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

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

Investment Company Act file number: 811-04526

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 30th

Date of reporting period: June 30, 2016

Item 1: Schedule of Investments


Vanguard Growth and Income Fund    
 
 
 
Schedule of Investments    
As of June 30, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (97.5%)1    
Consumer Discretionary (10.9%)    
* Amazon.com Inc. 127,953 91,566
  Home Depot Inc. 477,528 60,976
  McDonald's Corp. 381,780 45,943
  Lowe's Cos. Inc. 415,922 32,929
  Comcast Corp. Class A 505,093 32,927
  Walt Disney Co. 245,399 24,005
  Target Corp. 323,855 22,612
  Omnicom Group Inc. 270,032 22,005
  Darden Restaurants Inc. 345,201 21,865
  Time Warner Inc. 258,895 19,039
  Leggett & Platt Inc. 369,869 18,904
  NIKE Inc. Class B 286,100 15,793
  Interpublic Group of Cos. Inc. 640,698 14,800
* O'Reilly Automotive Inc. 51,313 13,911
  Carnival Corp. 313,350 13,850
  Goodyear Tire & Rubber Co. 497,494 12,766
  Marriott International Inc. Class A 177,278 11,782
* Michael Kors Holdings Ltd. 232,507 11,504
  Best Buy Co. Inc. 362,770 11,101
  L Brands Inc. 163,469 10,974
^ Nordstrom Inc. 280,300 10,665
* Urban Outfitters Inc. 378,358 10,405
  Wyndham Worldwide Corp. 134,750 9,598
  Johnson Controls Inc. 214,140 9,478
  News Corp. Class B 795,487 9,283
  PVH Corp. 93,289 8,791
  Mattel Inc. 275,094 8,608
  CBS Corp. Class B 151,681 8,258
* Discovery Communications Inc. Class A 308,803 7,791
  TJX Cos. Inc. 100,120 7,732
  Twenty-First Century Fox Inc. Class A 278,000 7,520
  Ralph Lauren Corp. Class A 81,230 7,280
  General Motors Co. 251,361 7,114
* Charter Communications Inc. Class A 28,677 6,557
  VF Corp. 94,900 5,835
* AutoZone Inc. 7,118 5,651
  Ford Motor Co. 326,545 4,105
  Coach Inc. 82,492 3,361
* Ulta Salon Cosmetics & Fragrance Inc. 13,400 3,265
  TEGNA Inc. 140,475 3,255
  Viacom Inc. Class B 67,430 2,796
  DR Horton Inc. 85,054 2,677
* Liberty Global plc 89,600 2,567
  Hanesbrands Inc. 92,800 2,332
  Macy's Inc. 67,330 2,263
* Mohawk Industries Inc. 11,223 2,130
  Yum! Brands Inc. 21,861 1,813
  Bed Bath & Beyond Inc. 39,850 1,722
  Hasbro Inc. 19,727 1,657

 

 

* DISH Network Corp. Class A 28,600 1,499
Aramark 38,100 1,273
Bloomin' Brands Inc. 70,600 1,262
Graham Holdings Co. Class B 2,354 1,152
* Sally Beauty Holdings Inc. 38,500 1,132
Foot Locker Inc. 20,614 1,131
Staples Inc. 124,212 1,071
Cable One Inc. 2,055 1,051
* AutoNation Inc. 21,100 991
Gannett Co. Inc. 54,195 748
* Vista Outdoor Inc. 14,300 683
H&R Block Inc. 28,910 665
Twenty-First Century Fox Inc. 21,300 580
News Corp. Class A 44,122 501
Rent-A-Center Inc. 40,681 500
Papa John's International Inc. 7,270 494
* Liberty Ventures Class A 13,000 482
* LKQ Corp. 14,400 456
Restaurant Brands International Inc. 10,851 451
Wendy's Co. 44,600 429
* Liberty Global Plc LiLAC 12,270 399
Starbucks Corp. 6,700 383
* Sirius XM Holdings Inc. 85,100 336
Service Corp. International 11,500 311
* Denny's Corp. 28,100 302
Whirlpool Corp. 1,800 300
CST Brands Inc. 6,894 297
Visteon Corp. 4,062 267
* Liberty SiriusXM Group Class C 6,844 211
Magna International Inc. 6,000 210
* Liberty Global plc Class A 7,100 206
La-Z-Boy Inc. 7,300 203
* Isle of Capri Casinos Inc. 10,900 200
* Express Inc. 13,200 192
Carter's Inc. 1,700 181
Hilton Worldwide Holdings Inc. 8,000 180
* Houghton Mifflin Harcourt Co. 10,400 163
Time Inc. 9,700 160
* Etsy Inc. 14,983 144
* Apollo Education Group Inc. 15,000 137
* TopBuild Corp. 3,500 127
* Liberty Media Group 6,200 118
Kohl's Corp. 3,100 118
Cheesecake Factory Inc. 2,364 114
Lennar Corp. Class A 2,442 113
* La Quinta Holdings Inc. 9,300 106
DeVry Education Group Inc. 5,900 105
* Liberty Global Plc LiLAC Class A 3,069 99
Marriott Vacations Worldwide Corp. 1,331 91
* Fossil Group Inc. 3,100 88
HSN Inc. 1,700 83
* Liberty SiriusXM Group Class A 2,500 78
* Liberty TripAdvisor Holdings Inc. Class A 3,500 77
Nutrisystem Inc. 2,900 74
* Under Armour Inc. 1,964 71
* Hyatt Hotels Corp. Class A 1,400 69
Libbey Inc. 3,900 62

 

 

* Groupon Inc. Class A 18,800 61
* Liberty Interactive Corp. QVC Group Class A 2,400 61
  GNC Holdings Inc. Class A 2,500 61
* Live Nation Entertainment Inc. 2,500 59
* MSG Networks Inc. 3,600 55
  Gentex Corp. 2,704 42
  Sonic Automotive Inc. Class A 2,400 41
  Chico's FAS Inc. 3,600 39
* Bojangles' Inc. 1,900 32
  Citi Trends Inc. 1,959 30
  Tiffany & Co. 500 30
  Texas Roadhouse Inc. Class A 600 27
  Ethan Allen Interiors Inc. 800 26
  Cato Corp. Class A 700 26
  Lions Gate Entertainment Corp. 1,100 22
^,* Sears Holdings Corp. 1,590 22
* Select Comfort Corp. 1,000 21
  Genuine Parts Co. 200 20
* Scientific Games Corp. Class A 2,200 20
* Burlington Stores Inc. 300 20
* TRI Pointe Group Inc. 1,600 19
* New York & Co. Inc. 12,200 18
  Fiat Chrysler Automobiles NV 2,900 18
* Chegg Inc. 3,500 18
* Biglari Holdings Inc. 34 14
* Liberty Braves Group 880 13
* TripAdvisor Inc. 200 13
  Churchill Downs Inc. 100 13
* ServiceMaster Global Holdings Inc. 300 12
* Liberty Broadband Corp. 191 11
* Michaels Cos. Inc. 400 11
  Regal Entertainment Group Class A 500 11
* Tumi Holdings Inc. 400 11
  Williams-Sonoma Inc. 200 10
* Townsquare Media Inc. Class A 1,302 10
  PulteGroup Inc. 500 10
  Penske Automotive Group Inc. 261 8
* Regis Corp. 600 7
* Murphy USA Inc. 100 7
* Office Depot Inc. 2,200 7
* Monarch Casino & Resort Inc. 300 7
* Starz 200 6
* Lee Enterprises Inc. 3,097 6
  Haverty Furniture Cos. Inc. 300 5
* Carrols Restaurant Group Inc. 454 5
* Caesars Entertainment Corp. 700 5
* Asbury Automotive Group Inc. 100 5
  Ross Stores Inc. 79 4
* Restoration Hardware Holdings Inc. 155 4
* Perry Ellis International Inc. 200 4
* Cherokee Inc. 200 2
  ClubCorp Holdings Inc. 110 1
      697,697
Consumer Staples (11.4%)    
  Altria Group Inc. 1,147,132 79,106
  Procter & Gamble Co. 824,773 69,833
  Wal-Mart Stores Inc. 914,846 66,802

 

 

Coca-Cola Co. 1,340,917 60,784
PepsiCo Inc. 546,236 57,868
Philip Morris International Inc. 427,808 43,517
General Mills Inc. 524,603 37,415
Kimberly-Clark Corp. 256,531 35,268
Kroger Co. 699,259 25,726
ConAgra Foods Inc. 533,620 25,512
Clorox Co. 183,323 25,370
Dr Pepper Snapple Group Inc. 250,999 24,254
Colgate-Palmolive Co. 281,610 20,614
CVS Health Corp. 201,589 19,300
Campbell Soup Co. 271,544 18,066
Sysco Corp. 350,839 17,802
Hershey Co. 150,677 17,100
Costco Wholesale Corp. 95,720 15,032
Tyson Foods Inc. Class A 196,315 13,112
Kraft Heinz Co. 131,400 11,626
Kellogg Co. 135,408 11,056
Archer-Daniels-Midland Co. 128,868 5,527
Whole Foods Market Inc. 165,180 5,289
Constellation Brands Inc. Class A 30,800 5,094
Mondelez International Inc. Class A 98,560 4,485
Bunge Ltd. 55,900 3,306
Church & Dwight Co. Inc. 27,900 2,871
Molson Coors Brewing Co. Class B 22,566 2,282
* Coca-Cola European Partners plc 31,795 1,135
JM Smucker Co. 5,900 899
Pilgrim's Pride Corp. 26,917 686
Mead Johnson Nutrition Co. 4,560 414
Spectrum Brands Holdings Inc. 3,224 385
* Edgewell Personal Care Co. 4,300 363
McCormick & Co. Inc. 3,390 362
Dean Foods Co. 17,401 315
* Sprouts Farmers Market Inc. 13,012 298
Brown-Forman Corp. Class B 1,700 170
Nu Skin Enterprises Inc. Class A 1,900 88
* Adecoagro SA 6,100 67
Energizer Holdings Inc. 1,000 51
John B Sanfilippo & Son Inc. 1,045 45
Coty Inc. Class A 1,700 44
Lancaster Colony Corp. 300 38
* Central Garden & Pet Co. Class A 1,500 33
Estee Lauder Cos. Inc. Class A 300 27
* Smart & Final Stores Inc. 1,198 18
Walgreens Boots Alliance Inc. 200 17
* Monster Beverage Corp. 100 16
Hormel Foods Corp. 341 12
* USANA Health Sciences Inc. 100 11
* Hain Celestial Group Inc. 200 10
Reynolds American Inc. 100 5
* Natural Grocers by Vitamin Cottage Inc. 200 3
    729,529
Energy (7.5%)    
Exxon Mobil Corp. 1,338,962 125,514
Chevron Corp. 317,727 33,307
Schlumberger Ltd. 412,839 32,647
Occidental Petroleum Corp. 373,180 28,198

