Element Resources Ltd. 1,030 3
* Silver Standard Resources Inc. 100 1
    132,739
Telecommunication Services (3.6%)    
AT&T Inc. 2,563,037 77,506
Verizon Communications Inc. 1,251,539 50,212
American Tower Corp. Class A 161,782 9,709
CenturyLink Inc. 118,800 4,419
* Level 3 Communications Inc. 29,000 493
* MetroPCS Communications Inc. 44,381 385
* Sprint Nextel Corp. 152,100 356
* Vonage Holdings Corp. 99,800 244
* Leap Wireless International Inc. 15,300 142
USA Mobility Inc. 2,653 37
* Clearwire Corp. Class A 13,800 27
Windstream Corp. 1,500 18
    143,548
Utilities (3.2%)    
Northeast Utilities 454,200 16,383
CenterPoint Energy Inc. 674,600 13,553
Public Service Enterprise Group Inc. 364,255 12,024
Duke Energy Corp. 436,800 9,610
American Electric Power Co. Inc. 220,800 9,121
ONEOK Inc. 88,029 7,631
NiSource Inc. 314,500 7,488
DTE Energy Co. 136,000 7,405
* AES Corp. 580,100 6,868
Exelon Corp. 155,500 6,744
FirstEnergy Corp. 127,300 5,639
Ameren Corp. 161,800 5,361
PG&E Corp. 114,300 4,712
Edison International 97,300 4,028
Constellation Energy Group Inc. 69,273 2,748
CMS Energy Corp. 103,200 2,279
Integrys Energy Group Inc. 41,377 2,242
Dominion Resources Inc. 28,994 1,539
* NRG Energy Inc. 51,782 938
NV Energy Inc. 42,200 690
* Calpine Corp. 26,400 431

 

 

Xcel Energy Inc.     13,589 376
Consolidated Edison Inc.     2,407 149
NextEra Energy Inc.     392 24
NorthWestern Corp.     400 14
PNM Resources Inc.     400 7
Pinnacle West Capital Corp.     93 5
        128,009
Total Common Stocks (Cost $3,508,855)       3,872,277
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investments (4.1%)1        
Money Market Fund (3.8%)        
2,3 Vanguard Market Liquidity Fund 0.110%   155,093,475 155,093
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (0.3%)        
4,5 Federal Home Loan Bank Discount Notes 0.060% 1/4/12 100 100
4,5 Federal Home Loan Bank Discount Notes 0.030% 2/8/12 100 100
4,5 Federal Home Loan Bank Discount Notes 0.040% 2/10/12 100 100
4,6 Freddie Mac Discount Notes 0.050% 4/4/12 8,000 7,998
4,6 Freddie Mac Discount Notes 0.050% 4/24/12 3,000 2,999
        11,297
Total Temporary Cash Investments (Cost $166,392)       166,390
Total Investments (100.6%) (Cost $3,675,247)       4,038,667
Other Assets and Liabilities-Net (-0.6%)3       (24,344)
Net Assets (100%)       4,014,323

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $54,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After
giving effect to futures investments, the fund's effective common stock and temporary cash investment positions
represent 99.8% and 0.8%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
3 Includes $67,000 of collateral received for securities on loan.
4 Securities with a value of $11,297,000 have been segregated as initial margin for open futures contracts.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S.
Treasury nor backed by the full faith and credit of the U.S. government.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in
exchange for senior preferred stock.

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

 

Growth and Income Fund

as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

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

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

The following table summarizes the market value of the fund's investments as of December 31, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 3,872,277 — —
Temporary Cash Investments 155,093 11,297 —
Futures Contracts—Assets1 52 — —
Futures Contracts—Liabilities1 (618) — —
Total 4,026,804 11,297 —
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 December 31, 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 March 2012 377 118,058 2,854
E-mini S&P 500 Index March 2012 256 16,033 14

 

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

 

Growth and Income Fund

D. At December 31, 2011, the cost of investment securities for tax purposes was $3,675,247,000. Net unrealized appreciation of investment securities for tax purposes was $363,420,000, consisting of unrealized gains of $471,351,000 on securities that had risen in value since their purchase and $107,931,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Structured Large-Cap Equity Fund

