N-Q 1 quantitativefunds_final.htm quantitativefunds_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: 811-04526

 

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, 2014

 

Item 1: Schedule of Investments

 

 

Vanguard Growth and Income Fund

Schedule of Investments
As of June 30, 2014

    Market
    Value
  Shares ($000)
Common Stocks (97.5%)1    
Consumer Discretionary (11.2%)    
Home Depot Inc. 554,692 44,908
Walt Disney Co. 454,405 38,961
McDonald's Corp. 356,434 35,907
Wyndham Worldwide Corp. 463,350 35,085
Comcast Corp. Class A 648,706 34,823
* Priceline Group Inc. 25,010 30,087
NIKE Inc. Class B 353,761 27,434
Time Warner Inc. 372,438 26,164
Cablevision Systems Corp. Class A 1,369,890 24,179
Lowe's Cos. Inc. 479,850 23,028
Time Warner Cable Inc. 143,320 21,111
Delphi Automotive plc 298,300 20,505
General Motors Co. 487,091 17,681
Ford Motor Co. 928,150 16,001
Macy's Inc. 254,180 14,748
Viacom Inc. Class B 160,980 13,962
Whirlpool Corp. 86,586 12,054
Marriott International Inc. Class A 181,400 11,628
* AutoZone Inc. 21,100 11,315
Best Buy Co. Inc. 363,300 11,266
Graham Holdings Co. Class B 15,550 11,167
Wynn Resorts Ltd. 53,510 11,107
* Charter Communications Inc. Class A 65,600 10,390
Kohl's Corp. 178,280 9,392
* MGM Resorts International 325,964 8,605
Staples Inc. 748,972 8,119
TJX Cos. Inc. 134,500 7,149
* O'Reilly Automotive Inc. 45,500 6,852
* Fossil Group Inc. 65,100 6,804
Omnicom Group Inc. 92,450 6,584
* DIRECTV 72,677 6,178
Goodyear Tire & Rubber Co. 206,880 5,747
GameStop Corp. Class A 124,300 5,030
Johnson Controls Inc. 99,160 4,951
Target Corp. 67,660 3,921
Expedia Inc. 46,000 3,623
* Liberty Media Corp. Class A 25,600 3,499
PVH Corp. 30,000 3,498
Ralph Lauren Corp. Class A 20,900 3,358
Interpublic Group of Cos. Inc. 171,700 3,350
* Amazon.com Inc. 10,250 3,329
International Game Technology 208,920 3,324
* Discovery Communications Inc. Class A 39,940 2,967
Gannett Co. Inc. 88,024 2,756
* Ulta Salon Cosmetics & Fragrance Inc. 28,200 2,578
H&R Block Inc. 69,800 2,340
* Dollar Tree Inc. 42,470 2,313
Newell Rubbermaid Inc. 69,270 2,147
* TripAdvisor Inc. 19,000 2,065

 

 

  Carnival Corp. 48,010 1,808
* Liberty Global plc 38,600 1,633
* Jarden Corp. 27,400 1,626
  Signet Jewelers Ltd. 14,400 1,592
* Apollo Education Group Inc. 50,460 1,577
* Netflix Inc. 3,500 1,542
  Hasbro Inc. 28,517 1,513
* Dollar General Corp. 21,600 1,239
*,^ Sears Holdings Corp. 30,528 1,220
  CBS Corp. Class B 19,133 1,189
  Family Dollar Stores Inc. 17,600 1,164
* NVR Inc. 973 1,120
  Las Vegas Sands Corp. 12,300 937
* Kate Spade & Co. 22,600 862
* Liberty Global plc Class A 17,300 765
* Visteon Corp. 6,900 669
  Coach Inc. 18,100 619
* Time Inc. 24,090 583
* Live Nation Entertainment Inc. 23,300 575
  Advance Auto Parts Inc. 4,200 567
* Christopher & Banks Corp. 55,700 488
* News Corp. Class A 24,934 447
  DSW Inc. Class A 14,400 402
  Lamar Advertising Co. Class A 6,400 339
  Service Corp. International 13,300 276
  Lear Corp. 2,900 259
  VF Corp. 3,900 246
* New Media Investment Group Inc. 16,717 236
  Big 5 Sporting Goods Corp. 18,900 232
* Orbitz Worldwide Inc. 24,000 214
* Lee Enterprises Inc. 47,200 210
* Mohawk Industries Inc. 1,100 152
  Wendy's Co. 17,800 152
  Churchill Downs Inc. 1,515 137
  SeaWorld Entertainment Inc. 4,800 136
* Michael Kors Holdings Ltd. 1,300 115
* Biglari Holdings Inc. 271 115
* Urban Outfitters Inc. 3,300 112
  CTC Media Inc. 9,300 102
* Boyd Gaming Corp. 7,410 90
* Ascena Retail Group Inc. 4,600 79
  Tractor Supply Co. 1,261 76
  DeVry Education Group Inc. 1,200 51
* Central European Media Enterprises Ltd. Class A 17,500 49
  Extended Stay America Inc. 2,000 46
* Liberty Ventures Class A 600 44
* New York & Co. Inc. 8,693 32
  DineEquity Inc. 400 32
  Standard Motor Products Inc. 500 22
* Ambassadors Group Inc. 4,798 22
* ANN Inc. 500 21
* La Quinta Holdings Inc. 1,074 21
* Taylor Morrison Home Corp. Class A 900 20
  Tiffany & Co. 200 20
* Cooper-Standard Holding Inc. 300 20
  Hooker Furniture Corp. 1,220 20
  Twenty-First Century Fox Inc. Class A 540 19

 

 

* Libbey Inc. 708 19
* Hyatt Hotels Corp. Class A 300 18
Yum! Brands Inc. 200 16
* Starz 500 15
Choice Hotels International Inc. 300 14
* Houghton Mifflin Harcourt Co. 700 13
^ Blyth Inc. 1,295 10
* Nautilus Inc. 839 9
Marcus Corp. 500 9
* New Home Co. Inc. 600 8
Gap Inc. 200 8
* William Lyon Homes Class A 271 8
* AutoNation Inc. 135 8
Morningstar Inc. 100 7
* DreamWorks Animation SKG Inc. Class A 300 7
Leggett & Platt Inc. 200 7
Ruth's Hospitality Group Inc. 467 6
Lincoln Educational Services Corp. 1,215 5
* Quiksilver Inc. 1,400 5
* Express Inc. 200 3
* Modine Manufacturing Co. 200 3
* Beazer Homes USA Inc. 100 2
* Furniture Brands International Inc. 600 —
    652,044
Consumer Staples (9.1%)    
Procter & Gamble Co. 971,472 76,348
Coca-Cola Co. 1,245,634 52,765
Wal-Mart Stores Inc. 677,149 50,834
PepsiCo Inc. 515,461 46,051
Philip Morris International Inc. 517,928 43,666
CVS Caremark Corp. 346,570 26,121
Archer-Daniels-Midland Co. 526,520 23,225
Walgreen Co. 286,900 21,268
* Constellation Brands Inc. Class A 236,000 20,799
Mondelez International Inc. Class A 546,597 20,557
Kroger Co. 371,789 18,378
Kimberly-Clark Corp. 155,579 17,303
Dr Pepper Snapple Group Inc. 267,911 15,694
Molson Coors Brewing Co. Class B 193,910 14,380
Tyson Foods Inc. Class A 357,050 13,404
Coca-Cola Enterprises Inc. 242,640 11,593
Avon Products Inc. 774,758 11,319
Costco Wholesale Corp. 95,452 10,992
Safeway Inc. 251,420 8,634
Hershey Co. 86,100 8,384
Campbell Soup Co. 124,220 5,691
JM Smucker Co. 36,076 3,845
Altria Group Inc. 75,652 3,173
General Mills Inc. 37,480 1,969
Kraft Foods Group Inc. 27,850 1,670
Reynolds American Inc. 16,665 1,006
Keurig Green Mountain Inc. 5,700 710
Bunge Ltd. 2,600 197
* Monster Beverage Corp. 2,110 150
* SUPERVALU Inc. 17,300 142
Hillshire Brands Co. 1,800 112
* Adecoagro SA 10,600 100

