N-Q 1 taxmanagedfinal.htm VANGUARD TAX-MANAGED FUNDS taxmanagedfinal.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: 811-07175

Name of Registrant: Vanguard Tax-Managed 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: December 31

Date of reporting period: March 31, 2011

Item 1: Schedule of Investments

 

Vanguard Tax-Managed Growth and Income Fund

Schedule of Investments
As of March 31, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (10.4%)    
Walt Disney Co. 385,798 16,624
McDonald's Corp. 212,147 16,142
Comcast Corp. Class A 530,168 13,106
* Amazon.com Inc. 72,445 13,050
Home Depot Inc. 332,914 12,338
* Ford Motor Co. 769,296 11,470
News Corp. Class A 463,954 8,147
Time Warner Inc. 222,211 7,933
* DIRECTV Class A 161,354 7,551
Lowe's Cos. Inc. 280,631 7,417
Target Corp. 143,836 7,193
NIKE Inc. Class B 77,774 5,887
Johnson Controls Inc. 137,522 5,717
Viacom Inc. Class B 121,503 5,652
Starbucks Corp. 151,526 5,599
* priceline.com Inc. 9,993 5,061
Time Warner Cable Inc. 69,807 4,980
Yum! Brands Inc. 94,984 4,880
TJX Cos. Inc. 80,521 4,004
CBS Corp. Class B 136,628 3,421
Carnival Corp. 87,640 3,362
Kohl's Corp. 59,513 3,157
Coach Inc. 60,063 3,126
Staples Inc. 146,460 2,844
Omnicom Group Inc. 57,675 2,830
Stanley Black & Decker Inc. 34,011 2,605
* Bed Bath & Beyond Inc. 51,764 2,499
McGraw-Hill Cos. Inc. 62,469 2,461
* Discovery Communications Inc. Class A 57,100 2,278
Starwood Hotels & Resorts Worldwide Inc. 39,111 2,273
* Netflix Inc. 8,919 2,117
Marriott International Inc. Class A 59,024 2,100
Macy's Inc. 85,986 2,086
Harley-Davidson Inc. 47,727 2,028
Gap Inc. 88,810 2,012
Wynn Resorts Ltd. 15,393 1,959
Fortune Brands Inc. 31,120 1,926
Best Buy Co. Inc. 66,678 1,915
Limited Brands Inc. 53,868 1,771
Mattel Inc. 70,746 1,764
VF Corp. 17,642 1,738
Ross Stores Inc. 24,243 1,724
JC Penney Co. Inc. 47,975 1,723
Genuine Parts Co. 32,098 1,722
* O'Reilly Automotive Inc. 28,668 1,647
Cablevision Systems Corp. Class A 47,468 1,643
Polo Ralph Lauren Corp. Class A 13,235 1,637
Tiffany & Co. 25,703 1,579
Nordstrom Inc. 34,036 1,528

 

 

* AutoZone Inc. 5,442 1,489
* CarMax Inc. 45,791 1,470
Darden Restaurants Inc. 28,211 1,386
Family Dollar Stores Inc. 25,756 1,322
Whirlpool Corp. 15,373 1,312
Hasbro Inc. 27,805 1,302
Interpublic Group of Cos. Inc. 100,009 1,257
Newell Rubbermaid Inc. 59,389 1,136
Wyndham Worldwide Corp. 35,096 1,116
* Apollo Group Inc. Class A 25,105 1,047
Abercrombie & Fitch Co. 17,828 1,047
H&R Block Inc. 61,883 1,036
International Game Technology 61,078 991
Scripps Networks Interactive Inc. Class A 18,381 921
Expedia Inc. 40,526 918
Comcast Corp. Class A Special Shares 33,914 787
* Urban Outfitters Inc. 26,140 780
* Goodyear Tire & Rubber Co. 49,443 741
Gannett Co. Inc. 48,625 741
Leggett & Platt Inc. 30,081 737
* Sears Holdings Corp. 8,888 735
* GameStop Corp. Class A 30,821 694
DeVry Inc. 12,489 688
Harman International Industries Inc. 14,181 664
* Big Lots Inc. 15,256 663
DR Horton Inc. 56,755 661
Lennar Corp. Class A 32,569 590
* Pulte Group Inc. 68,107 504
Washington Post Co. Class B 1,070 468
* AutoNation Inc. 12,949 458
RadioShack Corp. 21,456 322
    256,209
Consumer Staples (10.2%)    
Procter & Gamble Co. 569,070 35,055
Coca-Cola Co. 466,181 30,931
Philip Morris International Inc. 365,107 23,962
PepsiCo Inc. 322,342 20,762
Wal-Mart Stores Inc. 398,062 20,719
Kraft Foods Inc. 355,634 11,153
Altria Group Inc. 425,423 11,074
CVS Caremark Corp. 278,241 9,549
Colgate-Palmolive Co. 100,241 8,095
Walgreen Co. 187,328 7,519
Costco Wholesale Corp. 88,675 6,502
Kimberly-Clark Corp. 82,049 5,355
General Mills Inc. 129,214 4,723
Archer-Daniels-Midland Co. 129,724 4,671
Sysco Corp. 118,570 3,284
HJ Heinz Co. 65,476 3,197
Kroger Co. 129,477 3,104
Lorillard Inc. 29,656 2,818
Kellogg Co. 51,093 2,758
Reynolds American Inc. 68,700 2,441
Mead Johnson Nutrition Co. 41,612 2,411
Avon Products Inc. 87,643 2,370
Estee Lauder Cos. Inc. Class A 23,257 2,241
Sara Lee Corp. 126,428 2,234

 

 

ConAgra Foods Inc. 88,847 2,110
Whole Foods Market Inc. 29,914 1,971
Clorox Co. 27,928 1,957
Coca-Cola Enterprises Inc. 66,960 1,828
Safeway Inc. 75,110 1,768
JM Smucker Co. 24,128 1,723
Hershey Co. 31,335 1,703
Dr Pepper Snapple Group Inc. 45,618 1,695
Molson Coors Brewing Co. Class B 32,210 1,510
Brown-Forman Corp. Class B 20,850 1,424
McCormick & Co. Inc. 27,043 1,293
Campbell Soup Co. 37,230 1,233
Tyson Foods Inc. Class A 60,831 1,167
Hormel Foods Corp. 28,200 785
* Constellation Brands Inc. Class A 35,815 726
SUPERVALU Inc. 42,646 381
* Dean Foods Co. 37,100 371
    250,573
Energy (13.3%)    
Exxon Mobil Corp. 1,007,633 84,772
Chevron Corp. 407,927 43,824
Schlumberger Ltd. 276,560 25,792
ConocoPhillips 290,476 23,197
Occidental Petroleum Corp. 165,113 17,253
Apache Corp. 77,747 10,179
Halliburton Co. 185,511 9,246
Anadarko Petroleum Corp. 100,888 8,265
Devon Energy Corp. 86,671 7,954
Marathon Oil Corp. 144,248 7,690
National Oilwell Varco Inc. 85,516 6,779
Baker Hughes Inc. 88,140 6,472
EOG Resources Inc. 54,429 6,450
Hess Corp. 61,011 5,199
Chesapeake Energy Corp. 133,535 4,476
Peabody Energy Corp. 55,020 3,959
Williams Cos. Inc. 119,355 3,722
Spectra Energy Corp. 131,671 3,579
Noble Energy Inc. 35,805 3,461
Valero Energy Corp. 115,860 3,455
* Southwestern Energy Co. 70,853 3,045
Murphy Oil Corp. 39,266 2,883
* Cameron International Corp. 49,675 2,836
El Paso Corp. 143,020 2,574
Consol Energy Inc. 45,989 2,466
Pioneer Natural Resources Co. 23,570 2,402
Noble Corp. 51,451 2,347
* FMC Technologies Inc. 24,478 2,313
* Newfield Exploration Co. 27,211 2,068
* Denbury Resources Inc. 81,392 1,986
Range Resources Corp. 32,486 1,899
* Nabors Industries Ltd. 58,106 1,765
EQT Corp. 30,304 1,512
Helmerich & Payne Inc. 21,687 1,490
QEP Resources Inc. 35,768 1,450
Massey Energy Co. 20,984 1,434
* Rowan Cos. Inc. 25,586 1,130
Sunoco Inc. 24,588 1,121

 

 

Cabot Oil & Gas Corp. 21,069 1,116
Diamond Offshore Drilling Inc. 14,211 1,104
* Tesoro Corp. 29,184 783
    325,448
Financials (15.8%)    
JPMorgan Chase & Co. 809,507 37,318
Wells Fargo & Co. 1,070,480 33,934
Bank of America Corp. 2,056,745 27,416
* Berkshire Hathaway Inc. Class B 317,199 26,527
* Citigroup Inc. 5,904,523 26,098
Goldman Sachs Group Inc. 105,804 16,767
US Bancorp 390,804 10,329
American Express Co. 212,698 9,614
MetLife Inc. 214,545 9,597
Morgan Stanley 314,338 8,588
Bank of New York Mellon Corp. 252,223 7,534
PNC Financial Services Group Inc. 106,680 6,720
Simon Property Group Inc. 60,382 6,470
Prudential Financial Inc. 98,696 6,078
Travelers Cos. Inc. 87,489 5,204
Aflac Inc. 95,539 5,043
Capital One Financial Corp. 92,986 4,832
State Street Corp. 102,050 4,586
ACE Ltd. 68,200 4,412
CME Group Inc. 13,622 4,108
BB&T Corp. 140,983 3,870
Franklin Resources Inc. 29,526 3,693
Chubb Corp. 59,976 3,677
Charles Schwab Corp. 203,344 3,666
AON Corp. 67,739 3,587
T Rowe Price Group Inc. 52,670 3,498
Allstate Corp. 107,676 3,422
Equity Residential 59,795 3,373
Marsh & McLennan Cos. Inc. 110,400 3,291
Public Storage 28,389 3,149
SunTrust Banks Inc. 108,899 3,141
HCP Inc. 81,640 3,097
Ameriprise Financial Inc. 50,042 3,057
Vornado Realty Trust 33,257 2,910
* Berkshire Hathaway Inc. Class A 23 2,882
Progressive Corp. 134,293 2,838
Boston Properties Inc. 28,983 2,749
Loews Corp. 63,757 2,747
Weyerhaeuser Co. 109,273 2,688
Discover Financial Services 110,878 2,674
Fifth Third Bancorp 186,519 2,589
Northern Trust Corp. 49,148 2,494
Host Hotels & Resorts Inc. 138,242 2,434
Hartford Financial Services Group Inc. 90,229 2,430
Invesco Ltd. 93,716 2,395
M&T Bank Corp. 24,409 2,159
AvalonBay Communities Inc. 17,443 2,095
Principal Financial Group Inc. 65,118 2,091
Lincoln National Corp. 64,425 1,935
Health Care REIT Inc. 35,766 1,876
NYSE Euronext 53,137 1,869
Regions Financial Corp. 256,713 1,864

 

 

ProLogis 116,326 1,859
* IntercontinentalExchange Inc. 14,814 1,830
Ventas Inc. 33,058 1,795
KeyCorp 192,960 1,713
Unum Group 63,225 1,660
* SLM Corp. 107,404 1,643
* CB Richard Ellis Group Inc. Class A 59,421 1,587
XL Group plc Class A 63,526 1,563
Kimco Realty Corp. 82,423 1,512
Leucadia National Corp. 40,194 1,509
Plum Creek Timber Co. Inc. 32,915 1,435
Moody's Corp. 40,740 1,381
* Genworth Financial Inc. Class A 100,134 1,348
Comerica Inc. 36,093 1,325
Huntington Bancshares Inc. 176,523 1,172
Legg Mason Inc. 30,836 1,113
Cincinnati Financial Corp. 32,995 1,082
Torchmark Corp. 15,866 1,055
Hudson City Bancorp Inc. 107,019 1,036
American International Group Inc. 29,272 1,029
People's United Financial Inc. 73,732 928
Zions Bancorporation 37,440 863
Marshall & Ilsley Corp. 108,008 863
* NASDAQ OMX Group Inc. 30,395 785
Assurant Inc. 20,309 782
* E*Trade Financial Corp. 45,159 706
Apartment Investment & Management Co. 23,892 608
First Horizon National Corp. 53,224 597
Federated Investors Inc. Class B 18,495 495
Janus Capital Group Inc. 37,389 466
BlackRock Inc. 1,162 234
    387,389
Health Care (11.1%)    
Pfizer Inc. 1,624,698 32,998
Johnson & Johnson 555,759 32,929
Merck & Co. Inc. 626,475 20,680
Abbott Laboratories 314,443 15,423
* Amgen Inc. 189,588 10,133
UnitedHealth Group Inc. 222,417 10,053
Bristol-Myers Squibb Co. 346,166 9,149
Medtronic Inc. 217,434 8,556
Eli Lilly & Co. 206,875 7,276
* Gilead Sciences Inc. 161,514 6,855
Baxter International Inc. 117,621 6,325
* Express Scripts Inc. 107,265 5,965
* Celgene Corp. 94,385 5,430
WellPoint Inc. 76,415 5,333
* Covidien plc 100,500 5,220
* Medco Health Solutions Inc. 82,075 4,609
* Thermo Fisher Scientific Inc. 79,517 4,417
Allergan Inc. 62,148 4,414
Stryker Corp. 68,313 4,153
McKesson Corp. 51,735 4,090
* Genzyme Corp. 53,132 4,046
* Biogen Idec Inc. 49,060 3,601
Becton Dickinson and Co. 44,938 3,578
St. Jude Medical Inc. 66,108 3,389

 

 

* Agilent Technologies Inc. 70,247 3,146
Cardinal Health Inc. 71,159 2,927
Aetna Inc. 78,078 2,922
* Intuitive Surgical Inc. 7,897 2,633
CIGNA Corp. 55,120 2,441
* Humana Inc. 34,262 2,396
* Zimmer Holdings Inc. 38,918 2,356
* Boston Scientific Corp. 309,516 2,225
AmerisourceBergen Corp. Class A 55,724 2,204
* Edwards Lifesciences Corp. 23,443 2,040
* Mylan Inc. 88,719 2,011
* Life Technologies Corp. 36,482 1,912
* Laboratory Corp. of America Holdings 20,368 1,877
* Forest Laboratories Inc. 58,027 1,874
* Hospira Inc. 33,854 1,869
Quest Diagnostics Inc. 31,642 1,826
CR Bard Inc. 17,229 1,711
* DaVita Inc. 19,613 1,677
* Varian Medical Systems Inc. 24,349 1,647
* Waters Corp. 18,658 1,621
* Cerner Corp. 14,519 1,615
* Watson Pharmaceuticals Inc. 25,477 1,427
* CareFusion Corp. 45,389 1,280
* Cephalon Inc. 15,432 1,169
DENTSPLY International Inc. 28,853 1,067
* Coventry Health Care Inc. 30,280 966
* Tenet Healthcare Corp. 98,417 733
Patterson Cos. Inc. 19,540 629
PerkinElmer Inc. 23,137 608
    271,431
Industrials (11.2%)    
General Electric Co. 2,157,874 43,265
United Technologies Corp. 187,000 15,830
United Parcel Service Inc. Class B 200,684 14,915
Caterpillar Inc. 129,839 14,458
3M Co. 144,743 13,533
Boeing Co. 149,746 11,071
Union Pacific Corp. 99,740 9,807
Honeywell International Inc. 159,261 9,509
Emerson Electric Co. 153,304 8,958
Deere & Co. 85,456 8,280
FedEx Corp. 63,997 5,987
CSX Corp. 75,369 5,924
General Dynamics Corp. 75,844 5,807
Danaher Corp. 109,788 5,698
Illinois Tool Works Inc. 101,161 5,434
Norfolk Southern Corp. 72,406 5,016
Lockheed Martin Corp. 58,299 4,687
Cummins Inc. 40,244 4,412
Tyco International Ltd. 96,272 4,310
Precision Castparts Corp. 29,165 4,292
PACCAR Inc. 74,139 3,881
Eaton Corp. 69,258 3,840
Northrop Grumman Corp. 59,270 3,717
Waste Management Inc. 96,634 3,608
Raytheon Co. 70,795 3,601
Ingersoll-Rand plc 66,900 3,232

 

 

Parker Hannifin Corp. 32,990 3,123
Rockwell Automation Inc. 29,003 2,745
Fluor Corp. 35,790 2,636
CH Robinson Worldwide Inc. 33,812 2,506
Dover Corp. 38,006 2,499
ITT Corp. 37,402 2,246
Goodrich Corp. 25,468 2,178
Expeditors International of Washington Inc. 43,023 2,157
Joy Global Inc. 21,289 2,104
Rockwell Collins Inc. 31,614 2,050
Fastenal Co. 29,841 1,935
Southwest Airlines Co. 151,636 1,915
Republic Services Inc. Class A 62,356 1,873
L-3 Communications Holdings Inc. 22,977 1,799
Roper Industries Inc. 19,340 1,672
WW Grainger Inc. 11,863 1,633
* Stericycle Inc. 17,364 1,540
Textron Inc. 56,208 1,540
Flowserve Corp. 11,368 1,464
Pall Corp. 23,595 1,359
* Jacobs Engineering Group Inc. 25,845 1,329
Iron Mountain Inc. 40,555 1,267
Pitney Bowes Inc. 41,281 1,061
Masco Corp. 72,919 1,015
* Quanta Services Inc. 43,969 986
Equifax Inc. 25,067 974
Avery Dennison Corp. 21,887 918
Robert Half International Inc. 29,601 906
Dun & Bradstreet Corp. 10,196 818
RR Donnelley & Sons Co. 42,268 800
Cintas Corp. 25,702 778
Snap-On Inc. 11,767 707
Ryder System Inc. 10,404 526
* Raytheon Co. Warrants Exp. 06/16/2011 2,287 31
* Huntington Ingalls Industries Inc. 3 —
    276,162
Information Technology (18.1%)    
* Apple Inc. 187,220 65,237
International Business Machines Corp. 247,742 40,399
Microsoft Corp. 1,502,523 38,104
* Google Inc. Class A 50,957 29,871
Oracle Corp. 790,473 26,378
Intel Corp. 1,115,168 22,493
Cisco Systems Inc. 1,123,295 19,264
QUALCOMM Inc. 334,013 18,314
Hewlett-Packard Co. 441,874 18,104
* EMC Corp. 420,701 11,170
Texas Instruments Inc. 238,348 8,237
Visa Inc. Class A 98,448 7,248
* eBay Inc. 232,107 7,205
Corning Inc. 317,990 6,560
Automatic Data Processing Inc. 101,046 5,185
* Cognizant Technology Solutions Corp. Class A 61,760 5,027
* Dell Inc. 341,472 4,955
Mastercard Inc. Class A 19,624 4,940
* Juniper Networks Inc. 108,883 4,582
* Yahoo! Inc. 265,951 4,428

 

 

Applied Materials Inc. 268,695 4,197
Broadcom Corp. Class A 96,795 3,812
* NetApp Inc. 74,818 3,605
* Adobe Systems Inc. 102,730 3,406
* Salesforce.com Inc. 23,923 3,196
* Motorola Solutions Inc. 68,568 3,064
Xerox Corp. 284,420 3,029
* Intuit Inc. 55,294 2,936
* Symantec Corp. 155,052 2,875
Altera Corp. 65,021 2,862
* Citrix Systems Inc. 38,203 2,806
Western Union Co. 131,422 2,730
Analog Devices Inc. 60,947 2,400
* SanDisk Corp. 48,085 2,216
* NVIDIA Corp. 118,281 2,183
Paychex Inc. 65,525 2,055
* Autodesk Inc. 46,433 2,048
* Micron Technology Inc. 174,059 1,995
Amphenol Corp. Class A 35,663 1,940
CA Inc. 77,785 1,881
* Fiserv Inc. 29,767 1,867
* BMC Software Inc. 36,345 1,808
* Red Hat Inc. 39,127 1,776
* First Solar Inc. 11,033 1,775
Fidelity National Information Services Inc. 54,141 1,770
* Western Digital Corp. 47,124 1,757
Xilinx Inc. 52,936 1,736
* Teradata Corp. 34,159 1,732
* F5 Networks Inc. 16,394 1,681
KLA-Tencor Corp. 34,159 1,618
Linear Technology Corp. 46,047 1,549
Computer Sciences Corp. 31,584 1,539
* Motorola Mobility Holdings Inc. 59,709 1,457
Microchip Technology Inc. 38,199 1,452
* Akamai Technologies Inc. 37,953 1,442
* Electronic Arts Inc. 67,855 1,325
Harris Corp. 26,020 1,291
VeriSign Inc. 35,131 1,272
FLIR Systems Inc. 32,296 1,118
* SAIC Inc. 59,868 1,013
* Advanced Micro Devices Inc. 117,345 1,009
* JDS Uniphase Corp. 45,491 948
* LSI Corp. 125,732 855
Jabil Circuit Inc. 39,740 812
Molex Inc. 28,022 704
National Semiconductor Corp. 48,616 697
* Teradyne Inc. 38,100 679
* Novellus Systems Inc. 18,248 678
* MEMC Electronic Materials Inc. 46,504 603
Total System Services Inc. 33,098 596
* Lexmark International Inc. Class A 15,908 589
* Compuware Corp. 44,376 512
* Novell Inc. 72,081 427
* Monster Worldwide Inc. 26,688 424
Tellabs Inc. 75,215 394
    443,842

 

 

Materials (3.7%)    
Freeport-McMoRan Copper & Gold Inc. 192,416 10,689
EI du Pont de Nemours & Co. 187,414 10,302
Dow Chemical Co. 237,494 8,965
Monsanto Co. 109,114 7,885
Praxair Inc. 61,534 6,252
Newmont Mining Corp. 100,383 5,479
Air Products & Chemicals Inc. 43,732 3,944
Alcoa Inc. 216,403 3,819
PPG Industries Inc. 32,624 3,106
Nucor Corp. 64,190 2,954
Cliffs Natural Resources Inc. 27,532 2,706
International Paper Co. 89,318 2,696
Ecolab Inc. 47,179 2,407
CF Industries Holdings Inc. 14,489 1,982
Sigma-Aldrich Corp. 24,740 1,574
United States Steel Corp. 29,080 1,569
Sherwin-Williams Co. 18,154 1,525
Eastman Chemical Co. 14,422 1,432
Allegheny Technologies Inc. 20,020 1,356
Ball Corp. 34,514 1,237
FMC Corp. 14,564 1,237
Vulcan Materials Co. 26,130 1,191
MeadWestvaco Corp. 34,159 1,036
International Flavors & Fragrances Inc. 16,254 1,013
Airgas Inc. 15,197 1,009
* Owens-Illinois Inc. 33,185 1,002
Sealed Air Corp. 32,592 869
Bemis Co. Inc. 21,950 720
AK Steel Holding Corp. 22,200 350
* Titanium Metals Corp. 18,600 346
    90,652
Telecommunication Services (3.0%)    
AT&T Inc. 1,201,276 36,759
Verizon Communications Inc. 574,596 22,145
* American Tower Corp. Class A 80,679 4,181
* Sprint Nextel Corp. 609,566 2,828
CenturyLink Inc. 62,165 2,583
Qwest Communications International Inc. 354,115 2,419
Frontier Communications Corp. 201,606 1,657
Windstream Corp. 103,158 1,328
* MetroPCS Communications Inc. 53,328 866
    74,766
Utilities (3.2%)    
Southern Co. 171,703 6,544
Exelon Corp. 134,586 5,550
Dominion Resources Inc. 118,091 5,279
Duke Energy Corp. 269,898 4,899
NextEra Energy Inc. 85,418 4,708
PG&E Corp. 80,681 3,565
American Electric Power Co. Inc. 97,552 3,428
Public Service Enterprise Group Inc. 102,734 3,237
FirstEnergy Corp. 85,108 3,157
Consolidated Edison Inc. 59,332 3,009
Progress Energy Inc. 59,740 2,756
Sempra Energy 48,952 2,619
PPL Corp. 98,639 2,496

 

 

Entergy Corp. 36,335 2,442
Edison International 66,333 2,427
Xcel Energy Inc. 98,024 2,342
* AES Corp. 134,335 1,746
DTE Energy Co. 34,379 1,683
CenterPoint Energy Inc. 86,088 1,512
Oneok Inc. 21,662 1,449
Wisconsin Energy Corp. 47,342 1,444
Ameren Corp. 49,121 1,379
Constellation Energy Group Inc. 40,576 1,263
Northeast Utilities 35,859 1,241
NiSource Inc. 57,043 1,094
* NRG Energy Inc. 50,374 1,085
CMS Energy Corp. 51,620 1,014
Pinnacle West Capital Corp. 22,140 947
SCANA Corp. 23,088 909
Pepco Holdings Inc. 45,755 853
TECO Energy Inc. 44,050 826
Integrys Energy Group Inc. 15,773 797
Nicor Inc. 9,280 498
    78,198
Total Common Stocks (Cost $2,032,006)   2,454,670
Other Assets and Liabilities-Net (0.0%)   484
Net Assets (100%)   2,455,154

* Non-income-producing security.
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.

