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: December 31, 2015

Item 1: Schedule of Investments


Vanguard Growth and Income Fund    
 
 
 
Schedule of Investments    
As of December 31, 2015    
 
      Market
      Value
    Shares ($000)
Common Stocks (97.3%)1    
Consumer Discretionary (12.6%)    
* Amazon.com Inc. 143,258 96,827
  Walt Disney Co. 660,566 69,412
  Comcast Corp. Class A 1,170,250 66,037
  Home Depot Inc. 466,728 61,725
  Target Corp. 447,190 32,470
  Lowe's Cos. Inc. 380,200 28,910
* Priceline Group Inc. 20,800 26,519
  Time Warner Cable Inc. 123,526 22,925
* O'Reilly Automotive Inc. 87,160 22,088
  NIKE Inc. Class B 345,680 21,605
  Darden Restaurants Inc. 335,057 21,323
  Leggett & Platt Inc. 436,040 18,322
  Interpublic Group of Cos. Inc. 777,545 18,101
  L Brands Inc. 187,380 17,955
  General Motors Co. 497,520 16,921
  McDonald's Corp. 139,180 16,443
* Netflix Inc. 142,665 16,318
  Wyndham Worldwide Corp. 211,930 15,397
  Time Warner Inc. 235,965 15,260
  Carnival Corp. 258,500 14,083
  Goodyear Tire & Rubber Co. 371,900 12,150
  Best Buy Co. Inc. 370,770 11,290
  Marriott International Inc. Class A 161,100 10,800
  PVH Corp. 143,198 10,547
^ GameStop Corp. Class A 325,700 9,133
  News Corp. Class B 599,800 8,373
  Johnson Controls Inc. 178,140 7,035
  Omnicom Group Inc. 87,950 6,654
  VF Corp. 101,877 6,342
  Starbucks Corp. 90,498 5,433
* AutoZone Inc. 7,118 5,281
  Ross Stores Inc. 97,210 5,231
  Newell Rubbermaid Inc. 104,480 4,605
* Liberty Global plc 98,700 4,024
* Mohawk Industries Inc. 19,616 3,715
  CBS Corp. Class B 76,300 3,596
  Signet Jewelers Ltd. 28,700 3,550
  Hasbro Inc. 48,827 3,289
  Genuine Parts Co. 35,300 3,032
  TEGNA Inc. 108,430 2,767
  Hilton Worldwide Holdings Inc. 123,100 2,634
* Sally Beauty Holdings Inc. 94,300 2,630
* Ulta Salon Cosmetics & Fragrance Inc. 12,700 2,349
  Macy's Inc. 66,628 2,331
  Hanesbrands Inc. 76,400 2,248
  Delphi Automotive plc 22,150 1,899
* TripAdvisor Inc. 20,500 1,748
  Graham Holdings Co. Class B 2,642 1,281
* Liberty Ventures Class A 28,000 1,263

 

 

  Restaurant Brands International Inc. 33,800 1,263
  Bloomin' Brands Inc. 66,090 1,116
  Nordstrom Inc. 21,930 1,092
  Cable One Inc. 2,455 1,065
  Aramark 32,900 1,061
  Gannett Co. Inc. 54,195 883
* Visteon Corp. 6,900 790
  Magna International Inc. 16,300 661
* NVR Inc. 350 575
* AutoNation Inc. 9,000 537
  Marriott Vacations Worldwide Corp. 9,300 530
* Michaels Cos. Inc. 21,700 480
  DR Horton Inc. 14,200 455
  PulteGroup Inc. 25,032 446
  Service Corp. International 16,900 440
* Liberty Media Corp. 9,900 377
* Vista Outdoor Inc. 7,700 343
* Houghton Mifflin Harcourt Co. 15,500 338
  Williams-Sonoma Inc. 5,700 333
  CST Brands Inc. 8,000 313
  Aaron's Inc. 13,400 300
  Rent-A-Center Inc. 18,300 274
* Liberty TripAdvisor Holdings Inc. Class A 8,500 258
* DISH Network Corp. Class A 4,300 246
  Autoliv Inc. 1,762 220
  Expedia Inc. 1,500 186
* Denny's Corp. 15,265 150
  Time Inc. 9,100 143
  Libbey Inc. 6,200 132
* Liberty Broadband Corp. 2,500 130
* Isle of Capri Casinos Inc. 9,200 128
* ServiceMaster Global Holdings Inc. 3,100 122
* Diamond Resorts International Inc. 4,700 120
  DeVry Education Group Inc. 4,100 104
  Churchill Downs Inc. 682 96
* Murphy USA Inc. 1,500 91
  International Game Technology plc 5,500 89
* La Quinta Holdings Inc. 6,400 87
  TJX Cos. Inc. 1,220 86
  Tractor Supply Co. 900 77
* Caesars Entertainment Corp. 9,700 77
  Carter's Inc. 800 71
* Liberty Interactive Corp. QVC Group Class A 2,600 71
* Mattress Firm Holding Corp. 1,582 71
* Gentherm Inc. 1,400 66
  Gentex Corp. 3,900 62
  Barnes & Noble Inc. 7,100 62
*,^ Sears Holdings Corp. 2,820 58
* JC Penney Co. Inc. 8,500 57
* Smith & Wesson Holding Corp. 2,181 48
* BJ's Restaurants Inc. 1,100 48
* New York & Co. Inc. 19,273 44
  HSN Inc. 800 41
* Townsquare Media Inc. Class A 3,302 39
  La-Z-Boy Inc. 1,500 37
  Dick's Sporting Goods Inc. 1,000 35
* Bojangles' Inc. 1,900 30

 

 

Chico's FAS Inc. 2,800 30
* Lee Enterprises Inc. 17,186 29
Dollar General Corp. 400 29
DineEquity Inc. 300 25
SeaWorld Entertainment Inc. 998 20
Journal Media Group Inc. 1,600 19
* Liberty Global PLC LiLAC 400 17
Citi Trends Inc. 800 17
* Liberty Broadband Corp. Class A 300 15
* Starz 400 13
* Tumi Holdings Inc. 800 13
* Carrols Restaurant Group Inc. 1,100 13
Haverty Furniture Cos. Inc. 600 13
* Biglari Holdings Inc. 34 11
Abercrombie & Fitch Co. 400 11
* Nautilus Inc. 600 10
* TopBuild Corp. 300 9
* Regis Corp. 600 8
Yum! Brands Inc. 100 7
* Barnes & Noble Education Inc. 700 7
* Nord Anglia Education Inc. 339 7
Coach Inc. 200 7
* J Alexander's Holdings Inc. 365 4
* Vince Holding Corp. 800 4
Harte-Hanks Inc. 589 2
Staples Inc. 2 —
    781,265
Consumer Staples (10.7%)    
Procter & Gamble Co. 789,450 62,690
Coca-Cola Co. 1,422,562 61,113
Altria Group Inc. 1,040,778 60,584
PepsiCo Inc. 451,376 45,101
Kroger Co. 1,065,396 44,565
CVS Health Corp. 424,920 41,544
Dr Pepper Snapple Group Inc. 340,420 31,727
Mondelez International Inc. Class A 691,190 30,993
Constellation Brands Inc. Class A 202,904 28,902
Clorox Co. 187,200 23,743
Wal-Mart Stores Inc. 363,310 22,271
Costco Wholesale Corp. 137,620 22,226
Philip Morris International Inc. 234,078 20,578
Campbell Soup Co. 338,900 17,809
General Mills Inc. 297,700 17,165
ConAgra Foods Inc. 403,770 17,023
Colgate-Palmolive Co. 251,740 16,771
Tyson Foods Inc. Class A 231,700 12,357
Kimberly-Clark Corp. 96,048 12,227
Walgreens Boots Alliance Inc. 141,004 12,007
Kellogg Co. 147,516 10,661
Hormel Foods Corp. 111,510 8,818
Reynolds American Inc. 187,360 8,647
Coca-Cola Enterprises Inc. 175,300 8,632
Kraft Heinz Co. 114,500 8,331
Archer-Daniels-Midland Co. 210,700 7,728
Hershey Co. 53,255 4,754
Bunge Ltd. 42,336 2,891
^ Pilgrim's Pride Corp. 53,400 1,180

 

 