 

 

  Cott Corp. 12,993 92
* Crimson Wine Group Ltd. 6,540 59
  Mead Johnson Nutrition Co. 198 18
* Pilgrim's Pride Corp. 500 14
* Diamond Foods Inc. 300 8
  Whole Foods Market Inc. 200 8
* Farmer Bros Co. 300 6
  ConAgra Foods Inc. 142 4
      530,689
Energy (11.4%)    
  Exxon Mobil Corp. 1,190,724 119,882
  Occidental Petroleum Corp. 622,355 63,872
  Chevron Corp. 416,092 54,321
  ConocoPhillips 510,580 43,772
  Schlumberger Ltd. 354,169 41,774
  EOG Resources Inc. 313,000 36,577
  Devon Energy Corp. 400,207 31,777
  Anadarko Petroleum Corp. 249,556 27,319
  Hess Corp. 245,190 24,247
  Apache Corp. 203,863 20,513
* Newfield Exploration Co. 415,960 18,385
  Chesapeake Energy Corp. 545,552 16,956
  Phillips 66 205,410 16,521
  Marathon Oil Corp. 408,666 16,314
  Valero Energy Corp. 317,700 15,917
  Helmerich & Payne Inc. 105,700 12,273
  Tesoro Corp. 171,040 10,035
  Nabors Industries Ltd. 303,653 8,918
* Cameron International Corp. 113,980 7,718
  Kinder Morgan Inc. 197,138 7,148
  Marathon Petroleum Corp. 90,720 7,083
  National Oilwell Varco Inc. 80,280 6,611
  Baker Hughes Inc. 88,237 6,569
  Noble Corp. plc 195,010 6,545
  EQT Corp. 61,200 6,542
  Halliburton Co. 91,500 6,497
  QEP Resources Inc. 124,041 4,279
  Peabody Energy Corp. 223,817 3,659
* FMC Technologies Inc. 53,200 3,249
  Cabot Oil & Gas Corp. 78,800 2,690
  Williams Cos. Inc. 45,500 2,649
  Denbury Resources Inc. 141,930 2,620
* Southwestern Energy Co. 57,523 2,617
  CONSOL Energy Inc. 26,360 1,214
  Murphy Oil Corp. 18,034 1,199
* Harvest Natural Resources Inc. 130,524 651
  EnLink Midstream LLC 15,300 637
*,^ SandRidge Energy Inc. 76,300 546
  Encana Corp. 13,700 325
  Cosan Ltd. 20,300 275
* Unit Corp. 3,500 241
  North Atlantic Drilling Ltd. 15,054 160
* Pacific Drilling SA 13,600 136
  CARBO Ceramics Inc. 700 108
  Frank's International NV 4,200 103
  Suncor Energy Inc. 2,291 98
  Plains GP Holdings LP Class A 2,568 82

 

 

  Rowan Cos. plc Class A 2,429 78
* WPX Energy Inc. 3,200 77
* Kosmos Energy Ltd. 6,400 72
* Willbros Group Inc. 5,500 68
* CHC Group Ltd. 5,800 49
  SemGroup Corp. Class A 600 47
* RSP Permian Inc. 1,400 45
* Dresser-Rand Group Inc. 700 45
  Ocean Rig UDW Inc. 2,142 41
* InterOil Corp. 600 38
^ USEC Inc. 11,000 33
  North American Energy Partners Inc. 3,300 27
*,^ Hyperdynamics Corp. 4,718 15
  Cenovus Energy Inc. 400 13
* TransAtlantic Petroleum Ltd. 1,000 11
* Hercules Offshore Inc. 2,428 10
  Ardmore Shipping Corp. 600 8
* McDermott International Inc. 1,000 8
* Gulfport Energy Corp. 100 6
* Gevo Inc. 7,200 6
* Ceres Inc. 7,000 5
* Synergy Resources Corp. 351 5
  Tsakos Energy Navigation Ltd. 629 4
* Abraxas Petroleum Corp. 579 4
      662,339
Financials (13.2%)    
  Wells Fargo & Co. 1,204,199 63,293
  Citigroup Inc. 1,185,648 55,844
* Berkshire Hathaway Inc. Class B 292,505 37,019
  JPMorgan Chase & Co. 600,201 34,584
  Goldman Sachs Group Inc. 184,040 30,816
  American International Group Inc. 561,600 30,652
  Capital One Financial Corp. 311,520 25,732
  Assurant Inc. 379,800 24,896
  Bank of America Corp. 1,618,430 24,875
  American Express Co. 230,497 21,867
  KeyCorp 1,351,900 19,373
  Aflac Inc. 299,780 18,661
  Ameriprise Financial Inc. 151,134 18,136
  Travelers Cos. Inc. 190,026 17,876
  McGraw Hill Financial Inc. 205,344 17,050
  Navient Corp. 944,600 16,729
  Legg Mason Inc. 306,996 15,752
  Aon plc 171,960 15,492
  Simon Property Group Inc. 84,220 14,004
  SunTrust Banks Inc. 330,889 13,255
  Unum Group 362,464 12,599
  Prudential Financial Inc. 140,080 12,435
  General Growth Properties Inc. 512,300 12,070
  Public Storage 65,220 11,175
  Regions Financial Corp. 1,052,100 11,173
  Fifth Third Bancorp 509,100 10,869
* E*TRADE Financial Corp. 489,340 10,403
  CME Group Inc. 133,601 9,479
  US Bancorp 218,735 9,476
  Lincoln National Corp. 177,950 9,154
  Marsh & McLennan Cos. Inc. 174,203 9,027

 

 

Host Hotels & Resorts Inc. 403,450 8,880
PNC Financial Services Group Inc. 97,282 8,663
MetLife Inc. 140,700 7,817
Moody's Corp. 72,517 6,357
* CBRE Group Inc. Class A 195,770 6,272
BB&T Corp. 158,250 6,240
Progressive Corp. 228,573 5,797
Discover Financial Services 92,093 5,708
Ventas Inc. 84,600 5,423
Bank of New York Mellon Corp. 139,925 5,244
Principal Financial Group Inc. 93,710 4,730
HCP Inc. 110,858 4,587
Chubb Corp. 44,169 4,071
Morgan Stanley 118,440 3,829
Crown Castle International Corp. 48,593 3,609
* Realogy Holdings Corp. 95,200 3,590
Loews Corp. 79,930 3,518
People's United Financial Inc. 231,042 3,505
BlackRock Inc. 9,591 3,065
Kimco Realty Corp. 130,600 3,001
XL Group plc Class A 82,780 2,709
SLM Corp. 259,200 2,154
Prologis Inc. 52,100 2,141
First Horizon National Corp. 178,470 2,117
Equity Residential 30,740 1,937
Validus Holdings Ltd. 47,636 1,822
Northern Trust Corp. 24,180 1,553
NASDAQ OMX Group Inc. 33,090 1,278
Leucadia National Corp. 45,800 1,201
ACE Ltd. 10,800 1,120
Equity Lifestyle Properties Inc. 25,200 1,113
Hartford Financial Services Group Inc. 29,530 1,057
AG Mortgage Investment Trust Inc. 45,800 867
Retail Properties of America Inc. 50,700 780
Ares Capital Corp. 43,500 777
* Washington Prime Group Inc. 38,600 723
Bank of Montreal 9,200 677
Symetra Financial Corp. 27,900 634
Endurance Specialty Holdings Ltd. 10,033 518
Erie Indemnity Co. Class A 6,409 482
Torchmark Corp. 4,600 377
M&T Bank Corp. 2,848 353
CIT Group Inc. 6,900 316
Columbia Property Trust Inc. 10,600 276
Excel Trust Inc. 20,500 273
* NewStar Financial Inc. 17,118 241
Reinsurance Group of America Inc. Class A 3,000 237
Credicorp Ltd. 1,400 218
Chimera Investment Corp. 64,000 204
Orchid Island Capital Inc. 14,800 193
* Alleghany Corp. 400 175
New York Community Bancorp Inc. 9,900 158
Spirit Realty Capital Inc. 13,200 150
Comerica Inc. 2,700 135
Cincinnati Financial Corp. 2,800 135
* Howard Hughes Corp. 800 126
Prospect Capital Corp. 11,800 125