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).

At March 31, 2011, 100% of the fund's investments were valued based on Level 1 inputs.

C. At March 31, 2011, the cost of investment securities for tax purposes was $2,032,006,000. Net unrealized appreciation of investment securities for tax purposes was $422,664,000, consisting of unrealized gains of $635,002,000 on securities that had risen in value since their purchase and $212,338,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Tax-Managed Capital Appreciation Fund

Schedule of Investments
As of March 31, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (11.3%)    
Walt Disney Co. 611,436 26,347
McDonald's Corp. 306,260 23,303
* Amazon.com Inc. 112,400 20,247
Comcast Corp. Class A 755,371 18,673
Home Depot Inc. 480,000 17,789
* Ford Motor Co. 1,104,908 16,474
News Corp. Class A 778,830 13,676
Time Warner Inc. 376,649 13,446
* DIRECTV Class A 283,753 13,280
Lowe's Cos. Inc. 498,600 13,178
Target Corp. 243,300 12,167
Starbucks Corp. 274,352 10,137
Johnson Controls Inc. 237,600 9,877
NIKE Inc. Class B 127,200 9,629
Yum! Brands Inc. 173,360 8,907
Viacom Inc. Class B 171,033 7,956
Time Warner Cable Inc. 94,542 6,745
Kohl's Corp. 126,650 6,718
Coach Inc. 127,900 6,656
* Bed Bath & Beyond Inc. 119,717 5,779
Starwood Hotels & Resorts Worldwide Inc. 89,818 5,220
* Liberty Media Corp. - Interactive 302,926 4,859
McGraw-Hill Cos. Inc. 122,900 4,842
* BorgWarner Inc. 60,600 4,829
Gap Inc. 211,887 4,801
Marriott International Inc. Class A 125,975 4,482
* O'Reilly Automotive Inc. 75,748 4,352
* AutoZone Inc. 15,900 4,350
Ross Stores Inc. 60,296 4,288
* Dollar Tree Inc. 76,951 4,272
Polo Ralph Lauren Corp. Class A 34,500 4,266
* Las Vegas Sands Corp. 100,440 4,241
Darden Restaurants Inc. 83,850 4,120
Best Buy Co. Inc. 141,084 4,052
* Sirius XM Radio Inc. 2,434,000 4,040
* CarMax Inc. 125,043 4,014
Advance Auto Parts Inc. 56,402 3,701
Interpublic Group of Cos. Inc. 294,400 3,701
Hasbro Inc. 77,100 3,611
PetSmart Inc. 85,700 3,509
* NVR Inc. 4,440 3,357
DeVry Inc. 59,639 3,284
Gentex Corp. 107,252 3,244
CBS Corp. Class B 127,174 3,184
* Discovery Communications Inc. 90,137 3,174
Weight Watchers International Inc. 45,200 3,169
Scripps Networks Interactive Inc. Class A 62,170 3,114
* AutoNation Inc. 86,525 3,060
* Apollo Group Inc. Class A 72,229 3,013

 

 

Phillips-Van Heusen Corp. 46,281 3,010
* Liberty Global Inc. 75,207 3,008
John Wiley & Sons Inc. Class A 58,700 2,984
* Toll Brothers Inc. 144,600 2,859
* Dollar General Corp. 90,900 2,850
Expedia Inc. 124,613 2,824
* MGM Resorts International 208,690 2,744
Brinker International Inc. 102,750 2,600
Omnicom Group Inc. 50,600 2,482
Harley-Davidson Inc. 56,800 2,413
* Office Depot Inc. 479,200 2,219
* Mohawk Industries Inc. 34,700 2,122
International Game Technology 129,600 2,103
* Lamar Advertising Co. Class A 56,186 2,076
Stanley Black & Decker Inc. 26,745 2,049
Harman International Industries Inc. 43,600 2,041
* Liberty Global Inc. Class A 47,398 1,963
Cablevision Systems Corp. Class A 54,344 1,881
Staples Inc. 94,495 1,835
Virgin Media Inc. 62,269 1,730
DR Horton Inc. 126,366 1,472
Nordstrom Inc. 32,300 1,450
Foot Locker Inc. 70,600 1,392
* Pulte Group Inc. 187,674 1,389
Macy's Inc. 56,800 1,378
* Career Education Corp. 60,400 1,372
Abercrombie & Fitch Co. 23,300 1,368
* Liberty Media Corp. - Starz 16,392 1,272
* Liberty Media Corp. - Capital 16,431 1,210
International Speedway Corp. Class A 37,986 1,132
American Eagle Outfitters Inc. 66,991 1,065
Lennar Corp. Class A 54,600 989
Aaron's Inc. 37,182 943
Mattel Inc. 36,032 898
RadioShack Corp. 58,000 871
TJX Cos. Inc. 12,976 645
Comcast Corp. Class A Special Shares 26,219 609
* Sears Holdings Corp. 7,200 595
* priceline.com Inc. 1,110 562
Chico's FAS Inc. 28,340 422
* Education Management Corp. 18,200 381
* Madison Square Garden Inc. Class A 13,586 367
* GameStop Corp. Class A 11,830 266
* Hanesbrands Inc. 9,675 262
Wynn Resorts Ltd. 2,000 255
Washington Post Co. Class B 520 228
Carnival Corp. 5,800 223
Lennar Corp. Class B 8,300 122
* Krispy Kreme Doughnuts Inc. Warrants Exp. 03/02/2012 2,684 —
    446,064
Consumer Staples (9.6%)    
Procter & Gamble Co. 856,178 52,741
Coca-Cola Co. 637,700 42,311
Philip Morris International Inc. 494,509 32,455
PepsiCo Inc. 490,139 31,570
Wal-Mart Stores Inc. 593,528 30,893
CVS Caremark Corp. 443,754 15,230

 

 

Walgreen Co. 307,300 12,335
Costco Wholesale Corp. 156,100 11,445
Kraft Foods Inc. 348,826 10,939
Altria Group Inc. 369,663 9,622
Colgate-Palmolive Co. 115,900 9,360
Archer-Daniels-Midland Co. 243,273 8,760
Kroger Co. 263,700 6,321
Estee Lauder Cos. Inc. Class A 56,500 5,444
Clorox Co. 69,120 4,843
* Green Mountain Coffee Roasters Inc. 73,509 4,749
Bunge Ltd. 62,800 4,542
Hershey Co. 81,300 4,419
Dr Pepper Snapple Group Inc. 114,200 4,244
Coca-Cola Enterprises Inc. 153,000 4,177
Safeway Inc. 170,462 4,013
Brown-Forman Corp. Class B 57,846 3,951
Church & Dwight Co. Inc. 47,100 3,737
McCormick & Co. Inc. 76,100 3,640
* Hansen Natural Corp. 60,300 3,632
JM Smucker Co. 49,024 3,500
Hormel Foods Corp. 125,200 3,486
Corn Products International Inc. 67,200 3,482
Tyson Foods Inc. Class A 177,944 3,415
Molson Coors Brewing Co. Class B 71,900 3,371
* Smithfield Foods Inc. 135,135 3,251
General Mills Inc. 88,800 3,246
Campbell Soup Co. 97,400 3,225
* Energizer Holdings Inc. 44,128 3,140
* Constellation Brands Inc. Class A 151,500 3,072
Kimberly-Clark Corp. 46,540 3,038
Alberto-Culver Co. Class B 77,514 2,889
Mead Johnson Nutrition Co. 42,525 2,463
Kellogg Co. 44,300 2,391
Whole Foods Market Inc. 32,840 2,164
* Ralcorp Holdings Inc. 29,009 1,985
Avon Products Inc. 59,300 1,603
* Dean Foods Co. 122,475 1,225
* Central European Distribution Corp. 72,480 823
Sara Lee Corp. 44,600 788
Sysco Corp. 17,111 474
* BJ's Wholesale Club Inc. 9,300 454
ConAgra Foods Inc. 11,200 266
Reynolds American Inc. 212 8
    379,132
Energy (12.8%)    
Exxon Mobil Corp. 1,488,064 125,191
Chevron Corp. 582,638 62,593
Schlumberger Ltd. 375,599 35,028
ConocoPhillips 354,040 28,274
Occidental Petroleum Corp. 190,339 19,888
Apache Corp. 128,217 16,786
Anadarko Petroleum Corp. 170,123 13,936
Devon Energy Corp. 148,622 13,639
National Oilwell Varco Inc. 149,541 11,854
Baker Hughes Inc. 157,171 11,541
EOG Resources Inc. 88,300 10,464
Hess Corp. 109,600 9,339

 

 

Halliburton Co. 158,200 7,885
Peabody Energy Corp. 108,100 7,779
Williams Cos. Inc. 239,700 7,474
Noble Energy Inc. 74,200 7,171
* Southwestern Energy Co. 151,700 6,519
* Cameron International Corp. 109,002 6,224
Pioneer Natural Resources Co. 56,337 5,742
* FMC Technologies Inc. 60,050 5,674
Valero Energy Corp. 182,480 5,442
* Newfield Exploration Co. 66,098 5,024
Cimarex Energy Co. 43,499 5,013
Range Resources Corp. 82,500 4,823
Marathon Oil Corp. 90,300 4,814
* Pride International Inc. 106,400 4,570
EQT Corp. 90,900 4,536
Helmerich & Payne Inc. 61,980 4,257
QEP Resources Inc. 103,165 4,182
Cabot Oil & Gas Corp. 74,535 3,948
SM Energy Co. 51,156 3,795
* Concho Resources Inc. 35,300 3,788
* Rowan Cos. Inc. 85,600 3,782
* Dresser-Rand Group Inc. 67,355 3,612
* SandRidge Energy Inc. 262,914 3,365
* Continental Resources Inc. 43,900 3,138
Diamond Offshore Drilling Inc. 39,700 3,085
Southern Union Co. 105,700 3,025
* Denbury Resources Inc. 119,176 2,908
Arch Coal Inc. 73,400 2,645
* Forest Oil Corp. 65,300 2,470
* Plains Exploration & Production Co. 66,760 2,419
Core Laboratories NV 23,553 2,406
Consol Energy Inc. 33,900 1,818
* Quicksilver Resources Inc. 74,760 1,070
Chesapeake Energy Corp. 25,211 845
* Unit Corp. 12,800 793
* Tesoro Corp. 26,500 711
* Ultra Petroleum Corp. 12,870 634
Patterson-UTI Energy Inc. 21,200 623
* Superior Energy Services Inc. 1,048 43
    506,585
Financials (15.5%)    
JPMorgan Chase & Co. 1,194,021 55,044
* Berkshire Hathaway Inc. Class B 519,100 43,412
Wells Fargo & Co. 1,236,508 39,197
Bank of America Corp. 2,583,633 34,440
* Citigroup Inc. 6,509,003 28,770
Goldman Sachs Group Inc. 139,830 22,159
American Express Co. 331,300 14,975
Simon Property Group Inc. 98,548 10,560
US Bancorp 392,700 10,379
Prudential Financial Inc. 161,904 9,970
Aflac Inc. 172,500 9,105
State Street Corp. 191,478 8,605
MetLife Inc. 175,820 7,864
Franklin Resources Inc. 60,400 7,555
Ameriprise Financial Inc. 112,160 6,851
Charles Schwab Corp. 377,200 6,801

 

 

Morgan Stanley 238,900 6,527
Public Storage 58,200 6,455
Discover Financial Services 262,700 6,336
SunTrust Banks Inc. 216,990 6,258
T Rowe Price Group Inc. 92,978 6,176
Capital One Financial Corp. 117,800 6,121
Travelers Cos. Inc. 101,877 6,060
Loews Corp. 138,908 5,986
Progressive Corp. 276,700 5,847
Boston Properties Inc. 60,200 5,710
Host Hotels & Resorts Inc. 308,972 5,441
Fifth Third Bancorp 368,920 5,121
Bank of New York Mellon Corp. 167,906 5,015
AvalonBay Communities Inc. 38,375 4,608
Leucadia National Corp. 122,219 4,588
* CB Richard Ellis Group Inc. Class A 170,465 4,551
Lincoln National Corp. 150,986 4,536
CME Group Inc. 14,701 4,433
Unum Group 166,800 4,378
KeyCorp 457,769 4,065
* Affiliated Managers Group Inc. 36,800 4,025
Plum Creek Timber Co. Inc. 91,500 3,990
General Growth Properties Inc. 252,757 3,913
SL Green Realty Corp. 51,910 3,904
Principal Financial Group Inc. 120,400 3,866
PNC Financial Services Group Inc. 59,631 3,756
Reinsurance Group of America Inc. Class A 58,819 3,693
Torchmark Corp. 55,500 3,690
TD Ameritrade Holding Corp. 174,400 3,640
* Arch Capital Group Ltd. 36,000 3,571
Jones Lang LaSalle Inc. 34,450 3,436
Raymond James Financial Inc. 89,650 3,428
M&T Bank Corp. 38,600 3,415
WR Berkley Corp. 102,297 3,295
* Markel Corp. 7,930 3,287
Allstate Corp. 102,300 3,251
* Howard Hughes Corp. 46,009 3,250
East West Bancorp Inc. 145,700 3,200
Brown & Brown Inc. 118,600 3,060
Developers Diversified Realty Corp. 216,364 3,029
* Forest City Enterprises Inc. Class A 159,584 3,005
Zions Bancorporation 129,284 2,981
SEI Investments Co. 123,770 2,956
BlackRock Inc. 14,450 2,905
Assurant Inc. 75,300 2,900
White Mountains Insurance Group Ltd. 7,891 2,874
HCC Insurance Holdings Inc. 91,600 2,868
* St. Joe Co. 114,288 2,865
Cullen/Frost Bankers Inc. 47,600 2,809
Alexandria Real Estate Equities Inc. 35,930 2,801
Eaton Vance Corp. 86,202 2,779
Douglas Emmett Inc. 147,673 2,769
Hospitality Properties Trust 119,270 2,761
* Popular Inc. 925,168 2,692
Commerce Bancshares Inc. 63,687 2,576
Apartment Investment & Management Co. 101,043 2,574
* Alleghany Corp. 7,747 2,564
First Horizon National Corp. 227,345 2,549

 

 

Janus Capital Group Inc. 203,766 2,541
Associated Banc-Corp 170,670 2,534
Hudson City Bancorp Inc. 251,902 2,438
Camden Property Trust 42,400 2,409
City National Corp. 42,000 2,396
Moody's Corp. 70,100 2,377
TFS Financial Corp. 221,854 2,356
StanCorp Financial Group Inc. 50,600 2,334
Lazard Ltd. Class A 55,686 2,315
Hanover Insurance Group Inc. 49,600 2,244
People's United Financial Inc. 174,014 2,189
Wesco Financial Corp. 5,590 2,176
Transatlantic Holdings Inc. 44,114 2,147
* NASDAQ OMX Group Inc. 79,692 2,059
CNA Financial Corp. 69,500 2,054
BOK Financial Corp. 38,571 1,993
First Citizens BancShares Inc. Class A 9,642 1,934
Chubb Corp. 30,900 1,894
* SLM Corp. 123,245 1,886
Northern Trust Corp. 34,773 1,765
Hartford Financial Services Group Inc. 64,184 1,728
Legg Mason Inc. 47,500 1,714
Digital Realty Trust Inc. 28,440 1,653
Federated Investors Inc. Class B 56,200 1,503
New York Community Bancorp Inc. 86,400 1,491
BB&T Corp. 53,000 1,455
AMB Property Corp. 36,604 1,317
* Genworth Financial Inc. Class A 96,700 1,302
* CIT Group Inc. 30,000 1,276
American Financial Group Inc. 32,200 1,128
American International Group Inc. 32,021 1,125
BRE Properties Inc. 21,500 1,014
Bank of Hawaii Corp. 20,100 961
AON Corp. 16,400 869
Interactive Brokers Group Inc. 51,335 816
ACE Ltd. 10,627 688
Wilmington Trust Corp. 149,625 676
Federal Realty Investment Trust 8,200 669
* E*Trade Financial Corp. 41,866 654
Taubman Centers Inc. 11,300 605
Marshall & Ilsley Corp. 49,700 397
Invesco Ltd. 12,010 307
ProLogis 18,393 294
* MBIA Inc. 11,300 113
BancorpSouth Inc. 4,000 62
Essex Property Trust Inc. 300 37
    612,721
Health Care (11.2%)    
Johnson & Johnson 810,598 48,028
Pfizer Inc. 2,052,484 41,686
Merck & Co. Inc. 790,626 26,099
Abbott Laboratories 407,600 19,993
UnitedHealth Group Inc. 367,662 16,618
* Amgen Inc. 310,325 16,587
* Gilead Sciences Inc. 293,100 12,439
Medtronic Inc. 263,600 10,373
WellPoint Inc. 142,916 9,974

 

 

Bristol-Myers Squibb Co. 374,041 9,886
* Celgene Corp. 166,372 9,571
* Express Scripts Inc. 168,324 9,360
* Thermo Fisher Scientific Inc. 156,106 8,672
* Medco Health Solutions Inc. 153,842 8,640
Allergan Inc. 114,530 8,134
* Genzyme Corp. 101,900 7,760
* Biogen Idec Inc. 98,861 7,255
St. Jude Medical Inc. 139,832 7,168
Baxter International Inc. 127,341 6,847
* Agilent Technologies Inc. 151,106 6,767
Stryker Corp. 109,200 6,639
Aetna Inc. 173,044 6,477
Becton Dickinson and Co. 80,600 6,417
Cardinal Health Inc. 145,512 5,985
McKesson Corp. 73,424 5,804
CIGNA Corp. 129,300 5,725
* Humana Inc. 79,300 5,546
AmerisourceBergen Corp. Class A 132,300 5,234
* Zimmer Holdings Inc. 81,170 4,913
* Laboratory Corp. of America Holdings 50,700 4,671
Eli Lilly & Co. 131,595 4,628
* Forest Laboratories Inc. 142,600 4,606
* Waters Corp. 52,900 4,597
* Life Technologies Corp. 86,835 4,552
Quest Diagnostics Inc. 76,800 4,433
* Hospira Inc. 77,140 4,258
* Mylan Inc. 183,837 4,168
* Mettler-Toledo International Inc. 23,600 4,059
Perrigo Co. 50,840 4,043
Beckman Coulter Inc. 47,600 3,954
* Watson Pharmaceuticals Inc. 70,000 3,921
* Henry Schein Inc. 55,100 3,866
DENTSPLY International Inc. 98,300 3,636
* Endo Pharmaceuticals Holdings Inc. 87,900 3,354
Universal Health Services Inc. Class B 67,400 3,330
CR Bard Inc. 29,300 2,910
PerkinElmer Inc. 106,204 2,790
* Coventry Health Care Inc. 81,025 2,584
* Health Net Inc. 74,200 2,426
Patterson Cos. Inc. 73,530 2,367
Pharmaceutical Product Development Inc. 84,803 2,350
Lincare Holdings Inc. 78,950 2,342
Teleflex Inc. 37,000 2,145
* CareFusion Corp. 72,756 2,052
* Varian Medical Systems Inc. 26,500 1,792
* Covidien plc 33,900 1,761
* Kinetic Concepts Inc. 31,000 1,687
* Boston Scientific Corp. 205,500 1,478
* Dendreon Corp. 35,345 1,323
Omnicare Inc. 40,900 1,227
* Cephalon Inc. 10,500 796
* Amylin Pharmaceuticals Inc. 47,800 543
* DaVita Inc. 2,200 188
Techne Corp. 2,000 143
    443,577

 

 

Industrials (11.7%)    
General Electric Co. 2,917,272 58,491
United Technologies Corp. 280,100 23,711
Boeing Co. 236,770 17,504
3M Co. 154,200 14,418
Caterpillar Inc. 123,095 13,707
Union Pacific Corp. 123,914 12,184
CSX Corp. 142,600 11,208
United Parcel Service Inc. Class B 147,300 10,947
FedEx Corp. 110,700 10,356
Deere & Co. 104,800 10,154
Danaher Corp. 194,200 10,079
General Dynamics Corp. 124,400 9,524
Norfolk Southern Corp. 134,900 9,345
Illinois Tool Works Inc. 163,500 8,783
Cummins Inc. 77,600 8,507
Emerson Electric Co. 142,400 8,320
Precision Castparts Corp. 55,600 8,183
Honeywell International Inc. 131,400 7,846
PACCAR Inc. 142,910 7,481
Parker Hannifin Corp. 71,000 6,722
Fluor Corp. 81,200 5,981
Lockheed Martin Corp. 72,700 5,845
CH Robinson Worldwide Inc. 76,100 5,641
Waste Management Inc. 140,297 5,239
ITT Corp. 87,100 5,230
Joy Global Inc. 52,500 5,188
Expeditors International of Washington Inc. 101,061 5,067
Rockwell Collins Inc. 73,700 4,778
Roper Industries Inc. 54,200 4,686
WW Grainger Inc. 33,400 4,599
Northrop Grumman Corp. 72,268 4,532
* Stericycle Inc. 51,108 4,532
Fastenal Co. 69,000 4,473
Southwest Airlines Co. 351,687 4,442
AMETEK Inc. 100,650 4,416
Raytheon Co. 85,833 4,366
Pall Corp. 73,800 4,252
Flowserve Corp. 33,000 4,250
L-3 Communications Holdings Inc. 54,000 4,229
Bucyrus International Inc. Class A 44,739 4,091
* Jacobs Engineering Group Inc. 77,700 3,996
Donaldson Co. Inc. 60,000 3,677
Equifax Inc. 93,200 3,621
JB Hunt Transport Services Inc. 79,500 3,611
Iron Mountain Inc. 114,088 3,563
* Terex Corp. 96,066 3,558
Manpower Inc. 54,600 3,433
KBR Inc. 89,249 3,371
IDEX Corp. 76,800 3,352
* WABCO Holdings Inc. 51,941 3,202
Valmont Industries Inc. 29,537 3,083
MSC Industrial Direct Co. Class A 44,700 3,061
* Quanta Services Inc. 136,100 3,053
* Owens Corning 83,900 3,020
SPX Corp. 37,400 2,969
Dun & Bradstreet Corp. 36,200 2,905
Carlisle Cos. Inc. 65,200 2,905

 

 

* Oshkosh Corp. 79,200 2,802
Landstar System Inc. 59,289 2,708
Robert Half International Inc. 87,500 2,678
Toro Co. 40,100 2,655
* CNH Global NV 53,400 2,593
* USG Corp. 143,460 2,390
Alliant Techsystems Inc. 33,100 2,339
Wabtec Corp. 33,000 2,238
Cintas Corp. 70,766 2,142
* Navistar International Corp. 28,500 1,976
Lennox International Inc. 35,090 1,845
Con-way Inc. 46,800 1,839
* Verisk Analytics Inc. Class A 51,500 1,687
Textron Inc. 61,020 1,671
UTi Worldwide Inc. 77,587 1,570
Gardner Denver Inc. 19,846 1,549
Manitowoc Co. Inc. 62,200 1,361
Graco Inc. 27,658 1,258
Tyco International Ltd. 25,300 1,133
Republic Services Inc. Class A 19,512 586
* Huntington Ingalls Industries Inc. 12,044 500
* AGCO Corp. 3,600 198
Ryder System Inc. 3,600 182
* KAR Auction Services Inc. 10,953 168
* TransDigm Group Inc. 1,380 116
* Raytheon Co. Warrants Exp. 06/16/2011 2,285 31
    459,902
Information Technology (18.0%)    
* Apple Inc. 267,000 93,036
International Business Machines Corp. 381,958 62,286
Microsoft Corp. 2,063,000 52,318
* Google Inc. Class A 73,370 43,010
Oracle Corp. 1,162,334 38,787
Cisco Systems Inc. 1,715,600 29,423
Intel Corp. 1,389,200 28,020
Hewlett-Packard Co. 680,258 27,870
QUALCOMM Inc. 415,720 22,794
* EMC Corp. 677,500 17,988
Texas Instruments Inc. 417,800 14,439
* eBay Inc. 397,914 12,351
Visa Inc. Class A 157,298 11,580
Corning Inc. 504,200 10,402
Mastercard Inc. Class A 35,790 9,009
* Yahoo! Inc. 508,500 8,467
Broadcom Corp. Class A 203,950 8,032
* Adobe Systems Inc. 210,600 6,983
* Cognizant Technology Solutions Corp. Class A 85,137 6,930
* NetApp Inc. 137,963 6,647
* Intuit Inc. 124,185 6,594
Applied Materials Inc. 417,500 6,521
* Symantec Corp. 351,351 6,514
Altera Corp. 146,647 6,455
Western Union Co. 298,095 6,191
Xerox Corp. 577,604 6,151
* Dell Inc. 415,500 6,029
* Citrix Systems Inc. 80,756 5,932
* Autodesk Inc. 123,788 5,460