Flowers Foods Inc. 27,700 595
JM Smucker Co. 4,093 505
Estee Lauder Cos. Inc. Class A 3,500 308
Church & Dwight Co. Inc. 3,000 255
McCormick & Co. Inc. 1,390 119
* Edgewell Personal Care Co. 1,500 118
Brown-Forman Corp. Class B 1,000 99
* Adecoagro SA 6,100 75
Spectrum Brands Holdings Inc. 500 51
Mead Johnson Nutrition Co. 600 47
Cott Corp. 1,300 14
* Omega Protein Corp. 400 9
    665,233
Energy (5.7%)    
Exxon Mobil Corp. 1,333,121 103,917
Schlumberger Ltd. 539,825 37,653
Tesoro Corp. 290,260 30,585
Phillips 66 357,040 29,206
Valero Energy Corp. 319,729 22,608
Marathon Petroleum Corp. 418,202 21,680
Chevron Corp. 156,036 14,037
Ensco plc Class A 710,660 10,937
^ Transocean Ltd. 820,400 10,157
Occidental Petroleum Corp. 149,836 10,130
Kinder Morgan Inc. 594,700 8,873
Anadarko Petroleum Corp. 166,400 8,084
^ Noble Corp. plc 751,100 7,924
* FMC Technologies Inc. 258,200 7,490
* Cameron International Corp. 117,804 7,445
Williams Cos. Inc. 271,500 6,977
EOG Resources Inc. 97,600 6,909
Devon Energy Corp. 131,894 4,221
Columbia Pipeline Group Inc. 91,880 1,838
* Southwestern Energy Co. 156,600 1,113
^ Cameco Corp. 60,100 741
Baker Hughes Inc. 13,758 635
* Cheniere Energy Inc. 16,500 615
Halliburton Co. 12,600 429
* Memorial Resource Development Corp. 18,700 302
US Silica Holdings Inc. 14,800 277
Cabot Oil & Gas Corp. 10,500 186
Euronav NV 10,200 140
EnLink Midstream LLC 8,918 135
Teekay Corp. 12,000 118
Marathon Oil Corp. 7,900 99
* Golar LNG Partners LP 6,580 88
* Cobalt International Energy Inc. 16,300 88
Frank's International NV 4,900 82
Encana Corp. 15,213 77
CVR Energy Inc. 1,800 71
Cimarex Energy Co. 600 54
Nabors Industries Ltd. 5,200 44
* Kosmos Energy Ltd. 6,900 36
* Harvest Natural Resources Inc. 82,231 35
SemGroup Corp. Class A 1,000 29
Aegean Marine Petroleum Network Inc. 3,260 27
World Fuel Services Corp. 400 15

 

 

* TransAtlantic Petroleum Ltd. 8,887 12
* TETRA Technologies Inc. 1,300 10
California Resources Corp. 4,000 9
* Pacific Drilling SA 9,240 8
* Gener8 Maritime Inc. 800 8
* Willbros Group Inc. 2,547 7
* Natural Gas Services Group Inc. 300 7
* Newfield Exploration Co. 200 6
* Unit Corp. 500 6
* Penn Virginia Corp. 16,390 5
* InterOil Corp. 100 3
Plains GP Holdings LP Class A 300 3
* Comstock Resources Inc. 1,200 2
* PetroQuest Energy Inc. 2,100 1
* Swift Energy Co. 4,543 —
    356,194
Financials (15.5%)    
Wells Fargo & Co. 1,739,116 94,538
JPMorgan Chase & Co. 1,296,588 85,614
Citigroup Inc. 1,061,970 54,957
Bank of America Corp. 2,398,930 40,374
* Berkshire Hathaway Inc. Class B 280,362 37,019
Bank of New York Mellon Corp. 818,535 33,740
Hartford Financial Services Group Inc. 750,345 32,610
Travelers Cos. Inc. 267,542 30,195
Simon Property Group Inc. 138,579 26,945
Crown Castle International Corp. 281,460 24,332
Progressive Corp. 638,172 20,294
Assurant Inc. 246,386 19,844
Goldman Sachs Group Inc. 107,515 19,377
Aon plc 198,160 18,272
Northern Trust Corp. 245,480 17,697
Capital One Financial Corp. 240,900 17,388
Prudential Financial Inc. 211,341 17,205
Huntington Bancshares Inc. 1,509,277 16,693
McGraw Hill Financial Inc. 150,246 14,811
Navient Corp. 1,260,398 14,432
AvalonBay Communities Inc. 76,360 14,060
Nasdaq Inc. 241,260 14,034
Discover Financial Services 243,488 13,056
PNC Financial Services Group Inc. 134,900 12,857
Weyerhaeuser Co. 428,705 12,853
People's United Financial Inc. 769,502 12,427
SunTrust Banks Inc. 287,260 12,306
Ameriprise Financial Inc. 112,164 11,937
Cincinnati Financial Corp. 189,871 11,235
Prologis Inc. 253,570 10,883
American Express Co. 151,600 10,544
Equinix Inc. 34,586 10,459
US Bancorp 231,320 9,870
Moody's Corp. 91,480 9,179
Legg Mason Inc. 231,900 9,097
Allstate Corp. 137,918 8,563
BlackRock Inc. 24,980 8,506
CME Group Inc. 92,300 8,362
Marsh & McLennan Cos. Inc. 149,980 8,316
* Synchrony Financial 256,500 7,800

 

 

Welltower Inc. 101,200 6,885
Intercontinental Exchange Inc. 25,140 6,442
Public Storage 25,510 6,319
Lincoln National Corp. 96,200 4,835
Morgan Stanley 139,434 4,435
Charles Schwab Corp. 133,300 4,390
Equity Residential 53,690 4,381
Apartment Investment & Management Co. 107,920 4,320
Equity LifeStyle Properties Inc. 64,639 4,309
First Horizon National Corp. 270,370 3,926
General Growth Properties Inc. 140,550 3,824
Torchmark Corp. 66,001 3,773
Voya Financial Inc. 90,200 3,329
Principal Financial Group Inc. 71,230 3,204
* Realogy Holdings Corp. 86,400 3,168
Comerica Inc. 73,600 3,079
Willis Group Holdings plc 59,800 2,904
Kimco Realty Corp. 82,470 2,182
Plum Creek Timber Co. Inc. 42,210 2,014
BB&T Corp. 51,400 1,943
* CBRE Group Inc. Class A 54,271 1,877
FNF Group 53,100 1,841
Franklin Resources Inc. 49,497 1,822
Invesco Ltd. 46,100 1,543
Essex Property Trust Inc. 5,800 1,389
SL Green Realty Corp. 12,016 1,358
* Four Corners Property Trust Inc. 56,040 1,354
American International Group Inc. 21,550 1,335
Fifth Third Bancorp 54,710 1,100
Synovus Financial Corp. 32,200 1,043
* Signature Bank 5,459 837
First Republic Bank 11,391 753
Assured Guaranty Ltd. 27,800 735
East West Bancorp Inc. 17,000 707
* Santander Consumer USA Holdings Inc. 41,400 656
* MGIC Investment Corp. 68,100 601
Realty Income Corp. 10,700 552
Brown & Brown Inc. 14,300 459
Aflac Inc. 7,500 449
KeyCorp 30,430 401
ACE Ltd. 3,340 390
Vornado Realty Trust 3,830 383
Great Western Bancorp Inc. 12,200 354
Two Harbors Investment Corp. 42,100 341
ProAssurance Corp. 7,000 340
BankUnited Inc. 8,200 296
* Affiliated Managers Group Inc. 1,473 235
Empire State Realty Trust Inc. 12,700 229
* Forest City Enterprises Inc. Class A 10,400 228
* Essent Group Ltd. 9,800 215
Radian Group Inc. 15,700 210
National Health Investors Inc. 3,422 208
Aspen Insurance Holdings Ltd. 4,100 198
United Bankshares Inc. 5,300 196
Blackstone Mortgage Trust Inc. Class A 6,800 182
Credicorp Ltd. 1,800 175
Investors Bancorp Inc. 13,600 169

 

 