 

 

Brixmor Property Group Inc. 5,000 115
* Genworth Financial Inc. Class A 6,090 106
Interactive Brokers Group Inc. 4,490 105
Hudson City Bancorp Inc. 9,719 96
Aspen Insurance Holdings Ltd. 1,900 86
Apollo Residential Mortgage Inc. 5,000 84
Geo Group Inc. 2,300 82
Platinum Underwriters Holdings Ltd. 1,200 78
Montpelier Re Holdings Ltd. 1,996 64
Monmouth Real Estate Investment Corp. Class A 5,801 58
RLJ Lodging Trust 2,000 58
New Mountain Finance Corp. 3,800 56
Apollo Investment Corp. 6,500 56
Solar Capital Ltd. 2,495 53
FelCor Lodging Trust Inc. 4,900 52
WP Carey Inc. 768 49
Arbor Realty Trust Inc. 6,700 47
CorEnergy Infrastructure Trust Inc. 6,019 45
* MBIA Inc. 3,954 44
* Third Point Reinsurance Ltd. 2,800 43
MVC Capital Inc. 2,700 35
* Tree.com Inc. 1,133 33
PennantPark Investment Corp. 2,700 31
American Capital Mortgage Investment Corp. 1,400 28
Chesapeake Lodging Trust 900 27
Fifth Street Finance Corp. 2,680 26
Ashford Hospitality Prime Inc. 1,489 26
* Investors Bancorp Inc. 2,195 24
BankUnited Inc. 700 23
First Niagara Financial Group Inc. 2,600 23
Ellington Residential Mortgage REIT 1,200 20
Physicians Realty Trust 1,377 20
Main Street Capital Corp. 600 20
American Tower Corporation 200 18
* Talmer Bancorp Inc. Class A 1,300 18
Triangle Capital Corp. 600 17
Ryman Hospitality Properties Inc. 300 14
Medley Capital Corp. 1,100 14
Hercules Technology Growth Capital Inc. 700 11
Northfield Bancorp Inc. 600 8
* Suffolk Bancorp 300 7
Rouse Properties Inc. 364 6
* Flagstar Bancorp Inc. 300 5
Starwood Property Trust Inc. 200 5
Waterstone Financial Inc. 400 5
Parkway Properties Inc. 219 5
* New York REIT Inc. 400 4
Western Asset Mortgage Capital Corp. 300 4
Healthcare Trust of America Inc. Class A 300 4
National General Holdings Corp. 201 3
Silver Bay Realty Trust Corp. 200 3
SI Financial Group Inc. 100 1
Clifton Bancorp Inc. 68 1
    768,890
Health Care (13.9%)    
Johnson & Johnson 1,204,126 125,976
Pfizer Inc. 2,924,490 86,799

 

 

  Merck & Co. Inc. 1,097,656 63,499
* Gilead Sciences Inc. 708,680 58,757
  AbbVie Inc. 878,002 49,554
  Eli Lilly & Co. 563,905 35,058
  Thermo Fisher Scientific Inc. 244,915 28,900
* Express Scripts Holding Co. 399,743 27,714
* Boston Scientific Corp. 2,084,381 26,618
  Cardinal Health Inc. 374,280 25,661
* Celgene Corp. 267,340 22,959
  WellPoint Inc. 212,769 22,896
  UnitedHealth Group Inc. 257,548 21,055
  Cigna Corp. 206,153 18,960
  Abbott Laboratories 451,193 18,454
  Baxter International Inc. 194,458 14,059
  Amgen Inc. 117,390 13,895
* Laboratory Corp. of America Holdings 107,110 10,968
* DaVita HealthCare Partners Inc. 150,600 10,891
  CR Bard Inc. 72,290 10,338
* Mylan Inc. 196,950 10,155
  Bristol-Myers Squibb Co. 199,337 9,670
  Agilent Technologies Inc. 139,580 8,017
  McKesson Corp. 40,960 7,627
  Becton Dickinson and Co. 56,517 6,686
  AmerisourceBergen Corp. Class A 88,470 6,428
* Actavis plc 27,509 6,136
  Humana Inc. 42,770 5,463
* Vertex Pharmaceuticals Inc. 53,000 5,018
* Edwards Lifesciences Corp. 54,570 4,684
  Allergan Inc. 25,500 4,315
* Hospira Inc. 78,240 4,019
  Quest Diagnostics Inc. 63,810 3,745
  PerkinElmer Inc. 79,150 3,707
  Covidien plc 40,190 3,624
* CareFusion Corp. 62,800 2,785
* Sarepta Therapeutics Inc. 91,600 2,729
* Biogen Idec Inc. 6,840 2,157
  Medtronic Inc. 30,893 1,970
* Forest Laboratories Inc. 17,000 1,683
  Zoetis Inc. 51,800 1,672
* Health Net Inc. 38,500 1,599
* Medivation Inc. 13,700 1,056
*,^ Theravance Inc. 34,200 1,018
* Regeneron Pharmaceuticals Inc. 3,500 989
  Perrigo Co. plc 5,830 850
* Alexion Pharmaceuticals Inc. 3,899 609
  Aetna Inc. 7,319 593
* Dynavax Technologies Corp. 366,773 587
* Pain Therapeutics Inc. 79,492 457
* BioCryst Pharmaceuticals Inc. 34,200 436
*,^ Myriad Genetics Inc. 9,200 358
* Henry Schein Inc. 2,800 332
* Geron Corp. 102,945 330
* Theravance Biopharma Inc. 9,685 309
* XenoPort Inc. 61,949 299
* HCA Holdings Inc. 5,200 293
* Valeant Pharmaceuticals International Inc. 2,100 265
* Idenix Pharmaceuticals Inc. 9,800 236

 

 

  Select Medical Holdings Corp. 13,000 203
* Cytokinetics Inc. 39,400 188
* Allscripts Healthcare Solutions Inc. 10,100 162
* Brookdale Senior Living Inc. 4,700 157
* Neurocrine Biosciences Inc. 8,494 126
*,^ Omeros Corp. 7,160 125
* Zogenix Inc. 61,800 124
* Oncothyreon Inc. 37,034 120
* Infinity Pharmaceuticals Inc. 9,300 118
* Genocea Biosciences Inc. 5,929 111
* Triple-S Management Corp. Class B 5,810 104
* Rigel Pharmaceuticals Inc. 26,183 95
* Medical Action Industries Inc. 6,690 92
* Durect Corp. 42,200 77
* Amicus Therapeutics Inc. 22,017 74
* Vical Inc. 59,181 72
* Auspex Pharmaceuticals Inc. 2,403 54
*,^ ImmunoCellular Therapeutics Ltd. 47,092 53
* VCA Inc. 1,500 53
* Eagle Pharmaceuticals Inc. 3,331 48
* BioTelemetry Inc. 6,100 44
* Targacept Inc. 9,600 43
* Enzo Biochem Inc. 8,100 43
* Dyax Corp. 4,041 39
* Envision Healthcare Holdings Inc. 1,000 36
* Repros Therapeutics Inc. 2,000 35
  Pozen Inc. 4,100 34
* Zalicus Inc. 27,100 33
* Concert Pharmaceuticals Inc. 3,145 32
* Amedisys Inc. 1,796 30
* Endo International plc 400 28
* Vanda Pharmaceuticals Inc. 1,700 27
* Celsion Corp. 7,500 26
  HealthSouth Corp. 700 25
* KaloBios Pharmaceuticals Inc. 10,972 25
* BioMarin Pharmaceutical Inc. 400 25
* IMS Health Holdings Inc. 900 23
* AMAG Pharmaceuticals Inc. 1,100 23
* GlycoMimetics Inc. 2,619 22
* ANI Pharmaceuticals Inc. 500 17
* Aerie Pharmaceuticals Inc. 524 13
*,^ GTx Inc. 9,388 13
* Medicines Co. 400 12
* Biodel Inc. 5,200 11
* Horizon Pharma Inc. 700 11
* Cleveland Biolabs Inc. 22,800 11
* Neuralstem Inc. 2,500 11
  St. Jude Medical Inc. 140 10
* Ventrus Biosciences Inc. 6,900 9
* China Biologic Products Inc. 200 9
* Cambrex Corp. 400 8
* ArQule Inc. 5,100 8
  Transcept Pharmaceuticals Inc. 3,700 7
* Emergent Biosolutions Inc. 300 7
* AngioDynamics Inc. 410 7
* Puma Biotechnology Inc. 95 6
* Flexion Therapeutics Inc. 453 6