 

 

* Juniper Networks Inc. 119,000 5,007
* Fiserv Inc. 78,050 4,895
Amphenol Corp. Class A 89,500 4,868
CA Inc. 201,266 4,867
* BMC Software Inc. 96,600 4,805
Fidelity National Information Services Inc. 146,178 4,779
* Teradata Corp. 93,574 4,744
* NVIDIA Corp. 255,244 4,712
Analog Devices Inc. 118,166 4,653
KLA-Tencor Corp. 94,800 4,491
* Lam Research Corp. 77,108 4,369
* Western Digital Corp. 114,100 4,255
Linear Technology Corp. 124,200 4,177
Computer Sciences Corp. 78,900 3,845
* Arrow Electronics Inc. 91,500 3,832
* LSI Corp. 538,928 3,665
* Avnet Inc. 105,400 3,593
Accenture plc Class A 63,613 3,497
* Atmel Corp. 248,700 3,390
Global Payments Inc. 66,817 3,269
* Compuware Corp. 258,162 2,982
* Fairchild Semiconductor International Inc. Class A 161,958 2,948
* Tech Data Corp. 55,510 2,823
* Ingram Micro Inc. 125,000 2,629
* SunPower Corp. Class A 147,000 2,520
Microchip Technology Inc. 65,100 2,474
* Synopsys Inc. 89,121 2,464
Automatic Data Processing Inc. 47,100 2,417
* QLogic Corp. 129,000 2,393
Xilinx Inc. 71,336 2,340
DST Systems Inc. 42,800 2,261
* Motorola Solutions Inc. 49,604 2,217
* Monster Worldwide Inc. 128,680 2,046
* Cadence Design Systems Inc. 205,607 2,005
Lender Processing Services Inc. 61,250 1,972
* Teradyne Inc. 110,200 1,963
* NCR Corp. 99,574 1,876
* Lexmark International Inc. Class A 50,300 1,863
* Electronic Arts Inc. 90,200 1,762
Molex Inc. 69,751 1,752
Tellabs Inc. 266,900 1,399
National Semiconductor Corp. 96,600 1,385
Total System Services Inc. 74,759 1,347
Broadridge Financial Solutions Inc. 58,725 1,332
Solera Holdings Inc. 22,096 1,129
* Zebra Technologies Corp. 27,257 1,070
* Motorola Mobility Holdings Inc. 43,403 1,059
* IAC/InterActiveCorp 24,515 757
* Advanced Micro Devices Inc. 81,100 697
* AOL Inc. 34,240 669
* Micron Technology Inc. 56,400 646
* Novellus Systems Inc. 13,100 486
* Novell Inc. 71,475 424
Activision Blizzard Inc. 32,800 360
Harris Corp. 4,300 213
Intersil Corp. Class A 10,400 129
    710,741

 

 

Materials (3.9%)    
Freeport-McMoRan Copper & Gold Inc. 294,908 16,382
Praxair Inc. 108,400 11,013
Newmont Mining Corp. 164,386 8,972
EI du Pont de Nemours & Co. 160,300 8,812
Dow Chemical Co. 174,940 6,604
Nucor Corp. 129,600 5,964
Monsanto Co. 82,434 5,957
Mosaic Co. 71,400 5,623
CF Industries Holdings Inc. 37,100 5,075
Ecolab Inc. 97,200 4,959
Celanese Corp. Class A 98,011 4,349
Sigma-Aldrich Corp. 67,400 4,289
United States Steel Corp. 79,356 4,280
Cliffs Natural Resources Inc. 42,761 4,202
Allegheny Technologies Inc. 60,900 4,124
Ball Corp. 112,600 4,037
FMC Corp. 47,400 4,026
* Crown Holdings Inc. 103,000 3,974
Albemarle Corp. 65,400 3,909
* Owens-Illinois Inc. 113,800 3,436
Airgas Inc. 51,500 3,421
Scotts Miracle-Gro Co. Class A 51,099 2,956
Cytec Industries Inc. 54,300 2,952
Nalco Holding Co. 104,639 2,858
Sealed Air Corp. 106,072 2,828
Martin Marietta Materials Inc. 30,600 2,744
Reliance Steel & Aluminum Co. 46,300 2,675
Schnitzer Steel Industries Inc. 39,775 2,586
* Titanium Metals Corp. 139,110 2,585
* Intrepid Potash Inc. 69,985 2,437
Walter Energy Inc. 11,780 1,595
Royal Gold Inc. 20,686 1,084
International Paper Co. 35,900 1,083
Valspar Corp. 23,400 915
Southern Copper Corp. 21,000 846
Packaging Corp. of America 26,600 768
Air Products & Chemicals Inc. 5,700 514
    154,834
Telecommunication Services (2.9%)    
AT&T Inc. 1,749,979 53,549
Verizon Communications Inc. 711,342 27,415
* American Tower Corp. Class A 153,000 7,928
* Sprint Nextel Corp. 1,329,656 6,170
* Crown Castle International Corp. 125,800 5,353
CenturyLink Inc. 112,797 4,687
* SBA Communications Corp. Class A 52,823 2,096
* United States Cellular Corp. 32,300 1,663
Qwest Communications International Inc. 215,164 1,470
Telephone & Data Systems Inc. 43,601 1,469
Frontier Communications Corp. 126,223 1,037
* Level 3 Communications Inc. 669,207 984
Telephone & Data Systems Inc. – Special Common Shares 33,200 980
    114,801
Utilities (3.1%)    
Exelon Corp. 182,000 7,506
NextEra Energy Inc. 122,451 6,749

 

 

PG&E Corp.   145,600 6,433
Sempra Energy   107,736 5,764
Edison International   142,500 5,214
Entergy Corp.   77,000 5,175
FirstEnergy Corp.   137,900 5,115
Southern Co.   121,500 4,630
* AES Corp.   352,898 4,588
Wisconsin Energy Corp.   132,000 4,026
CenterPoint Energy Inc.   223,800 3,930
* Calpine Corp.   241,180 3,827
Northeast Utilities   110,600 3,827
* NRG Energy Inc.   175,615 3,783
Energen Corp.   59,600 3,762
NSTAR   76,600 3,544
CMS Energy Corp.   173,986 3,417
MDU Resources Group Inc.   137,050 3,148
Integrys Energy Group Inc.   61,481 3,105
Dominion Resources Inc.   67,086 2,999
NV Energy Inc.   201,083 2,994
Duke Energy Corp.   163,592 2,969
SCANA Corp.   74,200 2,921
* GenOn Energy Inc.   729,429 2,779
ITC Holdings Corp.   36,166 2,528
Aqua America Inc.   107,583 2,463
American Water Works Co. Inc.   87,200 2,446
Public Service Enterprise Group Inc.   69,800 2,199
DPL Inc.   75,000 2,056
Questar Corp.   115,800 2,021
Ormat Technologies Inc.   66,366 1,681
National Fuel Gas Co.   19,487 1,442
UGI Corp.   34,466 1,134
NiSource Inc.   35,920 689
American Electric Power Co. Inc.   9,300 327
      121,191
Total Common Stocks (Cost $2,786,193)     3,949,548
      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (0.1%)      
Money Market Fund (0.1%)      
1 Vanguard Market Liquidity Fund (Cost      
$3,909) 0.208% 3,909,127 3,909
 
Total Investments (100.1%) (Cost $2,790,102)     3,953,457
Other Assets and Liabilities-Net (-0.1%)     (3,011)
Net Assets (100%)     3,950,446

 

*     

Non-income-producing security.

1     

Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A.     

Security Valuation: Securities are valued as of the close of trading on the New York Stock

Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or

 

Tax-Managed Capital Appreciation Fund

whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.

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).

At March 31, 2011, 100% of the fund's investments were valued based on Level 1 inputs.

C. At March 31, 2011, the cost of investment securities for tax purposes was $2,790,102,000. Net unrealized appreciation of investment securities for tax purposes was $1,163,355,000, consisting of unrealized gains of $1,265,268,000 on securities that had risen in value since their purchase and $101,913,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Tax-Managed Balanced Fund

Schedule of Investments
As of March 31, 2011

    Market
    Value
  Shares ($000)
Common Stocks (48.6%)    
Consumer Discretionary (5.4%)    
Walt Disney Co. 49,866 2,149
Comcast Corp. Class A 78,645 1,944
* Amazon.com Inc. 10,752 1,937
McDonald's Corp. 24,559 1,869
* Ford Motor Co. 96,900 1,445
* DIRECTV Class A 26,218 1,227
Lowe's Cos. Inc. 46,415 1,227
Home Depot Inc. 32,099 1,190
Target Corp. 23,645 1,182
News Corp. Class A 64,100 1,126
Viacom Inc. Class B 21,727 1,011
Starbucks Corp. 26,927 995
Time Warner Cable Inc. 13,024 929
Time Warner Inc. 25,796 921
NIKE Inc. Class B 12,047 912
Yum! Brands Inc. 17,405 894
TJX Cos. Inc. 15,793 785
Kohl's Corp. 12,082 641
Carnival Corp. 16,650 639
Coach Inc. 11,770 612
Staples Inc. 29,898 581
* Bed Bath & Beyond Inc. 11,700 565
Harley-Davidson Inc. 12,103 514
Ross Stores Inc. 6,832 486
Starwood Hotels & Resorts Worldwide Inc. 8,307 483
Macy's Inc. 19,230 467
Virgin Media Inc. 16,636 462
Marriott International Inc. Class A 12,568 447
Gap Inc. 19,725 447
Best Buy Co. Inc. 15,075 433
* O'Reilly Automotive Inc. 7,344 422
Stanley Black & Decker Inc. 5,227 400
Polo Ralph Lauren Corp. Class A 3,180 393
Advance Auto Parts Inc. 5,903 387
Hasbro Inc. 7,712 361
* BorgWarner Inc. 4,476 357
Tractor Supply Co. 5,946 356
PetSmart Inc. 8,668 355
* DISH Network Corp. Class A 14,557 355
* Liberty Media Corp. - Starz 4,555 353
DeVry Inc. 6,000 330
Scripps Networks Interactive Inc. Class A 6,550 328
Weight Watchers International Inc. 4,612 323
Phillips-Van Heusen Corp. 4,953 322
Brinker International Inc. 12,637 320
Harman International Industries Inc. 6,730 315
Gentex Corp. 10,400 315
Aaron's Inc. 11,850 301

 

 

Expedia Inc. 12,967 294
Jarden Corp. 8,200 292
Lear Corp. 5,900 288
Lennar Corp. Class A 15,900 288
Johnson Controls Inc. 6,900 287
John Wiley & Sons Inc. Class A 5,453 277
* Apollo Group Inc. Class A 6,500 271
* Liberty Global Inc. Class A 6,532 270
Washington Post Co. Class B 560 245
Morningstar Inc. 3,900 228
Thor Industries Inc. 6,588 220
* AutoZone Inc. 800 219
* Liberty Global Inc. 5,446 218
* Dollar General Corp. 6,500 204
Wyndham Worldwide Corp. 6,300 200
International Game Technology 12,300 200
RadioShack Corp. 12,521 188
Guess? Inc. 4,600 181
Family Dollar Stores Inc. 3,500 180
International Speedway Corp. Class A 5,399 161
Omnicom Group Inc. 3,200 157
DR Horton Inc. 13,399 156
* Discovery Communications Inc. Class A 3,841 153
Comcast Corp. Class A Special Shares 6,476 150
* NVR Inc. 180 136
Chico's FAS Inc. 7,000 104
* New York Times Co. Class A 11,000 104
* Career Education Corp. 4,500 102
* priceline.com Inc. 180 91
* Liberty Media Corp. - Capital 1,200 88
Newell Rubbermaid Inc. 3,718 71
* MGM Resorts International 4,013 53
Abercrombie & Fitch Co. 800 47
CBS Corp. Class B 1,600 40
* Toll Brothers Inc. 2,000 40
Wendy's/Arby's Group Inc. Class A 7,800 39
Cablevision Systems Corp. Class A 1,094 38
Lennar Corp. Class B 680 10
H&R Block Inc. 500 8
Darden Restaurants Inc. 50 2
* Krispy Kreme Doughnuts Inc. Warrants Exp. 03/02/2012 243 —
    41,113
Consumer Staples (4.5%)    
Procter & Gamble Co. 68,784 4,237
Coca-Cola Co. 60,231 3,996
Philip Morris International Inc. 41,300 2,710
Wal-Mart Stores Inc. 50,181 2,612
PepsiCo Inc. 34,943 2,251
CVS Caremark Corp. 43,592 1,496
Colgate-Palmolive Co. 16,235 1,311
Walgreen Co. 31,218 1,253
Costco Wholesale Corp. 15,017 1,101
Altria Group Inc. 34,700 903
Archer-Daniels-Midland Co. 24,020 865
Kraft Foods Inc. 25,816 810

 

 

Estee Lauder Cos. Inc. Class A 5,595 539
Bunge Ltd. 7,330 530
Mead Johnson Nutrition Co. 8,738 506
Safeway Inc. 20,134 474
* Green Mountain Coffee Roasters Inc. 6,968 450
JM Smucker Co. 6,134 438
Dr Pepper Snapple Group Inc. 11,762 437
Coca-Cola Enterprises Inc. 15,786 431
Kroger Co. 16,800 403
McCormick & Co. Inc. 8,400 402
Brown-Forman Corp. Class B 5,851 400
Clorox Co. 5,400 378
Molson Coors Brewing Co. Class B 8,000 375
Tyson Foods Inc. Class A 19,227 369
Church & Dwight Co. Inc. 4,543 360
* Energizer Holdings Inc. 4,894 348
* Smithfield Foods Inc. 14,162 341
Hormel Foods Corp. 11,946 333
* Hansen Natural Corp. 5,345 322
Corn Products International Inc. 6,188 321
* Ralcorp Holdings Inc. 4,600 315
* Constellation Brands Inc. Class A 15,484 314
Alberto-Culver Co. Class B 8,409 313
Herbalife Ltd. 3,450 281
* Dean Foods Co. 23,350 233
Kimberly-Clark Corp. 2,772 181
General Mills Inc. 4,900 179
* Central European Distribution Corp. 15,500 176
Avon Products Inc. 2,100 57
* BJ's Wholesale Club Inc. 900 44
Sysco Corp. 1,500 42
    33,837
Energy (6.3%)    
Exxon Mobil Corp. 139,099 11,702
Chevron Corp. 51,183 5,499
Schlumberger Ltd. 31,867 2,972
ConocoPhillips 33,087 2,642
Occidental Petroleum Corp. 20,404 2,132
Apache Corp. 11,914 1,560
Devon Energy Corp. 14,757 1,354
Anadarko Petroleum Corp. 16,285 1,334
EOG Resources Inc. 9,028 1,070
Hess Corp. 10,804 921
Halliburton Co. 14,464 721
Noble Energy Inc. 6,999 676
* Southwestern Energy Co. 14,414 619
* Cameron International Corp. 10,652 608
Pioneer Natural Resources Co. 5,494 560
Peabody Energy Corp. 7,709 555
* FMC Technologies Inc. 5,615 530
Range Resources Corp. 8,669 507
Cimarex Energy Co. 4,376 504
Murphy Oil Corp. 6,700 492
* Nabors Industries Ltd. 16,090 489
* Newfield Exploration Co. 6,427 489

 

 

EQT Corp. 9,197 459
* Pride International Inc. 10,661 458
Marathon Oil Corp. 8,482 452
Helmerich & Payne Inc. 6,308 433
* Rowan Cos. Inc. 9,343 413
Consol Energy Inc. 7,605 408
Cabot Oil & Gas Corp. 7,545 400
* Ultra Petroleum Corp. 8,100 399
QEP Resources Inc. 9,657 391
* SandRidge Energy Inc. 30,400 389
SM Energy Co. 5,157 383
El Paso Corp. 21,166 381
Diamond Offshore Drilling Inc. 4,860 378
* McDermott International Inc. 14,465 367
National Oilwell Varco Inc. 4,529 359
* Forest Oil Corp. 9,041 342
Frontier Oil Corp. 11,518 338
* Dresser-Rand Group Inc. 6,113 328
* Superior Energy Services Inc. 7,900 324
EXCO Resources Inc. 15,400 318
* Continental Resources Inc. 4,372 312
Baker Hughes Inc. 4,050 297
Patterson-UTI Energy Inc. 8,502 250
* Concho Resources Inc. 2,200 236
SEACOR Holdings Inc. 2,397 222
* Plains Exploration & Production Co. 4,748 172
Massey Energy Co. 2,400 164
* Alpha Natural Resources Inc. 1,428 85
Chesapeake Energy Corp. 2,100 70
* Denbury Resources Inc. 1,400 34
    47,498
Financials (7.6%)    
JPMorgan Chase & Co. 109,301 5,039
Wells Fargo & Co. 137,921 4,372
* Berkshire Hathaway Inc. Class B 49,200 4,115
Bank of America Corp. 286,217 3,815
* Citigroup Inc. 620,011 2,740
Goldman Sachs Group Inc. 15,285 2,422
Morgan Stanley 44,360 1,212
US Bancorp 43,300 1,144
Simon Property Group Inc. 10,102 1,083
Capital One Financial Corp. 17,139 891
State Street Corp. 18,069 812
American Express Co. 17,933 811
Franklin Resources Inc. 6,075 760
Bank of New York Mellon Corp. 25,100 750
Charles Schwab Corp. 39,305 709
Equity Residential 12,150 685
Public Storage 5,851 649
SunTrust Banks Inc. 22,250 642
Travelers Cos. Inc. 10,589 630
Loews Corp. 14,324 617
Progressive Corp. 28,397 600
Discover Financial Services 24,829 599
Boston Properties Inc. 6,281 596

 

 

Weyerhaeuser Co. 22,357 550
Hartford Financial Services Group Inc. 20,400 549
Fifth Third Bancorp 38,275 531
Host Hotels & Resorts Inc. 29,146 513
MetLife Inc. 11,440 512
Lincoln National Corp. 16,159 485
PNC Financial Services Group Inc. 7,700 485
Aflac Inc. 8,800 464
* CB Richard Ellis Group Inc. Class A 17,173 459
* IntercontinentalExchange Inc. 3,700 457
Unum Group 16,727 439
SL Green Realty Corp. 5,159 388
Moody's Corp. 11,300 383
Torchmark Corp. 5,740 382
* Arch Capital Group Ltd. 3,832 380
Reinsurance Group of America Inc. Class A 5,872 369
Jones Lang LaSalle Inc. 3,612 360
Raymond James Financial Inc. 9,250 354
TD Ameritrade Holding Corp. 16,661 348
Legg Mason Inc. 9,554 345
* Markel Corp. 830 344
East West Bancorp Inc. 15,588 342
Federal Realty Investment Trust 3,999 326
* Forest City Enterprises Inc. Class A 17,018 320
Zions Bancorporation 13,887 320
Lazard Ltd. Class A 7,700 320
Allied World Assurance Co. Holdings Ltd. 5,048 316
RenaissanceRe Holdings Ltd. 4,532 313
Marshall & Ilsley Corp. 38,700 309
HCC Insurance Holdings Inc. 9,864 309
Apartment Investment & Management Co. 12,073 308
Developers Diversified Realty Corp. 21,800 305
Brown & Brown Inc. 11,800 304
Alexandria Real Estate Equities Inc. 3,900 304
Digital Realty Trust Inc. 5,143 299
Allstate Corp. 9,400 299
Janus Capital Group Inc. 23,600 294
Prudential Financial Inc. 4,712 290
SEI Investments Co. 12,147 290
Regions Financial Corp. 38,900 282
* Genworth Financial Inc. Class A 20,900 281
Douglas Emmett Inc. 14,929 280
* MSCI Inc. Class A 7,600 280
Assurant Inc. 7,200 277
Associated Banc-Corp 18,600 276
American Financial Group Inc. 7,650 268
Vornado Realty Trust 3,000 263
First Horizon National Corp. 23,056 258
* Alleghany Corp. 775 257
Hospitality Properties Trust 10,810 250
* St. Joe Co. 9,900 248
Commerce Bancshares Inc. 5,973 242
* Affiliated Managers Group Inc. 2,200 241
WR Berkley Corp. 7,203 232
Jefferies Group Inc. 9,300 232

 

 

StanCorp Financial Group Inc. 5,000 231
Wesco Financial Corp. 590 230
Hanover Insurance Group Inc. 5,014 227
* MBIA Inc. 22,375 225
BOK Financial Corp. 4,040 209
Washington Federal Inc. 11,100 192
First Citizens BancShares Inc. Class A 946 190
TFS Financial Corp. 15,600 166
BB&T Corp. 5,800 159
Kimco Realty Corp. 8,469 155
Assured Guaranty Ltd. 10,100 150
CME Group Inc. 499 150
BlackRock Inc. 722 145
Comerica Inc. 3,800 140
Leucadia National Corp. 3,300 124
KeyCorp 13,318 118
White Mountains Insurance Group Ltd. 320 117
Chubb Corp. 1,400 86
Ameriprise Financial Inc. 1,180 72
AMB Property Corp. 2,000 72
Wilmington Trust Corp. 14,600 66
ACE Ltd. 900 58
AON Corp. 600 32
BancorpSouth Inc. 1,400 22
Taubman Centers Inc. 400 21
Cullen/Frost Bankers Inc. 200 12
People's United Financial Inc. 400 5
    57,899
Health Care (5.4%)    
Pfizer Inc. 192,889 3,918
Johnson & Johnson 65,387 3,874
Merck & Co. Inc. 67,521 2,229
UnitedHealth Group Inc. 36,066 1,630
* Amgen Inc. 29,952 1,601
Abbott Laboratories 30,100 1,476
* Gilead Sciences Inc. 27,293 1,158
* Express Scripts Inc. 19,268 1,071
* Celgene Corp. 16,762 964
WellPoint Inc. 13,726 958
Medtronic Inc. 23,200 913
* Thermo Fisher Scientific Inc. 15,575 865
* Medco Health Solutions Inc. 14,845 834
Allergan Inc. 11,699 831
* Genzyme Corp. 10,474 798
Stryker Corp. 12,549 763
St. Jude Medical Inc. 13,835 709
* Biogen Idec Inc. 9,610 705
Bristol-Myers Squibb Co. 25,495 674
* Agilent Technologies Inc. 15,007 672
Aetna Inc. 17,240 645
Cardinal Health Inc. 15,145 623
CIGNA Corp. 13,346 591
* Zimmer Holdings Inc. 9,270 561
AmerisourceBergen Corp. Class A 14,106 558
McKesson Corp. 6,232 493

 

 

* Laboratory Corp. of America Holdings 5,291 487
CR Bard Inc. 4,865 483
* DaVita Inc. 5,600 479
* Forest Laboratories Inc. 14,709 475
* Waters Corp. 5,218 453
* Life Technologies Corp. 8,522 447
* Hospira Inc. 8,060 445
Quest Diagnostics Inc. 7,345 424
Perrigo Co. 5,308 422
* Mylan Inc. 18,556 421
Eli Lilly & Co. 11,800 415
* Vertex Pharmaceuticals Inc. 8,400 403
* Watson Pharmaceuticals Inc. 7,096 397
Beckman Coulter Inc. 4,774 397
DENTSPLY International Inc. 10,328 382
Universal Health Services Inc. Class B 7,666 379
Baxter International Inc. 6,800 366
* Endo Pharmaceuticals Holdings Inc. 9,559 365
* Mettler-Toledo International Inc. 2,100 361
Omnicare Inc. 11,921 358
Cooper Cos. Inc. 4,584 318
* Tenet Healthcare Corp. 42,100 314
Techne Corp. 4,200 301
PerkinElmer Inc. 11,400 299
* Intuitive Surgical Inc. 720 240
* CareFusion Corp. 8,395 237
Hill-Rom Holdings Inc. 5,600 213
Patterson Cos. Inc. 6,600 212
* Covidien plc 3,000 156
Becton Dickinson and Co. 1,684 134
* Cephalon Inc. 200 15
    40,912
Industrials (5.6%)    
General Electric Co. 259,109 5,195
United Technologies Corp. 24,876 2,106
Union Pacific Corp. 16,184 1,591
3M Co. 16,900 1,580
Caterpillar Inc. 11,900 1,325
Boeing Co. 15,820 1,170
United Parcel Service Inc. Class B 13,600 1,011
FedEx Corp. 10,776 1,008
Danaher Corp. 18,879 980
Cummins Inc. 7,321 802
Precision Castparts Corp. 5,252 773
Raytheon Co. 14,149 720
Emerson Electric Co. 12,100 707
Honeywell International Inc. 11,300 675
Ingersoll-Rand plc 13,100 633
Fluor Corp. 8,058 594
Deere & Co. 5,600 543
ITT Corp. 8,739 525
CH Robinson Worldwide Inc. 7,011 520
Expeditors International of Washington Inc. 9,728 488
Joy Global Inc. 4,800 474
CSX Corp. 5,900 464