TCF Financial Corp. 11,400 161
* Western Alliance Bancorp 4,400 158
Allied World Assurance Co. Holdings AG 3,800 141
Old Republic International Corp. 7,200 134
* Flagstar Bancorp Inc. 5,500 127
* Arch Capital Group Ltd. 1,700 119
Kilroy Realty Corp. 1,800 114
State Street Corp. 1,580 105
Brookline Bancorp Inc. 9,100 105
Fulton Financial Corp. 7,509 98
Ryman Hospitality Properties Inc. 1,700 88
Erie Indemnity Co. Class A 900 86
American Capital Agency Corp. 4,800 83
WP Carey Inc. 1,400 83
Retail Properties of America Inc. 4,800 71
BancorpSouth Inc. 2,900 70
Associated Banc-Corp 3,500 66
Annaly Capital Management Inc. 6,800 64
Ladder Capital Corp. 4,500 56
MFA Financial Inc. 8,200 54
FelCor Lodging Trust Inc. 7,400 54
* NewStar Financial Inc. 5,604 50
* FNFV Group 4,200 47
* Beneficial Bancorp Inc. 3,480 46
Validus Holdings Ltd. 1,000 46
* Genworth Financial Inc. Class A 12,277 46
Hatteras Financial Corp. 3,300 43
RLJ Lodging Trust 2,000 43
* Credit Acceptance Corp. 200 43
Apple Hospitality REIT Inc. 2,100 42
Leucadia National Corp. 2,400 42
Camden Property Trust 512 39
Cathay General Bancorp 1,200 38
Starwood Property Trust Inc. 1,800 37
Reinsurance Group of America Inc. Class A 428 37
Hudson Pacific Properties Inc. 1,300 37
Raymond James Financial Inc. 600 35
United Community Banks Inc. 1,600 31
Southwest Bancorp Inc. 1,600 28
Arthur J Gallagher & Co. 661 27
Columbia Property Trust Inc. 1,100 26
Healthcare Realty Trust Inc. 900 25
* Stifel Financial Corp. 600 25
Meridian Bancorp Inc. 1,800 25
Brixmor Property Group Inc. 800 21
Federated Investors Inc. Class B 700 20
Arbor Realty Trust Inc. 2,800 20
Columbia Banking System Inc. 600 20
STORE Capital Corp. 840 19
State Bank Financial Corp. 888 19
HFF Inc. Class A 600 19
AG Mortgage Investment Trust Inc. 1,405 18
Argo Group International Holdings Ltd. 279 17
New Residential Investment Corp. 1,300 16
Liberty Property Trust 500 16
Anworth Mortgage Asset Corp. 3,400 15
Metro Bancorp Inc. 400 13

 

 

Valley National Bancorp 1,200 12
Gramercy Property Trust 1,200 9
Wilshire Bancorp Inc. 800 9
MVC Capital Inc. 1,141 8
Alexander & Baldwin Inc. 200 7
West Bancorporation Inc. 352 7
Sierra Bancorp 386 7
Armada Hoffler Properties Inc. 600 6
Lamar Advertising Co. Class A 100 6
Primerica Inc. 100 5
Banner Corp. 100 5
GAIN Capital Holdings Inc. 479 4
NorthStar Asset Management Group Inc. 300 4
Washington Federal Inc. 150 4
* SLM Corp. 500 3
EPR Properties 55 3
Suffolk Bancorp 100 3
Ares Commercial Real Estate Corp. 172 2
Host Hotels & Resorts Inc. 100 2
    960,738
Health Care (15.3%)    
Johnson & Johnson 1,122,278 115,280
Pfizer Inc. 2,101,750 67,844
Gilead Sciences Inc. 665,637 67,356
Merck & Co. Inc. 1,177,576 62,200
Bristol-Myers Squibb Co. 752,532 51,767
Eli Lilly & Co. 601,104 50,649
Amgen Inc. 291,480 47,316
Anthem Inc. 301,995 42,110
* Express Scripts Holding Co. 371,189 32,446
McKesson Corp. 155,030 30,577
UnitedHealth Group Inc. 253,688 29,844
Cardinal Health Inc. 330,830 29,533
AbbVie Inc. 493,623 29,242
AmerisourceBergen Corp. Class A 244,482 25,355
* Biogen Inc. 80,776 24,746
Abbott Laboratories 530,213 23,812
* Boston Scientific Corp. 1,164,569 21,475
* HCA Holdings Inc. 294,900 19,944
Zoetis Inc. 325,910 15,618
Thermo Fisher Scientific Inc. 105,110 14,910
Baxalta Inc. 381,328 14,883
* Allergan plc 47,222 14,757
Aetna Inc. 135,130 14,610
Cigna Corp. 89,820 13,143
Stryker Corp. 123,950 11,520
* Regeneron Pharmaceuticals Inc. 21,048 11,426
Zimmer Biomet Holdings Inc. 76,400 7,838
* DaVita HealthCare Partners Inc. 107,800 7,515
Agilent Technologies Inc. 170,200 7,116
* Intuitive Surgical Inc. 12,674 6,922
Patterson Cos. Inc. 124,120 5,611
* Vertex Pharmaceuticals Inc. 41,100 5,172
Becton Dickinson and Co. 25,922 3,994
* Cerner Corp. 28,600 1,721
* Mallinckrodt plc 22,200 1,657
Medtronic plc 19,200 1,477

 

 

* Medivation Inc. 30,100 1,455
CR Bard Inc. 7,391 1,400
* VCA Inc. 23,300 1,281
Universal Health Services Inc. Class B 8,070 964
* United Therapeutics Corp. 6,000 940
* Illumina Inc. 4,400 845
* Dyax Corp. 18,200 685
Quest Diagnostics Inc. 9,387 668
* Hologic Inc. 16,400 634
* Alere Inc. 15,800 618
Humana Inc. 3,100 553
* Envision Healthcare Holdings Inc. 21,100 548
* Health Net Inc. 6,200 424
* Mylan NV 7,200 389
* FibroGen Inc. 6,000 183
HealthSouth Corp. 4,900 171
* Rigel Pharmaceuticals Inc. 52,910 160
* Amicus Therapeutics Inc. 15,900 154
* Neurocrine Biosciences Inc. 2,700 153
* Varian Medical Systems Inc. 1,700 137
* Pain Therapeutics Inc. 66,692 117
* OPKO Health Inc. 10,400 104
* IMS Health Holdings Inc. 3,800 97
* Waters Corp. 620 83
* ARIAD Pharmaceuticals Inc. 12,200 76
Hill-Rom Holdings Inc. 1,300 62
* ExamWorks Group Inc. 1,900 51
* Myriad Genetics Inc. 1,100 47
* Vitae Pharmaceuticals Inc. 2,400 43
* Corcept Therapeutics Inc. 8,400 42
* VWR Corp. 1,200 34
* AMAG Pharmaceuticals Inc. 1,100 33
* Geron Corp. 6,800 33
* BioTelemetry Inc. 2,600 30
* SciClone Pharmaceuticals Inc. 3,100 29
* Cytokinetics Inc. 2,400 25
* Sirona Dental Systems Inc. 206 23
* Catalent Inc. 900 23
* Wright Medical Group NV 900 22
* Orthofix International NV 500 20
* Imprivata Inc. 1,700 19
* ArQule Inc. 8,649 19
* Merit Medical Systems Inc. 1,000 19
Perrigo Co. plc 113 16
* Triple-S Management Corp. Class B 600 14
* Oncothyreon Inc. 5,242 12
* Syneron Medical Ltd. 1,400 11
* Greatbatch Inc. 200 10
* Pernix Therapeutics Holdings Inc. 3,554 10
* INC Research Holdings Inc. Class A 200 10
* BioCryst Pharmaceuticals Inc. 700 7
* Threshold Pharmaceuticals Inc. 14,000 7
St. Jude Medical Inc. 100 6
* OvaScience Inc. 600 6
* BioScrip Inc. 3,200 6
* Genocea Biosciences Inc. 923 5
CONMED Corp. 100 4

 

 