 

 

* FMC Technologies Inc. 700,396 18,680
  Apache Corp. 317,981 17,702
  Anadarko Petroleum Corp. 290,610 15,475
  Valero Energy Corp. 295,551 15,073
  Kinder Morgan Inc. 673,742 12,612
  Ensco plc Class A 1,298,234 12,606
  Phillips 66 157,160 12,469
  Tesoro Corp. 160,962 12,059
* Newfield Exploration Co. 271,092 11,977
^ Transocean Ltd. 987,953 11,747
  EOG Resources Inc. 133,160 11,108
  Devon Energy Corp. 301,167 10,917
  Diamond Offshore Drilling Inc. 417,466 10,157
  Marathon Oil Corp. 663,440 9,958
  ConocoPhillips 200,391 8,737
  Marathon Petroleum Corp. 222,146 8,433
  Cabot Oil & Gas Corp. 294,212 7,573
  Williams Cos. Inc. 328,900 7,114
  Noble Energy Inc. 198,030 7,103
  Spectra Energy Corp. 171,271 6,274
  Noble Corp. plc 751,100 6,189
  Hess Corp. 101,200 6,082
  National Oilwell Varco Inc. 144,802 4,873
  Murphy Oil Corp. 144,349 4,583
  Cimarex Energy Co. 37,793 4,510
  Energen Corp. 35,000 1,687
* Southwestern Energy Co. 122,540 1,542
  ONEOK Inc. 24,116 1,144
  Baker Hughes Inc. 9,800 442
  EQT Corp. 5,600 434
  Columbia Pipeline Group Inc. 15,150 386
  Pioneer Natural Resources Co. 2,280 345
^,* Seadrill Ltd. 93,400 303
* Kosmos Energy Ltd. 36,500 199
  Oceaneering International Inc. 4,700 140
^ Cameco Corp. 8,300 91
  Golar LNG Ltd. 4,805 75
  Halliburton Co. 1,570 71
  QEP Resources Inc. 4,000 71
  SM Energy Co. 2,427 66
  Golar LNG Partners LP 3,353 61
  PBF Energy Inc. Class A 1,700 40
* Gulfport Energy Corp. 1,141 36
  Aegean Marine Petroleum Network Inc. 6,000 33
  CVR Energy Inc. 2,000 31
* Cobalt International Energy Inc. 20,033 27
  Frank's International NV 1,800 26
* Chesapeake Energy Corp. 4,900 21
* Harvest Natural Resources Inc. 25,100 21
* Helix Energy Solutions Group Inc. 1,800 12
  EnLink Midstream LLC 700 11
  Teekay Tankers Ltd. Class A 3,300 10
  Euronav NV 1,000 9
* TransAtlantic Petroleum Ltd. 8,887 7
* Oasis Petroleum Inc. 700 7
* Forum Energy Technologies Inc. 300 5
* Newpark Resources Inc. 600 4

 

 

Encana Corp. 400 3
* Laredo Petroleum Inc. 200 2
* California Resources Corp. 34 —
    481,039
Financials (14.2%)    
Wells Fargo & Co. 1,542,924 73,027
Citigroup Inc. 1,312,178 55,623
JPMorgan Chase & Co. 755,062 46,920
Bank of America Corp. 3,207,692 42,566
* Berkshire Hathaway Inc. Class B 275,145 39,838
Crown Castle International Corp. 327,672 33,236
Travelers Cos. Inc. 261,597 31,140
Bank of New York Mellon Corp. 795,759 30,915
Prologis Inc. 502,195 24,628
Aon plc 202,160 22,082
Public Storage 73,320 18,740
Aflac Inc. 241,491 17,426
Macerich Co. 199,460 17,032
Ameriprise Financial Inc. 182,452 16,393
Fifth Third Bancorp 887,076 15,604
Navient Corp. 1,297,609 15,506
Kimco Realty Corp. 482,387 15,137
Allstate Corp. 211,018 14,761
SunTrust Banks Inc. 354,640 14,569
Capital One Financial Corp. 223,472 14,193
Prudential Financial Inc. 195,513 13,948
Host Hotels & Resorts Inc. 847,909 13,745
Discover Financial Services 251,254 13,465
CME Group Inc. 120,600 11,746
Marsh & McLennan Cos. Inc. 171,090 11,713
Nasdaq Inc. 174,862 11,308
People's United Financial Inc. 768,752 11,270
AvalonBay Communities Inc. 62,377 11,252
S&P Global Inc. 104,496 11,208
Chubb Ltd. 75,217 9,832
Cincinnati Financial Corp. 128,440 9,619
Hartford Financial Services Group Inc. 208,978 9,274
American Express Co. 144,000 8,749
BlackRock Inc. 24,980 8,556
Progressive Corp. 248,033 8,309
Unum Group 254,174 8,080
Willis Towers Watson plc 64,812 8,057
Moody's Corp. 79,800 7,478
Realty Income Corp. 105,198 7,297
Northern Trust Corp. 104,884 6,950
Loews Corp. 165,230 6,789
Simon Property Group Inc. 30,607 6,639
Lincoln National Corp. 160,108 6,207
* Synchrony Financial 241,300 6,100
Principal Financial Group Inc. 145,230 5,970
Morgan Stanley 227,830 5,919
Huntington Bancshares Inc. 637,825 5,702
Weyerhaeuser Co. 177,745 5,291
Equity LifeStyle Properties Inc. 65,300 5,227
Welltower Inc. 63,140 4,809
First Horizon National Corp. 344,170 4,743
Arthur J Gallagher & Co. 99,570 4,740

 

 

Assurant Inc. 52,149 4,501
* Realogy Holdings Corp. 142,100 4,124
Intercontinental Exchange Inc. 15,940 4,080
General Growth Properties Inc. 135,330 4,036
UDR Inc. 103,930 3,837
Voya Financial Inc. 154,000 3,813
Federal Realty Investment Trust 22,920 3,794
PNC Financial Services Group Inc. 45,900 3,736
American International Group Inc. 66,700 3,528
Zions Bancorporation 125,380 3,151
Regions Financial Corp. 323,247 2,751
Goldman Sachs Group Inc. 18,234 2,709
Torchmark Corp. 35,792 2,213
KeyCorp 191,762 2,119
Retail Properties of America Inc. 103,400 1,747
Legg Mason Inc. 57,778 1,704
Apartment Investment & Management Co. 36,830 1,626
HCP Inc. 44,572 1,577
Four Corners Property Trust Inc. 76,404 1,573
East West Bancorp Inc. 44,000 1,504
Leucadia National Corp. 76,960 1,334
FNF Group 34,800 1,305
Iron Mountain Inc. 30,400 1,211
Post Properties Inc. 17,673 1,079
Synovus Financial Corp. 32,500 942
* E*TRADE Financial Corp. 38,792 911
* Equity Commonwealth 30,900 900
Endurance Specialty Holdings Ltd. 12,088 812
MetLife Inc. 20,050 799
Aspen Insurance Holdings Ltd. 16,700 775
WR Berkley Corp. 12,700 761
Digital Realty Trust Inc. 6,878 750
TCF Financial Corp. 52,000 658
US Bancorp 15,314 618
Essex Property Trust Inc. 2,706 617
Vornado Realty Trust 5,162 517
United Bankshares Inc. 13,605 510
Comerica Inc. 12,130 499
Axis Capital Holdings Ltd. 8,600 473
Popular Inc. 15,100 442
Umpqua Holdings Corp. 23,900 370
Great Western Bancorp Inc. 10,900 344
* Arch Capital Group Ltd. 4,600 331
ProAssurance Corp. 6,100 327
Brandywine Realty Trust 19,300 324
Assured Guaranty Ltd. 11,500 292
Brixmor Property Group Inc. 11,000 291
* MGIC Investment Corp. 47,600 283
^ Prospect Capital Corp. 35,320 276
Old Republic International Corp. 14,000 270
Argo Group International Holdings Ltd. 4,984 259
RLI Corp. 3,700 254
American Tower Corporation 2,200 250
Care Capital Properties Inc. 9,500 249
Wintrust Financial Corp. 4,800 245
Ares Capital Corp. 17,200 244
Columbia Property Trust Inc. 11,100 238

 

 