 

 

* Alere Inc. 148 6
* Alimera Sciences Inc. 900 5
* Agenus Inc. 1,600 5
* ARIAD Pharmaceuticals Inc. 800 5
* StemCells Inc. 2,500 5
* Alder Biopharmaceuticals Inc. 200 4
* Retrophin Inc. 300 4
* Celladon Corp. 200 3
* Emeritus Corp. 100 3
* Arrowhead Research Corp. 200 3
* Baxano Surgical Inc. 1,480 1
* Affymax Inc. 4,600 —
* Myrexis Inc. 1,550 —
    808,886
Industrials (10.2%)    
General Electric Co. 4,230,953 111,189
General Dynamics Corp. 376,898 43,927
Boeing Co. 335,503 42,686
United Technologies Corp. 250,292 28,896
Caterpillar Inc. 232,201 25,233
Tyco International Ltd. 471,800 21,514
Southwest Airlines Co. 789,951 21,218
United Parcel Service Inc. Class B 205,578 21,105
Northrop Grumman Corp. 166,770 19,951
Lockheed Martin Corp. 122,404 19,674
Pitney Bowes Inc. 668,000 18,450
Emerson Electric Co. 262,989 17,452
Raytheon Co. 171,250 15,798
Delta Air Lines Inc. 338,528 13,108
FedEx Corp. 82,150 12,436
Republic Services Inc. Class A 292,080 11,090
3M Co. 76,020 10,889
Union Pacific Corp. 107,281 10,701
ADT Corp. 300,800 10,510
Snap-on Inc. 85,200 10,098
Danaher Corp. 108,302 8,527
L-3 Communications Holdings Inc. 70,545 8,518
Deere & Co. 91,722 8,305
Honeywell International Inc. 72,969 6,782
Stanley Black & Decker Inc. 73,290 6,436
Rockwell Collins Inc. 81,290 6,352
Joy Global Inc. 80,850 4,979
CSX Corp. 140,687 4,335
Rockwell Automation Inc. 33,900 4,243
Masco Corp. 170,380 3,782
Dun & Bradstreet Corp. 33,330 3,673
Precision Castparts Corp. 13,519 3,412
CH Robinson Worldwide Inc. 52,920 3,376
Xylem Inc. 80,460 3,144
PACCAR Inc. 49,910 3,136
Allegion plc 53,371 3,025
Ingersoll-Rand plc 48,360 3,023
Ryder System Inc. 32,890 2,897
Norfolk Southern Corp. 24,150 2,488
Illinois Tool Works Inc. 26,441 2,315
* Verisk Analytics Inc. Class A 27,800 1,669
* NOW Inc. 42,472 1,538

 

 

Allison Transmission Holdings Inc. 44,300 1,378
Flowserve Corp. 17,220 1,280
* AerCap Holdings NV 26,800 1,227
Waste Management Inc. 24,890 1,113
Iron Mountain Inc. 29,245 1,037
* Spirit AeroSystems Holdings Inc. Class A 22,700 765
* Quanta Services Inc. 21,900 757
* MRC Global Inc. 25,200 713
Huntington Ingalls Industries Inc. 7,100 672
Expeditors International of Washington Inc. 11,900 526
KAR Auction Services Inc. 12,900 411
Babcock & Wilcox Co. 11,700 380
TransDigm Group Inc. 1,800 301
Covanta Holding Corp. 14,300 295
Dover Corp. 2,200 200
Waste Connections Inc. 4,108 199
* American Airlines Group Inc. 4,403 189
Pall Corp. 1,600 137
Cintas Corp. 1,900 121
* MFC Industrial Ltd. 14,300 109
RR Donnelley & Sons Co. 6,400 109
* RPX Corp. 5,775 103
* Sensata Technologies Holding 2,000 94
Exelis Inc. 5,300 90
AAR Corp. 3,072 85
* WABCO Holdings Inc. 700 75
Argan Inc. 1,800 67
Alliant Techsystems Inc. 500 67
* Blount International Inc. 3,200 45
Foster Wheeler AG 1,300 44
* Norcraft Cos. Inc. 2,800 40
* Scorpio Bulkers Inc. 3,700 33
* Box Ships Inc. 18,631 28
* IHS Inc. Class A 200 27
* Genco Shipping & Trading Ltd. 26,000 24
* Meritor Inc. 1,800 24
Intersections Inc. 4,360 21
Brink's Co. 700 20
RBC Bearings Inc. 200 13
Nielsen NV 200 10
* ARC Document Solutions Inc. 1,539 9
Owens Corning 200 8
* Pentair plc 100 7
Comfort Systems USA Inc. 400 6
* Masonite International Corp. 100 6
Hardinge Inc. 401 5
AMETEK Inc. 90 5
Navios Maritime Holdings Inc. 200 2
Baltic Trading Ltd. 300 2
    594,759
Information Technology (18.0%)    
Apple Inc. 2,087,181 193,962
Microsoft Corp. 1,824,494 76,081
International Business Machines Corp. 418,334 75,831
Hewlett-Packard Co. 1,455,520 49,022
* Google Inc. Class C 83,539 48,058
* Google Inc. Class A 73,909 43,212

 

 

Cisco Systems Inc. 1,469,237 36,511
Computer Sciences Corp. 464,190 29,337
* Facebook Inc. Class A 426,590 28,705
Oracle Corp. 623,845 25,284
* Micron Technology Inc. 749,100 24,683
Texas Instruments Inc. 483,552 23,109
MasterCard Inc. Class A 312,460 22,956
QUALCOMM Inc. 288,750 22,869
* eBay Inc. 448,170 22,435
Visa Inc. Class A 101,182 21,320
Intel Corp. 654,752 20,232
Harris Corp. 249,928 18,932
Western Digital Corp. 197,175 18,199
Xerox Corp. 1,344,730 16,728
Fidelity National Information Services Inc. 276,127 15,115
* Electronic Arts Inc. 405,840 14,558
Accenture plc Class A 177,280 14,331
Motorola Solutions Inc. 208,380 13,872
Western Union Co. 732,992 12,710
Intuit Inc. 150,400 12,112
* VeriSign Inc. 242,600 11,841
Seagate Technology plc 207,260 11,777
Symantec Corp. 434,786 9,957
Lam Research Corp. 139,030 9,396
* Cognizant Technology Solutions Corp. Class A 183,700 8,985
Broadcom Corp. Class A 241,910 8,980
* Teradata Corp. 202,950 8,159
* Juniper Networks Inc. 323,480 7,938
Corning Inc. 319,475 7,012
SanDisk Corp. 63,900 6,673
NVIDIA Corp. 313,520 5,813
TE Connectivity Ltd. 92,500 5,720
NetApp Inc. 149,720 5,468
* Fiserv Inc. 77,975 4,703
Analog Devices Inc. 82,050 4,436
* Citrix Systems Inc. 64,023 4,005
Applied Materials Inc. 167,100 3,768
Altera Corp. 75,160 2,613
* CoreLogic Inc. 72,800 2,210
Paychex Inc. 50,107 2,082
CA Inc. 69,050 1,985
EMC Corp. 67,750 1,785
Linear Technology Corp. 35,600 1,676
* Red Hat Inc. 27,800 1,537
Xilinx Inc. 31,520 1,491
* Blackhawk Network Holdings Inc. Class B 41,306 1,109
* AOL Inc. 26,400 1,050
* Yahoo! Inc. 29,300 1,029
* Autodesk Inc. 16,600 936
* Genpact Ltd. 48,100 843
* Zebra Technologies Corp. 9,100 749
* First Solar Inc. 7,870 559
Marvell Technology Group Ltd. 38,800 556
KLA-Tencor Corp. 5,300 385
* NCR Corp. 10,800 379
* Aeroflex Holding Corp. 31,300 329
* FleetCor Technologies Inc. 1,802 238