 

 

Textron Inc. 16,781 460
WW Grainger Inc. 3,332 459
Southwest Airlines Co. 36,067 455
Fastenal Co. 6,865 445
* Stericycle Inc. 4,995 443
Flowserve Corp. 3,434 442
Republic Services Inc. Class A 14,110 424
* Jacobs Engineering Group Inc. 8,207 422
Rockwell Collins Inc. 6,400 415
PACCAR Inc. 7,800 408
AMETEK Inc. 9,294 408
KBR Inc. 10,782 407
Bucyrus International Inc. Class A 4,216 386
Equifax Inc. 9,900 385
* Navistar International Corp. 5,526 383
Donaldson Co. Inc. 5,956 365
Chicago Bridge & Iron Co. NV 8,900 362
* AGCO Corp. 6,524 359
* Terex Corp. 9,584 355
JB Hunt Transport Services Inc. 7,744 352
Wabtec Corp. 5,116 347
* Thomas & Betts Corp. 5,766 343
SPX Corp. 4,299 341
* TransDigm Group Inc. 4,000 335
Manitowoc Co. Inc. 15,262 334
* WABCO Holdings Inc. 5,415 334
Manpower Inc. 5,250 330
* Quanta Services Inc. 13,955 313
Gardner Denver Inc. 3,977 310
* WESCO International Inc. 4,845 303
* URS Corp. 6,559 302
* Spirit Aerosystems Holdings Inc. Class A 11,400 293
Valmont Industries Inc. 2,711 283
* Oshkosh Corp. 7,900 279
* BE Aerospace Inc. 7,800 277
Con-way Inc. 7,000 275
Dun & Bradstreet Corp. 3,400 273
* Aecom Technology Corp. 9,800 272
Lennox International Inc. 5,100 268
General Dynamics Corp. 3,491 267
Landstar System Inc. 5,788 264
Toro Co. 3,959 262
Pentair Inc. 6,800 257
* Shaw Group Inc. 7,200 255
Robert Half International Inc. 8,200 251
Alliant Techsystems Inc. 3,544 250
Armstrong World Industries Inc. 5,403 250
Towers Watson & Co. Class A 4,500 250
UTi Worldwide Inc. 12,204 247
Covanta Holding Corp. 14,400 246
* Babcock & Wilcox Co. 7,232 241
Copa Holdings SA Class A 4,493 237
Illinois Tool Works Inc. 3,700 199
Regal-Beloit Corp. 2,200 162
Norfolk Southern Corp. 2,300 159

 

 

MSC Industrial Direct Co. Class A 2,100 144
Cintas Corp. 4,550 138
Lockheed Martin Corp. 1,503 121
Tyco International Ltd. 2,600 116
* USG Corp. 5,900 98
Ryder System Inc. 1,400 71
L-3 Communications Holdings Inc. 489 38
IDEX Corp. 529 23
Pall Corp. 400 23
Roper Industries Inc. 200 17
Northrop Grumman Corp. 118 7
* Huntington Ingalls Industries Inc. 19 1
    42,425
Information Technology (8.8%)    
* Apple Inc. 24,989 8,707
International Business Machines Corp. 34,897 5,691
Microsoft Corp. 214,456 5,439
* Google Inc. Class A 6,919 4,056
Oracle Corp. 109,679 3,660
Intel Corp. 150,400 3,034
Cisco Systems Inc. 164,908 2,828
Hewlett-Packard Co. 64,430 2,640
QUALCOMM Inc. 43,900 2,407
* EMC Corp. 64,290 1,707
* eBay Inc. 38,644 1,199
Visa Inc. Class A 15,897 1,170
Corning Inc. 52,967 1,093
* Cognizant Technology Solutions Corp. Class A 10,977 894
* Dell Inc. 61,135 887
* Juniper Networks Inc. 19,800 833
* Yahoo! Inc. 48,174 802
Applied Materials Inc. 51,280 801
Broadcom Corp. Class A 18,243 718
* Adobe Systems Inc. 21,444 711
Texas Instruments Inc. 19,446 672
* Symantec Corp. 34,939 648
* NetApp Inc. 13,071 630
Western Union Co. 30,165 626
* Intuit Inc. 11,638 618
* Citrix Systems Inc. 8,328 612
Altera Corp. 13,770 606
* Motorola Solutions Inc. 12,918 577
Analog Devices Inc. 13,334 525
* Fiserv Inc. 8,147 511
* Autodesk Inc. 11,308 499
Fidelity National Information Services Inc. 14,908 487
CA Inc. 20,140 487
Xilinx Inc. 14,717 483
* First Solar Inc. 2,971 478
* Teradata Corp. 9,036 458
KLA-Tencor Corp. 9,592 454
Amphenol Corp. Class A 8,332 453
* BMC Software Inc. 8,983 447
* Lam Research Corp. 7,700 436
Computer Sciences Corp. 8,200 400

 

 

* Atmel Corp. 28,800 393
Factset Research Systems Inc. 3,682 386
Accenture plc Class A 6,300 346
Activision Blizzard Inc. 31,000 340
Global Payments Inc. 6,760 331
* NVIDIA Corp. 17,900 330
* SAIC Inc. 18,906 320
* Fairchild Semiconductor International Inc. Class A 16,325 297
DST Systems Inc. 5,550 293
Solera Holdings Inc. 5,600 286
Xerox Corp. 26,155 279
* Motorola Mobility Holdings Inc. 11,303 276
National Semiconductor Corp. 18,971 272
Avago Technologies Ltd. 8,000 249
* Marvell Technology Group Ltd. 15,000 233
Tellabs Inc. 35,248 185
* Lexmark International Inc. Class A 4,500 167
* Ingram Micro Inc. 7,800 164
Mastercard Inc. Class A 594 149
Automatic Data Processing Inc. 2,574 132
FLIR Systems Inc. 3,300 114
Harris Corp. 2,100 104
* LSI Corp. 14,400 98
AVX Corp. 6,400 95
* Salesforce.com Inc. 603 81
* Tech Data Corp. 1,400 71
National Instruments Corp. 1,800 59
* Arrow Electronics Inc. 700 29
Lender Processing Services Inc. 800 26
    66,489
Materials (2.0%)    
Freeport-McMoRan Copper & Gold Inc. 29,394 1,633
Monsanto Co. 16,208 1,171
Newmont Mining Corp. 16,554 903
EI du Pont de Nemours & Co. 14,300 786
Dow Chemical Co. 17,400 657
Mosaic Co. 7,248 571
Cliffs Natural Resources Inc. 5,700 560
Ecolab Inc. 10,800 551
CF Industries Holdings Inc. 3,411 467
Sigma-Aldrich Corp. 6,633 422
Walter Energy Inc. 3,100 420
Ball Corp. 11,318 406
FMC Corp. 4,759 404
* Crown Holdings Inc. 10,241 395
United States Steel Corp. 7,300 394
Reliance Steel & Aluminum Co. 6,200 358
Praxair Inc. 3,400 345
Sherwin-Williams Co. 4,100 344
Nucor Corp. 7,400 341
Airgas Inc. 5,043 335
* Owens-Illinois Inc. 10,800 326
International Paper Co. 10,743 324
Sealed Air Corp. 11,800 315
Ashland Inc. 5,198 300

 

 

Nalco Holding Co. 10,749 294
Scotts Miracle-Gro Co. Class A 5,042 292
Cytec Industries Inc. 4,933 268
Celanese Corp. Class A 5,407 240
* Intrepid Potash Inc. 6,803 237
Schnitzer Steel Industries Inc. 3,579 233
Royal Gold Inc. 4,200 220
Martin Marietta Materials Inc. 2,286 205
Steel Dynamics Inc. 9,800 184
* Titanium Metals Corp. 9,700 180
Albemarle Corp. 2,000 120
Alcoa Inc. 3,000 53
Air Products & Chemicals Inc. 500 45
Vulcan Materials Co. 334 15
    15,314
Telecommunication Services (1.4%)    
AT&T Inc. 140,366 4,295
Verizon Communications Inc. 67,900 2,617
* American Tower Corp. Class A 15,649 811
* Sprint Nextel Corp. 122,135 567
* Crown Castle International Corp. 12,967 552
* NII Holdings Inc. 9,651 402
* MetroPCS Communications Inc. 20,300 330
* SBA Communications Corp. Class A 8,118 322
* United States Cellular Corp. 4,415 227
Telephone & Data Systems Inc. 5,063 171
* Clearwire Corp. Class A 29,147 163
Frontier Communications Corp. 16,298 134
CenturyLink Inc. 2,600 108
Telephone & Data Systems Inc. 3,000 88
* tw telecom inc Class A 3,500 67
    10,854
Utilities (1.6%)    
NextEra Energy Inc. 15,197 838
PG&E Corp. 14,635 647
Sempra Energy 11,028 590
Edison International 14,600 534
FirstEnergy Corp. 14,278 530
Entergy Corp. 7,700 518
Xcel Energy Inc. 21,000 502
* AES Corp. 37,300 485
Southern Co. 11,000 419
Wisconsin Energy Corp. 13,650 416
Northeast Utilities 11,500 398
NSTAR 8,242 381
Energen Corp. 5,830 368
National Fuel Gas Co. 4,966 368
* Calpine Corp. 23,010 365
Constellation Energy Group Inc. 11,300 352
American Water Works Co. Inc. 12,300 345
CMS Energy Corp. 17,403 342
MDU Resources Group Inc. 14,804 340
UGI Corp. 10,100 332
ITC Holdings Corp. 4,713 329

 

 

* NRG Energy Inc.     14,924 322
* GenOn Energy Inc.     83,412 318
Alliant Energy Corp.     8,100 315
Aqua America Inc.     13,200 302
NV Energy Inc.     20,104 299
Exelon Corp.     5,200 214
DPL Inc.     7,800 214
Public Service Enterprise Group Inc.     5,564 175
Ormat Technologies Inc.     6,600 167
Dominion Resources Inc.     3,608 161
Great Plains Energy Inc.     7,800 156
Questar Corp.     8,757 153
Duke Energy Corp.     5,492 100
OGE Energy Corp.     300 15
        12,310
Total Common Stocks (Cost $209,221)       368,651
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Tax-Exempt Municipal Bonds (51.2%)        
Alabama (0.1%)        
Alabama Public School & College Authority        
Capital Improvement Revenue 5.000% 12/1/21 500 536
Alabama Public School & College Authority        
Capital Improvement Revenue 5.000% 12/1/22 500 532
        1,068
Alaska (0.1%)        
Matanuska-Susitna Borough AK GO 5.500% 3/1/12 (3) 595 616
 
Arizona (1.6%)        
Arizona Board Regents Arizona State University        
System Revenue 5.875% 7/1/24 100 110
Arizona COP 5.000% 10/1/18 (4) 500 526
Arizona Health Facilities Authority Revenue        
(Banner Health) 5.000% 1/1/25 500 488
Arizona School Facilities Board COP 5.500% 9/1/23 500 512
Arizona School Facilities Board Revenue        
(School Improvement) 5.750% 7/1/14 (2)(Prere.) 500 574
Arizona Transportation Board Excise Tax        
Revenue (Maricopa County Regional Area) 5.000% 7/1/24 500 531
Arizona Transportation Board Excise Tax        
Revenue (Maricopa County Regional Area) 5.000% 7/1/25 500 519
Arizona Transportation Board Highway Revenue 5.250% 7/1/12 (Prere.) 1,965 2,083
Arizona Transportation Board Highway Revenue 5.250% 7/1/17 2,215 2,327
Arizona Water Infrastructure Finance Authority        
Revenue 4.000% 10/1/14 500 545
Glendale AZ Industrial Development Authority        
Revenue (Midwestern University) 5.000% 5/15/30 275 256
Mesa AZ Utility System Revenue 5.000% 7/1/14 (Prere.) 500 566
Phoenix AZ Civic Improvement Corp. Airport        
Revenue 5.000% 7/1/24 300 301
Phoenix AZ Civic Improvement Corp. Airport        
Revenue 5.000% 7/1/26 545 544

 

 

Phoenix AZ Civic Improvement Corp. Airport        
Revenue (Light Rail Project) 5.000% 7/1/19 (2) 780 822
Phoenix AZ Civic Improvement Corp. Water        
System Revenue 5.000% 7/1/21 (14) 500 528
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 5.000% 1/1/28 750 779
Salt Verde AZ Financial Project Revenue 5.250% 12/1/24 500 476
        12,487
California (6.0%)        
Bay Area CA Infrastructure Financing Authority        
Revenue 5.000% 8/1/17 (14) 500 507
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 5.000% 4/1/25 500 522
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 5.000% 10/1/30 500 476
California Department of Water Resources        
Power Supply Revenue 5.500% 5/1/12 (Prere.) 3,000 3,195
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/16 500 565
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/17 500 564
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/18 500 561
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/18 500 561
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/19 500 561
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/20 575 637
California Department of Water Resources        
Water System Revenue (Central Valley        
Project) 5.000% 12/1/28 500 519
California Economic Recovery Bonds GO 5.000% 7/1/14 (Prere.) 205 232
California Economic Recovery Bonds GO 5.000% 7/1/15 295 321
California Economic Recovery Bonds GO 5.000% 7/1/18 500 559
California Economic Recovery Bonds GO 5.000% 7/1/19 500 552
California Economic Recovery Bonds GO 5.000% 7/1/20 500 543
California Economic Recovery Bonds GO 5.250% 7/1/21 825 898
California Economic Recovery Bonds GO 5.000% 7/1/22 500 519
California Educational Facilities Authority        
Revenue (University of San Francisco) 6.125% 10/1/30 500 516
California GO 5.250% 10/1/13 (14) 500 545
California GO 5.000% 11/1/13 500 543
California GO 5.000% 6/1/15 500 549
California GO 6.000% 2/1/16 500 577
California GO 5.000% 11/1/16 350 392
California GO 5.000% 3/1/17 500 555
California GO 5.000% 4/1/17 500 556
California GO 5.500% 4/1/18 1,000 1,134
California GO 6.000% 4/1/18 500 582
California GO 5.000% 9/1/18 500 539
California GO 5.000% 11/1/18 (3) 500 545
California GO 5.000% 6/1/19 (14) 500 535
California GO 5.000% 10/1/21 250 259
California GO 5.000% 6/1/25 495 496

 

 

California GO 5.500% 3/1/26 500 513
California GO 5.000% 6/1/27 (14) 500 494
California GO 5.000% 9/1/27 500 494
California GO 4.500% 8/1/28 (2) 485 429
California GO 5.750% 4/1/29 500 517
California GO 5.000% 9/1/29 (2) 500 486
California GO 5.250% 3/1/30 500 495
California Health Facilities Financing Authority        
Revenue (Catholic Healthcare West) PUT 5.000% 7/1/14 500 542
California Health Facilities Financing Authority        
Revenue (Sutter Health) 5.500% 8/15/26 500 500
California Infrastructure & Economic        
Development Bank Revenue (Bay Area Toll        
Bridges Seismic Retrofit) 5.000% 1/1/28 (Prere.) 500 566
California Municipal Finance Authority Revenue        
(University of La Verne) 6.125% 6/1/30 500 484
California Public Works Board Lease Revenue        
(Department of Corrections) 5.000% 9/1/11 (2) 1,535 1,539
California State University Revenue Systemwide 5.750% 11/1/27 500 518
California State University Revenue Systemwide 5.250% 11/1/29 300 298
California Statewide Communities Development        
Authority Revenue (Kaiser Permanente) 5.000% 4/1/19 500 529
California Statewide Communities Development        
Authority Revenue (Proposition 1A        
Receivables Program) 5.000% 6/15/13 500 532
Golden State Tobacco Securitization Corp.        
California 4.500% 6/1/27 995 739
Los Angeles CA Community College District GO 5.000% 8/1/27 500 504
Los Angeles CA Department of Airports        
International Airport Revenue 5.000% 5/15/27 500 506
Los Angeles CA Department of Water & Power        
Revenue 5.000% 7/1/24 500 523
Los Angeles CA GO 5.000% 9/1/20 (14) 500 526
Los Angeles CA Unified School District GO 5.000% 7/1/21 (4) 1,825 1,915
Los Angeles CA Unified School District GO 5.000% 7/1/26 500 505
Los Angeles CA Unified School District GO 5.000% 7/1/29 500 490
Los Angeles CA Unified School District GO 5.000% 7/1/29 500 490
Los Angeles CA Wastewater System Revenue 5.000% 6/1/29 500 504
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax Revenue 5.000% 7/1/19 560 629
Roseville CA Natural Gas Financing Authority        
Gas Revenue 5.000% 2/15/12 500 512
Sacramento CA Municipal Utility District        
Revenue 5.000% 8/15/27 (4) 500 505
Sacramento County CA Airport Revenue 5.625% 7/1/29 500 508
San Diego CA Public Facilities Financing        
Authority Sewer Revenue 5.000% 5/15/28 500 503
San Diego CA Public Facilities Financing        
Authority Water Revenue 5.250% 8/1/28 500 514
San Diego CA Unified School District GO 0.000% 7/1/27 500 179
San Diego CA Unified School District GO 5.500% 7/1/27 (4) 500 542
San Diego CA Unified School District GO 0.000% 7/1/28 500 165
San Diego CA Unified School District GO 0.000% 7/1/29 500 154
San Diego County CA Regional Airport Authority        
Revenue 5.000% 7/1/30 (4) 500 467

 

 

San Francisco CA City & County Earthquake        
Safety GO 5.000% 6/15/28 500 505
San Francisco CA City & County International        
Airport Revenue 5.250% 5/1/22 500 530
San Francisco CA City & County Public Utility        
Commission Revenue 5.500% 11/1/30 500 529
San Jose CA Redevelopment Agency Tax        
Allocation Revenue 6.500% 8/1/28 700 681
University of California Revenue 5.000% 5/15/21 500 530
University of California Revenue 5.000% 5/15/25 500 524
University of California Revenue 5.000% 5/15/27 (14) 500 511
University of California Revenue 5.000% 5/15/28 (14) 500 509
        45,250
Colorado (1.3%)        
Colorado Department of Transportation RAN 5.250% 12/15/13 (Prere.) 3,750 4,203
Colorado Department of Transportation RAN 5.500% 6/15/15 (14) 500 577
Colorado Springs CO Utility System Revenue 5.000% 11/15/25 500 530
Denver CO City & County Airport Revenue 5.000% 11/15/26 430 435
Denver CO City & County COP VRDO 0.210% 4/1/11 1,325 1,325
Denver CO City & County School District No. 1        
GO 5.500% 12/1/23 (14) 500 583
E-470 Public Highway Authority Colorado        
Revenue 5.250% 9/1/18 (14) 1,500 1,529
E-470 Public Highway Authority Colorado        
Revenue 5.375% 9/1/26 500 447
        9,629
Connecticut (0.9%)        
Connecticut GO 5.500% 12/15/13 3,000 3,361
Connecticut GO 5.000% 1/1/14 500 553
Connecticut GO 5.000% 11/1/14 500 564
Connecticut GO 5.000% 12/1/14 500 565
Connecticut GO 5.000% 2/15/23 500 543
Connecticut Special Tax Revenue        
(Transportation Infrastructure) 6.500% 10/1/12 500 542
Connecticut Special Tax Revenue        
(Transportation Infrastructure) 5.000% 11/1/25 500 526
        6,654
Delaware (0.2%)        
Delaware GO 5.000% 10/1/20 500 577
Delaware Transportation Authority        
Transportation System Revenue 5.000% 7/1/19 500 571
University of Delaware Revenue 5.000% 11/1/23 555 609
        1,757
District of Columbia (0.3%)        
District of Columbia GO 5.000% 6/1/21 (4) 500 537
District of Columbia Income Tax Revenue 5.250% 12/1/27 500 534
District of Columbia Income Tax Revenue 5.000% 12/1/30 500 514
Metropolitan Washington DC/VA Airports        
Authority Airport System Revenue 5.000% 10/1/24 500 522
        2,107
Florida (2.0%)        
Broward County FL Airport System Revenue 5.375% 10/1/29 500 501

 

 

Citizens Property Insurance Corp. Florida        
Revenue (High Risk Account) 5.000% 6/1/15 1,000 1,052
Citizens Property Insurance Corp. Florida        
Revenue (High Risk Account) 5.250% 6/1/17 435 456
Citizens Property Insurance Corp. Florida        
Revenue (High Risk Account) 5.500% 6/1/17 500 530
Florida Board of Education Capital Outlay GO 5.000% 1/1/14 500 551
Florida Board of Education Lottery Revenue 5.000% 7/1/16 (2) 500 552
Florida Board of Education Lottery Revenue 5.000% 7/1/18 500 553
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/22 500 545
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/24 500 528
Florida Department of Environmental Protection        
& Preservation Revenue 5.000% 7/1/15 (14) 625 686
Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 5.000% 7/1/12 3,565 3,730
Florida Turnpike Authority Revenue 5.000% 7/1/19 500 556
Hillsborough County FL School Board (Master        
Lease Program) COP VRDO 0.220% 4/1/11 (14)LOC 200 200
Miami-Dade County FL Aviation Revenue        
(Miami International Airport) 4.875% 10/1/24 500 491
Miami-Dade County FL Aviation Revenue        
(Miami International Airport) 5.000% 10/1/30 585 542
Miami-Dade County FL School Board COP 5.000% 11/1/22 (2) 500 499
Miami-Dade County FL Water & Sewer Revenue 5.000% 10/1/26 (14) 500 504
Orange County FL Health Facilities Authority        
Revenue (Nemours Foundation Project) 5.000% 1/1/19 500 533
Orlando & Orange County FL Expressway        
Authority Revenue 5.000% 7/1/30 500 486
Orlando FL Utility Commission Water & Electric        
Revenue 5.250% 10/1/13 (ETM) 500 555
Orlando FL Utility Commission Water & Electric        
Revenue 5.250% 10/1/14 (ETM) 500 571
Tohopekaliga FL Water Authority Utility System        
Revenue 5.750% 10/1/30 500 534
        15,155
Georgia (2.2%)        
Atlanta GA Airport Revenue 5.750% 1/1/13 (3) 3,370 3,399
Atlanta GA Airport Revenue 5.000% 1/1/16 425 466
Atlanta GA Airport Revenue 5.000% 1/1/20 500 533
Atlanta GA Water & Wastewater Revenue 5.750% 11/1/27 (4) 500 539
Georgia GO 5.000% 10/1/13 500 552
Georgia GO 5.000% 9/1/15 (Prere.) 500 576
Georgia GO 5.000% 4/1/16 500 576
Georgia GO 5.000% 5/1/16 500 577
Georgia GO 5.000% 7/1/16 500 578
Georgia GO 5.750% 8/1/17 500 601
Georgia GO 5.000% 7/1/22 500 557
Georgia GO 5.000% 5/1/25 500 541
Georgia Municipal Electric Power Authority        
Revenue 6.250% 1/1/12 (14) 3,000 3,122
Georgia Road & Tollway Authority GAN 5.000% 6/1/14 500 557
Georgia Road & Tollway Authority Revenue 5.000% 6/1/17 500 570
Gwinnett County GA School District GO 5.000% 2/1/28 500 545

 

 