Taubman Centers Inc. 3,100 230
MB Financial Inc. 6,200 225
Financial Engines Inc. 7,900 204
Liberty Property Trust 5,000 199
Government Properties Income Trust 8,300 191
* Flagstar Bancorp Inc. 7,700 188
* Essent Group Ltd. 8,200 179
Boston Properties Inc. 1,300 171
Allied World Assurance Co. Holdings AG 4,500 158
BancorpSouth Inc. 6,700 152
Outfront Media Inc. 5,700 138
Paramount Group Inc. 8,100 129
Greenhill & Co. Inc. 7,875 127
CBOE Holdings Inc. 1,800 120
Hanover Insurance Group Inc. 1,400 118
Spirit Realty Capital Inc. 8,700 111
Apollo Investment Corp. 19,164 106
Trustmark Corp. 4,192 104
Equity Residential 1,500 103
American Campus Communities Inc. 1,900 100
Washington Federal Inc. 4,000 97
Kearny Financial Corp. 7,400 93
CubeSmart 2,985 92
State Street Corp. 1,709 92
Cathay General Bancorp 3,200 90
Empire State Realty Trust Inc. 4,745 90
* Third Point Reinsurance Ltd. 7,656 90
Radian Group Inc. 8,400 87
* Beneficial Bancorp Inc. 6,700 85
Capitol Federal Financial Inc. 6,100 85
CyrusOne Inc. 1,500 83
Chimera Investment Corp. 5,300 83
Prosperity Bancshares Inc. 1,539 78
Hospitality Properties Trust 2,600 75
* Santander Consumer USA Holdings Inc. 6,900 71
WP Carey Inc. 1,000 69
Kite Realty Group Trust 2,400 67
UMB Financial Corp. 1,204 64
Meridian Bancorp Inc. 4,200 62
Brookline Bancorp Inc. 5,400 60
Two Harbors Investment Corp. 6,800 58
Forest City Realty Trust Inc. Class A 2,600 58
RLJ Lodging Trust 2,700 58
Kennedy-Wilson Holdings Inc. 3,000 57
FNB Corp. 4,200 53
American Equity Investment Life Holding Co. 3,500 50
Erie Indemnity Co. Class A 500 50
* FNFV Group 4,200 48
Franklin Resources Inc. 1,300 43
BBCN Bancorp Inc. 2,900 43
* Western Alliance Bancorp 1,200 39
* Markit Ltd. 1,200 39
Nelnet Inc. Class A 1,100 38
National Health Investors Inc. 448 34
First Financial Bancorp 1,427 28
Glacier Bancorp Inc. 1,000 27
CareTrust REIT Inc. 1,900 26

 

 

* NewStar Financial Inc. 3,100 26
CBL & Associates Properties Inc. 2,800 26
Fulton Financial Corp. 1,700 23
Preferred Bank 788 23
AG Mortgage Investment Trust Inc. 1,405 20
OneBeacon Insurance Group Ltd. Class A 1,362 19
BankFinancial Corp. 1,502 18
Ventas Inc. 247 18
HFF Inc. Class A 600 17
Capital Bank Financial Corp. 600 17
Columbia Banking System Inc. 600 17
Anworth Mortgage Asset Corp. 3,400 16
American Capital Agency Corp. 800 16
Boston Private Financial Holdings Inc. 1,335 16
* CBRE Group Inc. Class A 559 15
Ladder Capital Corp. 1,200 15
National Bank Holdings Corp. Class A 715 15
Monogram Residential Trust Inc. 1,400 14
Ryman Hospitality Properties Inc. 280 14
Arbor Realty Trust Inc. 1,900 14
THL Credit Inc. 1,207 13
Heritage Financial Corp. 725 13
Employers Holdings Inc. 403 12
Old National Bancorp 900 11
Fifth Street Finance Corp. 2,200 11
* KCG Holdings Inc. Class A 800 11
Banner Corp. 250 11
Citizens Financial Group Inc. 531 11
* Stifel Financial Corp. 336 11
Raymond James Financial Inc. 200 10
* PRA Group Inc. 400 10
Washington REIT 300 9
Associated Banc-Corp 500 9
TD Ameritrade Holding Corp. 300 9
Parkway Properties Inc. 500 8
* First BanCorp 2,000 8
Brown & Brown Inc. 211 8
United Financial Bancorp Inc. 600 8
WP Glimcher Inc. 687 8
Tier REIT Inc. 500 8
Chemical Financial Corp. 200 7
United Community Banks Inc. 385 7
XL Group plc Class A 209 7
New Residential Investment Corp. 500 7
Southwest Bancorp Inc. 400 7
Opus Bank 200 7
West Bancorporation Inc. 352 7
Hudson Pacific Properties Inc. 221 6
Blackstone Mortgage Trust Inc. Class A 195 5
* Walter Investment Management Corp. 1,700 5
Investors Bancorp Inc. 400 4
* PHH Corp. 298 4
MVC Capital Inc. 457 4
Annaly Capital Management Inc. 300 3
Global Net Lease Inc. 400 3
KCAP Financial Inc. 800 3
Artisan Partners Asset Management Inc. Class A 100 3

 

 

MFA Financial Inc. 290 2
* Ocwen Financial Corp. 977 2
    914,277
Health Care (14.3%)    
Johnson & Johnson 1,181,263 143,287
Merck & Co. Inc. 1,154,528 66,512
Pfizer Inc. 1,842,935 64,890
Bristol-Myers Squibb Co. 769,049 56,564
Amgen Inc. 340,602 51,823
Eli Lilly & Co. 630,175 49,626
* Express Scripts Holding Co. 458,890 34,784
Gilead Sciences Inc. 376,980 31,448
AmerisourceBergen Corp. Class A 351,247 27,861
UnitedHealth Group Inc. 192,850 27,230
Anthem Inc. 198,603 26,085
Cardinal Health Inc. 282,374 22,028
AbbVie Inc. 333,164 20,626
CR Bard Inc. 86,900 20,435
Baxter International Inc. 422,184 19,091
Agilent Technologies Inc. 409,763 18,177
Abbott Laboratories 449,486 17,669
* HCA Holdings Inc. 216,279 16,656
McKesson Corp. 83,164 15,523
Thermo Fisher Scientific Inc. 102,582 15,158
Zoetis Inc. 306,050 14,525
* Hologic Inc. 400,355 13,852
* Biogen Inc. 51,065 12,349
Cigna Corp. 95,911 12,276
* DaVita HealthCare Partners Inc. 152,760 11,811
* Vertex Pharmaceuticals Inc. 113,856 9,794
Zimmer Biomet Holdings Inc. 77,900 9,378
* Allergan plc 38,900 8,989
Aetna Inc. 70,688 8,633
* Celgene Corp. 77,300 7,624
* Intuitive Surgical Inc. 10,800 7,143
Patterson Cos. Inc. 124,120 5,944
* Boston Scientific Corp. 247,477 5,784
Stryker Corp. 42,850 5,135
PerkinElmer Inc. 96,637 5,066
Becton Dickinson and Co. 25,922 4,396
Humana Inc. 18,000 3,238
Medtronic plc 35,729 3,100
* Cerner Corp. 47,100 2,760
* Laboratory Corp. of America Holdings 18,980 2,473
* Endo International plc 143,966 2,244
* Henry Schein Inc. 11,465 2,027
Quest Diagnostics Inc. 20,300 1,653
DENTSPLY SIRONA Inc. 26,635 1,652
Perrigo Co. plc 17,247 1,564
* Mallinckrodt plc 24,479 1,488
* VCA Inc. 20,700 1,400
* Regeneron Pharmaceuticals Inc. 3,000 1,048
* United Therapeutics Corp. 8,900 943
Shire plc ADR 4,982 917
* Medivation Inc. 12,800 772
* Community Health Systems Inc. 55,483 669
* Charles River Laboratories International Inc. 8,100 668

 

 

Hill-Rom Holdings Inc. 7,000 353
* OraSure Technologies Inc. 50,500 298
* Envision Healthcare Holdings Inc. 10,200 259
* Varian Medical Systems Inc. 3,066 252
Invacare Corp. 16,500 200
* Alkermes plc 4,500 194
* Magellan Health Inc. 2,900 191
* QIAGEN NV 8,500 185
ResMed Inc. 2,900 183
Bruker Corp. 7,100 161
Universal Health Services Inc. Class B 1,200 161
* Cepheid 5,100 157
* Pain Therapeutics Inc. 60,444 132
* Myriad Genetics Inc. 4,200 129
* Mylan NV 2,952 128
* Rigel Pharmaceuticals Inc. 49,294 110
* Luminex Corp. 4,400 89
* Waters Corp. 620 87
* Triple-S Management Corp. Class B 3,400 83
* Quorum Health Corp. 7,361 79
* Pacific Biosciences of California Inc. 11,000 77
* BioTelemetry Inc. 4,523 74
* Molina Healthcare Inc. 1,400 70
* SciClone Pharmaceuticals Inc. 4,774 62
* Insulet Corp. 2,000 60
* AMAG Pharmaceuticals Inc. 2,300 55
* Innoviva Inc. 5,000 53
* VWR Corp. 1,700 49
* Allscripts Healthcare Solutions Inc. 3,600 46
Bio-Techne Corp. 400 45
* AtriCure Inc. 2,600 37
St. Jude Medical Inc. 418 33
* IMS Health Holdings Inc. 1,200 30
West Pharmaceutical Services Inc. 400 30
* Merit Medical Systems Inc. 1,400 28
* Imprivata Inc. 1,853 26
* FibroGen Inc. 1,500 25
* Omeros Corp. 2,300 24
* Spectrum Pharmaceuticals Inc. 3,300 22
* Orthofix International NV 500 21
* Puma Biotechnology Inc. 700 21
* Edwards Lifesciences Corp. 200 20
* NxStage Medical Inc. 900 19
* IDEXX Laboratories Inc. 200 19
* BioCryst Pharmaceuticals Inc. 6,200 18
* ArQule Inc. 8,649 16
* Halyard Health Inc. 500 16
* Surgical Care Affiliates Inc. 300 14
* Nektar Therapeutics 1,000 14
* HMS Holdings Corp. 800 14
* Rockwell Medical Inc. 1,409 11
LeMaitre Vascular Inc. 594 8
* Infinity Pharmaceuticals Inc. 6,000 8
* NewLink Genetics Corp. 700 8
* Genomic Health Inc. 300 8
Owens & Minor Inc. 200 7
* Syneron Medical Ltd. 899 7