 

 

* Aspen Technology Inc. 3,000 139
* Adobe Systems Inc. 1,900 138
* Sigma Designs Inc. 23,614 108
InterDigital Inc. 2,100 100
* CommScope Holding Co. Inc. 3,500 81
United Online Inc. 7,300 76
PC-Tel Inc. 9,160 74
* F5 Networks Inc. 510 57
* TeleCommunication Systems Inc. Class A 16,000 53
* Zynga Inc. Class A 15,300 49
CDW Corp. 1,500 48
* Net 1 UEPS Technologies Inc. 4,200 48
* EchoStar Corp. Class A 800 42
* Tremor Video Inc. 8,508 40
* Quantum Corp. 31,324 38
* Silicon Image Inc. 7,041 36
EVERTEC Inc. 1,400 34
* TeleTech Holdings Inc. 1,018 30
FLIR Systems Inc. 800 28
* Agilysys Inc. 1,948 27
* NCI Inc. Class A 3,044 27
* Fortinet Inc. 1,000 25
Tessera Technologies Inc. 1,100 24
Science Applications International Corp. 400 18
AVX Corp. 1,200 16
* Sonus Networks Inc. 4,300 15
* Silicon Laboratories Inc. 300 15
Microchip Technology Inc. 300 15
Daktronics Inc. 1,200 14
* Sabre Corp. 700 14
* TriQuint Semiconductor Inc. 789 12
* QLogic Corp. 1,100 11
* RF Micro Devices Inc. 1,100 11
* Atmel Corp. 1,000 9
Amdocs Ltd. 200 9
DST Systems Inc. 100 9
* NetScout Systems Inc. 200 9
* Cadence Design Systems Inc. 500 9
* Lionbridge Technologies Inc. 1,448 9
Diebold Inc. 200 8
Leidos Holdings Inc. 200 8
* Identiv Inc. 690 8
* Mattson Technology Inc. 2,800 6
* Amtech Systems Inc. 500 6
* Kofax Ltd. 700 6
* Integrated Device Technology Inc. 300 5
* UTStarcom Holdings Corp. 1,453 4
Booz Allen Hamilton Holding Corp. Class A 200 4
* TiVo Inc. 300 4
* Mellanox Technologies Ltd. 105 4
* Novatel Wireless Inc. 1,526 3
* Flextronics International Ltd. 200 2
Jabil Circuit Inc. 100 2
* Pulse Electronics Corp. 540 1
* Smith Micro Software Inc. 969 1
    1,049,925

 

 

Materials (4.0%)    
LyondellBasell Industries NV Class A 363,900 35,535
Dow Chemical Co. 536,313 27,599
Monsanto Co. 184,500 23,015
Sealed Air Corp. 622,560 21,273
Ball Corp. 336,716 21,105
Air Products & Chemicals Inc. 112,647 14,489
PPG Industries Inc. 67,431 14,171
Mosaic Co. 198,190 9,801
United States Steel Corp. 364,500 9,492
Eastman Chemical Co. 79,373 6,933
CF Industries Holdings Inc. 28,010 6,737
Valspar Corp. 84,700 6,453
* Owens-Illinois Inc. 179,380 6,214
Ecolab Inc. 54,066 6,020
Avery Dennison Corp. 104,600 5,361
Newmont Mining Corp. 203,520 5,178
Alcoa Inc. 258,970 3,856
Freeport-McMoRan Copper & Gold Inc. 55,463 2,024
EI du Pont de Nemours & Co. 27,956 1,829
Nucor Corp. 33,180 1,634
Rockwood Holdings Inc. 11,600 881
International Paper Co. 10,700 540
Sigma-Aldrich Corp. 4,600 467
International Flavors & Fragrances Inc. 4,000 417
* Constellium NV Class A 12,800 410
* Mercer International Inc. 32,133 337
Bemis Co. Inc. 4,940 201
Mesabi Trust 8,242 161
Martin Marietta Materials Inc. 900 119
* Novagold Resources Inc. 19,600 83
* Vista Gold Corp. 112,900 56
* Rare Element Resources Ltd. 33,288 43
* Platform Specialty Products Corp. 1,500 42
* Berry Plastics Group Inc. 1,000 26
* Kinross Gold Corp. 5,543 23
Tronox Ltd. Class A 500 13
MeadWestvaco Corp. 300 13
* Golden Star Resources Ltd. 16,173 10
* Texas Industries Inc. 100 9
Vulcan Materials Co. 144 9
Steel Dynamics Inc. 400 7
* KapStone Paper and Packaging Corp. 200 7
Allegheny Technologies Inc. 107 5
* Thompson Creek Metals Co. Inc. 1,000 3
* Taminco Corp. 100 2
* Tanzanian Royalty Exploration Corp. 908 2
    232,605
Other (0.1%)    
SPDR S&P 500 ETF Trust 47,200 9,238
 
Telecommunication Services (3.1%)    
AT&T Inc. 2,549,358 90,145
Verizon Communications Inc. 1,194,279 58,436
CenturyLink Inc. 552,763 20,010
Frontier Communications Corp. 1,186,800 6,931
Windstream Holdings Inc. 581,700 5,794

 

 

* Intelsat SA     10,100 190
* Alaska Communications Systems Group Inc.     13,500 24
* Globalstar Inc.     4,424 19
* tw telecom inc Class A     400 16
  Telephone & Data Systems Inc.     400 10
* Level 3 Communications Inc.     200 9
  Cellcom Israel Ltd.     300 4
          181,588
Utilities (3.3%)        
  Ameren Corp.     618,030 25,265
  Exelon Corp.     645,630 23,553
  American Electric Power Co. Inc.     396,990 22,140
  AES Corp.     1,304,973 20,292
  Edison International     276,200 16,050
  Entergy Corp.     192,100 15,770
  AGL Resources Inc.     191,930 10,562
  DTE Energy Co.     106,700 8,309
  Duke Energy Corp.     107,350 7,964
  FirstEnergy Corp.     195,172 6,776
  PG&E Corp.     130,100 6,247
  NRG Energy Inc.     134,388 4,999
  Consolidated Edison Inc.     83,263 4,808
  Dominion Resources Inc.     63,264 4,525
  Southern Co.     59,730 2,711
  Northeast Utilities     56,505 2,671
  CenterPoint Energy Inc.     63,750 1,628
* Dynegy Inc. Class A     41,300 1,437
  Pinnacle West Capital Corp.     24,186 1,399
  CMS Energy Corp.     41,700 1,299
* Calpine Corp.     48,200 1,148
  TECO Energy Inc.     29,790 551
  NiSource Inc.     11,093 436
  OGE Energy Corp.     4,300 168
  American Water Works Co. Inc.     2,900 143
  NorthWestern Corp.     2,400 125
  Questar Corp.     1,500 37
  NextEra Energy Inc.     251 26
  Portland General Electric Co.     600 21
  Pattern Energy Group Inc. Class A     300 10
          191,070
Total Common Stocks (Cost $4,636,355)       5,682,033
    Coupon      
Temporary Cash Investments (2.7%)1        
Money Market Fund (2.6%)        
2,3 Vanguard Market Liquidity Fund 0.111%   149,836,735 149,837
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.1%)        
4,5 Fannie Mae Discount Notes 0.060% 8/27/14 500 500
4,5 Fannie Mae Discount Notes 0.080% 10/6/14 200 200
5,6 Federal Home Loan Bank Discount Notes 0.093% 7/18/14 5,000 4,999
5,6 Federal Home Loan Bank Discount Notes 0.065% 8/29/14 400 400

 

 

5,6 Federal Home Loan Bank Discount Notes 0.080% 9/24/14 500 500
        6,599
Total Temporary Cash Investments (Cost $156,436)       156,436
Total Investments (100.2%) (Cost $4,792,791)       5,838,469
Other Assets and Liabilities-Net (-0.2%)3       (10,378)
Net Assets (100%)       5,828,091