Main Street Natural Gas Inc. Georgia Gas        
Project Revenue 5.000% 3/15/16 590 624
Main Street Natural Gas Inc. Georgia Gas        
Project Revenue 5.000% 3/15/21 500 473
Milledgeville-Baldwin County GA Development        
Authority Revenue (Georgia College & State        
University Foundation) 5.625% 9/1/14 (Prere.) 500 579
Private Colleges & University Authority of        
Georgia Revenue (Emory University) 5.000% 9/1/28 500 523
        16,488
Hawaii (0.5%)        
Hawaii GO 5.750% 2/1/15 (4) 500 576
Hawaii GO 5.000% 4/1/19 (2) 500 555
Hawaii GO 5.000% 3/1/26 (4) 150 155
Hawaii GO 5.000% 6/1/29 500 519
Hawaii Pacific Health Revenue 5.000% 7/1/19 575 572
Honolulu HI City & County GO 5.000% 7/1/20 (4) 500 548
Honolulu HI City & County GO 5.000% 12/1/30 310 318
University of Hawaii Revenue 5.000% 10/1/27 500 518
        3,761
Illinois (2.0%)        
Chicago IL (City Colleges Capital Improvement        
Project) GO 0.000% 1/1/12 (3) 2,380 2,341
Chicago IL Board of Education GO 5.250% 12/1/24 (4) 500 498
Chicago IL Board of Education GO 5.250% 12/1/26 (4) 500 483
Chicago IL GO 5.000% 12/1/16 (2) 500 534
Chicago IL GO 5.500% 1/1/17 (4) 500 543
Chicago IL GO 5.000% 1/1/19 (2) 500 513
Chicago IL O'Hare International Airport Revenue 5.000% 1/1/24 (4) 500 493
Chicago IL O'Hare International Airport Revenue 5.250% 1/1/24 (14) 500 503
Chicago IL Sales Tax Revenue VRDO 0.230% 4/1/11 2,300 2,300
Cook County IL GO 5.000% 11/15/21 500 513
Cook County IL GO 5.000% 11/15/28 500 492
Illinois Finance Authority Revenue (University of        
Chicago) VRDO 0.200% 4/7/11 1,200 1,200
Illinois GO 5.000% 1/1/18 500 517
Illinois GO 5.000% 1/1/21 (4) 500 492
Illinois GO 5.000% 6/1/26 500 470
Illinois Regional Transportation Authority        
Revenue 6.250% 7/1/23 (4) 500 544
Illinois Sales Tax Revenue 5.500% 6/15/17 (3) 500 552
Illinois Toll Highway Authority Revenue 5.000% 1/1/25 (4) 500 496
Illinois Toll Highway Authority Revenue 5.000% 1/1/28 500 487
Metropolitan Pier & Exposition Authority Illinois        
Dedicated Sales Tax Revenue 0.000% 6/15/19 (3) 1,000 667
Metropolitan Pier & Exposition Authority Illinois        
Dedicated Sales Tax Revenue 0.000% 6/15/26 (4) 500 205
Railsplitter Tobacco Settlement Authority Illinois        
Tobacco Settlement Revenue 6.000% 6/1/28 400 387
        15,230
Indiana (0.3%)        
Indiana Finance Authority Revenue (State        
Revolving Fund) 5.000% 2/1/18 500 571

 

 

Indiana Health & Educational Facility Financing        
Authority Hospital Revenue (Clarian Health        
Obligated Group) 5.000% 2/15/25 290 273
Indiana Municipal Power Agency Revenue 5.250% 1/1/15 (14) 500 529
Indiana Office Building Commission Facilities        
Revenue (New Castle Correctional Facility) 5.250% 7/1/19 (14) 500 544
Indiana Transportation Finance Authority        
Highway Revenue 5.000% 12/1/12 (Prere.) 500 536
Indiana University Student Fee Revenue 5.000% 8/1/23 100 107
        2,560
Iowa (0.0%)        
Iowa Special Obligation Revenue (Ijobs        
Program) 5.000% 6/1/24 220 235
 
Kansas (0.5%)        
Kansas Department of Transportation Highway        
Revenue 5.000% 9/1/22 500 549
Leavenworth County KS Unified School District        
GO 4.500% 9/1/19 (12) 500 541
University of Kansas Hospital Authority Health        
Facilities Improvement Revenue 5.000% 9/1/16 1,250 1,405
University of Kansas Hospital Authority Health        
Facilities Improvement Revenue 5.000% 9/1/17 1,000 1,104
Wichita KS Hospital Facilities Revenue (Via        
Christi Health System Inc.) VRDO 0.220% 4/1/11 LOC 200 200
        3,799
Kentucky (0.2%)        
Kentucky Property & Building Commission        
Revenue 5.375% 11/1/23 500 534
Kentucky Property & Building Commission        
Revenue 5.000% 11/1/26 (4) 500 508
Kentucky Turnpike Authority Economic        
Development Road Revenue (Revitalization        
Project) 5.000% 7/1/25 305 314
        1,356
Louisiana (0.5%)        
Jefferson Parish LA Environmental Facilities &        
Community Development Authority Revenue 5.000% 4/1/18 405 439
Louisiana Citizens Property Insurance Corp.        
Assessment Revenue 5.000% 6/1/22 (2) 500 488
Louisiana Gasoline & Fuel Tax Revenue 5.000% 5/1/31 (4) 500 501
Louisiana GO 5.000% 5/1/18 (4) 500 552
Louisiana GO 5.000% 5/1/23 (4) 500 526
Louisiana Public Facilities Authority Revenue        
(Ochsner Clinic Foundation Project) 5.000% 5/15/16 1,260 1,267
        3,773
Maine (0.1%)        
Portland ME Airport Revenue 5.000% 1/1/20 (4) 500 529
 
Maryland (0.9%)        
Maryland Department of Transportation        
Revenue 5.000% 2/15/18 500 574
Maryland GO 5.000% 3/1/15 550 624
Maryland GO 5.250% 3/1/15 500 572

 

 

Maryland GO 5.000% 8/1/15 (Prere.) 500 575
Maryland GO 5.000% 8/1/15 500 573
Maryland GO 5.250% 3/1/17 500 586
Maryland GO 5.000% 7/15/17 500 581
Maryland GO 5.000% 3/15/22 500 556
Maryland Transportation Authority Facilities        
Projects Revenue 5.000% 7/1/15 (4) 750 830
Maryland Transportation Authority Facilities        
Projects Revenue 5.000% 7/1/22 500 549
Maryland Transportation Authority GAN 5.250% 3/1/20 500 574
Montgomery County MD GO 5.000% 11/1/17 500 583
        7,177
Massachusetts (2.3%)        
Massachusetts Bay Transportation Authority        
Revenue Sales Tax 5.000% 7/1/18 (Prere.) 500 589
Massachusetts Bay Transportation Authority        
Sales Tax Revenue 5.500% 7/1/26 (14) 400 457
Massachusetts College Building Authority        
Revenue 5.250% 5/1/29 445 466
Massachusetts Department of Transportation        
Metropolitan Highway System Revenue 5.000% 1/1/23 500 519
Massachusetts Development Finance Agency        
Revenue (Boston College) 5.000% 7/1/19 500 560
Massachusetts Development Finance Agency        
Revenue (Emerson College) 5.500% 1/1/30 350 342
Massachusetts GO 5.500% 11/1/13 (3) 2,000 2,233
Massachusetts GO 5.000% 5/1/14 500 558
Massachusetts GO 5.500% 11/1/16 500 589
Massachusetts GO 5.500% 10/1/18 500 589
Massachusetts GO 5.000% 7/1/20 500 559
Massachusetts GO 5.500% 10/1/20 500 586
Massachusetts GO 5.250% 8/1/23 500 570
Massachusetts GO 5.000% 3/1/25 1,000 1,060
Massachusetts GO 5.000% 3/1/26 500 526
Massachusetts GO 5.000% 4/1/29 500 519
Massachusetts Health & Educational Facilities        
Authority Revenue (Caritas Christi Obligated        
Group) 6.500% 7/1/12 (ETM) 975 1,014
Massachusetts Health & Educational Facilities        
Authority Revenue (Harvard University) 5.000% 12/15/28 500 533
Massachusetts Health & Educational Facilities        
Authority Revenue (MIT) 5.250% 7/1/28 500 566
Massachusetts Health & Educational Facilities        
Authority Revenue (Tufts University) VRDO 0.200% 4/1/11 1,200 1,200
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 5/15/19 500 569
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 8/15/27 (14) 500 508
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 8/15/30 (4) 500 507
Massachusetts Special Obligation Dedicated        
Tax Revenue 5.500% 1/1/26 (3) 500 530
Massachusetts Turnpike Authority Revenue        
(Metropolitan Highway System) 0.000% 1/1/29 (14) 300 103

 

 

Massachusetts Water Pollution Abatement Trust        
Revenue 5.250% 8/1/21 500 583
Massachusetts Water Resources Authority        
Revenue 5.000% 8/1/25 895 961
        17,796
Michigan (1.4%)        
Detroit MI City School District GO 5.250% 5/1/28 (4) 500 491
Mason MI Public School District (School Building        
& Site) GO 5.250% 5/1/17 (4) 1,850 2,006
Michigan Building Authority Revenue 5.000% 10/15/20 (4) 500 518
Michigan GO 5.000% 9/15/14 (4) 500 552
Michigan GO 5.000% 5/1/18 500 554
Michigan GO 5.500% 11/1/25 595 631
Michigan Hospital Finance Authority Revenue        
(Ascension Health Credit Group) PUT 5.000% 11/1/12 4,735 5,034
Michigan Trunk Line Revenue 5.000% 11/1/21 500 530
Wayne County MI Airport Authority Revenue        
(Detroit Metropolitan Wayne County Airport) 5.000% 12/1/16 500 526
        10,842
Minnesota (0.7%)        
Chisago Lakes MN Independent School District        
GO 5.000% 2/1/15 (4) 500 563
Minnesota GO 5.000% 6/1/13 500 546
Minnesota GO 5.000% 11/1/14 500 567
Minnesota GO 5.000% 8/1/15 500 572
Minnesota GO 5.000% 8/1/19 500 578
Minnesota GO 5.000% 8/1/21 500 563
Minnesota Public Facilities Authority Revenue        
(State Revolving Fund) 5.000% 3/1/15 500 567
Southern Minnesota Municipal Power Agency        
Power Supply System Revenue 5.250% 1/1/30 500 512
University of Minnesota Revenue 5.000% 8/1/19 500 568
University of Minnesota Revenue 5.250% 12/1/29 500 541
        5,577
Mississippi (0.1%)        
Mississippi GO 5.500% 12/1/18 750 884
 
Missouri (0.8%)        
Curators of the University of Missouri System        
Facilities Revenue 5.000% 11/1/26 500 520
Kansas City MO Water Revenue 5.000% 12/1/18 (13) 500 572
Missouri Health & Educational Facilities        
Authority Health Facilities Revenue (St. Luke's        
Episcopal - Presbyterian Hospital) 5.500% 12/1/15 (4) 2,965 3,006
Missouri Highways & Transportation        
Commission Road Revenue 5.000% 5/1/15 300 342
Missouri Highways & Transportation        
Commission Road Revenue 5.000% 5/1/17 500 579
Missouri Highways & Transportation        
Commission Road Revenue 5.000% 5/1/23 500 544
Missouri Highways & Transportation        
Commission Road Revenue 5.250% 5/1/23 350 383
        5,946

 

 

Nevada (0.5%)        
Clark County NV GO 5.000% 12/1/29 500 503
Clark County NV Highway Improvement Motor        
Vehicle Fuel Tax Revenue 5.000% 7/1/27 500 501
Clark County NV Passenger Facility Charge        
Revenue (Las Vegas McCarran International        
Airport) 4.500% 7/1/20 455 450
Clark County NV School District GO 5.000% 6/15/18 1,690 1,834
Nevada Capital Improvement & Cultural Affairs        
GO 5.000% 12/1/26 (3) 500 510
        3,798
New Hampshire (0.1%)        
Manchester NH General Airport Revenue 5.000% 1/1/17 500 533
 
New Jersey (2.4%)        
Garden State Preservation Trust New Jersey        
Revenue (Open Space & Farmland        
Preservation) 5.250% 11/1/13 (4)(Prere.) 875 976
Garden State Preservation Trust New Jersey        
Revenue (Open Space & Farmland        
Preservation) 0.000% 11/1/21 (4) 500 321
Garden State Preservation Trust New Jersey        
Revenue (Open Space & Farmland        
Preservation) 0.000% 11/1/22 (4) 500 303
New Jersey Economic Development Authority        
Revenue (Cigarette Tax) 5.750% 6/15/29 500 443
New Jersey Economic Development Authority        
Revenue (Motor Vehicle Surcharges) 5.250% 7/1/26 (14) 500 497
New Jersey Economic Development Authority        
Revenue (School Facilities Construction) 5.000% 9/1/13 (2)(Prere.) 500 550
New Jersey Economic Development Authority        
Revenue (School Facilities Construction) 5.000% 9/1/13 (2)(Prere.) 500 550
New Jersey Economic Development Authority        
Revenue (School Facilities Construction) 5.000% 9/1/14 500 536
New Jersey Economic Development Authority        
Revenue (School Facilities Construction) 5.250% 3/1/26 500 501
New Jersey Economic Development Authority        
Revenue (School Facilities Construction) PUT 5.000% 9/1/14 (4) 500 546
New Jersey Economic Development Authority        
Transportation Project Sublease Revenue        
(New Jersey Transit Corp. Light Rail Transit        
System Project) 5.000% 5/1/19 500 522
New Jersey Equipment Lease Purchase COP 5.000% 6/15/16 425 453
New Jersey Equipment Lease Purchase COP 5.000% 6/15/18 530 553
New Jersey Equipment Lease Purchase COP 5.000% 6/15/19 500 514
New Jersey GO 5.250% 7/15/15 (2) 500 562
New Jersey GO 5.000% 8/15/15 790 881
New Jersey GO 5.250% 7/1/16 (14) 500 566
New Jersey GO 5.250% 7/15/18 (2) 500 565
New Jersey Higher Education Assistance        
Authority Student Loan Revenue 5.250% 12/1/28 400 389
New Jersey Transportation Corp. COP 5.500% 9/15/15 (2) 200 221
New Jersey Transportation Corp. COP 5.000% 9/15/19 (4) 500 515
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 6.000% 12/15/11 (Prere.) 625 650

 

 

New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.250% 6/15/14 (3)(Prere.) 500 566
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.250% 12/15/14 (14) 500 543
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.000% 12/15/16 275 297
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.500% 12/15/20 (3) 2,500 2,658
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 0.000% 12/15/26 (2) 2,000 749
New Jersey Turnpike Authority Revenue 5.000% 1/1/22 500 522
New Jersey Turnpike Authority Revenue 5.500% 1/1/25 (2) 500 548
Tobacco Settlement Financing Corp. New        
Jersey Revenue 5.000% 6/1/18 500 481
        17,978
New Mexico (0.2%)        
New Mexico Educational Assistance Foundation        
Revenue 5.000% 12/1/19 500 545
New Mexico Finance Authority Transportation        
Revenue 5.000% 6/15/13 (2) 500 546
New Mexico Finance Authority Transportation        
Revenue 5.000% 6/15/23 500 547
        1,638
New York (9.6%)        
Erie County NY Industrial Development Agency        
School Facility Revenue (Buffalo City School        
District Project) 5.000% 5/1/18 500 550
Erie County NY Industrial Development Agency        
School Facility Revenue (Buffalo City School        
District Project) 5.000% 5/1/19 500 545
Long Island NY Power Authority Electric System        
Revenue 5.500% 12/1/12 (4)(ETM) 2,000 2,153
Long Island NY Power Authority Electric System        
Revenue 5.000% 5/1/14 425 465
Long Island NY Power Authority Electric System        
Revenue 5.000% 12/1/17 630 692
Long Island NY Power Authority Electric System        
Revenue 5.000% 5/1/19 (14) 500 533
Long Island NY Power Authority Electric System        
Revenue 5.000% 12/1/21 (14) 500 523
Long Island NY Power Authority Electric System        
Revenue 5.000% 4/1/23 500 520
Metropolitan New York Transportation Authority        
Revenue 5.250% 11/15/21 (3) 300 322
Metropolitan New York Transportation Authority        
Revenue 5.000% 11/15/23 500 513
Metropolitan New York Transportation Authority        
Revenue 5.250% 11/15/30 500 498
Metropolitan New York Transportation Authority        
Revenue (Dedicated Petroleum Tax) 5.250% 11/15/24 600 643
Metropolitan New York Transportation Authority        
Revenue (Service Contract) 5.500% 7/1/15 500 562
Metropolitan New York Transportation Authority        
Revenue (Service Contract) 5.750% 1/1/17 (14) 560 641

 

 

Metropolitan New York Transportation Authority        
Revenue (Transit Revenue) 5.500% 11/15/12 (14) 1,000 1,069
Metropolitan New York Transportation Authority        
Revenue (Transit Revenue) 5.500% 11/15/14 (14) 500 560
Metropolitan New York Transportation Authority        
Revenue (Transit Revenue) 5.500% 11/15/18 500 554
Metropolitan New York Transportation Authority        
Revenue (Transit Revenue) 5.500% 11/15/19 (14) 500 527
New York City NY GO 5.750% 8/1/12 (Prere.) 20 21
New York City NY GO 5.500% 6/1/13 (Prere.) 500 552
New York City NY GO 5.250% 8/1/13 500 547
New York City NY GO 5.750% 8/1/13 500 530
New York City NY GO 5.750% 8/1/13 480 509
New York City NY GO 5.000% 1/1/14 500 548
New York City NY GO 5.250% 9/1/14 500 561
New York City NY GO 5.000% 8/1/16 500 563
New York City NY GO 5.000% 2/1/17 500 562
New York City NY GO 5.000% 9/1/17 500 543
New York City NY GO 5.000% 2/1/18 500 551
New York City NY GO 5.000% 8/1/19 500 544
New York City NY GO 5.000% 8/1/23 (14) 500 519
New York City NY GO 5.000% 11/1/23 305 317
New York City NY GO 5.250% 8/15/24 500 530
New York City NY GO 5.000% 8/1/25 905 925
New York City NY GO 5.000% 8/15/26 475 489
New York City NY GO 5.000% 5/15/28 480 490
New York City NY GO 5.000% 8/1/28 500 505
New York City NY GO 5.000% 8/1/28 400 410
New York City NY GO 5.500% 11/15/28 300 316
New York City NY GO 5.625% 4/1/29 840 890
New York City NY GO 5.000% 5/15/29 500 508
New York City NY GO VRDO 0.210% 4/7/11 LOC 1,300 1,300
New York City NY Health & Hospital Corp.        
Revenue (Health System) 5.000% 2/15/30 500 478
New York City NY Housing Development Corp.        
Multi-Family Housing Revenue 5.000% 5/1/12 500 519
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/15 250 283
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.375% 6/15/17 500 528
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 0.000% 6/15/18 750 592
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.375% 6/15/19 500 527
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/27 500 521
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/29 500 505
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 4.750% 6/15/30 255 258
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/30 500 518
New York City NY Sales Tax Asset Receivable        
Corp. Revenue 5.000% 10/15/24 (14) 500 526

 

 

New York City NY Sales Tax Asset Receivable        
Corp. Revenue 5.000% 10/15/26 (14) 500 522
New York City NY Transitional Finance Authority        
Building Aid Revenue 5.250% 1/15/25 500 523
New York City NY Transitional Finance Authority        
Building Aid Revenue 5.250% 1/15/26 500 520
New York City NY Transitional Finance Authority        
Building Aid Revenue 5.125% 1/15/29 1,070 1,083
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.250% 8/1/12 (Prere.) 500 532
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.250% 2/1/13 (Prere.) 65 70
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.375% 2/1/13 2,000 2,121
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.000% 11/1/18 500 556
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.250% 2/1/19 (14) 435 464
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.000% 8/1/22 280 299
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.000% 11/1/23 500 531
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.000% 11/1/24 500 528
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.000% 11/1/25 500 523
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.250% 2/1/30 500 522
New York GO 4.500% 2/1/17 500 553
New York GO 4.500% 2/1/18 500 551
New York GO 4.500% 2/1/19 500 547
New York GO 5.000% 2/15/30 315 327
New York State Dormitory Authority Lease        
Revenue (City of New York Court Facilities) 5.500% 5/15/24 (2) 500 540
New York State Dormitory Authority Lease        
Revenue (City of New York Court Facilities) 5.500% 5/15/27 (2) 500 527
New York State Dormitory Authority Lease        
Revenue (Mental Health Services Facilities) 5.000% 8/15/21 500 535
New York State Dormitory Authority Revenue        
(City University System) 5.000% 7/1/24 400 413
New York State Dormitory Authority Revenue        
(Fordham University) 5.000% 7/1/25 (4) 250 260
New York State Dormitory Authority Revenue        
(Memorial Sloan-Kettering Cancer Center) 5.000% 7/1/30 500 504
New York State Dormitory Authority Revenue        
(Mount Sinai Hospital Obligated Group) 5.000% 7/1/22 595 601
New York State Dormitory Authority Revenue        
(Mount Sinai Hospital Obligated Group) 5.000% 7/1/23 500 502
New York State Dormitory Authority Revenue        
(Mount Sinai School of Medicine of New York        
University) 5.000% 7/1/18 325 349
New York State Dormitory Authority Revenue        
(Mount Sinai School of Medicine of New York        
University) 5.000% 7/1/24 (14) 500 499

 

 

New York State Dormitory Authority Revenue        
(New York Law School) VRDO 0.210% 4/7/11 LOC 5,300 5,300
New York State Dormitory Authority Revenue        
(New York University) 6.000% 7/1/19 (14) 500 595
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 3/15/28 500 515
New York State Dormitory Authority Revenue        
(Service Contract) 5.000% 7/1/22 500 527
New York State Dormitory Authority Revenue        
(The New School) 5.250% 7/1/30 500 501
New York State Environmental Facilities Corp.        
Revenue (State Clean Water & Drinking        
Water Revolving Funds) 5.000% 6/15/22 500 537
New York State Environmental Facilities Corp.        
Revenue (State Clean Water & Drinking        
Water Revolving Funds) 5.000% 6/15/24 365 396
New York State Local Government Assistance        
Corp. Revenue 5.000% 4/1/21 500 559
New York State Thruway Authority Revenue 5.000% 1/1/15 (14) 550 605
New York State Thruway Authority Revenue 5.000% 1/1/20 (14) 500 531
New York State Thruway Authority Revenue 5.000% 1/1/21 (14) 490 516
New York State Thruway Authority Revenue        
(Highway & Bridge Trust Fund) 5.000% 4/1/13 500 540
New York State Thruway Authority Revenue        
(Highway & Bridge Trust Fund) 5.250% 4/1/13 (2) 500 542
New York State Thruway Authority Revenue        
(Highway & Bridge Trust Fund) 5.500% 4/1/14 (2) 475 496
New York State Thruway Authority Revenue        
(Highway & Bridge Trust Fund) 5.000% 4/1/18 (2) 500 538
New York State Thruway Authority Revenue        
(Highway & Bridge Trust Fund) 5.000% 4/1/24 500 527
New York State Thruway Authority Revenue        
(Highway & Bridge Trust Fund) 5.000% 4/1/25 (2) 500 508
New York State Thruway Authority Revenue        
(Highway & Bridge Trust Fund) 5.000% 4/1/26 (2) 500 512
New York State Thruway Authority Revenue        
(Personal Income Tax) 5.000% 3/15/16 225 256
New York State Thruway Authority Revenue        
(Service Contract) 5.500% 4/1/14 4,000 4,175
New York State Urban Development Corp.        
Revenue 5.000% 1/1/15 500 550
New York State Urban Development Corp.        
Revenue 5.000% 12/15/18 500 567
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.500% 3/15/22 (14) 2,030 2,349
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 12/15/25 1,500 1,572
New York State Urban Development Corp.        
Revenue (Service Contract) 5.000% 1/1/18 540 595
Port Authority of New York & New Jersey        
Revenue 5.000% 7/15/26 500 514
Triborough Bridge & Tunnel Authority New York        
Revenue 5.250% 11/15/15 500 575
Triborough Bridge & Tunnel Authority New York        
Revenue 5.500% 11/15/19 (14) 500 568

 

 