 

 

* Enzo Biochem Inc. 1,100 7
* NanoString Technologies Inc. 500 6
* Exact Sciences Corp. 500 6
* Castlight Health Inc. Class B 1,535 6
* Aratana Therapeutics Inc. 900 6
* HealthStream Inc. 200 5
* Advaxis Inc. 548 4
* AngioDynamics Inc. 303 4
* ARIAD Pharmaceuticals Inc. 476 4
* GTx Inc. 4,487 2
* RTI Surgical Inc. 400 1
    921,365
Industrials (10.5%)    
General Electric Co. 2,876,188 90,542
General Dynamics Corp. 339,991 47,340
Northrop Grumman Corp. 135,523 30,124
Boeing Co. 217,442 28,239
United Parcel Service Inc. Class B 251,913 27,136
3M Co. 111,718 19,564
Stanley Black & Decker Inc. 173,588 19,306
L-3 Communications Holdings Inc. 131,097 19,231
Raytheon Co. 137,570 18,703
Cintas Corp. 185,538 18,207
Lockheed Martin Corp. 73,313 18,194
Masco Corp. 579,492 17,929
Waste Management Inc. 238,272 15,790
United Technologies Corp. 147,470 15,123
Caterpillar Inc. 195,204 14,798
Union Pacific Corp. 169,400 14,780
Republic Services Inc. Class A 273,037 14,010
Delta Air Lines Inc. 378,257 13,780
Southwest Airlines Co. 338,202 13,261
Illinois Tool Works Inc. 122,650 12,775
Equifax Inc. 98,101 12,596
Allison Transmission Holdings Inc. 433,100 12,226
Alaska Air Group Inc. 204,165 11,901
Pitney Bowes Inc. 667,470 11,881
* Quanta Services Inc. 507,760 11,739
Ingersoll-Rand plc 183,080 11,659
* United Rentals Inc. 169,000 11,340
Tyco International plc 245,200 10,445
Honeywell International Inc. 83,471 9,709
* United Continental Holdings Inc. 232,823 9,555
* Spirit AeroSystems Holdings Inc. Class A 140,500 6,041
KAR Auction Services Inc. 140,600 5,869
Rockwell Automation Inc. 48,401 5,557
Fluor Corp. 107,536 5,299
Allegion plc 72,630 5,043
Eaton Corp. plc 83,222 4,971
Emerson Electric Co. 92,018 4,800
Dun & Bradstreet Corp. 33,330 4,061
FedEx Corp. 24,200 3,673
Expeditors International of Washington Inc. 74,200 3,639
Nielsen Holdings plc 64,680 3,361
CH Robinson Worldwide Inc. 43,200 3,208
PACCAR Inc. 61,000 3,164
Danaher Corp. 28,502 2,879

 

 

Parker-Hannifin Corp. 26,301 2,842
Cummins Inc. 24,000 2,699
* AerCap Holdings NV 66,300 2,227
AMETEK Inc. 41,730 1,929
Snap-on Inc. 11,880 1,875
Kansas City Southern 18,500 1,667
Deere & Co. 19,562 1,585
BWX Technologies Inc. 42,000 1,502
Carlisle Cos. Inc. 10,400 1,099
Fortune Brands Home & Security Inc. 17,266 1,001
Huntington Ingalls Industries Inc. 5,100 857
* Armstrong World Industries Inc. 18,600 728
* Jacobs Engineering Group Inc. 14,159 705
Xylem Inc. 13,000 580
Wabtec Corp. 7,400 520
WW Grainger Inc. 2,284 519
* RPX Corp. 52,119 478
* Moog Inc. Class A 8,000 431
* Continental Building Products Inc. 18,200 405
Covanta Holding Corp. 23,600 388
* Waste Connections Inc. 5,199 375
CSX Corp. 13,100 342
* HD Supply Holdings Inc. 9,800 341
Joy Global Inc. 15,700 332
* Stericycle Inc. 3,040 317
Landstar System Inc. 4,600 316
Insperity Inc. 3,700 286
* IHS Inc. Class A 2,297 266
Pentair plc 4,400 256
Hubbell Inc. Class B 2,200 232
B/E Aerospace Inc. 4,700 217
Brady Corp. Class A 6,900 211
Watsco Inc. 1,300 183
American Airlines Group Inc. 6,400 181
West Corp. 8,323 164
Norfolk Southern Corp. 1,855 158
* SPX Corp. 9,998 148
Woodward Inc. 2,000 115
Apogee Enterprises Inc. 2,400 111
* Babcock & Wilcox Enterprises Inc. 7,500 110
Albany International Corp. 2,600 104
* Armstrong Flooring Inc. 5,900 100
* DigitalGlobe Inc. 4,100 88
Quad/Graphics Inc. 3,686 86
* Rexnord Corp. 3,600 71
Barnes Group Inc. 2,061 68
Kennametal Inc. 3,000 66
RR Donnelley & Sons Co. 3,594 61
Orbital ATK Inc. 700 60
* NCI Building Systems Inc. 3,600 58
* Hub Group Inc. Class A 1,400 54
Lincoln Electric Holdings Inc. 900 53
Curtiss-Wright Corp. 600 51
KBR Inc. 3,708 49
* ARC Document Solutions Inc. 11,400 44
* Kirby Corp. 709 44
* MFC Bancorp Ltd. 19,512 43

 

 

* MRC Global Inc. 2,800 40
* Masonite International Corp. 600 40
* Mistras Group Inc. 1,487 35
Exponent Inc. 600 35
* Air Transport Services Group Inc. 2,700 35
Textron Inc. 799 29
Air Lease Corp. Class A 1,000 27
CNH Industrial NV 3,600 26
Triumph Group Inc. 700 25
* Navigant Consulting Inc. 1,400 23
* Kratos Defense & Security Solutions Inc. 5,377 22
Ennis Inc. 1,000 19
Heartland Express Inc. 1,086 19
* Huron Consulting Group Inc. 300 18
Knoll Inc. 700 17
Allegiant Travel Co. Class A 100 15
* Atlas Air Worldwide Holdings Inc. 357 15
Dover Corp. 200 14
Aircastle Ltd. 700 14
* WageWorks Inc. 211 13
* Swift Transportation Co. 800 12
Steelcase Inc. Class A 900 12
Hillenbrand Inc. 400 12
* Civeo Corp. 6,379 11
Raven Industries Inc. 600 11
* USG Corp. 400 11
LB Foster Co. Class A 900 10
* JetBlue Airways Corp. 500 8
* YRC Worldwide Inc. 800 7
* Energy Focus Inc. 862 5
* Saia Inc. 143 4
EnPro Industries Inc. 73 3
NN Inc. 206 3
* Accuride Corp. 1,500 2
    673,838
Information Technology (18.7%)    
Apple Inc. 1,607,349 153,663
Microsoft Corp. 2,035,421 104,152
International Business Machines Corp. 362,441 55,011
* Facebook Inc. Class A 473,357 54,095
* Alphabet Inc. Class A 76,265 53,655
Intel Corp. 1,458,507 47,839
Visa Inc. Class A 566,291 42,002
* Alphabet Inc. Class C 52,463 36,310
Cisco Systems Inc. 1,215,641 34,877
Texas Instruments Inc. 525,375 32,915
Symantec Corp. 1,566,946 32,185
QUALCOMM Inc. 505,613 27,086
Intuit Inc. 235,609 26,296
MasterCard Inc. Class A 298,260 26,265
Accenture plc Class A 210,297 23,825
Western Union Co. 1,166,272 22,369
HP Inc. 1,772,937 22,250
Fidelity National Information Services Inc. 276,710 20,388
Applied Materials Inc. 848,302 20,334
Motorola Solutions Inc. 302,943 19,985
Oracle Corp. 477,785 19,556

 

 