* Momenta Pharmaceuticals Inc. 269 4
* GTx Inc. 4,487 3
* Sangamo BioSciences Inc. 300 3
* RTI Surgical Inc. 400 2
* Catalyst Biosciences Inc. 50 —
    944,935
Industrials (10.0%)    
General Dynamics Corp. 363,370 49,912
General Electric Co. 1,522,761 47,434
Northrop Grumman Corp. 216,840 40,942
Boeing Co. 280,400 40,543
Lockheed Martin Corp. 139,874 30,374
Southwest Airlines Co. 581,470 25,038
Cintas Corp. 244,490 22,261
Honeywell International Inc. 198,000 20,507
United Parcel Service Inc. Class B 203,187 19,553
FedEx Corp. 112,640 16,782
Union Pacific Corp. 206,300 16,133
Stanley Black & Decker Inc. 145,590 15,539
Pitney Bowes Inc. 706,580 14,591
Masco Corp. 500,379 14,161
Republic Services Inc. Class A 315,904 13,897
Equifax Inc. 118,460 13,193
Raytheon Co. 105,907 13,189
* United Rentals Inc. 163,400 11,853
Ingersoll-Rand plc 201,480 11,140
Illinois Tool Works Inc. 120,150 11,135
United Technologies Corp. 114,370 10,987
Delta Air Lines Inc. 213,267 10,810
Allison Transmission Holdings Inc. 413,900 10,716
PACCAR Inc. 225,400 10,684
* Quanta Services Inc. 525,700 10,645
* United Continental Holdings Inc. 184,700 10,583
Waste Management Inc. 188,260 10,047
3M Co. 66,146 9,964
* Spirit AeroSystems Holdings Inc. Class A 198,800 9,954
Snap-on Inc. 55,791 9,564
Tyco International plc 247,400 7,890
Rockwell Automation Inc. 64,500 6,618
KAR Auction Services Inc. 133,700 4,951
* AerCap Holdings NV 104,800 4,523
L-3 Communications Holdings Inc. 36,685 4,384
Allegion plc 56,722 3,739
Dun & Bradstreet Corp. 33,330 3,464
Nielsen Holdings plc 66,470 3,097
ADT Corp. 89,100 2,938
Danaher Corp. 27,692 2,572
JB Hunt Transport Services Inc. 34,400 2,524
Pentair plc 42,900 2,125
AMETEK Inc. 38,506 2,064
Towers Watson & Co. Class A 13,900 1,786
Expeditors International of Washington Inc. 39,480 1,781
Deere & Co. 19,002 1,449
Robert Half International Inc. 25,926 1,222
Textron Inc. 25,000 1,050
BWX Technologies Inc. 30,900 982
Xylem Inc. 26,400 964

 

 

Huntington Ingalls Industries Inc. 6,700 850
* IHS Inc. Class A 6,700 793
Cummins Inc. 8,700 766
* WABCO Holdings Inc. 6,600 675
* HD Supply Holdings Inc. 22,400 673
* RPX Corp. 52,626 579
Carlisle Cos. Inc. 4,503 399
* Hertz Global Holdings Inc. 24,500 349
* Armstrong World Industries Inc. 7,100 325
Covanta Holding Corp. 20,700 321
* USG Corp. 11,600 282
Air Lease Corp. Class A 5,700 191
* Continental Building Products Inc. 9,300 162
Matson Inc. 3,700 158
Alaska Air Group Inc. 1,900 153
Rockwell Collins Inc. 1,500 138
Ryder System Inc. 2,300 131
Nordson Corp. 1,800 115
* Babcock & Wilcox Enterprises Inc. 5,300 111
* Kirby Corp. 1,900 100
West Corp. 4,000 86
* Mistras Group Inc. 4,449 85
Greenbrier Cos. Inc. 2,500 82
* Masonite International Corp. 1,100 67
Steelcase Inc. Class A 4,400 66
* Rexnord Corp. 3,400 62
* Saia Inc. 2,764 61
* NCI Building Systems Inc. 4,303 53
Insperity Inc. 1,100 53
Knoll Inc. 2,215 42
* MFC Industrial Ltd. 19,512 38
RR Donnelley & Sons Co. 2,505 37
* ARC Document Solutions Inc. 8,239 36
Watsco Inc. 300 35
* Huron Consulting Group Inc. 500 30
EnPro Industries Inc. 600 26
* DigitalGlobe Inc. 1,600 25
John Bean Technologies Corp. 500 25
Quad/Graphics Inc. 2,500 23
Seaspan Corp. Class A 1,434 23
Wabtec Corp. 300 21
* Hub Group Inc. Class A 464 15
American Airlines Group Inc. 300 13
Hillenbrand Inc. 400 12
* Blount International Inc. 1,012 10
* Roadrunner Transportation Systems Inc. 1,008 9
Mueller Water Products Inc. Class A 1,100 9
* Navigant Consulting Inc. 500 8
* MRC Global Inc. 400 5
Heartland Express Inc. 300 5
Costamare Inc. 300 3
* Accuride Corp. 1,500 2
Ennis Inc. 100 2
H&E Equipment Services Inc. 100 2
* CAI International Inc. 53 1
    620,597

 

 

Information Technology (19.0%)    
Apple Inc. 2,025,441 213,198
Microsoft Corp. 2,094,458 116,201
* Alphabet Inc. Class A 83,331 64,832
Visa Inc. Class A 733,100 56,852
Intel Corp. 1,623,004 55,912
* Facebook Inc. Class A 493,950 51,697
* Alphabet Inc. 63,965 48,542
International Business Machines Corp. 303,660 41,790
Accenture plc Class A 330,860 34,575
Cisco Systems Inc. 1,258,117 34,164
Juniper Networks Inc. 847,418 23,389
Total System Services Inc. 461,030 22,959
* Electronic Arts Inc. 328,450 22,571
* Fiserv Inc. 239,615 21,915
Western Union Co. 1,170,372 20,961
Avago Technologies Ltd. Class A 138,755 20,140
* Citrix Systems Inc. 252,462 19,099
Intuit Inc. 193,570 18,679
Fidelity National Information Services Inc. 254,290 15,410
MasterCard Inc. Class A 151,527 14,753
Xerox Corp. 1,349,110 14,341
Hewlett Packard Enterprise Co. 897,354 13,640
QUALCOMM Inc. 271,520 13,572
Texas Instruments Inc. 238,112 13,051
* PayPal Holdings Inc. 355,660 12,875
CSRA Inc. 421,940 12,658
* VeriSign Inc. 141,197 12,335
Computer Sciences Corp. 372,640 12,178
NVIDIA Corp. 367,280 12,106
Corning Inc. 624,995 11,425
HP Inc. 929,354 11,004
Symantec Corp. 501,123 10,524
* F5 Networks Inc. 107,000 10,375
TE Connectivity Ltd. 152,600 9,859
Paychex Inc. 175,867 9,302
Motorola Solutions Inc. 120,931 8,278
Harris Corp. 92,660 8,052
* salesforce.com inc 70,210 5,504
* Adobe Systems Inc. 56,821 5,338
Seagate Technology plc 142,360 5,219
Automatic Data Processing Inc. 54,200 4,592
Oracle Corp. 101,025 3,690
CA Inc. 122,810 3,507
* Teradata Corp. 94,800 2,505
* Red Hat Inc. 29,160 2,415
Analog Devices Inc. 38,900 2,152
Broadcom Corp. Class A 37,067 2,143
* Micron Technology Inc. 120,000 1,699
Amdocs Ltd. 28,300 1,544
Lam Research Corp. 19,400 1,541
* LinkedIn Corp. Class A 6,032 1,358
* CoreLogic Inc./United States 37,400 1,266
* Flextronics International Ltd. 104,900 1,176
Xilinx Inc. 21,100 991
Marvell Technology Group Ltd. 111,300 982
Activision Blizzard Inc. 24,713 957

 

 