Triborough Bridge & Tunnel Authority New York        
Revenue 5.500% 11/15/21 (14) 500 569
Triborough Bridge & Tunnel Authority New York        
Revenue 5.000% 11/15/25 500 516
        72,908
North Carolina (1.0%)        
Mecklenburg County NC Public Facilities Corp.        
Revenue (Annual Appropriation) 5.000% 3/1/26 500 524
North Carolina Capital Improvement GO 5.000% 5/1/29 500 515
North Carolina Eastern Municipal Power Agency        
Revenue 5.125% 1/1/14 2,400 2,530
North Carolina Eastern Municipal Power Agency        
Revenue 5.000% 1/1/26 500 501
North Carolina GO 5.000% 6/1/19 500 579
North Carolina Infrastructure Financial Corp.        
Capital Improvements COP 5.000% 2/1/21 (4) 2,000 2,136
North Carolina Municipal Power Agency        
Revenue 5.000% 1/1/30 500 502
Wake County NC GO 5.000% 3/1/22 400 458
        7,745
Ohio (1.6%)        
American Municipal Power Ohio Inc. Revenue        
(Hydroelectric Projects) 5.250% 2/15/18 500 542
Buckeye Tobacco Settlement Financing        
Authority Ohio Revenue 5.125% 6/1/24 1,930 1,468
Cincinnati OH City School District GO 5.250% 12/1/26 (14) 500 541
Cleveland OH Public Power System Revenue 5.000% 11/15/20 (3) 500 513
Kent State University OH Revenue 5.000% 5/1/23 (12) 500 520
Ohio Common Schools GO VRDO 0.200% 4/7/11 200 200
Ohio Conservation Projects GO 5.000% 3/1/17 1,885 2,048
Ohio Major New State Infrastructure Project        
Revenue 5.000% 12/15/14 500 560
Ohio Major New State Infrastructure Project        
Revenue 5.000% 12/15/15 550 620
Ohio State University General Receipts        
Revenue 5.000% 12/1/16 500 570
Ohio Turnpike Commission Turnpike Revenue 5.500% 2/15/15 (3) 500 563
Ohio Turnpike Commission Turnpike Revenue 5.000% 2/15/31 500 502
Ohio Water Development Authority Water        
Pollution Control Loan Fund Revenue 5.000% 6/1/17 3,000 3,321
        11,968
Oregon (0.1%)        
Oregon Department Administrative Services        
Lottery Revenue 5.250% 4/1/31 500 525
Portland OR Sewer System Revenue 5.000% 6/15/22 (4) 500 542
        1,067
Pennsylvania (1.6%)        
Allegheny County PA Higher Education Building        
Authority University Revenue (Duquesne        
University) 5.500% 3/1/29 325 330
Allegheny County PA Hospital Development        
Authority Revenue (University of Pittsburgh        
Medical Center) 5.000% 5/15/18 500 549
Allegheny County PA Port Authority Revenue 5.750% 3/1/29 500 520

 

 

Commonwealth Financing Authority        
Pennsylvania Revenue 5.000% 6/1/25 (14) 500 508
Pennsylvania Economic Development Financing        
Authority Solid Waste Disposal Revenue        
(Waste Management Inc. Project) PUT 3.700% 5/1/15 750 751
Pennsylvania GO 5.000% 9/1/14 (4) 500 563
Pennsylvania GO 5.250% 7/1/15 500 573
Pennsylvania GO 5.375% 7/1/21 1,085 1,261
Pennsylvania GO 5.000% 8/1/22 500 538
Pennsylvania GO 5.000% 1/1/26 100 105
Pennsylvania GO 5.000% 4/15/28 500 520
Pennsylvania Higher Educational Facilities        
Authority Revenue (St. Joseph's University) 5.000% 11/1/24 200 206
Pennsylvania Higher Educational Facilities        
Authority Revenue (Trustees of the University        
of Pennsylvania) 5.000% 9/1/28 500 520
Pennsylvania Turnpike Commission Oil        
Franchise Tax Revenue 5.250% 12/1/11 (ETM) 310 311
Pennsylvania Turnpike Commission Revenue 5.000% 12/1/21 345 356
Pennsylvania Turnpike Commission Revenue 5.000% 6/1/29 1,050 1,032
Philadelphia PA Airport Revenue 5.000% 6/15/15 505 547
Philadelphia PA Municipal Authority Revenue 6.375% 4/1/29 500 516
Philadelphia PA School District GO 5.000% 8/1/20 (2) 500 512
Philadelphia PA School District GO 5.250% 9/1/22 500 514
Philadelphia PA Water & Waste Water Revenue 5.000% 8/1/22 (4) 560 589
University of Pittsburgh of the Commonwealth        
System of Higher Education Pennsylvania        
Revenue (University Capital Project) 5.250% 9/15/24 500 545
        11,866
Puerto Rico (1.8%)        
Puerto Rico Electric Power Authority Revenue 5.250% 7/1/20 500 517
Puerto Rico Electric Power Authority Revenue 5.000% 7/1/21 (14) 500 502
Puerto Rico Electric Power Authority Revenue 5.500% 7/1/21 500 516
Puerto Rico Electric Power Authority Revenue 5.250% 7/1/22 (14) 500 507
Puerto Rico Electric Power Authority Revenue 5.000% 7/1/23 500 487
Puerto Rico Electric Power Authority Revenue 5.250% 7/1/26 500 474
Puerto Rico GO 6.000% 7/1/27 (14) 500 506
Puerto Rico Highway & Transportation Authority        
Revenue 5.250% 7/1/22 (3) 500 493
Puerto Rico Highway & Transportation Authority        
Revenue 5.500% 7/1/25 500 489
Puerto Rico Infrastructure Financing Authority        
Special Tax Revenue 5.500% 7/1/24 (2) 500 497
Puerto Rico Municipal Finance Agency GO 5.250% 8/1/22 (11) 500 493
Puerto Rico Public Buildings Authority        
Government Facilities Revenue 5.250% 7/1/14 (3) 2,425 2,576
Puerto Rico Public Buildings Authority        
Government Facilities Revenue 5.500% 7/1/18 (2) 500 514
Puerto Rico Public Buildings Authority        
Government Facilities Revenue 5.250% 7/1/29 500 461
Puerto Rico Public Finance Corp. Revenue 6.000% 8/1/26 (4)(ETM) 3,000 3,648
Puerto Rico Sales Tax Financing Corp. Revenue 5.250% 8/1/27 500 489
Puerto Rico Sales Tax Financing Corp. Revenue 5.250% 8/1/30 500 465
        13,634

 

 

South Carolina (0.7%)        
Charleston SC Educational Excellence        
Financing Corp. Revenue (Charleston County        
School District, South Carolina Project) 5.000% 12/1/19 500 536
Greenville County SC School District GO 5.000% 12/1/27 500 498
Piedmont SC Municipal Power Agency Revenue 0.000% 1/1/24 (3) 1,600 774
South Carolina GO 5.000% 4/1/20 450 519
South Carolina Jobs Economic Development        
Authority Hospital Revenue (Palmetto Health) 5.250% 8/1/24 (4) 1,700 1,721
South Carolina Public Service Authority        
Revenue 5.000% 1/1/29 500 510
South Carolina Transportation Infrastructure        
Revenue 5.250% 10/1/13 (2) 500 548
        5,106
Tennessee (0.6%)        
Memphis TN Electric System Revenue 5.000% 12/1/17 500 568
Memphis TN GO 5.000% 7/1/21 500 558
Metropolitan Government of Nashville &        
Davidson County TN GO 5.000% 7/1/21 500 562
Metropolitan Government of Nashville &        
Davidson County TN Health & Educational        
Facilities Board Revenue (Vanderbilt        
University) 5.000% 10/1/15 350 399
Shelby County TN GO 5.000% 4/1/19 500 570
Tennessee Energy Acquisition Corp. Gas        
Revenue 5.000% 9/1/16 500 505
Tennessee Energy Acquisition Corp. Gas        
Revenue 5.250% 9/1/17 500 501
Tennessee Energy Acquisition Corp. Gas        
Revenue 5.250% 9/1/18 500 495
Tennessee GO 5.000% 8/1/14 500 563
        4,721
Texas (3.6%)        
Austin TX Combined Utility System Revenue 0.000% 5/15/18 (3) 1,000 766
Austin TX Water & Wastewater System        
Revenue 5.000% 11/15/24 275 294
Board of Regents of the University of Texas        
System Revenue Financing System Revenue 5.000% 8/15/18 500 577
Central Texas Regional Mobility Authority        
Revenue 5.750% 1/1/25 500 492
1 Clifton TX Higher Education Finance Corp.        
Revenue (Baylor University) 5.250% 3/1/29 200 206
Cypress-Fairbanks TX Independent School        
District Unlimited Tax Schoolhouse GO 5.000% 2/15/30 500 518
Dallas TX Area Rapid Transit Revenue 4.500% 12/1/27 500 488
Dallas TX GO 5.000% 2/15/15 500 563
Dallas TX Independent School District GO 5.000% 8/15/14 500 563
Dallas TX Waterworks & Sewer System        
Revenue 5.000% 10/1/15 (2) 485 556
Harris County TX Flood Control District GO 5.250% 10/1/18 435 503
Harris County TX GO 5.000% 8/15/27 500 514
Harris County TX Revenue 5.000% 10/1/23 500 545
Houston TX GO 5.000% 3/1/20 500 556
Houston TX Independent School District GO 5.000% 7/15/15 (4) 500 567

 

 

Houston TX Utility System Revenue 5.125% 5/15/28 (14) 500 510
Houston TX Utility System Revenue 5.000% 11/15/28 (4) 500 512
Houston TX Utility System Revenue 5.250% 11/15/30 500 519
Lone Star College System Texas GO 5.000% 8/15/23 250 276
Lower Colorado River Authority Texas Revenue 5.750% 5/15/28 500 522
Lubbock TX Independent School District GO        
VRDO 0.210% 4/1/11 LOC 1,300 1,300
North East TX Independent School District GO 5.250% 2/1/22 500 580
North Texas Tollway Authority System Revenue 6.000% 1/1/20 500 544
North Texas Tollway Authority System Revenue 6.000% 1/1/25 500 522
North Texas Tollway Authority System Revenue 6.000% 1/1/28 250 260
SA Energy Acquisition Public Facility Corp.        
Texas Gas Supply Revenue 5.250% 8/1/17 500 513
SA Energy Acquisition Public Facility Corp.        
Texas Gas Supply Revenue 5.500% 8/1/19 500 505
San Antonio TX Electric & Gas Systems        
Revenue 5.000% 2/1/19 500 569
San Antonio TX Electric & Gas Systems        
Revenue 5.000% 2/1/21 905 979
Southwest Texas Higher Education Authority        
Inc. Revenue (Southern Methodist University        
Project) 5.000% 10/1/16 (2) 260 295
Texas A&M University System Revenue        
Financing System Revenue 5.000% 5/15/26 500 530
Texas Municipal Gas Acquisition & Supply Corp.        
Revenue 6.250% 12/15/26 500 505
Texas Municipal Power Agency Revenue 0.000% 9/1/15 (14) 3,000 2,649
Texas Public Finance Authority GO 5.500% 10/1/12 500 512
Texas Public Finance Authority Revenue        
(Unemployment Compensation) 5.000% 7/1/14 500 560
Texas Public Finance Authority Revenue        
(Unemployment Compensation) 5.000% 1/1/18 500 548
Texas State University System Revenue 5.000% 3/15/26 500 524
Texas Tech University System Revenue        
Financing System Revenue 5.000% 2/15/28 500 519
Texas Transportation Commission Revenue 4.750% 4/1/24 500 523
Texas Transportation Commission Revenue 5.000% 4/1/25 500 532
Texas Transportation Commission Revenue 5.000% 4/1/26 500 526
Texas Water Financial Assistance GO 5.000% 8/1/24 500 536
Texas Water Financial Assistance GO 5.000% 8/1/25 500 532
Texas Water Financial Assistance GO 5.000% 8/1/26 500 527
Texas Water Financial Assistance GO 5.000% 8/1/27 500 523
University of Texas Permanent University Fund        
Revenue 5.250% 7/1/22 500 579
University of Texas System Revenue Financing        
System Revenue 5.000% 8/15/21 500 567
        27,306
Utah (0.3%)        
Central Utah Water Conservancy District GO 5.000% 4/1/30 500 518
Intermountain Power Agency Utah Power        
Supply Revenue 5.250% 7/1/21 500 521
Utah GO 5.000% 7/1/16 500 578
Utah GO 5.000% 7/1/16 500 578
        2,195

 

 

Virgin Islands (0.1%)        
Virgin Islands Public Finance Authority Revenue 5.000% 10/1/29 500 449
 
Virginia (0.5%)        
Fairfax County VA Public Improvement GO 5.000% 10/1/17 500 582
Virginia Public Building Authority Revenue 5.000% 8/1/24 1,090 1,169
Virginia Public School Authority Revenue 5.000% 8/1/13 500 548
Virginia Public School Authority Revenue 5.000% 8/1/19 500 572
Virginia Public School Authority Revenue 5.000% 8/1/19 500 572
        3,443
Washington (1.0%)        
Energy Northwest Washington Electric Revenue        
(Columbia Generating Station) 5.000% 7/1/20 500 563
Energy Northwest Washington Electric Revenue        
(Project No. 1) 5.250% 7/1/16 500 576
Energy Northwest Washington Electric Revenue        
(Project No. 1) 5.000% 7/1/17 500 570
Energy Northwest Washington Electric Revenue        
(Project No. 3) 5.000% 7/1/16 865 986
Port of Seattle WA Revenue 5.000% 3/1/20 (14) 665 686
Seattle WA Municipal Light & Power Revenue 5.000% 2/1/26 500 527
Washington (Motor Vehicle Fuel Tax) GO 5.000% 7/1/23 425 455
Washington (Motor Vehicle Fuel Tax) GO 5.000% 7/1/28 500 517
Washington GO 5.700% 10/1/15 (4) 500 535
Washington GO 5.000% 2/1/16 500 570
Washington GO 0.000% 6/1/20 (3) 500 351
Washington GO 5.000% 8/1/20 500 560
Washington GO 5.000% 7/1/21 (4) 500 532
Washington GO 5.000% 7/1/21 500 547
        7,975
Wisconsin (0.5%)        
Wisconsin Annual Appropriation Revenue 5.625% 5/1/28 460 488
Wisconsin GO 5.750% 5/1/11 (Prere.) 1,340 1,346
Wisconsin GO 4.000% 9/1/15 970 1,051
Wisconsin GO 5.000% 5/1/23 500 536
Wisconsin Transportation Revenue 5.250% 7/1/14 (4) 500 563
        3,984
Total Tax-Exempt Municipal Bonds (Cost $386,272)       388,990
Total Investments (99.8%) (Cost $595,493)       757,641
Other Assets and Liabilities-Net (0.2%)       1,294
Net Assets (100%)       758,935

 

* Non-income-producing security.
1 Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of March 31, 2011.

 

Tax-Managed Balanced Fund

Key to Abbreviations

ARS - Auction Rate Security.
BAN - Bond Anticipation Note.
COP - Certificate of Participation.
CP - Commercial Paper.
FR - Floating Rate.
GAN - Grant Anticipation Note.
GO - General Obligation Bond.
IDA - Industrial Development Authority Bond.
IDR - Industrial Development Revenue Bond.
PCR - Pollution Control Revenue Bond.
PUT - Put Option Obligation.
RAN - Revenue Anticipation Note.
TAN - Tax Anticipation Note.
TOB - Tender Option Bond.
TRAN - Tax Revenue Anticipation Note.
UFSD - Union Free School District.
USD - United School District.
VRDO - Variable Rate Demand Obligation.
VRDP - Variable Rate Demand Preferred.
(ETM) - Escrowed to Maturity.
(Prere.) - Prerefunded.

Scheduled principal and interest payments are guaranteed by:
(1) MBIA (Municipal Bond Investors Assurance).
(2) AMBAC (Ambac Assurance Corporation).
(3) FGIC (Financial Guaranty Insurance Company).
(4) AGM (Assured Guaranty Municipal Corporation).
(5) BIGI (Bond Investors Guaranty Insurance).
(6) Connie Lee Inc.
(7) FHA (Federal Housing Authority).
(8) CapMAC (Capital Markets Assurance Corporation).
(9) American Capital Access Financial Guaranty Corporation.
(10) XL Capital Assurance Inc.
(11) CIFG (CDC IXIS Financial Guaranty).
(12) Assured Guaranty Corp.
(13) Berkshire Hathaway Assurance Corp.
(14) National Public Finance Guarantee Corp.

 

Tax-Managed Balanced Fund

The insurance does not guarantee the market value of the municipal bonds.

LOC - Scheduled principal and interest payments are guaranteed by bank letter of credit.

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. Bonds, and 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. 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.

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

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

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

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

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 368,651 - -
Tax-Exempt Municipal Bonds - 388,990 -
Total 368,651 388,990 -

 

C. At March 31, 2011, the cost of investment securities for tax purposes was $595,493,000. Net unrealized appreciation of investment securities for tax purposes was $162,148,000, consisting of unrealized gains of $170,690,000 on securities that had risen in value since their purchase and $8,542,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Tax-Managed Small-Cap Fund

Schedule of Investments
As of March 31, 2011

    Market
    Value
  Shares ($000)
Common Stocks (100.0%)    
Consumer Discretionary (13.9%)    
Brunswick Corp. 377,769 9,607
Wolverine World Wide Inc. 210,625 7,852
* Carter's Inc. 245,132 7,018
* CROCS Inc. 376,934 6,725
* Iconix Brand Group Inc. 309,405 6,646
* Live Nation Entertainment Inc. 662,910 6,629
* Coinstar Inc. 135,018 6,200
Men's Wearhouse Inc. 224,478 6,074
* JOS A Bank Clothiers Inc. 117,452 5,976
Hillenbrand Inc. 266,136 5,722
* Childrens Place Retail Stores Inc. 110,419 5,502
* HSN Inc. 165,256 5,293
Pool Corp. 207,574 5,005
* Jack in the Box Inc. 215,674 4,891
Cracker Barrel Old Country Store Inc. 98,539 4,842
* OfficeMax Inc. 360,604 4,666
* Steven Madden Ltd. 98,852 4,639
Arbitron Inc. 114,810 4,596
Finish Line Inc. Class A 226,953 4,505
Buckle Inc. 111,231 4,494
PF Chang's China Bistro Inc. 97,022 4,481
Group 1 Automotive Inc. 101,161 4,330
* Cabela's Inc. 171,562 4,291
Monro Muffler Brake Inc. 129,206 4,261
* Hibbett Sports Inc. 118,576 4,246
Texas Roadhouse Inc. Class A 249,362 4,237
* Buffalo Wild Wings Inc. 77,517 4,219
* Genesco Inc. 100,446 4,038
* Helen of Troy Ltd. 130,486 3,836
* BJ's Restaurants Inc. 96,748 3,805
* Vitamin Shoppe Inc. 108,701 3,677
* DineEquity Inc. 66,632 3,663
* Ruby Tuesday Inc. 275,192 3,608
* Pinnacle Entertainment Inc. 262,713 3,578
* Capella Education Co. 69,377 3,454
* Blue Nile Inc. 61,966 3,346
* Meritage Homes Corp. 137,299 3,313
CEC Entertainment Inc. 86,375 3,259
* American Public Education Inc. 78,646 3,181
Cato Corp. Class A 125,261 3,069
* Skechers U.S.A. Inc. Class A 145,617 2,991
Stage Stores Inc. 155,218 2,983
PEP Boys-Manny Moe & Jack 223,363 2,839
* Maidenform Brands Inc. 99,092 2,831
* Interval Leisure Group Inc. 171,695 2,807
* Pre-Paid Legal Services Inc. 41,514 2,740
* Papa John's International Inc. 85,149 2,697
* Peet's Coffee & Tea Inc. 55,541 2,671
Ethan Allen Interiors Inc. 121,779 2,667

 

 

* RC2 Corp. 92,166 2,590
* Biglari Holdings Inc. 6,087 2,578
Superior Industries International Inc. 98,804 2,533
* True Religion Apparel Inc. 107,780 2,530
* Lumber Liquidators Holdings Inc. 99,736 2,492
* Shuffle Master Inc. 228,821 2,444
* Quiksilver Inc. 552,191 2,441
* Sonic Corp. 261,027 2,362
* Zumiez Inc. 88,392 2,336
Brown Shoe Co. Inc. 186,060 2,274
Fred's Inc. Class A 167,102 2,226
* Jakks Pacific Inc. 114,888 2,223
* Liz Claiborne Inc. 401,073 2,162
Sonic Automotive Inc. Class A 150,076 2,103
* La-Z-Boy Inc. 219,995 2,101
Oxford Industries Inc. 59,192 2,024
Callaway Golf Co. 273,194 1,863
* Universal Electronics Inc. 62,857 1,858
Sturm Ruger & Co. Inc. 79,269 1,821
Drew Industries Inc. 80,881 1,806
* Red Robin Gourmet Burgers Inc. 66,408 1,786
* California Pizza Kitchen Inc. 103,797 1,752
Universal Technical Institute Inc. 88,844 1,728
* Winnebago Industries Inc. 123,999 1,658
Nutrisystem Inc. 113,598 1,646
* Corinthian Colleges Inc. 358,100 1,583
* Standard Pacific Corp. 419,522 1,565
PetMed Express Inc. 96,156 1,525
* Perry Ellis International Inc. 52,635 1,449
Volcom Inc. 72,666 1,346
Lithia Motors Inc. Class A 92,140 1,343
* EW Scripps Co. Class A 131,700 1,304
* K-Swiss Inc. Class A 114,981 1,296
* M/I Homes Inc. 78,945 1,183
Stein Mart Inc. 115,270 1,165
Standard Motor Products Inc. 82,212 1,137
Big 5 Sporting Goods Corp. 92,418 1,102
HOT Topic Inc. 190,484 1,086
* Movado Group Inc. 73,654 1,081
Haverty Furniture Cos. Inc. 78,254 1,038
* Kirkland's Inc. 66,720 1,030
Marcus Corp. 91,300 995
Christopher & Banks Corp. 152,274 987
* MarineMax Inc. 98,458 971
Spartan Motors Inc. 140,326 963
* Arctic Cat Inc. 51,549 802
* Tuesday Morning Corp. 157,288 771
Blyth Inc. 23,220 754
* Ruth's Hospitality Group Inc. 130,556 674
* Coldwater Creek Inc. 254,709 672
* Kid Brands Inc. 90,945 668
* Multimedia Games Inc. 116,624 668
* Audiovox Corp. Class A 78,375 627
Skyline Corp. 29,010 582
* Monarch Casino & Resort Inc. 48,042 500
* O'Charleys Inc. 80,010 478
* Midas Inc. 59,868 459

 

 

* Zale Corp. 97,575 389
    303,530
Consumer Staples (3.7%)    
* United Natural Foods Inc. 204,862 9,182
* TreeHouse Foods Inc. 150,620 8,566
* Darling International Inc. 495,626 7,618
Casey's General Stores Inc. 161,233 6,288
* Hain Celestial Group Inc. 182,858 5,903
Diamond Foods Inc. 93,258 5,204
Snyders-Lance Inc. 200,415 3,978
Andersons Inc. 78,637 3,831
B&G Foods Inc. Class A 203,647 3,822
Sanderson Farms Inc. 79,952 3,671
* Boston Beer Co. Inc. Class A 38,534 3,569
WD-40 Co. 72,291 3,061
J&J Snack Foods Corp. 60,707 2,857
* Prestige Brands Holdings Inc. 212,988 2,449
* Central Garden and Pet Co. Class A 222,638 2,050
Nash Finch Co. 51,517 1,955
Cal-Maine Foods Inc. 56,686 1,672
* Alliance One International Inc. 369,297 1,485
Spartan Stores Inc. 95,999 1,420
* Seneca Foods Corp. Class A 38,902 1,162
* Medifast Inc. 56,946 1,125
Calavo Growers Inc. 51,115 1,117
    81,985
Energy (6.5%)    
* Oil States International Inc. 216,233 16,464
Lufkin Industries Inc. 130,625 12,210
World Fuel Services Corp. 295,804 12,013
Holly Corp. 187,864 11,415
CARBO Ceramics Inc. 80,780 11,400
SEACOR Holdings Inc. 91,054 8,419
* ION Geophysical Corp. 650,226 8,251
* Swift Energy Co. 178,722 7,628
* Bristow Group Inc. 154,212 7,294
* Stone Energy Corp. 208,038 6,942
* Gulfport Energy Corp. 157,173 5,682
* Tetra Technologies Inc. 325,489 5,013
* Petroleum Development Corp. 99,768 4,790
Contango Oil & Gas Co. 54,574 3,451
Penn Virginia Corp. 193,776 3,286
* Pioneer Drilling Co. 230,678 3,183
* Hornbeck Offshore Services Inc. 98,820 3,049
* Basic Energy Services Inc. 99,078 2,527
* Georesources Inc. 77,245 2,415
* Petroquest Energy Inc. 235,898 2,208
Gulf Island Fabrication Inc. 60,998 1,962
* Matrix Service Co. 111,961 1,556
    141,158
Exchange-Traded Fund (3.5%)    
1 Vanguard REIT ETF 1,315,000 76,914
 
Financials (15.2%)    
* Stifel Financial Corp. 145,470 10,443
* Signature Bank 172,341 9,720
* ProAssurance Corp. 129,603 8,213

 

 