* Fiserv Inc. 176,172 19,155
* Citrix Systems Inc. 219,970 17,617
  CSRA Inc. 717,061 16,801
* Teradata Corp. 593,380 14,876
* F5 Networks Inc. 128,922 14,676
  NVIDIA Corp. 311,838 14,659
  Xerox Corp. 1,509,445 14,325
* Electronic Arts Inc. 181,234 13,730
* VeriSign Inc. 150,100 12,978
  Total System Services Inc. 237,988 12,640
  Paychex Inc. 211,267 12,570
  Computer Sciences Corp. 216,480 10,748
  Hewlett Packard Enterprise Co. 551,106 10,069
  Automatic Data Processing Inc. 96,000 8,820
  TE Connectivity Ltd. 150,600 8,601
  Juniper Networks Inc. 370,871 8,341
  Lam Research Corp. 98,907 8,314
  Harris Corp. 91,950 7,672
* PayPal Holdings Inc. 197,393 7,207
  Broadcom Ltd. 43,000 6,682
  NetApp Inc. 266,040 6,542
  Corning Inc. 283,528 5,807
* Autodesk Inc. 103,300 5,593
  Analog Devices Inc. 97,560 5,526
* Cognizant Technology Solutions Corp. Class A 83,300 4,768
* Yahoo! Inc. 117,600 4,417
  Seagate Technology plc 169,704 4,134
  CA Inc. 122,810 4,032
* salesforce.com Inc. 46,100 3,661
* Red Hat Inc. 41,840 3,038
  Global Payments Inc. 37,361 2,667
  Xilinx Inc. 57,290 2,643
* Akamai Technologies Inc. 40,700 2,276
^,* VMware Inc. Class A 39,100 2,237
  IAC/InterActiveCorp 35,700 2,010
* eBay Inc. 83,506 1,955
* Qorvo Inc. 34,492 1,906
  EMC Corp. 65,119 1,769
* Twitter Inc. 89,200 1,508
* Adobe Systems Inc. 13,400 1,284
  FLIR Systems Inc. 38,476 1,191
* CoreLogic Inc. 26,100 1,004
* Rackspace Hosting Inc. 47,700 995
* Flextronics International Ltd. 80,300 948
* MicroStrategy Inc. Class A 4,901 858
  Amdocs Ltd. 14,100 814
  Brocade Communications Systems Inc. 79,300 728
* ANSYS Inc. 8,000 726
* LinkedIn Corp. Class A 3,700 700
* Cadence Design Systems Inc. 28,700 697
* Micron Technology Inc. 50,000 688
* InterXion Holding NV 16,300 601
  Leidos Holdings Inc. 12,200 584
  Marvell Technology Group Ltd. 52,600 501
* Genpact Ltd. 14,900 400
  Tessera Technologies Inc. 10,600 325
* Nuance Communications Inc. 19,600 306

 

 

* Sohu.com Inc. 6,900 261
EarthLink Holdings Corp. 37,400 239
* WebMD Health Corp. 3,999 232
* ON Semiconductor Corp. 26,200 231
* First Solar Inc. 4,540 220
* Polycom Inc. 19,500 219
NIC Inc. 9,700 213
* RetailMeNot Inc. 25,132 194
* NeuStar Inc. Class A 8,100 190
Maxim Integrated Products Inc. 4,600 164
* Keysight Technologies Inc. 5,500 160
* Blackhawk Network Holdings Inc. 4,564 153
* Infoblox Inc. 8,100 152
* Calix Inc. 20,900 144
Teradyne Inc. 6,900 136
* Photronics Inc. 15,100 135
* II-VI Inc. 6,900 129
* Kulicke & Soffa Industries Inc. 9,581 117
* Bankrate Inc. 14,756 110
* Net 1 UEPS Technologies Inc. 11,000 110
* Zynga Inc. Class A 43,900 109
* Mellanox Technologies Ltd. 2,200 105
* Cimpress NV 1,100 102
* EchoStar Corp. Class A 2,507 100
* CommVault Systems Inc. 2,200 95
* Alliance Data Systems Corp. 470 92
Convergys Corp. 3,100 77
* Qlik Technologies Inc. 2,600 77
* Synopsys Inc. 1,402 76
* ShoreTel Inc. 11,119 74
* FireEye Inc. 4,416 73
* DHI Group Inc. 11,500 72
Cabot Microelectronics Corp. 1,676 71
* Acxiom Corp. 3,200 70
* Splunk Inc. 1,236 67
* CyberArk Software Ltd. 1,300 63
* Take-Two Interactive Software Inc. 1,500 57
Vishay Intertechnology Inc. 4,400 55
Diebold Inc. 2,100 52
Cognex Corp. 1,200 52
* Sonus Networks Inc. 5,900 51
* Cavium Inc. 1,300 50
EVERTEC Inc. 2,800 44
NVE Corp. 682 40
* Verint Systems Inc. 1,200 40
InterDigital Inc. 710 40
* Amkor Technology Inc. 6,800 39
* Silicon Laboratories Inc. 800 39
* Rudolph Technologies Inc. 2,500 39
* Semtech Corp. 1,600 38
^ CPI Card Group Inc. 7,400 37
Activision Blizzard Inc. 900 36
* SunEdison Semiconductor Ltd. 6,000 36
* Blucora Inc. 3,300 34
* TechTarget Inc. 4,200 34
Intersil Corp. Class A 2,463 33
* NETGEAR Inc. 700 33

 

 

* XO Group Inc. 1,821 32
* FormFactor Inc. 3,360 30
* Zebra Technologies Corp. 600 30
* Intralinks Holdings Inc. 4,300 28
* Trimble Navigation Ltd. 1,091 27
* Zix Corp. 6,866 26
* Rambus Inc. 2,100 25
* Progress Software Corp. 900 25
* Palo Alto Networks Inc. 200 25
Sabre Corp. 900 24
* InvenSense Inc. 3,911 24
Belden Inc. 394 24
* QLogic Corp. 1,600 24
* Fabrinet 600 22
* Web.com Group Inc. 1,100 20
MKS Instruments Inc. 400 17
* United Online Inc. 1,500 16
* NetScout Systems Inc. 700 16
* Orbotech Ltd. 600 15
* Angie's List Inc. 2,300 15
* Lionbridge Technologies Inc. 3,689 15
Plantronics Inc. 300 13
* Yelp Inc. Class A 400 12
* Ultratech Inc. 515 12
* ACI Worldwide Inc. 600 12
* VASCO Data Security International Inc. 700 11
Amphenol Corp. Class A 200 11
* comScore Inc. 479 11
CDK Global Inc. 200 11
* ARRIS International plc 500 10
Daktronics Inc. 1,600 10
* Endurance International Group Holdings Inc. 1,100 10
* Ixia 1,000 10
Western Digital Corp. 200 9
* VeriFone Systems Inc. 500 9
* Entegris Inc. 600 9
* A10 Networks Inc. 1,300 8
* NCR Corp. 300 8
* Veeco Instruments Inc. 500 8
* Brightcove Inc. 900 8
* Carbonite Inc. 778 8
Jabil Circuit Inc. 400 7
* TTM Technologies Inc. 968 7
* Bazaarvoice Inc. 1,700 7
* CommScope Holding Co. Inc. 200 6
* Higher One Holdings Inc. 1,200 6
* SPS Commerce Inc. 100 6
* Kemet Corp. 2,000 6
* OSI Systems Inc. 100 6
Brooks Automation Inc. 500 6
* Alpha & Omega Semiconductor Ltd. 400 6
* Anixter International Inc. 100 5
Comtech Telecommunications Corp. 402 5
* Shutterstock Inc. 100 5
* Celestica Inc. 300 3
* Ciber Inc. 1,744 3
    1,201,853

 

 

Materials (3.6%)    
Dow Chemical Co. 509,454 25,325
Sealed Air Corp. 528,134 24,278
LyondellBasell Industries NV Class A 309,676 23,046
Monsanto Co. 211,392 21,860
Air Products & Chemicals Inc. 147,957 21,016
Avery Dennison Corp. 275,063 20,561
Sherwin-Williams Co. 55,590 16,325
International Paper Co. 267,451 11,335
Praxair Inc. 97,910 11,004
Ball Corp. 105,716 7,642
Mosaic Co. 249,510 6,532
PPG Industries Inc. 60,760 6,328
Eastman Chemical Co. 77,571 5,267
Newmont Mining Corp. 114,150 4,466
Vulcan Materials Co. 31,708 3,816
Ecolab Inc. 31,060 3,684
EI du Pont de Nemours & Co. 52,000 3,370
Nucor Corp. 58,300 2,881
Freeport-McMoRan Inc. 200,500 2,234
Graphic Packaging Holding Co. 131,100 1,644
FMC Corp. 31,166 1,443
Celanese Corp. Class A 19,000 1,244
International Flavors & Fragrances Inc. 8,848 1,115
Barrick Gold Corp. 43,300 924
* Owens-Illinois Inc. 36,743 662
WR Grace & Co. 7,500 549
* Crown Holdings Inc. 10,000 507
CF Industries Holdings Inc. 20,800 501
Ferroglobe plc 38,600 332
* Berry Plastics Group Inc. 8,000 311
* Louisiana-Pacific Corp. 12,100 210
Reliance Steel & Aluminum Co. 2,700 208
SunCoke Energy Inc. 25,369 148
Agnico Eagle Mines Ltd. 2,400 128
* Axalta Coating Systems Ltd. 3,500 93
* Boise Cascade Co. 3,500 80
* Constellium NV Class A 13,300 62
* Intrepid Potash Inc. 40,400 58
Valspar Corp. 500 54
* Kinross Gold Corp. 9,100 44
Schweitzer-Mauduit International Inc. 1,200 42
* Century Aluminum Co. 6,400 40
* Ferro Corp. 3,000 40
Mercer International Inc. 4,500 36
* Turquoise Hill Resources Ltd. 9,966 34
Orion Engineered Carbons SA 2,088 33
Materion Corp. 1,099 27
Eldorado Gold Corp. 4,808 22
Silgan Holdings Inc. 400 21
KMG Chemicals Inc. 600 16
PH Glatfelter Co. 640 13
Mesabi Trust 1,015 11
United States Steel Corp. 500 8
* Flotek Industries Inc. 428 6
Steel Dynamics Inc. 200 5

 

 