Western Digital Corp. 15,400 925
* ON Semiconductor Corp. 91,000 892
Applied Materials Inc. 46,400 866
* Akamai Technologies Inc. 12,500 658
* Polycom Inc. 52,100 656
IAC/InterActiveCorp 10,900 655
FLIR Systems Inc. 22,100 620
InterDigital Inc. 12,200 598
* CommScope Holding Co. Inc. 21,900 567
King Digital Entertainment plc 31,500 563
* Pandora Media Inc. 40,100 538
* Zebra Technologies Corp. 7,199 501
* NXP Semiconductors NV 5,515 465
* Cadence Design Systems Inc. 22,000 458
* InterXion Holding NV 15,000 452
* Cognizant Technology Solutions Corp. Class A 7,110 427
* Trimble Navigation Ltd. 19,400 416
Tessera Technologies Inc. 11,000 330
Teradyne Inc. 15,900 329
* Autodesk Inc. 5,309 323
Skyworks Solutions Inc. 4,059 312
* Nuance Communications Inc. 15,100 300
Microchip Technology Inc. 6,300 293
* EchoStar Corp. Class A 7,403 290
* Sohu.com Inc. 4,900 280
Maxim Integrated Products Inc. 5,900 224
Jack Henry & Associates Inc. 2,800 219
* WebMD Health Corp. 4,500 217
* Verint Systems Inc. 5,300 215
* Blackhawk Network Holdings Inc. 4,564 202
* FleetCor Technologies Inc. 1,405 201
Mentor Graphics Corp. 9,800 180
* Genpact Ltd. 7,200 180
Brocade Communications Systems Inc. 18,800 173
* Photronics Inc. 12,689 158
* Zynga Inc. Class A 51,500 138
* NCR Corp. 5,400 132
* Keysight Technologies Inc. 4,100 116
* Angie's List Inc. 11,800 110
* ShoreTel Inc. 12,299 109
* SolarWinds Inc. 1,700 100
* II-VI Inc. 5,300 98
* Check Point Software Technologies Ltd. 1,100 89
* Cimpress NV 1,100 89
* Rambus Inc. 7,185 83
* Synopsys Inc. 1,700 78
* Cabot Microelectronics Corp. 1,676 73
Sabre Corp. 2,600 73
* Calix Inc. 8,775 69
Amphenol Corp. Class A 1,226 64
Logitech International SA 4,000 60
* RetailMeNot Inc. 5,800 58
* TeleCommunication Systems Inc. Class A 10,300 51
* Amkor Technology Inc. 8,017 49
* SunEdison Semiconductor Ltd. 5,400 42
* QLogic Corp. 3,400 41
* Advanced Micro Devices Inc. 13,600 39

 

 

* Silicon Laboratories Inc. 800 39
* Fabrinet 1,600 38
* TechTarget Inc. 4,300 34
* FormFactor Inc. 3,360 30
CDK Global Inc. 600 28
* Fortinet Inc. 900 28
NVE Corp. 430 24
* Web.com Group Inc. 1,200 24
* Ixia 1,900 24
* XO Group Inc. 1,421 23
* Advanced Energy Industries Inc. 800 23
* Progress Software Corp. 900 22
* comScore Inc. 500 21
NIC Inc. 1,000 20
Belden Inc. 394 19
* Lattice Semiconductor Corp. 2,900 19
* United Online Inc. 1,500 18
* ARRIS Group Inc. 500 15
* Orbotech Ltd. 600 13
* VASCO Data Security International Inc. 700 12
* Ultratech Inc. 515 10
* Ciber Inc. 2,844 10
* Diodes Inc. 400 9
* Entegris Inc. 600 8
* Take-Two Interactive Software Inc. 200 7
* BlackBerry Ltd. 700 6
* Anixter International Inc. 100 6
* Kemet Corp. 2,000 5
* Lionbridge Technologies Inc. 500 2
* Ultra Clean Holdings Inc. 300 2
    1,178,776
Materials (3.4%)    
Air Products & Chemicals Inc. 262,594 34,166
Sealed Air Corp. 645,590 28,793
Sherwin-Williams Co. 89,220 23,161
Dow Chemical Co. 417,293 21,482
Avery Dennison Corp. 283,510 17,765
LyondellBasell Industries NV Class A 197,920 17,199
Monsanto Co. 172,300 16,975
Ball Corp. 148,182 10,777
International Paper Co. 257,500 9,708
PPG Industries Inc. 78,200 7,728
Vulcan Materials Co. 74,040 7,032
Eastman Chemical Co. 62,711 4,234
Ecolab Inc. 28,058 3,209
International Flavors & Fragrances Inc. 10,848 1,298
Newmont Mining Corp. 60,200 1,083
Westlake Chemical Corp. 13,692 744
Reliance Steel & Aluminum Co. 12,500 724
* Berry Plastics Group Inc. 19,700 713
Graphic Packaging Holding Co. 51,905 666
Potash Corp. of Saskatchewan Inc. 36,400 623
Mosaic Co. 18,190 502
Alcoa Inc. 50,756 501
* Turquoise Hill Resources Ltd. 153,800 391
* Crown Holdings Inc. 5,500 279
Bemis Co. Inc. 6,197 277

 

 

* Constellium NV Class A 28,800 222
Sonoco Products Co. 5,100 208
Valspar Corp. 2,207 183
Globe Specialty Metals Inc. 15,502 167
* Novagold Resources Inc. 25,600 108
* Headwaters Inc. 5,300 89
* Ferro Corp. 7,700 86
Materion Corp. 2,900 81
Allegheny Technologies Inc. 7,000 79
WestRock Co. 1,450 66
* Stillwater Mining Co. 7,300 62
Orion Engineered Carbons SA 4,738 60
Kaiser Aluminum Corp. 700 59
* Axalta Coating Systems Ltd. 1,600 43
SunCoke Energy Inc. 7,615 26
Silgan Holdings Inc. 400 21
Mercer International Inc. 1,700 15
* Flotek Industries Inc. 1,200 14
Mesabi Trust 2,415 11
TimkenSteel Corp. 1,000 8
Southern Copper Corp. 200 5
KMG Chemicals Inc. 200 5
Olin Corp. 200 3
* A. M. Castle & Co. 809 1
    211,652
Other (0.2%)    
SPDR S&P500 ETF Trust 48,672 9,924
* Safeway Inc CVR (Casa Ley) Expire 1/30/2018 75,810 10
* Safeway Inc CVR (PDC) Expire 1/30/2017 75,810 4
* Biosante Pharmaceutical Inc CVR 4,189 —
    9,938
Telecommunication Services (2.3%)    
AT&T Inc. 2,354,146 81,006
Verizon Communications Inc. 836,799 38,677
CenturyLink Inc. 471,400 11,860
* Level 3 Communications Inc. 124,500 6,768
* T-Mobile US Inc. 15,900 622
Frontier Communications Corp. 67,300 314
* Zayo Group Holdings Inc. 4,100 109
* Iridium Communications Inc. 9,000 76
* Globalstar Inc. 11,500 17
* Sprint Corp. 4,500 16
Inteliquent Inc. 800 14
    139,479
Utilities (2.6%)    
American Electric Power Co. Inc. 362,560 21,126
Exelon Corp. 647,100 17,970
FirstEnergy Corp. 486,400 15,433
PPL Corp. 389,300 13,287
Public Service Enterprise Group Inc. 332,130 12,850
Ameren Corp. 269,523 11,651
Southern Co. 226,930 10,618
Sempra Energy 109,710 10,314
Consolidated Edison Inc. 158,500 10,187
DTE Energy Co. 77,490 6,214
NextEra Energy Inc. 59,270 6,158

 

 

Duke Energy Corp.     75,890 5,418
Dominion Resources Inc.     74,984 5,072
CenterPoint Energy Inc.     245,903 4,515
Eversource Energy     78,430 4,005
Pinnacle West Capital Corp.     26,690 1,721
PG&E Corp.     21,110 1,123
* Dynegy Inc.     76,600 1,026
Edison International     3,860 229
Atlantic Power Corp.     104,726 206
Avista Corp.     4,399 156
Entergy Corp.     2,170 148
Xcel Energy Inc.     4,060 146
UGI Corp.     3,900 132
NiSource Inc.     6,600 129
ITC Holdings Corp.     1,500 59
Atmos Energy Corp.     700 44
Pattern Energy Group Inc. Class A     1,300 27
El Paso Electric Co.     300 11
        159,975
Total Common Stocks (Cost $5,214,317)       6,028,782
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investments (3.0%)1        
Money Market Fund (2.8%)        
2,3 Vanguard Market Liquidity Fund 0.363%   174,340,794 174,341
 
      Face  
    Maturity Amount  
    Date ($000)  
U.S. Government and Agency Obligations (0.2%)        
4,5 Federal Home Loan Bank Discount Notes 0.245% 4/20/16 2,000 1,997
4,5 Federal Home Loan Bank Discount Notes 0.260% 4/27/16 500 499
4,5 Federal Home Loan Bank Discount Notes 0.220% 4/29/16 5,000 4,993
5,6 Freddie Mac Discount Notes 0.290% 4/15/16 2,300 2,297
        9,786
Total Temporary Cash Investments (Cost $184,132)       184,127
Total Investments (100.3%) (Cost $5,398,449)       6,212,909
Other Assets and Liabilities-Net (-0.3%)2       (17,590)
Net Assets (100%)       6,195,319

 

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,139,000.
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 0.5%, respectively, of net assets.
2 Includes $5,388,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 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.
5 Securities with a value of $7,589,000 have been segregated as initial margin for open futures contracts.
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, as needed to maintain a positive net worth, in exchange for senior preferred stock.