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,867,000.
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 0.4%, 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 $1,893,000 of collateral received for securities on loan.
4 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Securities with a value of $6,200,000 have been segregated as initial margin for open futures contracts.
6 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.
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 market value of the fund's investments as of June 30, 2014, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 5,682,033 — —

 

 

Growth and Income Fund

 

Temporary Cash Investments 149,837 6,599 —
Futures Contracts—Assets1 28 — —
Total 5,831,898 6,599 —
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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

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

At June 30, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
S&P 500 Index September 2014 264 128,858 1,684
E-mini S&P 500 Index September 2014 58 5,662 64
        1,748

 

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

D. At June 30, 2014, the cost of investment securities for tax purposes was $4,792,791,000. Net unrealized appreciation of investment securities for tax purposes was $1,045,678,000, consisting of unrealized gains of $1,072,766,000 on securities that had risen in value since their purchase and $27,088,000 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, 2014

    Market
    Value
  Shares ($000)
Common Stocks (99.7%)1    
Consumer Discretionary (12.2%)    
Walt Disney Co. 118,779 10,184
Comcast Corp. Class A 172,600 9,265
Home Depot Inc. 103,275 8,361
Lowe's Cos. Inc. 112,850 5,416
Marriott International Inc. Class A 73,900 4,737
Best Buy Co. Inc. 150,900 4,679
Macy's Inc. 78,700 4,566
Wynn Resorts Ltd. 21,700 4,504
Wyndham Worldwide Corp. 58,400 4,422
Delphi Automotive plc 63,900 4,393
* AutoZone Inc. 7,700 4,129
Cablevision Systems Corp. Class A 233,300 4,118
* O'Reilly Automotive Inc. 27,000 4,066
Whirlpool Corp. 27,300 3,801
Graham Holdings Co. Class B 4,200 3,016
TJX Cos. Inc. 54,000 2,870
Viacom Inc. Class B 30,000 2,602
NIKE Inc. Class B 26,600 2,063
CBS Corp. Class B 29,280 1,820
* DIRECTV 21,100 1,794
Time Warner Cable Inc. 11,200 1,650
* Amazon.com Inc. 4,200 1,364
McDonald's Corp. 6,747 680
Comcast Corp. 10,525 561
Johnson Controls Inc. 8,600 429
Time Warner Inc. 5,700 400
    95,890
Consumer Staples (9.3%)    
PepsiCo Inc. 109,592 9,791
CVS Caremark Corp. 104,800 7,899
Procter & Gamble Co. 80,594 6,334
Kimberly-Clark Corp. 52,000 5,783
Kroger Co. 110,500 5,462
Archer-Daniels-Midland Co. 119,200 5,258
Molson Coors Brewing Co. Class B 65,600 4,865
Dr Pepper Snapple Group Inc. 75,700 4,434
Walgreen Co. 59,000 4,374
Tyson Foods Inc. Class A 105,500 3,960
Hershey Co. 40,100 3,904
Coca-Cola Co. 70,980 3,007
Philip Morris International Inc. 30,836 2,600
Wal-Mart Stores Inc. 26,946 2,023
Mondelez International Inc. Class A 49,100 1,847
Kraft Foods Group Inc. 10,866 651
Kellogg Co. 6,500 427
    72,619
Energy (10.3%)    
Exxon Mobil Corp. 154,239 15,529

 

 

ConocoPhillips 107,359 9,204
Schlumberger Ltd. 70,325 8,295
Occidental Petroleum Corp. 75,200 7,718
EOG Resources Inc. 63,300 7,397
Chevron Corp. 53,256 6,952
Devon Energy Corp. 74,600 5,923
Chesapeake Energy Corp. 158,200 4,917
Valero Energy Corp. 94,700 4,744
Helmerich & Payne Inc. 33,500 3,890
Marathon Oil Corp. 67,500 2,695
Phillips 66 17,479 1,406
* Newfield Exploration Co. 22,900 1,012
Hess Corp. 7,100 702
    80,384
Financials (15.2%)    
Wells Fargo & Co. 290,135 15,250
American Express Co. 77,000 7,305
Goldman Sachs Group Inc. 40,100 6,714
JPMorgan Chase & Co. 100,379 5,784
Travelers Cos. Inc. 60,100 5,654
Ameriprise Financial Inc. 42,800 5,136
KeyCorp 318,900 4,570
Regions Financial Corp. 428,300 4,549
Lincoln National Corp. 85,100 4,378
Fifth Third Bancorp 200,800 4,287
Simon Property Group Inc. 25,500 4,240
* Berkshire Hathaway Inc. Class B 31,605 4,000
* E*TRADE Financial Corp. 172,100 3,659
McGraw Hill Financial Inc. 42,500 3,529
Bank of America Corp. 221,953 3,411
Unum Group 89,200 3,101
Public Storage 17,600 3,016
Assurant Inc. 45,800 3,002
BlackRock Inc. 9,200 2,940
Citigroup Inc. 57,525 2,709
Host Hotels & Resorts Inc. 120,900 2,661
General Growth Properties Inc. 106,700 2,514
Legg Mason Inc. 43,000 2,206
* Berkshire Hathaway Inc. Class A 11 2,089
Ventas Inc. 30,800 1,974
Navient Corp. 80,200 1,420
Discover Financial Services 21,350 1,323
PNC Financial Services Group Inc. 14,800 1,318
Kimco Realty Corp. 57,200 1,314
SunTrust Banks Inc. 27,700 1,110
ACE Ltd. 10,700 1,110
Chubb Corp. 10,000 922
Prologis Inc. 20,400 838
Capital One Financial Corp. 9,700 801
Bank of New York Mellon Corp. 11,000 412
* Washington Prime Group Inc. 12,750 239
    119,485
Health Care (13.5%)    
Johnson & Johnson 164,546 17,215
Pfizer Inc. 350,075 10,390
* Gilead Sciences Inc. 116,200 9,634

 

 

AbbVie Inc. 143,868 8,120
Eli Lilly & Co. 111,987 6,962
* Celgene Corp. 73,400 6,304
* Express Scripts Holding Co. 84,800 5,879
WellPoint Inc. 49,700 5,348
Cigna Corp. 54,800 5,040
Cardinal Health Inc. 70,800 4,854
Thermo Fisher Scientific Inc. 39,900 4,708
* Boston Scientific Corp. 358,100 4,573
Merck & Co. Inc. 76,044 4,399
CR Bard Inc. 29,200 4,176
Zoetis Inc. 110,600 3,569
* Mylan Inc. 25,100 1,294
Allergan Inc. 6,050 1,024
* Alexion Pharmaceuticals Inc. 5,900 922
UnitedHealth Group Inc. 10,000 818
McKesson Corp. 3,300 614
Bristol-Myers Squibb Co. 4,000 194
Amgen Inc. 1,300 154
    106,191
Industrials (10.2%)    
General Electric Co. 551,122 14,483
Boeing Co. 58,900 7,494
United Parcel Service Inc. Class B 68,321 7,014
General Dynamics Corp. 50,500 5,886
Lockheed Martin Corp. 36,500 5,867
Southwest Airlines Co. 189,900 5,101
Raytheon Co. 55,100 5,083
Northrop Grumman Corp. 42,416 5,074
L-3 Communications Holdings Inc. 37,900 4,576
Pitney Bowes Inc. 151,400 4,182
Emerson Electric Co. 60,400 4,008
Caterpillar Inc. 22,900 2,489
Delta Air Lines Inc. 52,600 2,037
Union Pacific Corp. 20,400 2,035
3M Co. 14,000 2,005
Rockwell Automation Inc. 8,400 1,051
United Technologies Corp. 8,986 1,037
Fluor Corp. 8,500 654
    80,076
Information Technology (18.4%)    
Apple Inc. 279,874 26,009
Microsoft Corp. 307,741 12,833
International Business Machines Corp. 64,340 11,663
* Facebook Inc. Class A 140,600 9,461
Hewlett-Packard Co. 208,150 7,011
MasterCard Inc. Class A 92,000 6,759
Texas Instruments Inc. 131,000 6,260
* Google Inc. Class A 10,505 6,142
Accenture plc Class A 72,300 5,845
* Google Inc. Class C 9,105 5,238
Intuit Inc. 61,300 4,936
Western Digital Corp. 53,300 4,920
* Electronic Arts Inc. 133,100 4,774
Seagate Technology plc 82,200 4,671
Computer Sciences Corp. 70,300 4,443