Schedule of Investments
As of December 31, 2011

    Market
    Value
  Shares ($000)
Common Stocks (99.8%)1    
Consumer Discretionary (10.3%)    
Starbucks Corp. 79,645 3,665
* DIRECTV Class A 77,600 3,318
CBS Corp. Class B 119,190 3,235
News Corp. Class A 162,400 2,897
Macy's Inc. 90,000 2,896
* priceline.com Inc. 6,100 2,853
Time Warner Cable Inc. 44,500 2,829
Limited Brands Inc. 64,018 2,583
* AutoZone Inc. 7,860 2,554
Wynn Resorts Ltd. 21,650 2,392
Viacom Inc. Class B 48,340 2,195
* Goodyear Tire & Rubber Co. 143,000 2,026
Target Corp. 36,000 1,844
McDonald's Corp. 16,547 1,660
Wyndham Worldwide Corp. 27,900 1,055
* Bed Bath & Beyond Inc. 17,300 1,003
VF Corp. 7,650 972
Ross Stores Inc. 19,800 941
Harley-Davidson Inc. 17,000 661
* Ford Motor Co. 60,706 653
Harman International Industries Inc. 14,660 558
Ralph Lauren Corp. Class A 3,700 511
* Amazon.com Inc. 2,200 381
Comcast Corp. 10,525 248
Home Depot Inc. 5,075 213
Walt Disney Co. 5,429 204
Coach Inc. 1,200 73
    44,420
Consumer Staples (10.7%)    
Philip Morris International Inc. 95,936 7,529
Procter & Gamble Co. 104,694 6,984
Altria Group Inc. 144,900 4,296
Coca-Cola Co. 53,940 3,774
Walgreen Co. 88,000 2,909
Lorillard Inc. 24,600 2,804
Kroger Co. 104,400 2,529
Coca-Cola Enterprises Inc. 93,700 2,416
* Constellation Brands Inc. Class A 114,500 2,367
Wal-Mart Stores Inc. 37,346 2,232
Colgate-Palmolive Co. 20,300 1,876
PepsiCo Inc. 24,992 1,658
Whole Foods Market Inc. 21,500 1,496
Estee Lauder Cos. Inc. Class A 8,000 899
Tyson Foods Inc. Class A 32,000 660
Hershey Co. 9,000 556
Mead Johnson Nutrition Co. 7,200 495
Dr Pepper Snapple Group Inc. 8,200 324

 

 

Kraft Foods Inc. 6,700 250
    46,054
Energy (12.8%)    
Exxon Mobil Corp. 209,839 17,786
Chevron Corp. 97,556 10,380
ConocoPhillips 84,359 6,147
Marathon Oil Corp. 112,900 3,305
Occidental Petroleum Corp. 31,901 2,989
National Oilwell Varco Inc. 41,300 2,808
Marathon Petroleum Corp. 70,100 2,334
Valero Energy Corp. 101,000 2,126
* Tesoro Corp. 62,700 1,465
Halliburton Co. 42,400 1,463
Schlumberger Ltd. 19,725 1,347
Anadarko Petroleum Corp. 15,850 1,210
Helmerich & Payne Inc. 17,840 1,041
Chesapeake Energy Corp. 45,950 1,024
    55,425
Financials (13.9%)    
JPMorgan Chase & Co. 211,729 7,040
Wells Fargo & Co. 243,435 6,709
US Bancorp 163,024 4,410
American Express Co. 84,000 3,962
ACE Ltd. 45,300 3,176
Chubb Corp. 44,143 3,056
PNC Financial Services Group Inc. 52,800 3,045
Capital One Financial Corp. 67,400 2,850
Discover Financial Services 109,850 2,636
Torchmark Corp. 60,550 2,627
Simon Property Group Inc. 19,900 2,566
Lincoln National Corp. 118,300 2,297
Moody's Corp. 67,100 2,260
* NASDAQ OMX Group Inc. 85,400 2,093
Kimco Realty Corp. 121,800 1,978
* Berkshire Hathaway Inc. Class B 20,505 1,565
Franklin Resources Inc. 14,876 1,429
* Berkshire Hathaway Inc. Class A 11 1,262
HCP Inc. 28,500 1,181
Citigroup Inc. 36,125 951
Unum Group 37,100 782
Marsh & McLennan Cos. Inc. 22,000 696
Ameriprise Financial Inc. 8,500 422
Prudential Financial Inc. 8,100 406
Bank of America Corp. 47,553 264
* CBRE Group Inc. Class A 9,600 146
Public Storage 600 81
    59,890
Health Care (12.0%)    
Pfizer Inc. 400,219 8,661
Johnson & Johnson 76,046 4,987
Bristol-Myers Squibb Co. 132,300 4,662
UnitedHealth Group Inc. 88,154 4,468
Eli Lilly & Co. 94,687 3,935
* Biogen Idec Inc. 28,000 3,081
Humana Inc. 34,120 2,989
WellPoint Inc. 42,500 2,816