 

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 December 31, 2015, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 6,028,768 — 14
Temporary Cash Investments 174,341 9,786 —
Futures Contracts—Assets1 43 — —
Futures Contracts—Liabilities1 (1,520) — —
Total 6,201,632 9,786 14
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.

 

Growth and Income Fund

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 December 31, 2015, 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)
E-mini S&P 500 Index March 2016 1,503 152,960 2,509

 

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

D. At December 31, 2015, the cost of investment securities for tax purposes was $5,398,456,000. Net unrealized appreciation of investment securities for tax purposes was $814,453,000, consisting of unrealized gains of $990,635,000 on securities that had risen in value since their purchase and $176,182,000 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, 2015    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.5%)1    
Consumer Discretionary (14.0%)    
* Amazon.com Inc. 14,800 10,003
  Home Depot Inc. 58,200 7,697
  Walt Disney Co. 69,200 7,272
  Comcast Corp. Class A 116,091 6,551
  NIKE Inc. Class B 85,200 5,325
  Lowe's Cos. Inc. 67,400 5,125
  Target Corp. 57,500 4,175
  Carnival Corp. 69,900 3,808
  General Motors Co. 109,100 3,710
* O'Reilly Automotive Inc. 14,200 3,599
* DISH Network Corp. Class A 56,000 3,202
  Marriott International Inc. Class A 44,200 2,963
  Cooper Tire & Rubber Co. 76,500 2,895
^ Outerwall Inc. 67,400 2,463
* Pinnacle Entertainment Inc. 74,200 2,309
* Isle of Capri Casinos Inc. 144,700 2,016
  Darden Restaurants Inc. 31,000 1,973
  News Corp. Class B 118,400 1,653
* Skechers U.S.A. Inc. Class A 53,700 1,622
* American Axle & Manufacturing Holdings Inc. 79,300 1,502
* Boyd Gaming Corp. 46,200 918
  World Wrestling Entertainment Inc. Class A 33,400 596
  TJX Cos. Inc. 1,700 121
      81,498
Consumer Staples (8.6%)    
  Altria Group Inc. 103,100 6,001
  Costco Wholesale Corp. 30,900 4,990
  Kroger Co. 104,600 4,375
  PepsiCo Inc. 43,600 4,357
  Tyson Foods Inc. Class A 62,000 3,306
  Dr Pepper Snapple Group Inc. 33,700 3,141
^ Cal-Maine Foods Inc. 62,200 2,882
  Dean Foods Co. 166,500 2,856
  Procter & Gamble Co. 34,551 2,744
  Ingles Markets Inc. Class A 53,900 2,376
  Universal Corp. 36,700 2,058
* Herbalife Ltd. 27,100 1,453
  Wal-Mart Stores Inc. 23,065 1,414
  Coca-Cola Co. 30,680 1,318
  Coty Inc. Class A 51,000 1,307
* USANA Health Sciences Inc. 9,100 1,163
  Clorox Co. 9,000 1,142
* Omega Protein Corp. 29,100 646
  Reynolds American Inc. 10,900 503
  Mondelez International Inc. Class A 10,600 475
  Colgate-Palmolive Co. 7,100 473
  Philip Morris International Inc. 4,650 409
  CVS Health Corp. 2,000 196

 

 

* SUPERVALU Inc. 28,800 195
    49,780
Energy (6.3%)    
Exxon Mobil Corp. 108,220 8,436
Valero Energy Corp. 57,400 4,059
Marathon Petroleum Corp. 68,600 3,556
Tesoro Corp. 32,000 3,372
PBF Energy Inc. Class A 82,100 3,022
Teekay Tankers Ltd. Class A 383,700 2,640
Frontline Ltd. 798,000 2,386
Schlumberger Ltd. 32,610 2,275
^ Nordic American Tankers Ltd. 106,400 1,653
Chevron Corp. 17,765 1,598
Western Refining Inc. 33,800 1,204
Ship Finance International Ltd. 67,900 1,125
Noble Corp. plc 55,100 581
Alon USA Energy Inc. 38,600 573
Phillips 66 2,700 221
    36,701
Financials (17.5%)    
Wells Fargo & Co. 173,270 9,419
JPMorgan Chase & Co. 141,636 9,352
* Berkshire Hathaway Inc. Class B 58,000 7,658
Citigroup Inc. 133,700 6,919
Travelers Cos. Inc. 36,500 4,119
Goldman Sachs Group Inc. 21,000 3,785
PNC Financial Services Group Inc. 39,300 3,746
Bank of America Corp. 196,400 3,305
Lazard Ltd. Class A 71,400 3,214
Simon Property Group Inc. 15,700 3,053
Assured Guaranty Ltd. 115,300 3,047
^ Universal Insurance Holdings Inc. 130,700 3,030
Ameriprise Financial Inc. 27,900 2,969
American Express Co. 40,800 2,838
* Walker & Dunlop Inc. 97,500 2,809
* MGIC Investment Corp. 296,000 2,614
Everest Re Group Ltd. 13,500 2,472
Heritage Insurance Holdings Inc. 111,600 2,435
* Santander Consumer USA Holdings Inc. 145,600 2,308
Equinix Inc. 6,500 1,966
Extra Space Storage Inc. 21,800 1,923
Apple Hospitality REIT Inc. 80,600 1,610
CoreSite Realty Corp. 27,900 1,582
Lamar Advertising Co. Class A 26,300 1,577
Hospitality Properties Trust 58,500 1,530
Communications Sales & Leasing Inc. 80,400 1,503
Ryman Hospitality Properties Inc. 23,400 1,208
Gramercy Property Trust 156,500 1,208
AvalonBay Communities Inc. 6,400 1,178
Bank of New York Mellon Corp. 22,400 923
CyrusOne Inc. 24,000 899
CBL & Associates Properties Inc. 65,000 804
DuPont Fabros Technology Inc. 24,500 779
Weingarten Realty Investors 17,800 616
SunTrust Banks Inc. 13,800 591
Digital Realty Trust Inc. 6,200 469

 

 

Capital One Financial Corp. 6,000 433
Public Storage 1,700 421
* Marcus & Millichap Inc. 12,500 364
Hartford Financial Services Group Inc. 8,100 352
* INTL. FCStone Inc. 9,800 328
Xenia Hotels & Resorts Inc. 16,000 245
OM Asset Management plc 12,600 193
Prudential Financial Inc. 1,500 122
* Credit Acceptance Corp. 500 107
* RMR Group Inc. Class A 971 14
    102,037
Health Care (15.3%)    
Johnson & Johnson 93,107 9,564
Pfizer Inc. 221,558 7,152
Gilead Sciences Inc. 66,600 6,739
Bristol-Myers Squibb Co. 85,200 5,861
Merck & Co. Inc. 105,483 5,572
Eli Lilly & Co. 61,720 5,200
UnitedHealth Group Inc. 43,500 5,117
Amgen Inc. 29,900 4,854
* Express Scripts Holding Co. 53,300 4,659
AmerisourceBergen Corp. Class A 35,900 3,723
Cardinal Health Inc. 41,500 3,705
Anthem Inc. 25,900 3,611
AbbVie Inc. 60,700 3,596
Aetna Inc. 30,800 3,330
* INC Research Holdings Inc. Class A 66,000 3,202
* Charles River Laboratories International Inc. 39,800 3,199
* Centene Corp. 48,500 3,192
* Amsurg Corp. 18,100 1,376
* Quintiles Transnational Holdings Inc. 18,700 1,284
* Infinity Pharmaceuticals Inc. 155,500 1,221
Cigna Corp. 6,500 951
* HCA Holdings Inc. 12,400 839
* ICU Medical Inc. 4,600 519
Abbott Laboratories 9,000 404
* Amedisys Inc. 6,600 259
    89,129
Industrials (10.6%)    
Boeing Co. 39,150 5,661
^ General Electric Co. 159,180 4,958
Lockheed Martin Corp. 21,700 4,712
Northrop Grumman Corp. 22,030 4,160
General Dynamics Corp. 28,400 3,901
* United Continental Holdings Inc. 62,400 3,576
Southwest Airlines Co. 78,000 3,359
* Wabash National Corp. 269,700 3,191
* Spirit AeroSystems Holdings Inc. Class A 61,300 3,069
Huntington Ingalls Industries Inc. 23,400 2,968
* Hawaiian Holdings Inc. 81,000 2,862
* JetBlue Airways Corp. 119,400 2,704
PACCAR Inc. 53,000 2,512
Cintas Corp. 26,000 2,367
BWX Technologies Inc. 72,600 2,307
Global Brass & Copper Holdings Inc. 108,100 2,303
3M Co. 10,200 1,537