Westlake Chemical Corp. 104 4
    231,645
Other (0.2%)    
SPDR S&P 500 ETF Trust 49,172 10,303
* Safeway Inc CVR (Casa Ley) Exp. 01/30/2018 75,810 10
* Safeway Inc CVR (PDC) Exp. 01/30/2017 75,810 3
* Rizzoli Corriere Della Sera Mediagroup SPA 2,001 2
* Biosante Pharmaceutical Inc CVR 4,189 —
    10,318
Telecommunication Services (2.7%)    
AT&T Inc. 2,107,840 91,080
Verizon Communications Inc. 991,662 55,374
CenturyLink Inc. 554,101 16,074
* Level 3 Communications Inc. 112,200 5,777
Frontier Communications Corp. 516,700 2,552
* SBA Communications Corp. Class A 6,500 702
Telephone & Data Systems Inc. 16,500 489
* Zayo Group Holdings Inc. 5,532 155
* Sprint Corp. 20,500 93
* United States Cellular Corp. 1,114 44
* Globalstar Inc. 7,900 10
Inteliquent Inc. 300 6
    172,356
Utilities (3.5%)    
American Electric Power Co. Inc. 295,160 20,688
Entergy Corp. 239,970 19,522
FirstEnergy Corp. 549,574 19,186
Ameren Corp. 341,523 18,299
Duke Energy Corp. 188,590 16,179
PPL Corp. 410,750 15,506
NextEra Energy Inc. 111,600 14,553
CenterPoint Energy Inc. 605,323 14,528
Edison International 182,374 14,165
Southern Co. 231,238 12,401
NRG Energy Inc. 817,204 12,250
NiSource Inc. 370,142 9,816
Sempra Energy 84,810 9,670
DTE Energy Co. 64,290 6,372
Dominion Resources Inc. 74,984 5,843
Pinnacle West Capital Corp. 55,856 4,528
PG&E Corp. 63,935 4,087
SCANA Corp. 49,843 3,771
WEC Energy Group Inc. 31,000 2,024
Public Service Enterprise Group Inc. 27,698 1,291
Eversource Energy 14,350 860
Atmos Energy Corp. 4,000 325
National Fuel Gas Co. 4,700 267
Xcel Energy Inc. 5,860 262
Atlantic Power Corp. 99,700 247
AES Corp. 19,500 243
WGL Holdings Inc. 2,820 200
* Dynegy Inc. 9,438 163
New Jersey Resources Corp. 2,900 112
Consolidated Edison Inc. 946 76
Hawaiian Electric Industries Inc. 2,300 75
PNM Resources Inc. 1,800 64

 

 

Vectren Corp.     1,200 63
Chesapeake Utilities Corp.     688 46
OGE Energy Corp.     1,300 43
* Calpine Corp.     2,200 32
ONE Gas Inc.     300 20
El Paso Electric Co.     300 14
Spire Inc.     200 14
MDU Resources Group Inc.     400 10
        227,815
Total Common Stocks (Cost $5,363,092)       6,261,732
  Coupon      
Temporary Cash Investments (2.7%)1        
Money Market Fund (2.5%)        
2,3 Vanguard Market Liquidity Fund 0.538%   163,373,952 163,374
 
      Face  
    Maturity Amount  
    Date ($000)  
U.S. Government and Agency Obligations (0.2%)        
4 Federal Home Loan Bank Discount Notes 0.352% 7/6/16 700 700
4,5 Federal Home Loan Bank Discount Notes 0.335% 7/22/16 11,000 10,998
        11,698
Total Temporary Cash Investments (Cost $175,072)       175,072
Total Investments (100.2%) (Cost $5,538,164)       6,436,804
Other Assets and Liabilities-Net (-0.2%)3       (11,075)
Net Assets (100%)       6,425,729

 

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,776,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.8% 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 $5,937,000 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 $6,400,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
CVR—Contingent Value Rights.
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.

 

Growth and Income Fund

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

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

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of June 30, 2016, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 6,261,716 2 14
Temporary Cash Investments 163,374 11,698 —
Futures Contracts—Assets1 1,713 — —
Futures Contracts—Liabilities1 (20) — —
Total 6,426,783 11,700 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.

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 June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

 

Growth and Income Fund        
 
 
 
        ($000)
 
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
E-mini S&P 500 Index September 2016 1,437 150,181 878

 

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

D. At June 30, 2016, the cost of investment securities for tax purposes was $5,538,171,000. Net unrealized appreciation of investment securities for tax purposes was $898,633,000, consisting of unrealized gains of $1,026,194,000 on securities that had risen in value since their purchase and $127,561,000 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, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.4%)1    
Consumer Discretionary (12.8%)    
  Home Depot Inc. 52,731 6,733
  Comcast Corp. Class A 84,732 5,524
  Lowe's Cos. Inc. 56,996 4,512
* Amazon.com Inc. 5,752 4,116
  Target Corp. 51,676 3,608
  Omnicom Group Inc. 39,267 3,200
  Marriott International Inc. Class A 47,679 3,169
* Smith & Wesson Holding Corp. 114,365 3,108
  Carnival Corp. 68,973 3,049
* Michael Kors Holdings Ltd. 61,270 3,032
^ Outerwall Inc. 71,475 3,002
  Darden Restaurants Inc. 45,935 2,909
^ Regal Entertainment Group Class A 126,752 2,794
* O'Reilly Automotive Inc. 9,836 2,667
  Nordstrom Inc. 65,813 2,504
  Lear Corp. 18,873 1,920
* Isle of Capri Casinos Inc. 101,956 1,868
  News Corp. Class B 131,904 1,539
  Walt Disney Co. 13,009 1,273
* Boyd Gaming Corp. 62,679 1,153
  Sturm Ruger & Co. Inc. 17,779 1,138
  Cooper Tire & Rubber Co. 36,483 1,088
* Liberty SiriusXM Group Class A 32,011 1,004
* Discovery Communications Inc. Class A 38,071 961
* American Axle & Manufacturing Holdings Inc. 65,821 953
  Children's Place Inc. 9,027 724
  Visteon Corp. 8,813 580
  PVH Corp. 5,796 546
* Cooper-Standard Holding Inc. 6,495 513
  DR Horton Inc. 14,750 464
^ World Wrestling Entertainment Inc. Class A 18,548 341
  Leggett & Platt Inc. 5,539 283
  NIKE Inc. Class B 5,070 280
  General Motors Co. 9,563 271
  Big Lots Inc. 5,365 269
      71,095
Consumer Staples (9.3%)    
  Altria Group Inc. 91,741 6,326
  Wal-Mart Stores Inc. 78,590 5,739
  Philip Morris International Inc. 43,245 4,399
  ConAgra Foods Inc. 71,656 3,426
  Tyson Foods Inc. Class A 50,337 3,362
  Procter & Gamble Co. 37,916 3,210
  Universal Corp. 52,000 3,002
  Dean Foods Co. 164,644 2,978
* Herbalife Ltd. 49,727 2,911
  Energizer Holdings Inc. 55,266 2,846
  JM Smucker Co. 17,104 2,607

 

 

PepsiCo Inc. 19,345 2,049
Sysco Corp. 35,390 1,796
Kroger Co. 47,372 1,743
Coca-Cola Co. 33,365 1,512
Ingles Markets Inc. Class A 39,652 1,479
* USANA Health Sciences Inc. 9,100 1,014
SpartanNash Co. 27,108 829
^ Natural Health Trends Corp. 12,550 354
    51,582
Energy (6.6%)    
Exxon Mobil Corp. 103,961 9,745
Apache Corp. 60,131 3,347
Rowan Cos. plc Class A 169,248 2,989
Valero Energy Corp. 57,406 2,928
^ Ship Finance International Ltd. 191,679 2,825
Tesoro Corp. 34,634 2,595
^ Nordic American Tankers Ltd. 158,459 2,201
Noble Corp. plc 256,034 2,110
Chevron Corp. 18,814 1,972
Ensco plc Class A 173,861 1,688
^ Frontline Ltd. 119,551 941
PBF Energy Inc. Class A 35,443 843
* Newfield Exploration Co. 14,241 629
* EP Energy Corp. Class A 120,089 622
DHT Holdings Inc. 105,103 529
Transocean Ltd. 43,624 519
Diamond Offshore Drilling Inc. 14,187 345
    36,828
Financials (17.4%)    
JPMorgan Chase & Co. 138,284 8,593
Bank of America Corp. 474,980 6,303
Citigroup Inc. 141,526 5,999
* Berkshire Hathaway Inc. Class B 28,657 4,149
Wells Fargo & Co. 82,939 3,925
Travelers Cos. Inc. 32,306 3,846
Aflac Inc. 49,192 3,550
Discover Financial Services 62,207 3,334
MSCI Inc. Class A 41,253 3,181
American Express Co. 52,000 3,160
Government Properties Income Trust 135,849 3,133
Gaming and Leisure Properties Inc. 90,548 3,122
Ameriprise Financial Inc. 34,709 3,119
Hospitality Properties Trust 101,924 2,935
Prudential Financial Inc. 39,289 2,803
Universal Insurance Holdings Inc. 130,642 2,427
Bank of New York Mellon Corp. 60,045 2,333
* Walker & Dunlop Inc. 95,746 2,181
Lamar Advertising Co. Class A 32,808 2,175
Select Income REIT 80,121 2,082
Assured Guaranty Ltd. 81,321 2,063
DuPont Fabros Technology Inc. 34,187 1,625
Navient Corp. 128,888 1,540
CBL & Associates Properties Inc. 165,395 1,540
SunTrust Banks Inc. 33,833 1,390
Lexington Realty Trust 135,334 1,368
Capital One Financial Corp. 20,755 1,318

 

 