 

 

  Harris Corp.     56,000 4,242
* Micron Technology Inc.     109,700 3,615
  Intel Corp.     86,953 2,687
  Oracle Corp.     55,888 2,265
  Applied Materials Inc.     95,700 2,158
* Alliance Data Systems Corp.     7,300 2,053
  QUALCOMM Inc.     24,057 1,905
  Cisco Systems Inc.     66,615 1,655
  TE Connectivity Ltd.     19,000 1,175
  Visa Inc. Class A     4,800 1,011
* Cognizant Technology Solutions Corp. Class A     9,600 470
          144,201
Materials (4.1%)        
  Dow Chemical Co.     131,000 6,741
  LyondellBasell Industries NV Class A     61,600 6,015
  PPG Industries Inc.     22,614 4,752
  Ball Corp.     74,400 4,664
  United States Steel Corp.     148,400 3,864
  Avery Dennison Corp.     70,400 3,608
  CF Industries Holdings Inc.     8,800 2,117
          31,761
Telecommunication Services (2.9%)        
  Verizon Communications Inc.     249,996 12,232
  AT&T Inc.     296,735 10,493
          22,725
Utilities (3.6%)        
  American Electric Power Co. Inc.     96,600 5,387
  Entergy Corp.     63,100 5,180
  Edison International     88,700 5,154
  Ameren Corp.     105,800 4,325
  DTE Energy Co.     46,500 3,621
  AGL Resources Inc.     52,600 2,895
  Exelon Corp.     55,700 2,032
          28,594
Total Common Stocks (Cost $597,932)       781,926
    Coupon      
Temporary Cash Investments (0.3%)1        
Money Market Fund (0.3%)        
2 Vanguard Market Liquidity Fund 0.111%   2,283,365 2,283
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
3,4 Federal Home Loan Bank Discount Notes 0.060% 7/9/14 200 200
Total Temporary Cash Investments (Cost $2,484)       2,483
Total Investments (100.0%) (Cost $600,416)       784,409
Other Assets and Liabilities-Net (0.0%)       (176)
Net Assets (100%)       784,233
* 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.
3 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.
4 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that 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 June 30, 2014, based on the inputs used to value them:

 

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 781,926 — —
Temporary Cash Investments 2,283 200 —
Total 784,209 200 —

 

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse

 

Structured Large-Cap Equity Fund

imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.

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

At June 30, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
S&P 500 Index September 2014 4 1,952 24
E-mini S&P 500 Index September 2014 3 293 —
        24

 

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

D. At June 30, 2014, the cost of investment securities for tax purposes was $600,416,000. Net unrealized appreciation of investment securities for tax purposes was $183,993,000, consisting of unrealized gains of $185,083,000 on securities that had risen in value since their purchase and $1,090,000 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, 2014

    Market
    Value
  Shares ($000)
Common Stocks (99.7%)1    
Consumer Discretionary (12.0%)    
Home Depot Inc. 68,400 5,538
Comcast Corp. Class A 94,891 5,094
Lowe's Cos. Inc. 82,200 3,945
Viacom Inc. Class B 43,600 3,781
CBS Corp. Class B 58,900 3,660
Macy's Inc. 59,800 3,470
Marriott International Inc. Class A 52,800 3,384
* O'Reilly Automotive Inc. 21,900 3,298
NIKE Inc. Class B 40,600 3,148
* Visteon Corp. 32,200 3,124
* Murphy USA Inc. 60,600 2,963
Las Vegas Sands Corp. 38,500 2,934
Whirlpool Corp. 20,700 2,882
Cablevision Systems Corp. Class A 163,200 2,880
Wynn Resorts Ltd. 13,200 2,740
TJX Cos. Inc. 50,200 2,668
Hanesbrands Inc. 22,700 2,234
Gap Inc. 51,000 2,120
* Tower International Inc. 47,500 1,750
Best Buy Co. Inc. 56,300 1,746
Jack in the Box Inc. 27,000 1,616
* DIRECTV 12,100 1,029
Time Warner Cable Inc. 6,800 1,002
Walt Disney Co. 9,700 832
* Starz 24,982 744
* Skechers U.S.A. Inc. Class A 5,800 265
* Amazon.com Inc. 800 260
Domino's Pizza Inc. 1,600 117
Twenty-First Century Fox Inc. Class A 3,300 116
    69,340
Consumer Staples (8.9%)    
CVS Caremark Corp. 65,000 4,899
Kimberly-Clark Corp. 35,500 3,948
PepsiCo Inc. 43,600 3,895
Kroger Co. 77,300 3,821
Archer-Daniels-Midland Co. 84,600 3,732
Kraft Foods Group Inc. 59,400 3,561
* Pilgrim's Pride Corp. 128,950 3,528
Procter & Gamble Co. 39,351 3,093
Tyson Foods Inc. Class A 81,900 3,075
Sanderson Farms Inc. 27,100 2,634
Bunge Ltd. 32,800 2,481
Walgreen Co. 30,100 2,231
Altria Group Inc. 51,800 2,173
Andersons Inc. 39,750 2,050
Coca-Cola Co. 33,780 1,431
Dr Pepper Snapple Group Inc. 23,900 1,400
Philip Morris International Inc. 14,550 1,227

 

 

^ Herbalife Ltd. 13,000 839
Wal-Mart Stores Inc. 8,465 635
* Rite Aid Corp. 65,000 466
    51,119
Energy (9.3%)    
Exxon Mobil Corp. 89,320 8,993
ConocoPhillips 68,240 5,850
EOG Resources Inc. 42,500 4,966
Chevron Corp. 32,565 4,251
Devon Energy Corp. 51,600 4,097
Hess Corp. 39,100 3,867
Chesapeake Energy Corp. 120,000 3,730
Helmerich & Payne Inc. 30,500 3,541
Valero Energy Corp. 68,000 3,407
Cimarex Energy Co. 22,800 3,271
* Kosmos Energy Ltd. 258,700 2,905
Occidental Petroleum Corp. 20,200 2,073
Phillips 66 13,870 1,116
Schlumberger Ltd. 8,310 980
* Clayton Williams Energy Inc. 3,500 481
Murphy Oil Corp. 5,200 346
    53,874
Financials (16.7%)    
Wells Fargo & Co. 182,270 9,580
American Express Co. 54,100 5,132
Goldman Sachs Group Inc. 27,200 4,554
PNC Financial Services Group Inc. 46,600 4,150
Travelers Cos. Inc. 38,500 3,622
Ameriprise Financial Inc. 29,600 3,552
Allstate Corp. 59,800 3,511
Lincoln National Corp. 63,400 3,261
KeyCorp 225,300 3,229
Everest Re Group Ltd. 19,700 3,162
Fifth Third Bancorp 147,700 3,153
* Berkshire Hathaway Inc. Class B 23,500 2,974
Discover Financial Services 45,400 2,814
Voya Financial Inc. 76,600 2,784
JPMorgan Chase & Co. 47,336 2,728
RenaissanceRe Holdings Ltd. 24,900 2,664
Simon Property Group Inc. 14,700 2,444
Regions Financial Corp. 229,400 2,436
Universal Insurance Holdings Inc. 178,000 2,309
Public Storage 10,400 1,782
US Bancorp 40,250 1,744
Host Hotels & Resorts Inc. 71,400 1,572
General Growth Properties Inc. 62,100 1,463
RLJ Lodging Trust 50,400 1,456
Bank of America Corp. 91,500 1,406
* Howard Hughes Corp. 8,800 1,389
Omega Healthcare Investors Inc. 34,900 1,286
Ryman Hospitality Properties Inc. 25,300 1,218
Ventas Inc. 19,000 1,218
Hospitality Properties Trust 37,100 1,128
Kimco Realty Corp. 48,700 1,119
Citigroup Inc. 22,700 1,069
Assurant Inc. 16,200 1,062