 

 

  Alaska Air Group Inc. 18,500 1,489
  General Cable Corp. 82,900 1,113
  Comfort Systems USA Inc. 37,900 1,077
  Interface Inc. Class A 44,800 857
  Ennis Inc. 25,000 481
* Virgin America Inc. 10,000 360
  SkyWest Inc. 9,400 179
      61,703
Information Technology (19.0%)    
  Apple Inc. 174,640 18,383
  Microsoft Corp. 155,297 8,616
* Alphabet Inc. Class A 10,380 8,076
* Alphabet Inc. 6,392 4,851
  Accenture plc Class A 45,100 4,713
  International Business Machines Corp. 32,142 4,423
  Texas Instruments Inc. 75,500 4,138
* Electronic Arts Inc. 51,200 3,519
  Intel Corp. 99,490 3,427
  Booz Allen Hamilton Holding Corp. Class A 107,500 3,316
  CDW Corp. 77,200 3,246
* Sykes Enterprises Inc. 99,700 3,069
* Manhattan Associates Inc. 45,771 3,029
* Facebook Inc. Class A 27,300 2,857
* Aspen Technology Inc. 75,200 2,840
  EarthLink Holdings Corp. 380,800 2,829
* Cirrus Logic Inc. 94,800 2,799
* Tech Data Corp. 39,500 2,622
*,^ Fitbit Inc. Class A 79,800 2,361
  Broadridge Financial Solutions Inc. 42,700 2,294
  MasterCard Inc. Class A 23,000 2,239
* Sigma Designs Inc. 350,200 2,213
  CSG Systems International Inc. 49,800 1,792
  Computer Sciences Corp. 49,200 1,608
  HP Inc. 125,000 1,480
  CSRA Inc. 49,200 1,476
  Jabil Circuit Inc. 50,800 1,183
* GoDaddy Inc. Class A 34,500 1,106
* Gigamon Inc. 37,000 983
* Extreme Networks Inc. 218,500 892
* Ciena Corp. 39,000 807
  Visa Inc. Class A 10,400 807
  Leidos Holdings Inc. 12,100 681
  Cisco Systems Inc. 19,450 528
* Wix.com Ltd. 16,100 366
  DST Systems Inc. 2,590 295
  Oracle Corp. 6,548 239
  QAD Inc. Class A 10,000 205
  Avago Technologies Ltd. Class A 1,400 203
  Heartland Payment Systems Inc. 1,000 95
      110,606
Materials (3.6%)    
  Dow Chemical Co. 83,100 4,278
  LyondellBasell Industries NV Class A 43,200 3,754
*,^ Trinseo SA 109,300 3,082
* Chemtura Corp. 104,600 2,852
  International Paper Co. 67,200 2,533

 

 

Avery Dennison Corp.     32,700 2,049
Sealed Air Corp.     27,500 1,227
* AEP Industries Inc.     7,500 579
Sherwin-Williams Co.     2,100 545
        20,899
Telecommunication Services (2.0%)        
Verizon Communications Inc.     164,357 7,597
AT&T Inc.     72,687 2,501
CenturyLink Inc.     31,800 800
* Cincinnati Bell Inc.     145,700 524
        11,422
Utilities (2.6%)        
Public Service Enterprise Group Inc.     84,900 3,285
FirstEnergy Corp.     100,900 3,201
Exelon Corp.     107,100 2,974
American Electric Power Co. Inc.     42,200 2,459
WGL Holdings Inc.     30,700 1,934
UGI Corp.     41,400 1,398
        15,251
Total Common Stocks (Cost $472,310)       579,026
  Coupon      
Temporary Cash Investments (1.5%)1        
Money Market Fund (1.4%)        
2,3 Vanguard Market Liquidity Fund 0.363%   8,461,000 8,461
 
      Face  
    Maturity Amount  
    Date ($000)  
U.S. Government and Agency Obligations (0.1%)        
4,5 Federal Home Loan Bank Discount Notes 0.115% 1/14/16 100 100
4 Federal Home Loan Bank Discount Notes 0.572% 6/22/16 200 199
5,6 Freddie Mac Discount Notes 0.220% 4/15/16 100 100
        399
Total Temporary Cash Investments (Cost $8,860)       8,860
Total Investments (101.0%) (Cost $481,170)       587,886
Other Assets and Liabilities-Net (-1.0%)3       (5,776)
Net Assets (100%)       582,110

 

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,137,000.
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 1.0%, 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 Includes $5,362,000 of collateral received for securities on loan.
4 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.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
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

 

Structured Broad Market Fund

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 December 31, 2015, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 579,026 — —
Temporary Cash Investments 8,461 399 —
Futures Contracts—Assets1 5 — —
Futures Contracts—Liabilities1 (37) — —
Total 587,455 399 —
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 settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

 

Structured Broad Market Fund

At December 31, 2015, 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)
E-mini S&P 500 Index March 2016 30 3,053 (34)

 

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

D. At December 31, 2015, the cost of investment securities for tax purposes was $481,173,000. Net unrealized appreciation of investment securities for tax purposes was $106,713,000, consisting of unrealized gains of $123,609,000 on securities that had risen in value since their purchase and $16,896,000 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, 2015    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.5%)1    
Consumer Discretionary (12.9%)    
* Amazon.com Inc. 16,607 11,225
  Home Depot Inc. 60,575 8,011
  Comcast Corp. Class A 118,325 6,677
  Walt Disney Co. 47,179 4,958
  Target Corp. 60,500 4,393
  Carnival Corp. 72,900 3,972
* O'Reilly Automotive Inc. 15,100 3,827
  Goodyear Tire & Rubber Co. 102,600 3,352
  Best Buy Co. Inc. 104,620 3,186
  Marriott International Inc. Class A 45,350 3,040
  News Corp. Class B 215,600 3,010
  Darden Restaurants Inc. 46,300 2,947
  General Motors Co. 85,100 2,894
  Leggett & Platt Inc. 68,300 2,870
  GameStop Corp. Class A 90,100 2,526
  PVH Corp. 27,600 2,033
  Interpublic Group of Cos. Inc. 86,857 2,022
  Starbucks Corp. 15,332 920
  McDonald's Corp. 2,700 319
  DR Horton Inc. 7,400 237
  Nordstrom Inc. 3,200 159
  Lowe's Cos. Inc. 1,611 122
  NIKE Inc. Class B 1,800 112
      72,812
Consumer Staples (9.2%)    
  Costco Wholesale Corp. 32,800 5,297
  Mondelez International Inc. Class A 117,900 5,287
  Kroger Co. 105,300 4,405
  Procter & Gamble Co. 46,794 3,716
  Dr Pepper Snapple Group Inc. 39,000 3,635
  Clorox Co. 28,248 3,583
  Tyson Foods Inc. Class A 65,400 3,488
  PepsiCo Inc. 34,592 3,456
  ConAgra Foods Inc. 80,000 3,373
  Campbell Soup Co. 61,800 3,248
  Altria Group Inc. 49,500 2,881
  Coca-Cola Co. 51,880 2,229
  Coca-Cola Enterprises Inc. 45,145 2,223
  Philip Morris International Inc. 13,736 1,207
  Wal-Mart Stores Inc. 19,246 1,180
  General Mills Inc. 16,582 956
  Colgate-Palmolive Co. 10,500 699
  Kimberly-Clark Corp. 4,600 585
  CVS Health Corp. 5,300 518
      51,966
Energy (6.4%)    
  Exxon Mobil Corp. 94,939 7,401
  Valero Energy Corp. 59,100 4,179