Ryman Hospitality Properties Inc. 23,400 1,185
Fifth Third Bancorp 66,131 1,163
Heritage Insurance Holdings Inc. 95,600 1,144
Mack-Cali Realty Corp. 42,228 1,140
WP Carey Inc. 15,573 1,081
Apple Hospitality REIT Inc. 53,500 1,006
Digital Realty Trust Inc. 7,951 867
Nasdaq Inc. 11,374 736
Nelnet Inc. Class A 20,452 711
WP Glimcher Inc. 54,303 608
Regions Financial Corp. 52,059 443
Great Western Bancorp Inc. 13,722 433
VEREIT Inc. 38,431 390
Monmouth Real Estate Investment Corp. 27,465 364
* INTL. FCStone Inc. 11,714 320
Outfront Media Inc. 12,834 310
Communications Sales & Leasing Inc. 10,543 305
Care Capital Properties Inc. 11,391 299
* Flagstar Bancorp Inc. 11,639 284
CoreSite Realty Corp. 3,061 271
NorthStar Realty Finance Corp. 21,455 245
    96,499
Health Care (14.1%)    
Johnson & Johnson 94,069 11,411
Bristol-Myers Squibb Co. 81,898 6,024
Amgen Inc. 31,610 4,809
Eli Lilly & Co. 59,880 4,716
Pfizer Inc. 126,272 4,446
* Express Scripts Holding Co. 54,398 4,123
Aetna Inc. 30,574 3,734
Merck & Co. Inc. 63,323 3,648
Baxter International Inc. 76,260 3,449
Anthem Inc. 25,949 3,408
* HCA Holdings Inc. 43,039 3,314
AmerisourceBergen Corp. Class A 41,267 3,273
Gilead Sciences Inc. 39,074 3,260
* Charles River Laboratories International Inc. 36,365 2,998
* PRA Health Sciences Inc. 61,697 2,577
* INC Research Holdings Inc. Class A 66,964 2,553
* WellCare Health Plans Inc. 22,742 2,440
UnitedHealth Group Inc. 8,797 1,242
* Hologic Inc. 35,546 1,230
Cardinal Health Inc. 14,630 1,141
* Quintiles Transnational Holdings Inc. 16,171 1,056
Cigna Corp. 6,094 780
McKesson Corp. 4,150 775
* Amedisys Inc. 10,963 553
* Prestige Brands Holdings Inc. 7,456 413
Medtronic plc 4,366 379
Bruker Corp. 11,751 267
* Infinity Pharmaceuticals Inc. 155,500 207
    78,226
Industrials (10.5%)    
General Electric Co. 324,194 10,206
Boeing Co. 29,814 3,872
Huntington Ingalls Industries Inc. 19,359 3,253

 

 

BWX Technologies Inc. 84,964 3,039
Masco Corp. 98,189 3,038
Global Brass & Copper Holdings Inc. 108,544 2,962
* Spirit AeroSystems Holdings Inc. Class A 66,411 2,856
* Wabash National Corp. 214,462 2,724
* Hawaiian Holdings Inc. 70,791 2,687
L-3 Communications Holdings Inc. 17,707 2,597
Owens Corning 41,241 2,125
Ennis Inc. 103,367 1,983
* JetBlue Airways Corp. 112,454 1,862
Delta Air Lines Inc. 48,406 1,763
Briggs & Stratton Corp. 77,596 1,644
SkyWest Inc. 60,101 1,590
Southwest Airlines Co. 37,548 1,472
Alaska Air Group Inc. 24,960 1,455
Comfort Systems USA Inc. 41,918 1,365
Quad/Graphics Inc. 53,717 1,251
Herman Miller Inc. 25,971 776
* Quanta Services Inc. 31,382 726
* ACCO Brands Corp. 65,835 680
Insteel Industries Inc. 18,548 530
Waste Management Inc. 7,999 530
RR Donnelley & Sons Co. 26,127 442
Northrop Grumman Corp. 1,924 428
General Cable Corp. 22,067 281
Insperity Inc. 3,618 279
    58,416
Information Technology (19.1%)    
Apple Inc. 109,528 10,471
Microsoft Corp. 163,271 8,355
* Alphabet Inc. Class A 9,453 6,650
* Facebook Inc. Class A 48,259 5,515
* Alphabet Inc. Class C 7,832 5,421
Accenture plc Class A 41,132 4,660
HP Inc. 270,426 3,394
* Advanced Micro Devices Inc. 616,993 3,171
Computer Sciences Corp. 63,778 3,167
* Manhattan Associates Inc. 48,325 3,099
EarthLink Holdings Corp. 478,216 3,061
NVIDIA Corp. 64,783 3,045
Booz Allen Hamilton Holding Corp. Class A 101,864 3,019
* GoDaddy Inc. Class A 91,303 2,848
* Tech Data Corp. 39,377 2,829
* Sykes Enterprises Inc. 96,182 2,785
CSG Systems International Inc. 68,867 2,776
SYNNEX Corp. 29,027 2,752
* Aspen Technology Inc. 64,257 2,586
CDW Corp. 63,900 2,561
* Cirrus Logic Inc. 64,874 2,516
* Sigma Designs Inc. 340,751 2,191
International Business Machines Corp. 13,419 2,037
Avnet Inc. 45,833 1,857
CSRA Inc. 77,176 1,808
* Extreme Networks Inc. 507,956 1,722
Texas Instruments Inc. 27,249 1,707
Leidos Holdings Inc. 29,446 1,410
* ON Semiconductor Corp. 123,969 1,093

 

 

  Intel Corp. 27,866 914
  Visa Inc. Class A 11,820 877
* First Data Corp. Class A 74,617 826
* Wix.com Ltd. 26,000 789
* Cadence Design Systems Inc. 32,277 784
  Cisco Systems Inc. 23,383 671
* Gigamon Inc. 15,431 577
* NCR Corp. 17,378 483
  Intuit Inc. 4,293 479
* NeoPhotonics Corp. 46,000 438
  Oracle Corp. 7,398 303
  DST Systems Inc. 2,590 302
* Teradata Corp. 10,764 270
      106,219
Materials (3.3%)    
  Dow Chemical Co. 72,460 3,602
  LyondellBasell Industries NV Class A 45,619 3,395
*,^ Trinseo SA 67,787 2,910
  Commercial Metals Co. 162,911 2,753
  Steel Dynamics Inc. 86,706 2,124
  Avery Dennison Corp. 11,488 859
  International Paper Co. 19,773 838
  AEP Industries Inc. 7,500 603
* AK Steel Holding Corp. 91,308 426
* Ryerson Holding Corp. 17,824 312
  Cabot Corp. 6,059 277
      18,099
Telecommunication Services (2.6%)    
  Verizon Communications Inc. 155,692 8,694
  AT&T Inc. 86,394 3,733
  CenturyLink Inc. 48,957 1,420
* Cincinnati Bell Inc. 175,505 802
      14,649
Utilities (3.7%)    
  Edison International 45,334 3,521
  Entergy Corp. 41,000 3,335
  PPL Corp. 87,855 3,317
  FirstEnergy Corp. 94,272 3,291
  CenterPoint Energy Inc. 83,862 2,013
  NRG Energy Inc. 130,654 1,958
  Duke Energy Corp. 14,924 1,280
  UGI Corp. 13,984 633
  NiSource Inc. 19,668 522
  AES Corp. 34,843 435
  MDU Resources Group Inc. 12,208 293
      20,598
Total Common Stocks (Cost $475,200)   552,211

 

 

  Coupon      
Temporary Cash Investments (1.9%)1        
Money Market Fund (1.9%)        
2,3 Vanguard Market Liquidity Fund 0.538%   10,241,307 10,241
 
      Face  
    Maturity Amount  
    Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
4,5 Federal Home Loan Bank Discount Notes 0.400% 9/16/16 200 200
Total Temporary Cash Investments (Cost $10,441)       10,441
Total Investments (101.3%) (Cost $485,641)       562,652
Other Assets and Liabilities-Net (-1.3%)3       (7,451)
Net Assets (100%)       555,201

 

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,728,000.
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 1.3%, 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 $7,055,000 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.
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, 2016, based on the inputs used to value them:

Investments Level 1) Level 2) Level 3)

 

 

Structured Broad Market Fund      
 
 
  ($000) ($000) ($000)
Common Stocks 552,211 — —
Temporary Cash Investments 10,241 200 —
Futures Contracts—Assets1 33 — —
Total 562,485 200 —
1 Represents variation margin on the last day of the reporting period.      