 

 

Corrections Corp. of America 31,800 1,045
Weingarten Realty Investors 31,500 1,034
Retail Properties of America Inc. 66,900 1,029
Astoria Financial Corp. 70,500 948
* World Acceptance Corp. 11,256 855
* E*TRADE Financial Corp. 26,200 557
Montpelier Re Holdings Ltd. 17,100 546
Waddell & Reed Financial Inc. Class A 8,000 501
WP Carey Inc. 6,300 406
Lazard Ltd. Class A 6,600 340
* Opus Bank 11,700 340
Legg Mason Inc. 6,600 339
Brandywine Realty Trust 21,600 337
* Piper Jaffray Cos. 5,000 259
MidSouth Bancorp Inc. 12,900 257
First Financial Northwest Inc. 14,900 162
DuPont Fabros Technology Inc. 5,500 148
    96,074
Health Care (13.6%)    
Johnson & Johnson 102,307 10,703
Pfizer Inc. 238,258 7,071
* Gilead Sciences Inc. 76,200 6,318
AbbVie Inc. 93,600 5,283
* Celgene Corp. 54,600 4,689
Eli Lilly & Co. 73,620 4,577
Merck & Co. Inc. 74,183 4,291
McKesson Corp. 22,900 4,264
WellPoint Inc. 35,200 3,788
Cigna Corp. 40,100 3,688
Cardinal Health Inc. 51,900 3,558
Medtronic Inc. 52,000 3,316
* Mylan Inc. 63,100 3,253
CR Bard Inc. 21,200 3,032
* Charles River Laboratories International Inc. 42,600 2,280
* Covance Inc. 26,200 2,242
Omnicare Inc. 25,500 1,698
Abbott Laboratories 38,000 1,554
* Boston Scientific Corp. 81,100 1,036
Amgen Inc. 5,200 616
* CorVel Corp. 12,900 583
Kindred Healthcare Inc. 18,003 416
* Alliance HealthCare Services Inc. 12,600 340
    78,596
Industrials (11.3%)    
General Electric Co. 356,980 9,381
Boeing Co. 39,950 5,083
Union Pacific Corp. 43,800 4,369
General Dynamics Corp. 34,600 4,032
Lockheed Martin Corp. 25,000 4,018
Delta Air Lines Inc. 101,800 3,942
Raytheon Co. 39,400 3,635
Northrop Grumman Corp. 30,130 3,604
Trinity Industries Inc. 75,400 3,296
Alaska Air Group Inc. 32,300 3,070
* Spirit AeroSystems Holdings Inc. Class A 87,500 2,949
Pitney Bowes Inc. 103,800 2,867

 

 

* United Rentals Inc. 24,500 2,566
  Honeywell International Inc. 27,000 2,510
  Huntington Ingalls Industries Inc. 26,100 2,469
  Southwest Airlines Co. 89,900 2,415
  Rockwell Automation Inc. 17,500 2,190
  United Parcel Service Inc. Class B 17,300 1,776
  L-3 Communications Holdings Inc. 6,800 821
  Kimball International Inc. Class B 13,200 221
      65,214
Information Technology (17.3%)    
  Apple Inc. 135,940 12,633
  International Business Machines Corp. 33,442 6,062
* Facebook Inc. Class A 89,700 6,036
  Microsoft Corp. 140,897 5,875
  Hewlett-Packard Co. 141,500 4,766
  MasterCard Inc. Class A 64,500 4,739
  Texas Instruments Inc. 83,100 3,971
  Western Digital Corp. 38,900 3,590
* Alliance Data Systems Corp. 12,100 3,403
  Computer Sciences Corp. 50,800 3,211
* Take-Two Interactive Software Inc. 139,100 3,094
* Electronic Arts Inc. 85,600 3,070
*,^ Advanced Micro Devices Inc. 730,200 3,060
* Aspen Technology Inc. 64,800 3,007
  Anixter International Inc. 27,400 2,742
* Google Inc. Class A 4,480 2,619
* Freescale Semiconductor Ltd. 110,900 2,606
* Google Inc. Class C 4,480 2,577
* Manhattan Associates Inc. 66,400 2,286
  CDW Corp. 66,600 2,123
  Harris Corp. 27,900 2,113
  Heartland Payment Systems Inc. 50,900 2,098
* VMware Inc. Class A 17,500 1,694
  Brocade Communications Systems Inc. 148,800 1,369
* ON Semiconductor Corp. 134,400 1,228
  Intuit Inc. 15,000 1,208
  Booz Allen Hamilton Holding Corp. Class A 52,900 1,124
  Broadridge Financial Solutions Inc. 24,500 1,020
* Ubiquiti Networks Inc. 20,500 926
  Intel Corp. 23,190 717
  Oracle Corp. 15,848 642
  Motorola Solutions Inc. 9,400 626
  QUALCOMM Inc. 7,300 578
* Gartner Inc. 7,500 529
  Marvell Technology Group Ltd. 35,000 502
  Lexmark International Inc. Class A 10,200 491
  Cisco Systems Inc. 17,850 444
  Applied Materials Inc. 15,000 338
  DST Systems Inc. 2,590 239
  Visa Inc. Class A 1,000 211
* iGATE Corp. 5,300 193
      99,760
Materials (4.3%)    
  Dow Chemical Co. 86,900 4,472
  LyondellBasell Industries NV Class A 41,700 4,072
  PPG Industries Inc. 18,650 3,919

 

 

  CF Industries Holdings Inc.     13,000 3,127
  Cytec Industries Inc.     29,000 3,057
  Sherwin-Williams Co.     9,900 2,049
  Avery Dennison Corp.     29,100 1,491
  Westlake Chemical Corp.     17,600 1,474
  Scotts Miracle-Gro Co. Class A     14,800 842
          24,503
Telecommunication Services (2.7%)        
  Verizon Communications Inc.     166,757 8,159
  AT&T Inc.     191,929 6,787
* FairPoint Communications Inc.     22,000 307
          15,253
Utilities (3.6%)        
  Exelon Corp.     106,700 3,892
  Edison International     63,200 3,673
  Entergy Corp.     42,300 3,472
  Ameren Corp.     73,400 3,001
  New Jersey Resources Corp.     52,000 2,972
  American Electric Power Co. Inc.     50,900 2,839
  AES Corp.     48,100 748
  AGL Resources Inc.     4,500 248
          20,845
Total Common Stocks (Cost $428,305)       574,578
    Coupon      
Temporary Cash Investments (0.5%)1        
Money Market Fund (0.5%)        
2,3 Vanguard Market Liquidity Fund 0.111%   2,744,209 2,744
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (0.0%)        
4,5 Fannie Mae Discount Notes 0.075% 10/15/14 100 100
5,6 Federal Home Loan Bank Discount Notes 0.086% 9/12/14 100 100
          200
Total Temporary Cash Investments (Cost $2,944)       2,944
Total Investments (100.2%) (Cost $431,249)       577,522
Other Assets and Liabilities-Net (-0.2%)3       (1,054)
Net Assets (100%)       576,468
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,032,000.

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 100.0% and 0.2%, 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 $1,201,000 of collateral received for securities on loan.
4 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
6 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.

 

Structured Broad Market Fund

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. 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 June 30, 2014, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 574,578 — —
Temporary Cash Investments 2,744 200 —
Total 577,322 200 —

 

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.

 

Structured Broad Market Fund

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

At June 30, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
S&P 500 Index September 2014 3 1,464 18
E-mini S&P 500 Index September 2014 4 391 —
        18

 

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

D. At June 30, 2014, the cost of investment securities for tax purposes was $431,249,000. Net unrealized appreciation of investment securities for tax purposes was $146,273,000, consisting of unrealized gains of $148,200,000 on securities that had risen in value since their purchase and $1,927,000 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 20, 2014  

 

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 20, 2014

 

 

 

VANGUARD QUANTITATIVE FUNDS

 

  /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
Date: August 20, 2014  

 

* By:/s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number 2-17620,
Incorporated by Reference.