 

 

AmerisourceBergen Corp. Class A 67,798 2,521
* Agilent Technologies Inc. 70,750 2,471
McKesson Corp. 29,400 2,291
* Watson Pharmaceuticals Inc. 37,840 2,283
Merck & Co. Inc. 54,644 2,060
Aetna Inc. 42,870 1,809
Cigna Corp. 33,100 1,390
Abbott Laboratories 19,868 1,117
Baxter International Inc. 2,600 129
    51,670
Industrials (10.4%)    
General Electric Co. 532,022 9,528
Union Pacific Corp. 39,500 4,185
Honeywell International Inc. 72,200 3,924
Caterpillar Inc. 35,900 3,253
Norfolk Southern Corp. 42,700 3,111
Lockheed Martin Corp. 37,100 3,001
Tyco International Ltd. 64,000 2,989
Northrop Grumman Corp. 47,616 2,785
Eaton Corp. 57,200 2,490
Parker Hannifin Corp. 32,000 2,440
United Parcel Service Inc. Class B 23,921 1,751
General Dynamics Corp. 20,700 1,375
WW Grainger Inc. 5,100 955
Cummins Inc. 8,395 739
Dover Corp. 12,500 726
United Technologies Corp. 7,736 565
CSX Corp. 24,944 525
Pitney Bowes Inc. 22,400 415
    44,757
Information Technology (19.3%)    
* Apple Inc. 40,842 16,541
International Business Machines Corp. 57,640 10,599
Microsoft Corp. 343,641 8,921
Intel Corp. 288,953 7,007
* Google Inc. Class A 9,505 6,139
Oracle Corp. 213,488 5,476
Cisco Systems Inc. 180,315 3,260
Accenture plc Class A 60,800 3,237
Mastercard Inc. Class A 8,300 3,095
* Dell Inc. 203,100 2,972
Motorola Solutions Inc. 62,850 2,909
Applied Materials Inc. 225,600 2,416
Jabil Circuit Inc. 122,600 2,410
* Western Digital Corp. 76,700 2,374
* NVIDIA Corp. 153,200 2,123
* Symantec Corp. 128,700 2,014
Qualcomm Inc. 20,857 1,141
* Teradata Corp. 10,739 521
* Motorola Mobility Holdings Inc. 7,756 301
* Advanced Micro Devices Inc. 10,600 57
    83,513
Materials (3.1%)    
CF Industries Holdings Inc. 19,685 2,854
International Paper Co. 91,700 2,714
PPG Industries Inc. 31,900 2,663

 

 

Dow Chemical Co.     84,000 2,416
Eastman Chemical Co.     48,400 1,891
EI du Pont de Nemours & Co.     12,548 574
Cliffs Natural Resources Inc.     5,500 343
        13,455
Telecommunication Services (3.6%)        
AT&T Inc.     300,735 9,094
Verizon Communications Inc.     165,996 6,660
        15,754
Utilities (3.7%)        
Duke Energy Corp.     159,600 3,511
American Electric Power Co. Inc.     71,100 2,937
CMS Energy Corp.     122,038 2,695
Ameren Corp.     77,800 2,578
Entergy Corp.     24,100 1,760
CenterPoint Energy Inc.     68,500 1,376
DTE Energy Co.     22,400 1,220
Public Service Enterprise Group Inc.     2,400 79
        16,156
Total Common Stocks (Cost $367,534)       431,094
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investments (0.3%)1        
Money Market Fund (0.2%)        
2 Vanguard Market Liquidity Fund 0.110%   1,003,000 1,003
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (0.1%)        
3 Fannie Mae Discount Notes 0.040% 4/24/12 100 100
3,4 Freddie Mac Discount Notes 0.050% 4/24/12 100 100
        200
Total Temporary Cash Investments (Cost $1,203)       1,203
Total Investments (100.1%) (Cost $368,737)       432,297
Other Assets and Liabilities-Net (-0.1%)       (278)
Net Assets (100%)       432,019