 

 

Phillips 66 49,200 4,025
Marathon Petroleum Corp. 75,200 3,898
Tesoro Corp. 32,100 3,382
Ensco plc Class A 199,500 3,070
^ Transocean Ltd. 231,600 2,867
Spectra Energy Corp. 101,700 2,435
Chevron Corp. 26,056 2,344
^ Noble Corp. plc 217,100 2,291
* Cameron International Corp. 6,000 379
    36,271
Financials (16.5%)    
JPMorgan Chase & Co. 163,479 10,795
Bank of America Corp. 511,753 8,613
Citigroup Inc. 152,125 7,872
Wells Fargo & Co. 100,935 5,487
Bank of New York Mellon Corp. 105,200 4,336
Travelers Cos. Inc. 37,500 4,232
Prudential Financial Inc. 50,100 4,079
Capital One Financial Corp. 53,000 3,826
Progressive Corp. 114,400 3,638
PNC Financial Services Group Inc. 37,600 3,584
Simon Property Group Inc. 17,400 3,383
Nasdaq Inc. 56,000 3,258
Discover Financial Services 56,200 3,013
Navient Corp. 261,600 2,995
Northern Trust Corp. 39,800 2,869
* Berkshire Hathaway Inc. Class B 20,205 2,668
Legg Mason Inc. 60,000 2,354
Moody's Corp. 23,400 2,348
AvalonBay Communities Inc. 12,600 2,320
Equinix Inc. 7,295 2,206
* Berkshire Hathaway Inc. Class A 11 2,176
Kimco Realty Corp. 64,900 1,717
Apartment Investment & Management Co. 42,400 1,697
Public Storage 3,600 892
HCP Inc. 21,500 822
Prologis Inc. 16,700 717
Hartford Financial Services Group Inc. 11,600 504
Essex Property Trust Inc. 1,700 407
Ameriprise Financial Inc. 3,500 372
SunTrust Banks Inc. 2,900 124
Realty Income Corp. 2,200 114
    93,418
Health Care (16.0%)    
Johnson & Johnson 112,046 11,509
Gilead Sciences Inc. 75,500 7,640
Bristol-Myers Squibb Co. 94,800 6,521
Eli Lilly & Co. 67,287 5,670
* Biogen Inc. 16,400 5,024
* Express Scripts Holding Co. 55,600 4,860
Amgen Inc. 29,700 4,821
McKesson Corp. 23,000 4,536
Cardinal Health Inc. 45,600 4,071
Aetna Inc. 35,900 3,882
AbbVie Inc. 64,868 3,843
Anthem Inc. 27,300 3,807

 

 

AmerisourceBergen Corp. Class A 36,500 3,785
Baxalta Inc. 96,700 3,774
Zoetis Inc. 78,400 3,757
Pfizer Inc. 106,575 3,440
* HCA Holdings Inc. 43,000 2,908
Merck & Co. Inc. 39,844 2,105
Abbott Laboratories 22,900 1,028
* Regeneron Pharmaceuticals Inc. 1,800 977
* Allergan plc 2,377 743
UnitedHealth Group Inc. 5,500 647
Cigna Corp. 3,100 454
Medtronic plc 5,100 392
Stryker Corp. 1,900 177
    90,371
Industrials (9.8%)    
General Electric Co. 214,222 6,673
Boeing Co. 41,100 5,943
United Parcel Service Inc. Class B 44,900 4,321
General Dynamics Corp. 30,600 4,203
Northrop Grumman Corp. 22,100 4,173
Southwest Airlines Co. 86,130 3,709
* United Continental Holdings Inc. 61,000 3,495
Lockheed Martin Corp. 16,000 3,474
Masco Corp. 116,900 3,308
* United Rentals Inc. 45,100 3,272
PACCAR Inc. 68,400 3,242
Pitney Bowes Inc. 145,300 3,000
Rockwell Automation Inc. 17,200 1,765
* Quanta Services Inc. 86,400 1,750
American Airlines Group Inc. 32,100 1,359
Delta Air Lines Inc. 24,300 1,232
Equifax Inc. 4,700 523
3M Co. 700 106
    55,548
Information Technology (19.8%)    
Apple Inc. 199,274 20,975
Microsoft Corp. 199,641 11,076
* Alphabet Inc. Class A 11,105 8,640
International Business Machines Corp. 47,440 6,529
Accenture plc Class A 49,100 5,131
* Alphabet Inc. 6,430 4,880
* Facebook Inc. Class A 42,450 4,443
Avago Technologies Ltd. Class A 29,400 4,267
Intuit Inc. 38,700 3,734
* Electronic Arts Inc. 52,900 3,635
NVIDIA Corp. 103,600 3,415
Western Union Co. 186,250 3,336
* Citrix Systems Inc. 43,700 3,306
Juniper Networks Inc. 113,500 3,133
Total System Services Inc. 62,800 3,127
* Fiserv Inc. 34,150 3,123
CSRA Inc. 89,400 2,682
Intel Corp. 67,353 2,320
Hewlett Packard Enterprise Co. 133,750 2,033
* F5 Networks Inc. 19,300 1,871
Visa Inc. Class A 22,200 1,722

 

 

Computer Sciences Corp.     50,400 1,647
HP Inc.     133,750 1,584
Cisco Systems Inc.     53,015 1,440
Motorola Solutions Inc.     20,900 1,431
Skyworks Solutions Inc.     11,600 891
Oracle Corp.     23,888 873
Lam Research Corp.     2,900 230
MasterCard Inc. Class A     2,100 204
        111,678
Materials (3.0%)        
Dow Chemical Co.     94,700 4,875
LyondellBasell Industries NV Class A     46,000 3,997
Avery Dennison Corp.     52,200 3,271
Sealed Air Corp.     72,100 3,216
International Paper Co.     49,200 1,855
        17,214
Telecommunication Services (2.7%)        
Verizon Communications Inc.     178,096 8,232
AT&T Inc.     104,804 3,606
CenturyLink Inc.     128,300 3,228
        15,066
Utilities (3.2%)        
Exelon Corp.     139,800 3,882
PPL Corp.     109,920 3,752
FirstEnergy Corp.     110,500 3,506
Public Service Enterprise Group Inc.     89,200 3,451
Consolidated Edison Inc.     28,200 1,812
American Electric Power Co. Inc.     26,600 1,550
        17,953
Total Common Stocks (Cost $479,148)       562,297
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investments (0.4%)1        
Money Market Fund (0.2%)        
2,3 Vanguard Market Liquidity Fund 0.363%   1,193,000 1,193
 
      Face  
    Maturity Amount  
    Date ($000)  
U.S. Government and Agency Obligations (0.2%)        
4,5 Federal Home Loan Bank Discount Notes 0.200% 2/5/16 1,000 1,000
Total Temporary Cash Investments (Cost $2,194)       2,193
Total Investments (99.9%) (Cost $481,342)       564,490
Other Assets and Liabilities-Net (0.1%)3       792
Net Assets (100%)       565,282

 

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,139,000.
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 99.9% 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 Includes $1,194,000 of collateral received for securities on loan.

 

4 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.
5 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 December 31, 2015, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 562,297 — —
Temporary Cash Investments 1,193 1,000 —
Futures Contracts—Assets1 1 — —
Futures Contracts—Liabilities1 (24) — —
Total 563,467 1,000 —
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.

 

Structured Large-Cap Equity Fund

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 December 31, 2015, 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)
E-mini S&P 500 Index March 2016 23 2,341 10

 

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

D. At December 31, 2015, the cost of investment securities for tax purposes was $481,342,000. Net unrealized appreciation of investment securities for tax purposes was $83,148,000, consisting of unrealized gains of $101,644,000 on securities that had risen in value since their purchase and $18,496,000 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 18, 2016

 

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 18, 2016

 

  VANGUARD QUANTITATIVE FUNDS
 
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: February 18, 2016

 

* 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.