Delphi Financial Group Inc. 231,814 7,119
* Ezcorp Inc. Class A 212,199 6,661
* Portfolio Recovery Associates Inc. 72,641 6,184
Cash America International Inc. 125,707 5,789
Whitney Holding Corp. 410,460 5,590
Umpqua Holdings Corp. 487,263 5,574
Wintrust Financial Corp. 148,510 5,458
BioMed Realty Trust Inc. 278,945 5,306
Susquehanna Bancshares Inc. 552,329 5,164
* First Cash Financial Services Inc. 133,377 5,148
Mid-America Apartment Communities Inc. 75,911 4,874
Hancock Holding Co. 146,384 4,807
UMB Financial Corp. 127,546 4,764
Home Properties Inc. 80,716 4,758
National Retail Properties Inc. 177,923 4,649
Entertainment Properties Trust 98,821 4,627
Glacier Bancorp Inc. 305,240 4,594
Prospect Capital Corp. 374,812 4,576
First Financial Bankshares Inc. 88,906 4,567
Tanger Factory Outlet Centers 172,664 4,531
* World Acceptance Corp. 67,359 4,392
LaSalle Hotel Properties 160,983 4,347
Kilroy Realty Corp. 111,468 4,328
United Bankshares Inc. 162,771 4,317
Old National Bancorp 401,860 4,308
Tower Group Inc. 175,853 4,226
First Financial Bancorp 246,478 4,114
Post Properties Inc. 104,502 4,102
* Texas Capital Bancshares Inc. 157,615 4,096
RLI Corp. 70,676 4,074
National Penn Bancshares Inc. 521,122 4,034
Selective Insurance Group Inc. 229,169 3,965
DiamondRock Hospitality Co. 353,567 3,949
Extra Space Storage Inc. 186,823 3,869
PrivateBancorp Inc. Class A 248,243 3,796
First Midwest Bancorp Inc. 316,994 3,737
Sterling Bancshares Inc. 432,365 3,723
Community Bank System Inc. 141,863 3,443
Employers Holdings Inc. 163,463 3,377
NBT Bancorp Inc. 146,706 3,343
Colonial Properties Trust 172,082 3,313
optionsXpress Holdings Inc. 180,160 3,299
Provident Financial Services Inc. 218,849 3,239
Healthcare Realty Trust Inc. 142,611 3,237
* Investment Technology Group Inc. 176,788 3,216
Columbia Banking System Inc. 166,805 3,198
Infinity Property & Casualty Corp. 52,810 3,142
Safety Insurance Group Inc. 63,809 2,942
* Forestar Group Inc. 150,302 2,859
Interactive Brokers Group Inc. 179,078 2,846
Horace Mann Educators Corp. 169,047 2,840
Medical Properties Trust Inc. 236,940 2,741
First Commonwealth Financial Corp. 399,683 2,738
* National Financial Partners Corp. 185,286 2,733
* Navigators Group Inc. 52,866 2,723
Brookline Bancorp Inc. 251,382 2,647
* Piper Jaffray Cos. 61,666 2,555
EastGroup Properties Inc. 57,472 2,527

 

 

Lexington Realty Trust 267,177 2,498
Bank of the Ozarks Inc. 55,855 2,441
Independent Bank Corp. 89,993 2,431
* Pinnacle Financial Partners Inc. 143,597 2,375
Meadowbrook Insurance Group Inc. 225,354 2,332
Sovran Self Storage Inc. 58,823 2,326
City Holding Co. 65,602 2,320
PS Business Parks Inc. 39,871 2,310
Boston Private Financial Holdings Inc. 324,409 2,294
S&T Bancorp Inc. 105,487 2,275
Saul Centers Inc. 49,221 2,193
Home Bancshares Inc. 92,774 2,111
Franklin Street Properties Corp. 149,607 2,105
Simmons First National Corp. Class A 73,478 1,991
Trustco Bank Corp. NY 327,873 1,944
United Fire & Casualty Co. 89,773 1,814
LTC Properties Inc. 63,460 1,798
Wilmington Trust Corp. 387,602 1,752
Dime Community Bancshares Inc. 117,470 1,734
* AMERISAFE Inc. 76,856 1,699
Pennsylvania Real Estate Investment Trust 117,702 1,680
Acadia Realty Trust 85,875 1,625
Inland Real Estate Corp. 162,071 1,546
* Nara Bancorp Inc. 160,328 1,542
Tompkins Financial Corp. 35,015 1,455
Sterling Bancorp 131,406 1,315
* eHealth Inc. 94,493 1,257
Getty Realty Corp. 52,992 1,212
* TradeStation Group Inc. 169,570 1,190
Universal Health Realty Income Trust 26,676 1,081
* United Community Banks Inc. 404,003 958
Urstadt Biddle Properties Inc. Class A 49,118 934
Presidential Life Corp. 89,880 857
Stewart Information Services Corp. 80,572 844
Bank Mutual Corp. 190,643 806
* Hanmi Financial Corp. 644,942 800
Parkway Properties Inc. 46,602 792
SWS Group Inc. 126,238 766
Kite Realty Group Trust 135,521 720
Cedar Shopping Centers Inc. 102,078 616
* LaBranche & Co. Inc. 152,059 598
* First BanCorp 90,481 452
Wilshire Bancorp Inc. 83,686 410
    331,650
Health Care (12.8%)    
* Regeneron Pharmaceuticals Inc. 313,450 14,086
* AMERIGROUP Corp. 210,207 13,506
* Healthspring Inc. 277,684 10,377
* HMS Holdings Corp. 118,456 9,696
* Catalyst Health Solutions Inc. 166,265 9,299
* Dionex Corp. 74,232 8,763
* Salix Pharmaceuticals Ltd. 247,255 8,661
* Haemonetics Corp. 107,949 7,075
* American Medical Systems Holdings Inc. 326,475 7,065
* Centene Corp. 210,634 6,947
* Magellan Health Services Inc. 140,438 6,893
Quality Systems Inc. 81,346 6,779

 

 

* Viropharma Inc. 332,267 6,612
* PSS World Medical Inc. 235,131 6,384
* Cubist Pharmaceuticals Inc. 252,408 6,371
West Pharmaceutical Services Inc. 141,692 6,344
* Parexel International Corp. 249,093 6,202
Chemed Corp. 89,614 5,969
* Align Technology Inc. 290,780 5,955
* Par Pharmaceutical Cos. Inc. 152,622 4,744
* Amedisys Inc. 125,380 4,388
* MWI Veterinary Supply Inc. 53,210 4,293
Invacare Corp. 137,451 4,277
Meridian Bioscience Inc. 174,038 4,175
* Integra LifeSciences Holdings Corp. 87,530 4,151
* Zoll Medical Corp. 91,785 4,113
* Neogen Corp. 98,198 4,063
* RehabCare Group Inc. 105,865 3,903
* Questcor Pharmaceuticals Inc. 265,402 3,824
* Hanger Orthopedic Group Inc. 140,145 3,648
* Gentiva Health Services Inc. 126,847 3,556
* Amsurg Corp. Class A 133,081 3,386
* Cyberonics Inc. 103,629 3,296
* Savient Pharmaceuticals Inc. 301,161 3,192
* Air Methods Corp. 47,403 3,188
* CONMED Corp. 120,153 3,158
* IPC The Hospitalist Co. Inc. 69,404 3,152
Analogic Corp. 54,396 3,076
Computer Programs & Systems Inc. 46,524 2,991
* Molina Healthcare Inc. 72,620 2,905
* Abaxis Inc. 95,618 2,758
* Greatbatch Inc. 98,843 2,615
Landauer Inc. 39,884 2,454
* Merit Medical Systems Inc. 120,070 2,356
* Bio-Reference Labs Inc. 103,930 2,332
* Healthways Inc. 144,699 2,224
* ICU Medical Inc. 50,447 2,209
* Emergent Biosolutions Inc. 91,224 2,204
* Omnicell Inc. 140,046 2,134
* Natus Medical Inc. 122,700 2,061
* LHC Group Inc. 66,531 1,996
Ensign Group Inc. 55,681 1,778
* Affymetrix Inc. 298,298 1,554
* Symmetry Medical Inc. 152,872 1,498
* Corvel Corp. 27,716 1,474
* AMN Healthcare Services Inc. 164,807 1,427
* PharMerica Corp. 124,197 1,421
Cantel Medical Corp. 54,115 1,393
* Almost Family Inc. 35,218 1,326
* Arqule Inc. 184,601 1,322
* eResearchTechnology Inc. 182,336 1,234
* Medcath Corp. 86,122 1,201
* Palomar Medical Technologies Inc. 79,727 1,184
* Cross Country Healthcare Inc. 131,100 1,027
* SurModics Inc. 73,528 919
* Kensey Nash Corp. 35,891 894
* Hi-Tech Pharmacal Co. Inc. 43,053 867
* CryoLife Inc. 118,115 721
* Cambrex Corp. 124,230 683
* Kendle International Inc. 62,983 675

 

 

* Enzo Biochem Inc. 136,865 573
* LCA-Vision Inc. 79,032 533
    279,510
Industrials (16.3%)    
CLARCOR Inc. 213,692 9,601
* Esterline Technologies Corp. 129,547 9,162
Robbins & Myers Inc. 192,989 8,876
* Moog Inc. Class A 192,691 8,846
* EMCOR Group Inc. 283,374 8,776
Toro Co. 131,904 8,735
Actuant Corp. Class A 291,080 8,441
* Teledyne Technologies Inc. 155,356 8,033
Brady Corp. Class A 223,794 7,987
Belden Inc. 200,735 7,538
* Geo Group Inc. 273,926 7,023
United Stationers Inc. 98,406 6,992
Curtiss-Wright Corp. 196,839 6,917
* Tetra Tech Inc. 264,759 6,537
AO Smith Corp. 142,294 6,309
* Old Dominion Freight Line Inc. 178,262 6,255
Triumph Group Inc. 70,079 6,198
Mueller Industries Inc. 160,867 5,891
* HUB Group Inc. Class A 159,210 5,762
Kaydon Corp. 139,170 5,454
* II-VI Inc. 108,636 5,405
Applied Industrial Technologies Inc. 160,571 5,341
ABM Industries Inc. 202,335 5,137
Knight Transportation Inc. 263,344 5,069
Interface Inc. Class A 272,666 5,042
Simpson Manufacturing Co. Inc. 170,358 5,019
Healthcare Services Group Inc. 281,423 4,947
Briggs & Stratton Corp. 213,468 4,835
* Ceradyne Inc. 105,481 4,755
Watts Water Technologies Inc. Class A 124,490 4,754
* Orbital Sciences Corp. 247,632 4,685
* AAR Corp. 168,510 4,671
* Insituform Technologies Inc. Class A 167,328 4,476
ESCO Technologies Inc. 112,776 4,302
Lindsay Corp. 53,169 4,201
Barnes Group Inc. 191,717 4,003
Kaman Corp. 110,667 3,895
Skywest Inc. 229,062 3,876
Cubic Corp. 66,963 3,850
Forward Air Corp. 123,623 3,787
Heartland Express Inc. 215,426 3,783
* Mobile Mini Inc. 156,318 3,755
American Science & Engineering Inc. 38,635 3,568
* SYKES Enterprises Inc. 173,513 3,430
CIRCOR International Inc. 72,643 3,416
Unifirst Corp. 62,449 3,310
* EnPro Industries Inc. 87,440 3,176
* Astec Industries Inc. 84,692 3,158
* TrueBlue Inc. 186,797 3,136
Quanex Building Products Corp. 159,613 3,133
* SFN Group Inc. 217,154 3,060
Universal Forest Products Inc. 82,214 3,013
Albany International Corp. 117,543 2,927

 

 

Insperity Inc. 94,954 2,885
Arkansas Best Corp. 107,996 2,799
Allegiant Travel Co. Class A 63,762 2,793
* Exponent Inc. 59,747 2,665
G&K Services Inc. Class A 79,215 2,634
Badger Meter Inc. 63,822 2,630
* Kelly Services Inc. Class A 120,135 2,608
* Griffon Corp. 197,529 2,594
* Dycom Industries Inc. 149,531 2,593
National Presto Industries Inc. 22,245 2,507
AZZ Inc. 53,018 2,418
John Bean Technologies Corp. 121,556 2,338
* Consolidated Graphics Inc. 42,078 2,299
Comfort Systems USA Inc. 160,316 2,256
* Aerovironment Inc. 63,820 2,232
* Navigant Consulting Inc. 217,367 2,171
Tredegar Corp. 97,269 2,099
Heidrick & Struggles International Inc. 74,239 2,066
Viad Corp. 85,639 2,050
Standex International Corp. 53,337 2,021
Encore Wire Corp. 80,758 1,966
Cascade Corp. 38,886 1,734
Federal Signal Corp. 264,903 1,725
AAON Inc. 50,254 1,653
Apogee Enterprises Inc. 119,199 1,572
* Dolan Co. 128,790 1,563
* Gibraltar Industries Inc. 128,744 1,536
* GenCorp Inc. 249,947 1,495
* Powell Industries Inc. 37,743 1,489
* On Assignment Inc. 155,365 1,470
Vicor Corp. 82,773 1,365
* Orion Marine Group Inc. 114,508 1,230
* School Specialty Inc. 68,164 975
* NCI Building Systems Inc. 71,404 905
CDI Corp. 54,620 808
* Lydall Inc. 72,092 641
Lawson Products Inc. 17,226 397
Standard Register Co. 56,159 186
    355,616
Information Technology (19.0%)    
* TriQuint Semiconductor Inc. 691,351 8,925
* Veeco Instruments Inc. 172,640 8,777
* Wright Express Corp. 163,279 8,464
Anixter International Inc. 120,494 8,421
* Progress Software Corp. 284,882 8,287
* CACI International Inc. Class A 129,196 7,922
* Microsemi Corp. 364,160 7,542
* CommVault Systems Inc. 185,244 7,388
MKS Instruments Inc. 219,847 7,321
* Cymer Inc. 128,124 7,249
* Viasat Inc. 176,693 7,039
* Hittite Microwave Corp. 106,325 6,780
* Arris Group Inc. 515,431 6,567
* Taleo Corp. Class A 173,360 6,180
* Plexus Corp. 172,242 6,039
MAXIMUS Inc. 72,938 5,920
* j2 Global Communications Inc. 194,996 5,754

 

 

* Take-Two Interactive Software Inc. 363,464 5,586
* FEI Co. 163,903 5,527
Littelfuse Inc. 95,908 5,476
* JDA Software Group Inc. 179,252 5,424
* Diodes Inc. 154,280 5,255
* Blue Coat Systems Inc. 184,903 5,207
* Cabot Microelectronics Corp. 98,619 5,153
Blackbaud Inc. 188,965 5,147
* Netgear Inc. 154,627 5,016
Cognex Corp. 175,062 4,946
* Benchmark Electronics Inc. 259,263 4,918
* Rofin-Sinar Technologies Inc. 121,277 4,790
* MicroStrategy Inc. Class A 34,903 4,694
Power Integrations Inc. 122,176 4,683
* Scansource Inc. 114,201 4,339
* Stratasys Inc. 89,621 4,212
* Netscout Systems Inc. 148,947 4,069
* DealerTrack Holdings Inc. 173,526 3,984
* Websense Inc. 172,660 3,966
* Tessera Technologies Inc. 216,885 3,960
* Harmonic Inc. 420,588 3,945
* Synaptics Inc. 144,113 3,894
* Ebix Inc. 163,392 3,864
* Brooks Automation Inc. 277,995 3,817
* Checkpoint Systems Inc. 168,907 3,797
* Synchronoss Technologies Inc. 106,710 3,708
* Bottomline Technologies Inc. 140,582 3,534
* DTS Inc. 73,686 3,436
* Insight Enterprises Inc. 196,338 3,344
* SYNNEX Corp. 101,848 3,334
* TTM Technologies Inc. 183,548 3,333
* DG FastChannel Inc. 101,971 3,286
* Sourcefire Inc. 119,001 3,274
* comScore Inc. 108,089 3,190
Comtech Telecommunications Corp. 116,824 3,175
* RightNow Technologies Inc. 101,182 3,167
* Ultratech Inc. 106,564 3,133
* Brightpoint Inc. 287,980 3,122
* Manhattan Associates Inc. 92,941 3,041
* Rogers Corp. 67,246 3,030
* OSI Systems Inc. 80,268 3,013
MTS Systems Corp. 65,238 2,972
* LogMeIn Inc. 70,025 2,952
* CSG Systems International Inc. 147,214 2,935
Micrel Inc. 212,546 2,865
Heartland Payment Systems Inc. 163,092 2,859
* Kulicke & Soffa Industries Inc. 303,491 2,838
Park Electrochemical Corp. 87,543 2,823
* Newport Corp. 157,112 2,801
* FARO Technologies Inc. 68,739 2,750
* Avid Technology Inc. 122,766 2,738
* Mercury Computer Systems Inc. 127,646 2,701
* Advanced Energy Industries Inc. 163,670 2,676
Black Box Corp. 75,126 2,641
* Cardtronics Inc. 128,049 2,606
* Volterra Semiconductor Corp. 103,877 2,579
* ATMI Inc. 134,218 2,534
* Radiant Systems Inc. 142,535 2,523

 

 

* Tyler Technologies Inc. 106,081 2,515
* Ceva Inc. 93,561 2,501
* Standard Microsystems Corp. 96,907 2,390
Forrester Research Inc. 62,011 2,374
* Tekelec 291,415 2,366
United Online Inc. 373,954 2,358
iGate Corp. 123,988 2,327
* TeleTech Holdings Inc. 118,058 2,288
* Intermec Inc. 203,989 2,201
* Interactive Intelligence Inc. 56,582 2,190
* Epicor Software Corp. 195,835 2,168
* Monolithic Power Systems Inc. 149,356 2,119
* Ciber Inc. 300,303 2,012
EPIQ Systems Inc. 132,407 1,901
Methode Electronics Inc. 156,779 1,894
* Electro Scientific Industries Inc. 101,777 1,767
* Super Micro Computer Inc. 107,797 1,729
* Oplink Communications Inc. 84,662 1,650
Daktronics Inc. 150,183 1,615
* Knot Inc. 133,518 1,609
Cohu Inc. 102,108 1,568
CTS Corp. 144,958 1,566
* Sigma Designs Inc. 116,971 1,515
* Perficient Inc. 125,423 1,506
* Rudolph Technologies Inc. 132,597 1,451
* Infospace Inc. 152,605 1,322
* Liquidity Services Inc. 73,898 1,320
* THQ Inc. 287,082 1,309
* Kopin Corp. 277,241 1,273
* EMS Technologies Inc. 64,582 1,269
* Supertex Inc. 55,009 1,226
* Smith Micro Software Inc. 129,337 1,211
* Intevac Inc. 96,139 1,195
* Exar Corp. 187,695 1,130
* Digi International Inc. 106,720 1,127
* Symmetricom Inc. 183,183 1,123
* Pericom Semiconductor Corp. 105,001 1,089
Bel Fuse Inc. Class B 49,304 1,085
Pulse Electronics Corp. 176,353 1,067
* Gerber Scientific Inc. 106,059 993
* Integral Systems Inc. 75,219 915
* Radisys Corp. 102,472 887
* NCI Inc. Class A 33,304 812
* DSP Group Inc. 98,623 759
* Novatel Wireless Inc. 134,107 732
Stamps.com Inc. 51,199 684
* PC-Tel Inc. 79,856 613
* Network Equipment Technologies Inc. 128,049 483
* Agilysys Inc. 81,537 468
* Tollgrade Communications Inc. 45,068 454
* LoJack Corp. 77,209 362
* Hutchinson Technology Inc. 100,070 282
* StarTek Inc. 52,259 263
    414,190
Materials (4.8%)    
Eagle Materials Inc. 187,812 5,683
PolyOne Corp. 399,560 5,678

 

 

Texas Industries Inc. 118,286 5,350
* OM Group Inc. 131,020 4,788
Balchem Corp. 122,341 4,590
* Century Aluminum Co. 240,531 4,493
HB Fuller Co. 208,877 4,487
Buckeye Technologies Inc. 164,200 4,471
Arch Chemicals Inc. 106,644 4,435
* RTI International Metals Inc. 128,315 3,997
* Clearwater Paper Corp. 48,685 3,963
AMCOL International Corp. 107,901 3,882
* Calgon Carbon Corp. 238,958 3,795
Schweitzer-Mauduit International Inc. 73,432 3,716
* Materion Corp. 86,568 3,532
Koppers Holdings Inc. 79,783 3,407
* STR Holdings Inc. 175,411 3,364
A Schulman Inc. 133,409 3,298
Kaiser Aluminum Corp. 62,861 3,096
Deltic Timber Corp. 45,831 3,063
* KapStone Paper and Packaging Corp. 161,915 2,780
* LSB Industries Inc. 69,056 2,737
Stepan Co. 33,200 2,407
Quaker Chemical Corp. 48,679 1,956
Zep Inc. 92,484 1,610
Wausau Paper Corp. 208,768 1,595
* Headwaters Inc. 257,322 1,518
Myers Industries Inc. 149,244 1,482
Neenah Paper Inc. 62,833 1,381
* AM Castle & Co. 71,139 1,343
Olympic Steel Inc. 39,007 1,280
American Vanguard Corp. 87,814 762
    103,939
Telecommunication Services (0.6%)    
NTELOS Holdings Corp. 126,447 2,328
* Cincinnati Bell Inc. 840,586 2,253
* Neutral Tandem Inc. 140,675 2,075
* General Communication Inc. Class A 164,945 1,805
* Cbeyond Inc. 130,506 1,523
Atlantic Tele-Network Inc. 38,516 1,432
USA Mobility Inc. 93,178 1,350
    12,766
Utilities (3.7%)    
Piedmont Natural Gas Co. Inc. 307,743 9,340
Southwest Gas Corp. 194,487 7,579
New Jersey Resources Corp. 176,040 7,561
South Jersey Industries Inc. 127,019 7,109
UIL Holdings Corp. 214,457 6,545
Avista Corp. 243,456 5,631
Unisource Energy Corp. 155,286 5,611
* El Paso Electric Co. 181,130 5,506
Northwest Natural Gas Co. 113,183 5,221
Allete Inc. 132,362 5,158
NorthWestern Corp. 153,946 4,665
Laclede Group Inc. 95,125 3,624
CH Energy Group Inc. 66,656 3,369
American States Water Co. 79,018 2,834

 

 

Central Vermont Public Service Corp.   55,304 1,288
      81,041
Total Common Stocks (Cost $1,550,498)     2,182,299
      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (0.0%)      
Money Market Fund (0.0%)      
2 Vanguard Market Liquidity Fund (Cost $255) 0.208% 254,624 255
 
Total Investments (100.0%) (Cost $1,550,753)     2,182,554
Other Assets and Liabilities-Net (0.0%)     516
Net Assets (100%)     2,183,070

 

* Non-income-producing security.
1 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
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.
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.

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).

At March 31, 2011, 100% of the fund's investments were valued based on Level 1 inputs.