* 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 was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in
exchange for senior preferred stock.
4 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock
Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the
latest quoted sales prices or official closing prices taken from the primary market in which each
security trades; such securities not traded on the valuation date are valued at the mean of the latest
quoted bid and asked prices. Securities for which market quotations are not readily available, or

 

Structured Large-Cap Equity Fund

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 market value of the fund's investments as of December 31, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 431,094 — —
Temporary Cash Investments 1,003 200 —
Futures Contracts—Liabilities1 (3) — —
Total 432,094 200 —
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 December 31, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
     Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration  Contracts Long (Short) (Depreciation) 
E-mini S&P 500 Index March 2012 9 564 5
S&P 500 Index March 2012 1 313 6

 

 

Structured Large-Cap Equity Fund

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

D. At December 31, 2011, the cost of investment securities for tax purposes was $368,737,000. Net unrealized appreciation of investment securities for tax purposes was $63,560,000, consisting of unrealized gains of $76,541,000 on securities that had risen in value since their purchase and $12,981,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Structured Broad Market Fund

Schedule of Investments
As of December 31, 2011

    Market
    Value
  Shares ($000)
Common Stocks (99.5%)1    
Consumer Discretionary (11.7%)    
Starbucks Corp. 59,600 2,742
Viacom Inc. Class B 49,695 2,257
CBS Corp. Class B 80,800 2,193
Macy's Inc. 68,100 2,191
Time Warner Cable Inc. 31,962 2,032
Limited Brands Inc. 48,850 1,971
DISH Network Corp. Class A 68,500 1,951
* AutoZone Inc. 6,000 1,950
* priceline.com Inc. 4,000 1,871
News Corp. Class A 101,400 1,809
Polaris Industries Inc. 30,800 1,724
Brinker International Inc. 60,000 1,606
Dillard's Inc. Class A 33,300 1,495
Wynn Resorts Ltd. 13,200 1,458
Ross Stores Inc. 25,600 1,217
Weight Watchers International Inc. 21,800 1,199
* DIRECTV Class A 27,500 1,176
* Tempur-Pedic International Inc. 21,400 1,124
Advance Auto Parts Inc. 15,800 1,100
* Ford Motor Co. 96,462 1,038
* Las Vegas Sands Corp. 22,900 979
* Goodyear Tire & Rubber Co. 63,500 900
Comcast Corp. Class A 27,491 652
Foot Locker Inc. 27,200 648
McDonald's Corp. 5,911 593
* Warnaco Group Inc. 7,700 385
* Bed Bath & Beyond Inc. 4,300 249
    38,510
Consumer Staples (9.2%)    
Philip Morris International Inc. 65,450 5,136
Procter & Gamble Co. 40,551 2,705
Lorillard Inc. 17,300 1,972
Hershey Co. 31,900 1,971
Coca-Cola Enterprises Inc. 69,800 1,799
* Constellation Brands Inc. Class A 86,300 1,784
Kroger Co. 73,400 1,778
Dr Pepper Snapple Group Inc. 41,400 1,634
Coca-Cola Co. 21,990 1,539
Whole Foods Market Inc. 21,000 1,461
Walgreen Co. 43,400 1,435
Herbalife Ltd. 27,300 1,411
Estee Lauder Cos. Inc. Class A 12,000 1,348
B&G Foods Inc. Class A 39,000 939
Wal-Mart Stores Inc. 13,765 823
* Smithfield Foods Inc. 28,100 682
PepsiCo Inc. 9,900 657
Nu Skin Enterprises Inc. Class A 12,700 617

 

 