 

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

At June 30, 2016, 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 September 2016 28 2,926 21

 

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

D. At June 30, 2016, the cost of investment securities for tax purposes was $485,760,000. Net unrealized appreciation of investment securities for tax purposes was $76,892,000, consisting of unrealized gains of $94,007,000 on securities that had risen in value since their purchase and $17,115,000 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, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.6%)1    
Consumer Discretionary (12.3%)    
* Amazon.com Inc. 7,484 5,356
  Lowe's Cos. Inc. 61,844 4,896
  Target Corp. 58,114 4,058
* O'Reilly Automotive Inc. 13,199 3,578
  Omnicom Group Inc. 41,668 3,396
  Leggett & Platt Inc. 63,279 3,234
  Marriott International Inc. Class A 47,108 3,131
* Michael Kors Holdings Ltd. 62,429 3,089
  Darden Restaurants Inc. 47,372 3,001
  Best Buy Co. Inc. 94,970 2,906
  Carnival Corp. 65,053 2,875
  Nordstrom Inc. 74,893 2,850
* Urban Outfitters Inc. 98,495 2,709
* Discovery Communications Inc. Class A 104,142 2,627
  Home Depot Inc. 17,444 2,227
  Ford Motor Co. 176,775 2,222
  Goodyear Tire & Rubber Co. 85,711 2,199
  CBS Corp. Class B 36,039 1,962
  TEGNA Inc. 84,339 1,954
  Interpublic Group of Cos. Inc. 80,273 1,854
  Comcast Corp. Class A 28,383 1,850
  PVH Corp. 19,500 1,837
  Walt Disney Co. 17,334 1,696
  Foot Locker Inc. 30,674 1,683
  McDonald's Corp. 4,485 540
  L Brands Inc. 291 20
      67,750
Consumer Staples (10.6%)    
  Wal-Mart Stores Inc. 86,143 6,290
  Altria Group Inc. 89,704 6,186
  General Mills Inc. 61,314 4,373
  Procter & Gamble Co. 48,779 4,130
  Kimberly-Clark Corp. 26,198 3,602
  ConAgra Foods Inc. 74,316 3,553
  Tyson Foods Inc. Class A 52,889 3,532
  Clorox Co. 24,889 3,444
  Dr Pepper Snapple Group Inc. 35,567 3,437
  Campbell Soup Co. 50,547 3,363
  Kroger Co. 88,342 3,250
  Sysco Corp. 59,350 3,011
  Hershey Co. 26,225 2,976
  Coca-Cola Co. 55,214 2,503
  PepsiCo Inc. 18,092 1,917
  Philip Morris International Inc. 17,441 1,774
  Colgate-Palmolive Co. 7,375 540
  CVS Health Corp. 4,302 412
  JM Smucker Co. 817 125
      58,418

 

 

Energy (7.2%)    
Exxon Mobil Corp. 93,130 8,730
Apache Corp. 61,692 3,434
Transocean Ltd. 264,067 3,140
Valero Energy Corp. 59,749 3,047
Chevron Corp. 28,178 2,954
* Newfield Exploration Co. 66,195 2,924
Tesoro Corp. 37,902 2,840
Diamond Offshore Drilling Inc. 115,287 2,805
* Southwestern Energy Co. 218,623 2,750
Devon Energy Corp. 69,482 2,519
Ensco plc Class A 251,615 2,443
Noble Corp. plc 220,100 1,814
Schlumberger Ltd. 4,402 348
    39,748
Financials (15.7%)    
JPMorgan Chase & Co. 113,219 7,035
Citigroup Inc. 150,705 6,388
* Berkshire Hathaway Inc. Class B 36,705 5,314
Travelers Cos. Inc. 34,795 4,142
Bank of New York Mellon Corp. 105,109 4,083
Crown Castle International Corp. 39,709 4,028
Wells Fargo & Co. 83,582 3,956
Aflac Inc. 52,362 3,778
Prudential Financial Inc. 52,106 3,717
Capital One Financial Corp. 53,000 3,366
Macerich Co. 39,355 3,361
Discover Financial Services 62,075 3,327
Host Hotels & Resorts Inc. 201,034 3,259
Fifth Third Bancorp 182,945 3,218
Prologis Inc. 64,743 3,175
Regions Financial Corp. 362,664 3,086
Ameriprise Financial Inc. 33,860 3,042
Bank of America Corp. 226,173 3,001
Nasdaq Inc. 45,891 2,968
Navient Corp. 243,242 2,907
Unum Group 91,405 2,906
SunTrust Banks Inc. 52,146 2,142
Kimco Realty Corp. 53,567 1,681
Public Storage 3,600 920
HCP Inc. 21,500 761
* E*TRADE Financial Corp. 17,653 415
Realty Income Corp. 2,730 189
Iron Mountain Inc. 3,858 154
Assurant Inc. 646 56
    86,375
Health Care (14.8%)    
Johnson & Johnson 107,502 13,040
Bristol-Myers Squibb Co. 91,090 6,700
Gilead Sciences Inc. 68,624 5,725
Amgen Inc. 35,850 5,455
Eli Lilly & Co. 65,287 5,141
* Express Scripts Holding Co. 58,288 4,418
Baxter International Inc. 79,637 3,601
Anthem Inc. 27,206 3,573
* HCA Holdings Inc. 45,770 3,525

 

 

Pfizer Inc. 97,712 3,440
AmerisourceBergen Corp. Class A 41,636 3,303
Agilent Technologies Inc. 69,923 3,102
* Hologic Inc. 87,443 3,026
Zoetis Inc. 61,172 2,903
PerkinElmer Inc. 53,617 2,811
McKesson Corp. 13,597 2,538
CR Bard Inc. 9,612 2,260
Merck & Co. Inc. 34,456 1,985
Aetna Inc. 11,657 1,424
UnitedHealth Group Inc. 7,680 1,084
Thermo Fisher Scientific Inc. 6,473 956
Medtronic plc 7,520 652
* Biogen Inc. 2,037 493
AbbVie Inc. 3,749 232
    81,387
Industrials (10.1%)    
General Electric Co. 374,822 11,799
Northrop Grumman Corp. 18,847 4,189
General Dynamics Corp. 29,066 4,047
Delta Air Lines Inc. 101,190 3,686
Southwest Airlines Co. 86,230 3,381
L-3 Communications Holdings Inc. 22,096 3,241
Cintas Corp. 32,696 3,209
Masco Corp. 103,243 3,194
* Quanta Services Inc. 131,146 3,032
* United Rentals Inc. 45,121 3,028
Boeing Co. 22,967 2,983
Alaska Air Group Inc. 50,643 2,952
Stanley Black & Decker Inc. 23,391 2,602
Rockwell Automation Inc. 17,200 1,975
* United Continental Holdings Inc. 27,735 1,138
Waste Management Inc. 7,387 490
Pitney Bowes Inc. 19,845 353
* Jacobs Engineering Group Inc. 4,950 247
3M Co. 1,400 245
    55,791
Information Technology (19.7%)    
Apple Inc. 137,309 13,127
Microsoft Corp. 184,842 9,458
* Alphabet Inc. Class A 10,509 7,393
* Facebook Inc. Class A 44,481 5,083
Accenture plc Class A 44,219 5,010
Intuit Inc. 35,237 3,933
* Fiserv Inc. 34,150 3,713
NVIDIA Corp. 78,302 3,681
* Electronic Arts Inc. 47,127 3,570
* Alphabet Inc. Class C 5,135 3,554
Applied Materials Inc. 146,600 3,514
HP Inc. 276,690 3,472
Texas Instruments Inc. 53,885 3,376
Lam Research Corp. 39,839 3,349
Western Union Co. 166,393 3,191
* Citrix Systems Inc. 39,725 3,182
* F5 Networks Inc. 26,577 3,025
Xerox Corp. 317,278 3,011

 

 

Motorola Solutions Inc.         44,502   2,936
* Teradata Corp.         110,160   2,762
CSRA Inc.         116,210   2,723
Hewlett Packard Enterprise Co.         144,870   2,647
Computer Sciences Corp.         50,400   2,502
Total System Services Inc.         46,329   2,461
Intel Corp.         51,768   1,698
Visa Inc. Class A         21,712   1,610
Cisco Systems Inc.         47,878   1,374
International Business Machines Corp.         7,112   1,079
Oracle Corp.         23,888   978
Juniper Networks Inc.         26,125   588
Global Payments Inc.         6,330   452
Seagate Technology plc         3,201   78
              108,530
Materials (2.7%)              
Dow Chemical Co.         90,421   4,495
LyondellBasell Industries NV Class A         44,829   3,336
International Paper Co.         76,334   3,235
Avery Dennison Corp.         42,271   3,160
Sherwin-Williams Co.         1,115   327
Sealed Air Corp.         4,995   230
Eastman Chemical Co.         2,091   142
              14,925
Telecommunication Services (2.9%)              
Verizon Communications Inc.         133,662   7,464
AT&T Inc.         117,056   5,058
CenturyLink Inc.         116,765   3,387
              15,909
Utilities (3.6%)              
Edison International         47,661   3,702
PPL Corp.         95,824   3,617
Entergy Corp.         41,720   3,394
FirstEnergy Corp.         96,528   3,370
NRG Energy Inc.         205,469   3,080
NiSource Inc.         112,429   2,981
              20,144
Total Common Stocks (Cost $463,223)             548,977
  Coupon            
Temporary Cash Investments (0.3%)1              
Money Market Fund (0.3%)              
2 Vanguard Market Liquidity Fund 0.538 %     1,361,742   1,362
 
          Face    
      Maturity   Amount    
      Date ($000)  
U.S. Government and Agency Obligations (0.0%)              
3,4 Federal Home Loan Bank Discount Notes 0.511 % 10/12/16   100   100
3,4 Federal Home Loan Bank Discount Notes 0.471 % 10/19/16   100   100
              200
Total Temporary Cash Investments (Cost $1,562)             1,562
Total Investments (99.9%) (Cost $464,785)             550,539
Other Assets and Liabilities-Net (0.1%)             360
Net Assets (100%)             550,899

 

 

* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 The issuer operates under a congressional charter; its securities are 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, 2016, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 548,977 — —
Temporary Cash Investments 1,362 200 —
Futures Contracts—Assets1 21 — —
Total 550,360 200 —
1 Represents variation margin on the last day of the reporting period.      

 

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

 

Structured Large-Cap Equity Fund

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).

At June 30, 2016, 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 September 2016 18 1,881 24

 

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

D. At June 30, 2016, the cost of investment securities for tax purposes was $464,785,000. Net unrealized appreciation of investment securities for tax purposes was $85,754,000, consisting of unrealized gains of $101,160,000 on securities that had risen in value since their purchase and $15,406,000 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 17, 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: August 17, 2016

 

  VANGUARD QUANTITATIVE FUNDS
 
  /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: August 17, 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.