Tyson Foods Inc. Class A 25,100 518
    30,209
Energy (11.7%)    
Exxon Mobil Corp. 137,120 11,622
Chevron Corp. 63,865 6,795
ConocoPhillips 57,740 4,208
National Oilwell Varco Inc. 33,700 2,291
Occidental Petroleum Corp. 24,040 2,253
Marathon Oil Corp. 76,100 2,227
Valero Energy Corp. 91,200 1,920
Marathon Petroleum Corp. 53,800 1,791
HollyFrontier Corp. 57,700 1,350
Chesapeake Energy Corp. 55,600 1,239
* CVR Energy Inc. 53,900 1,010
* Tesoro Corp. 29,300 685
Schlumberger Ltd. 7,800 533
Pioneer Natural Resources Co. 3,100 277
Devon Energy Corp. 1,500 93
    38,294
Financials (15.4%)    
JPMorgan Chase & Co. 133,536 4,440
US Bancorp 115,250 3,118
American Express Co. 58,720 2,770
PNC Financial Services Group Inc. 41,000 2,364
Chubb Corp. 33,970 2,351
Aflac Inc. 49,040 2,121
Fifth Third Bancorp 160,000 2,035
* Arch Capital Group Ltd. 52,400 1,951
KeyCorp 248,200 1,909
Torchmark Corp. 43,200 1,874
Capital One Financial Corp. 43,200 1,827
Moody's Corp. 50,600 1,704
* World Acceptance Corp. 21,956 1,614
Simon Property Group Inc. 12,300 1,586
Wells Fargo & Co. 51,370 1,416
* Berkshire Hathaway Inc. Class B 17,500 1,335
Allied World Assurance Co. Holdings AG 20,341 1,280
Discover Financial Services 52,200 1,253
Reinsurance Group of America Inc. Class A 22,800 1,191
Public Storage 8,300 1,116
Taubman Centers Inc. 14,300 888
Ameriprise Financial Inc. 17,200 854
Rayonier Inc. 18,300 817
CBL & Associates Properties Inc. 51,500 809
American Financial Group Inc. 21,300 786
* Credit Acceptance Corp. 8,800 724
Hospitality Properties Trust 31,500 724
Sun Communities Inc. 18,900 690
Nelnet Inc. Class A 26,700 653
Lexington Realty Trust 78,600 589
Commerce Bancshares Inc. 14,910 568
Kimco Realty Corp. 33,900 551
Camden Property Trust 7,700 479
* NASDAQ OMX Group Inc. 19,300 473
Cash America International Inc. 8,600 401
Citigroup Inc. 11,900 313

 

 

Potlatch Corp. 10,000 311
Franklin Resources Inc. 2,870 276
NYSE Euronext 5,900 154
National Retail Properties Inc. 4,100 108
* Forest City Enterprises Inc. Class A 7,600 90
    50,513
Health Care (12.1%)    
Pfizer Inc. 270,264 5,849
Abbott Laboratories 63,800 3,588
Bristol-Myers Squibb Co. 92,152 3,248
UnitedHealth Group Inc. 61,475 3,116
Eli Lilly & Co. 68,120 2,831
Johnson & Johnson 37,807 2,479
* Biogen Idec Inc. 22,000 2,421
McKesson Corp. 29,000 2,259
Humana Inc. 25,550 2,238
Aetna Inc. 51,700 2,181
AmerisourceBergen Corp. Class A 52,300 1,945
* Agilent Technologies Inc. 55,400 1,935
* Charles River Laboratories International Inc. 42,600 1,164
WellPoint Inc. 17,400 1,153
Cooper Cos. Inc. 12,700 896
Merck & Co. Inc. 22,183 836
* Watson Pharmaceuticals Inc. 10,000 603
Cardinal Health Inc. 10,000 406
* Mettler-Toledo International Inc. 2,100 310
* Health Management Associates Inc. Class A 20,000 147
* Par Pharmaceutical Cos. Inc. 2,800 92
    39,697
Industrials (10.9%)    
General Electric Co. 286,380 5,129
Norfolk Southern Corp. 31,800 2,317
Lockheed Martin Corp. 27,200 2,201
Tyco International Ltd. 46,300 2,163
Caterpillar Inc. 21,800 1,975
Northrop Grumman Corp. 32,630 1,908
Parker Hannifin Corp. 24,200 1,845
Eaton Corp. 42,200 1,837
Cummins Inc. 20,800 1,831
Rockwell Automation Inc. 24,700 1,812
PACCAR Inc. 41,500 1,555
* Sauer-Danfoss Inc. 42,100 1,524
* CNH Global NV 42,300 1,522
* Alaska Air Group Inc. 17,400 1,307
United Technologies Corp. 14,140 1,034
* AGCO Corp. 21,000 902
Honeywell International Inc. 14,524 789
Pitney Bowes Inc. 41,000 760
FedEx Corp. 6,200 518
L-3 Communications Holdings Inc. 7,700 513
Towers Watson & Co. Class A 8,500 509
* Delta Air Lines Inc. 51,000 413
Knoll Inc. 25,600 380
United Parcel Service Inc. Class B 4,600 337
Deluxe Corp. 7,100 162
Cintas Corp. 3,000 104

 

 

Albany International Corp. 4,200 97
Union Pacific Corp. 800 85
* Dollar Thrifty Automotive Group Inc. 1,160 82
    35,611
Information Technology (18.2%)    
* Apple Inc. 25,920 10,498
International Business Machines Corp. 37,742 6,940
Microsoft Corp. 234,097 6,077
Intel Corp. 147,390 3,574
Accenture plc Class A 45,800 2,438
Oracle Corp. 92,248 2,366
* Dell Inc. 148,300 2,170
Motorola Solutions Inc. 46,700 2,162
Intuit Inc. 37,900 1,993
* Google Inc. Class A 3,020 1,951
* Alliance Data Systems Corp. 17,000 1,765
Cisco Systems Inc. 97,550 1,764
* VMware Inc. Class A 21,200 1,764
* NVIDIA Corp. 121,100 1,678
* Anixter International Inc. 27,900 1,664
Western Union Co. 86,600 1,581
KLA-Tencor Corp. 30,100 1,452
Jabil Circuit Inc. 70,800 1,392
OPNET 32,200 1,181
MKS Instruments Inc. 36,300 1,010
Applied Materials Inc. 77,700 832
* LSI Corp. 121,800 725
* Electronic Arts Inc. 27,600 569
* NCR Corp. 31,500 518
* Autodesk Inc. 12,000 364
* Advanced Micro Devices Inc. 66,500 359
Qualcomm Inc. 5,400 295
* Ancestry.com Inc. 10,900 250
* Motorola Mobility Holdings Inc. 6,037 234
MAXIMUS Inc. 3,400 141
* Novellus Systems Inc. 1,600 66
    59,773
Materials (3.6%)    
International Paper Co. 68,100 2,016
PPG Industries Inc. 23,400 1,954
CF Industries Holdings Inc. 13,300 1,928
EI du Pont de Nemours & Co. 38,580 1,766
Eastman Chemical Co. 37,000 1,445
Southern Copper Corp. 28,200 851
Innophos Holdings Inc. 14,700 714
Domtar Corp. 8,500 680
Celanese Corp. Class A 13,700 606
    11,960
Telecommunication Services (3.2%)    
AT&T Inc. 194,729 5,888
Verizon Communications Inc. 111,057 4,456
* Vonage Holdings Corp. 41,200 101
    10,445
Utilities (3.5%)    
American Electric Power Co. Inc. 52,000 2,148
CMS Energy Corp. 93,600 2,067

 

 

Cleco Corp.   47,500 1,810
CenterPoint Energy Inc.   85,600 1,720
Public Service Enterprise Group Inc.   39,800 1,314
Entergy Corp.   17,600 1,285
Consolidated Edison Inc.   13,300 825
Alliant Energy Corp.   9,000 397
      11,566
Total Common Stocks (Cost $282,184)     326,578
      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (0.5%)1      
Money Market Fund (0.5%)      
2 Vanguard Market Liquidity Fund (Cost      
$1,613) 0.110% 1,613,218 1,613
 
Total Investments (100.0%) (Cost $283,797)     328,191
Other Assets and Liabilities-Net (0.0%)     (156)
Net Assets (100%)     328,035

* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After
giving effect to futures investments, the fund's effective common stock and temporary cash investment positions
represent 100.0% and 0.0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.

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

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

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

 

Structured Broad Market Fund

The following table summarizes the market value of the fund's investments as of December 31, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 326,578 — —
Temporary Cash Investments 1,613 — —
Futures Contracts—Liabilities1 (6) — —
Total 328,185 — —
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 December 31, 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 March 2012 4 1,252 23
E-mini S&P 500 Index March 2012 3 188 4

 

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

D. At December 31, 2011, the cost of investment securities for tax purposes was $283,797,000. Net unrealized appreciation of investment securities for tax purposes was $44,394,000, consisting of unrealized gains of $56,578,000 on securities that had risen in value since their purchase and $12,184,000 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: February 21, 2012  

 

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

  VANGUARD QUANTITATIVE FUNDS

 

By:

 /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER

 

Date:

 February 21, 2012  

 

 

 VANGUARD QUANTITATIVE FUNDS

 

By:

 /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER

 

Date:

 February 21, 2012  

 

*By: /s/ Heidi Stam

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