C. At March 31, 2011, the cost of investment securities for tax purposes was $1,550,753,000. Net unrealized appreciation of investment securities for tax purposes was $631,801,000, consisting of unrealized gains of $683,006,000 on securities that had risen in value since their purchase and $51,205,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Tax-Managed International Fund

Schedule of Investments
As of March 31, 2011

    Market
    Value
  Shares ($000)
Common Stocks (99.9%)    
Australia (8.5%)    
BHP Billiton Ltd. 2,338,491 112,242
Commonwealth Bank of Australia 1,077,140 58,362
Westpac Banking Corp. 2,078,444 52,296
Australia & New Zealand Banking Group Ltd. 1,799,492 44,295
National Australia Bank Ltd. 1,504,627 40,215
Rio Tinto Ltd. 311,419 27,295
Woolworths Ltd. 844,332 23,467
Wesfarmers Ltd. 713,065 23,428
Newcrest Mining Ltd. 514,965 21,214
Woodside Petroleum Ltd. 437,242 21,168
CSL Ltd. 399,092 14,739
QBE Insurance Group Ltd. 745,434 13,635
Origin Energy Ltd. 777,968 13,057
AMP Ltd. 2,098,459 11,799
Santos Ltd. 606,776 9,756
Macquarie Group Ltd. 253,285 9,574
Telstra Corp. Ltd. 3,177,894 9,270
Foster's Group Ltd. 1,387,955 8,207
Suncorp Group Ltd. 924,821 8,114
Brambles Ltd. 1,030,419 7,542
Orica Ltd. 266,844 7,286
Amcor Ltd. 919,047 6,709
Insurance Australia Group Ltd. 1,596,269 5,928
Incitec Pivot Ltd. 1,287,511 5,764
Fortescue Metals Group Ltd. 847,361 5,615
Transurban Group 972,741 5,408
Coca-Cola Amatil Ltd. 416,645 5,059
AGL Energy Ltd. 337,606 4,998
ASX Ltd. 137,556 4,894
WorleyParsons Ltd. 150,417 4,819
Alumina Ltd. 1,816,665 4,630
OZ Minerals Ltd. 2,539,954 4,194
Asciano Ltd. 2,306,253 4,149
TABCORP Holdings Ltd. 530,842 4,112
* QR National Ltd. 1,148,023 3,978
Lend Lease Group 424,142 3,977
Cochlear Ltd. 46,205 3,965
Sonic Healthcare Ltd. 295,575 3,663
Computershare Ltd. 360,903 3,458
Wesfarmers Ltd. Price Protected Shares 102,297 3,406
Leighton Holdings Ltd. 106,593 3,250
Toll Holdings Ltd. 514,836 3,158
BlueScope Steel Ltd. 1,512,312 3,089
Boral Ltd. 581,459 3,004
Crown Ltd. 328,599 2,768
Tatts Group Ltd. 1,122,612 2,715
Metcash Ltd. 624,952 2,687
Sims Metal Management Ltd. 136,196 2,460
Bendigo and Adelaide Bank Ltd. 238,109 2,347

 

 

* James Hardie Industries SE 367,254 2,313
OneSteel Ltd. 900,845 2,272
* Qantas Airways Ltd. 904,585 2,039
* Paladin Energy Ltd. 505,843 1,894
Fairfax Media Ltd. 1,398,730 1,866
Caltex Australia Ltd. 105,084 1,696
Ramsay Health Care Ltd. 85,093 1,681
Goodman Fielder Ltd. 1,300,488 1,655
CSR Ltd. 443,986 1,504
MacArthur Coal Ltd. 123,955 1,486
Harvey Norman Holdings Ltd. 472,464 1,465
SP AusNet 1,518,876 1,383
Billabong International Ltd. 127,462 994
Newcrest Mining Ltd. ADR 22,953 953
MAp Group 289,224 909
Sims Metal Management Ltd. ADR 3,072 56
    675,331
Austria (0.3%)    
Erste Group Bank AG 137,671 6,952
OMV AG 113,219 5,118
Telekom Austria AG 252,852 3,701
Voestalpine AG 73,960 3,476
Verbund AG 60,819 2,701
Raiffeisen Bank International AG 38,261 2,126
Vienna Insurance Group AG Wiener Versicherung Gruppe 33,983 1,944
    26,018
Belgium (0.9%)    
Anheuser-Busch InBev NV 512,352 29,211
Delhaize Group SA 74,030 6,031
Solvay SA Class A 44,097 5,228
* KBC Groep NV 122,804 4,621
Belgacom SA 115,084 4,458
Umicore SA 87,721 4,351
Ageas 1,505,253 4,280
Colruyt SA 58,680 3,090
UCB SA 78,922 2,996
Bekaert SA 25,673 2,925
* Dexia SA 535,028 2,082
Mobistar SA 22,947 1,590
    70,863
Denmark (1.1%)    
Novo Nordisk A/S Class B 292,078 36,680
* Danske Bank A/S 433,372 9,580
AP Moller - Maersk A/S Class B 961 9,019
Carlsberg A/S Class B 77,149 8,296
* Vestas Wind Systems A/S 146,464 6,357
Novozymes A/S 29,480 4,504
AP Moller - Maersk A/S 357 3,274
DSV A/S 124,350 3,062
Coloplast A/S Class B 14,275 2,065
* Pandora A/S 36,954 1,875
* William Demant Holding A/S 20,089 1,737
Tryg A/S 20,514 1,205
    87,654
Finland (1.1%)    
Nokia Oyj 2,595,365 22,098

 

 

Fortum Oyj 318,311 10,807
Sampo Oyj 303,464 9,664
UPM-Kymmene Oyj 341,024 7,210
Kone Oyj Class B 114,194 6,568
Wartsila Oyj 118,136 4,605
Stora Enso Oyj 378,351 4,504
Metso Oyj 79,713 4,277
Nokian Renkaat Oyj 80,306 3,414
Neste Oil Oyj 112,254 2,313
Kesko Oyj Class B 39,860 1,863
Outokumpu Oyj 100,104 1,733
Pohjola Bank plc 120,650 1,642
Elisa Oyj 71,792 1,581
Sanoma Oyj 63,480 1,435
Rautaruukki Oyj 58,459 1,400
Orion Oyj Class B 50,794 1,232
    86,346
France (10.2%)    
Total SA 1,468,121 89,459
Sanofi-Aventis SA 733,894 51,428
BNP Paribas 664,386 48,570
GDF Suez 857,040 34,952
France Telecom SA 1,295,149 29,081
Schneider Electric SA 169,474 28,945
Societe Generale 441,045 28,648
LVMH Moet Hennessy Louis Vuitton SA 169,239 26,797
Danone 407,814 26,616
Air Liquide SA 197,219 26,228
AXA SA 1,184,523 24,750
Vivendi SA 866,668 24,724
ArcelorMittal 591,914 21,400
L'Oreal SA 166,783 19,432
Vinci SA 301,524 18,825
Carrefour SA 416,776 18,413
Cie de St-Gobain 271,638 16,612
Unibail-Rodamco SE 64,922 14,071
Pernod-Ricard SA 139,393 13,015
Credit Agricole SA 664,708 10,907
Cie Generale d'Optique Essilor International SA 143,832 10,672
Cie Generale des Etablissements Michelin Class B 124,626 10,512
* Alcatel-Lucent 1,648,525 9,505
Lafarge SA 143,416 8,939
Vallourec SA 78,535 8,800
Alstom SA 145,656 8,612
PPR 53,475 8,190
Bouygues SA 167,335 8,033
* European Aeronautic Defence and Space Co. NV 272,919 7,949
Technip SA 71,861 7,662
* Renault SA 137,954 7,623
Veolia Environnement SA 239,781 7,468
EDF SA 174,324 7,225
Cap Gemini SA 108,437 6,296
Christian Dior SA 43,497 6,128
STMicroelectronics NV 461,561 5,725
SES SA 215,504 5,549
Publicis Groupe SA 89,812 5,033
Sodexo 67,941 4,964

 

 

Accor SA 106,008 4,764
* Peugeot SA 111,507 4,399
Suez Environnement Co. 204,298 4,232
Legrand SA 100,502 4,181
Safran SA 114,527 4,050
* Cie Generale de Geophysique - Veritas 105,312 3,811
Casino Guichard Perrachon SA 39,995 3,786
Lagardere SCA 88,633 3,780
Groupe Eurotunnel SA 351,569 3,736
Dassault Systemes SA 44,998 3,461
* Natixis 558,016 3,151
Bureau Veritas SA 38,421 3,019
SCOR SE 110,557 3,014
Klepierre 72,713 2,951
* Edenred 97,491 2,941
Eutelsat Communications SA 73,490 2,932
Thales SA 65,164 2,600
CNP Assurances 118,753 2,520
ICADE 18,377 2,268
Gecina SA 15,924 2,196
Fonciere Des Regions 20,572 2,191
* Atos Origin SA 36,575 2,145
* Air France-KLM 112,528 1,876
Societe Television Francaise 1 90,938 1,667
Neopost SA 18,471 1,617
Aeroports de Paris 17,471 1,609
Imerys SA 21,874 1,604
Eramet 4,240 1,567
Iliad SA 12,947 1,551
Societe BIC SA 15,614 1,388
Eiffage SA 22,965 1,380
Metropole Television SA 52,124 1,362
* JCDecaux SA 38,449 1,290
PagesJaunes Groupe 108,121 1,082
BioMerieux 7,772 815
    808,694
Germany (8.6%)    
Siemens AG 570,516 78,041
BASF SE 637,391 55,017
Bayer AG 579,272 44,757
* Daimler AG 631,734 44,514
Allianz SE 312,927 43,818
Deutsche Bank AG 651,530 38,201
E.ON AG 1,252,861 38,099
SAP AG 599,260 36,651
Deutsche Telekom AG 1,982,389 30,665
Muenchener Rueckversicherungs AG 131,667 20,699
Volkswagen AG Prior Pfd. 119,906 19,380
Bayerische Motoren Werke AG 231,186 19,194
Linde AG 118,069 18,641
RWE AG 292,539 18,565
Deutsche Post AG 591,621 10,633
Deutsche Boerse AG 139,252 10,542
ThyssenKrupp AG 239,951 9,767
MAN SE 75,967 9,452
Adidas AG 147,962 9,303
Fresenius Medical Care AG & Co. KGaA 137,912 9,252

 

 

Henkel AG & Co. KGaA Prior Pfd. 127,614 7,899
Infineon Technologies AG 760,645 7,760
K&S AG 97,985 7,389
Fresenius SE & Co. KGaA 75,245 6,943
HeidelbergCement AG 90,025 6,260
Metro AG 89,734 6,112
Henkel AG & Co. KGaA 94,865 4,953
Beiersdorf AG 73,071 4,460
* Commerzbank AG 567,761 4,408
Merck KGaA 46,874 4,228
Porsche Automobil Holding SE Prior Pfd. 64,834 4,222
Lanxess AG 53,538 4,013
GEA Group AG 114,170 3,756
Hochtief AG 32,423 3,482
* QIAGEN NV 172,697 3,447
Volkswagen AG 22,186 3,393
* Continental AG 36,728 3,301
* Deutsche Lufthansa AG 148,284 3,140
Salzgitter AG 32,945 2,594
Bayerische Motoren Werke AG Prior Pfd. 43,078 2,436
* Brenntag AG 21,856 2,423
Wacker Chemie AG 10,451 2,341
Fraport AG Frankfurt Airport Services Worldwide 31,332 2,291
Hannover Rueckversicherung AG 34,350 1,874
* Kabel Deutschland Holding AG 32,692 1,723
Celesio AG 62,687 1,531
* TUI AG 121,784 1,454
Suedzucker AG 52,060 1,450
RWE AG Prior Pfd. 22,605 1,370
Axel Springer AG 8,334 1,346
United Internet AG 72,469 1,302
Puma AG Rudolf Dassler Sport 4,423 1,295
ProSiebenSat.1 Media AG Prior Pfd. 42,998 1,255
* Porsche Automobil Holding SE Rights Exp. 04/12/2011 64,834 562
    681,604
Greece (0.3%)    
National Bank of Greece SA ADR 2,514,785 4,451
Coca Cola Hellenic Bottling Co. SA 116,227 3,119
OPAP SA 141,344 3,019
Hellenic Telecommunications Organization SA ADR 443,360 2,425
National Bank of Greece SA 224,607 1,989
* Alpha Bank AE 308,469 1,979
Bank of Cyprus plc 537,047 1,943
* EFG Eurobank Ergasias SA 210,880 1,311
Public Power Corp. SA 72,430 1,257
Hellenic Telecommunications Organization SA 21,242 237
    21,730
Hong Kong (2.8%)    
Hutchison Whampoa Ltd. 1,506,512 17,829
* AIA Group Ltd. 5,491,645 16,905
Cheung Kong Holdings Ltd. 998,500 16,275
Sun Hung Kai Properties Ltd. 1,012,064 16,027
Hong Kong Exchanges and Clearing Ltd. 717,700 15,573
CLP Holdings Ltd. 1,339,432 10,828
Li & Fung Ltd. 1,930,835 9,874
Hang Seng Bank Ltd. 519,743 8,398
Swire Pacific Ltd. Class A 570,088 8,350

 

 

BOC Hong Kong Holdings Ltd. 2,510,000 8,183
Wharf Holdings Ltd. 1,138,815 7,844
Hang Lung Properties Ltd. 1,753,810 7,692
Hong Kong & China Gas Co. Ltd. 3,116,776 7,478
Power Assets Holdings Ltd. 1,014,100 6,778
Henderson Land Development Co. Ltd. 820,006 5,682
Bank of East Asia Ltd. 1,146,663 4,866
Esprit Holdings Ltd. 851,528 3,904
Hang Lung Group Ltd. 583,000 3,613
* Sands China Ltd. 1,615,600 3,600
MTR Corp. 963,000 3,563
Sino Land Co. Ltd. 1,915,000 3,401
New World Development Ltd. 1,842,750 3,249
Wheelock & Co. Ltd. 827,000 3,104
Shangri-La Asia Ltd. 1,182,552 3,054
Kerry Properties Ltd. 584,000 2,921
Wynn Macau Ltd. 1,039,600 2,901
Hysan Development Co. Ltd. 547,000 2,250
Cathay Pacific Airways Ltd. 787,770 1,887
SJM Holdings Ltd. 1,042,000 1,823
ASM Pacific Technology Ltd. 122,900 1,543
Orient Overseas International Ltd. 139,300 1,458
Wing Hang Bank Ltd. 123,000 1,450
Yue Yuen Industrial Holdings Ltd. 448,000 1,425
Hopewell Holdings Ltd. 461,500 1,386
Cheung Kong Infrastructure Holdings Ltd. 280,000 1,323
* Foxconn International Holdings Ltd. 2,028,000 1,218
NWS Holdings Ltd. 763,500 1,168
Lifestyle International Holdings Ltd. 465,500 1,114
PCCW Ltd. 2,596,000 1,081
* Henderson Land Development Co. Ltd. Warrants Exp. 06/01/2011 138,201 8
    221,026
Ireland (0.3%)    
CRH plc 481,929 11,073
Kerry Group plc Class A 99,063 3,690
* Elan Corp. plc 401,080 2,754
Ryanair Holdings plc 282,408 1,339
* Governor & Co. of the Bank of Ireland 1,987,375 620
Ryanair Holdings plc ADR 3,000 83
* Anglo Irish Bank Corp. Ltd. 257,065 —
    19,559
Israel (0.8%)    
Teva Pharmaceutical Industries Ltd. 647,193 32,509
Israel Chemicals Ltd. 331,665 5,460
* Bank Hapoalim BM 781,018 4,061
Bank Leumi Le-Israel BM 789,256 4,038
Bezeq The Israeli Telecommunication Corp. Ltd. 1,141,883 3,387
* Israel Corp. Ltd. 1,367 1,636
* NICE Systems Ltd. 38,786 1,431
Cellcom Israel Ltd. (Registered) 39,230 1,287
Elbit Systems Ltd. 21,366 1,190
* Israel Discount Bank Ltd. Class A 558,729 1,178
Delek Group Ltd. 3,477 941
* Makhteshim-Agan Industries Ltd. 174,001 919
Partner Communications Co. Ltd. 48,274 918
Mizrahi Tefahot Bank Ltd. 67,120 757
    59,712

 

 

Italy (2.9%)    
ENI SPA 1,809,389 44,398
Enel SPA 4,580,291 28,855
UniCredit SPA 9,474,348 23,353
Assicurazioni Generali SPA 822,427 17,777
Intesa Sanpaolo SPA (Registered) 5,399,680 15,930
Telecom Italia SPA (Registered) 6,668,351 10,248
Saipem SPA 185,889 9,875
Tenaris SA 336,157 8,249
* Fiat Industrial SPA 543,107 7,797
Telecom Italia SPA (Bearer) 4,503,249 6,049
Fiat SPA 553,638 5,004
Snam Rete Gas SPA 863,188 4,849
Terna Rete Elettrica Nazionale SPA 990,154 4,736
Parmalat SPA 1,330,229 4,451
Atlantia SPA 174,821 4,003
Finmeccanica SPA 309,394 3,891
Unione di Banche Italiane SCPA 422,404 3,604
Mediobanca SPA 342,879 3,502
Banco Popolare SC 998,366 2,976
Mediaset SPA 462,545 2,936
* Enel Green Power SPA 988,865 2,744
Prysmian SPA 126,290 2,703
* Banca Monte dei Paschi di Siena SPA 1,790,819 2,232
Luxottica Group SPA 64,843 2,117
Exor SPA 56,430 1,733
Pirelli & C SPA 196,096 1,721
Intesa Sanpaolo SPA (Bearer) 620,595 1,637
* Autogrill SPA 100,407 1,412
Banca Carige SPA 541,913 1,281
A2A SPA 591,515 958
    231,021
Japan (20.3%)    
Toyota Motor Corp. 1,919,618 76,179
Honda Motor Co. Ltd. 1,132,639 42,082
Mitsubishi UFJ Financial Group Inc. 8,848,544 40,771
Canon Inc. 786,933 33,846
Sumitomo Mitsui Financial Group Inc. 931,058 28,886
Mitsubishi Corp. 941,086 26,095
Takeda Pharmaceutical Co. Ltd. 524,194 24,457
Mizuho Financial Group Inc. 14,149,021 23,347
Softbank Corp. 563,200 22,440
Komatsu Ltd. 661,300 22,435
Sony Corp. 699,400 22,308
Mitsui & Co. Ltd. 1,206,100 21,594
FANUC Corp. 136,700 20,663
Panasonic Corp. 1,526,953 19,343
Nintendo Co. Ltd. 70,500 19,170
NTT DoCoMo Inc. 10,614 18,529
Hitachi Ltd. 3,130,758 16,297
Mitsubishi Electric Corp. 1,381,000 16,252
Nissan Motor Co. Ltd. 1,739,800 15,455
Nippon Telegraph & Telephone Corp. 334,100 14,923
Shin-Etsu Chemical Co. Ltd. 287,100 14,289
Mitsubishi Estate Co. Ltd. 832,935 14,076
Toshiba Corp. 2,781,000 13,598
Seven & I Holdings Co. Ltd. 532,020 13,552

 

 

Tokio Marine Holdings Inc. 500,900 13,374
East Japan Railway Co. 238,600 13,249
Nomura Holdings Inc. 2,500,877 12,927
KDDI Corp. 2,046 12,650
Kyocera Corp. 115,000 11,655
Astellas Pharma Inc. 314,714 11,655
Nippon Steel Corp. 3,626,970 11,603
Kansai Electric Power Co. Inc. 528,750 11,521
Japan Tobacco Inc. 3,171 11,464
Inpex Corp. 1,500 11,348
Sumitomo Corp. 788,900 11,274
ITOCHU Corp. 1,075,000 11,250
Denso Corp. 333,900 11,104
Murata Manufacturing Co. Ltd. 144,800 10,471
JX Holdings Inc. 1,544,050 10,374
Chubu Electric Power Co. Inc. 458,800 10,214
Mitsui Fudosan Co. Ltd. 611,000 10,044
FUJIFILM Holdings Corp. 322,300 9,990
Mitsubishi Heavy Industries Ltd. 2,174,000 9,989
Bridgestone Corp. 461,431 9,649
JFE Holdings Inc. 327,900 9,601
Kao Corp. 382,701 9,549
Daiichi Sankyo Co. Ltd. 476,063 9,191
Asahi Glass Co. Ltd. 723,035 9,097
Marubeni Corp. 1,212,000 8,710
Central Japan Railway Co. 1,079 8,553
MS&AD Insurance Group Holdings 368,533 8,410
Dai-ichi Life Insurance Co. Ltd. 5,475 8,257
Tokyo Gas Co. Ltd. 1,787,000 8,151
Kirin Holdings Co. Ltd. 613,000 8,045
Keyence Corp. 30,508 7,788
Kubota Corp. 827,000 7,782
Toray Industries Inc. 1,036,000 7,521
Fujitsu Ltd. 1,305,000 7,375
Sumitomo Electric Industries Ltd. 530,300 7,344
Sharp Corp. 719,000 7,133
Nidec Corp. 81,400 7,050
Secom Co. Ltd. 150,200 6,984
Hoya Corp. 304,800 6,956
Tokyo Electron Ltd. 121,500 6,699
Eisai Co. Ltd. 181,400 6,511
Sumitomo Metal Mining Co. Ltd. 376,000 6,464
SMC Corp. 38,600 6,353
Terumo Corp. 119,900 6,317
Nitto Denko Corp. 118,200 6,263
NKSJ Holdings Inc. 949,800 6,200
Resona Holdings Inc. 1,250,436 5,960
Asahi Kasei Corp. 877,000 5,907
Sumitomo Chemical Co. Ltd. 1,133,000 5,661
Daiwa Securities Group Inc. 1,226,000 5,631
Osaka Gas Co. Ltd. 1,410,000 5,625
Sumitomo Trust & Banking Co. Ltd. 1,033,000 5,620
Tokyo Electric Power Co. Inc. 997,870 5,562
Mitsubishi Chemical Holdings Corp. 882,500 5,559
Ricoh Co. Ltd. 469,000 5,522
Sumitomo Realty & Development Co. Ltd. 270,000 5,399
Ajinomoto Co. Inc. 510,000 5,306
Kyushu Electric Power Co. Inc. 271,200 5,303

 

 

Suzuki Motor Corp. 234,800 5,248
Tohoku Electric Power Co. Inc. 305,300 5,162
Daikin Industries Ltd. 170,500 5,100
TDK Corp. 85,100 5,033
Sumitomo Metal Industries Ltd. 2,250,000 5,030
Aeon Co. Ltd. 428,273 4,963
Dai Nippon Printing Co. Ltd. 400,800 4,881
West Japan Railway Co. 1,262 4,865
Aisin Seiki Co. Ltd. 139,600 4,853
Nikon Corp. 235,000 4,846
Fast Retailing Co. Ltd. 38,100 4,770
JS Group Corp. 182,812 4,741
Rohm Co. Ltd. 75,400 4,738
Rakuten Inc. 5,274 4,732
Mitsui OSK Lines Ltd. 817,000 4,711
Kobe Steel Ltd. 1,811,000 4,689
T&D Holdings Inc. 188,340 4,640
Kawasaki Heavy Industries Ltd. 1,049,000 4,620
Yamato Holdings Co. Ltd. 297,100 4,606
Olympus Corp. 160,100 4,458
Asahi Breweries Ltd. 266,100 4,424
Daiwa House Industry Co. Ltd. 352,000 4,306
Shiseido Co. Ltd. 246,900 4,277
Omron Corp. 148,300 4,175
Otsuka Holdings Co. Ltd. 168,700 4,168
Bank of Yokohama Ltd. 873,000 4,150
JGC Corp. 177,000 4,131
Odakyu Electric Railway Co. Ltd. 487,000 4,106
Yamada Denki Co. Ltd. 60,550 4,069
Nippon Yusen KK 1,033,000 4,041
Hankyu Hanshin Holdings Inc. 865,304 3,994
Daito Trust Construction Co. Ltd. 57,800 3,976
Yahoo Japan Corp. 11,055 3,948
Kintetsu Corp. 1,220,190 3,919
Makita Corp. 83,700 3,893
Shizuoka Bank Ltd. 470,000 3,889
Nippon Electric Glass Co. Ltd. 268,500 3,805
NEC Corp. 1,746,400 3,794
Sekisui House Ltd. 400,859 3,741
NGK Insulators Ltd. 208,000 3,717
Shionogi & Co. Ltd. 217,600 3,712
Chugoku Electric Power Co. Inc. 199,100 3,682
Toppan Printing Co. Ltd. 446,000 3,519
Tokyu Corp. 842,000 3,493
* Mitsubishi Motors Corp. 2,837,000 3,484
Kuraray Co. Ltd. 265,500 3,428
Isuzu Motors Ltd. 846,000 3,356
* Yamaha Motor Co. Ltd. 192,400 3,350
Chiba Bank Ltd. 578,000 3,240
Dentsu Inc. 124,800 3,226
Shikoku Electric Power Co. Inc. 116,500 3,171
Teijin Ltd. 699,000 3,127
Mitsubishi Tanabe Pharma Corp. 190,000 3,081
OJI Paper Co. Ltd. 642,000 3,049
Konica Minolta Holdings Inc. 361,000 3,034
Unicharm Corp. 82,300 2,996
Chugai Pharmaceutical Co. Ltd. 171,400 2,948
NTT Data Corp. 951 2,937

 

 

Ibiden Co. Ltd. 92,700 2,934
NSK Ltd. 332,000 2,864
TonenGeneral Sekiyu KK 230,000 2,841
JSR Corp. 141,100 2,830
Mitsubishi Materials Corp. 823,000 2,788
Keio Corp. 463,000 2,767
Electric Power Development Co. Ltd. 89,240 2,751
Hokkaido Electric Power Co. Inc. 140,700 2,733
Toyota Tsusho Corp. 165,393 2,727
Hirose Electric Co. Ltd. 25,300 2,724
Fuji Heavy Industries Ltd. 420,000 2,714
Sumitomo Heavy Industries Ltd. 414,000 2,697
Sega Sammy Holdings Inc. 155,188 2,691
Tobu Railway Co. Ltd. 658,000 2,688
Sumitomo Mitsui Trust Holdings Inc. 730,100 2,586
Sekisui Chemical Co. Ltd. 330,000 2,578
Oriental Land Co. Ltd. 32,200 2,559
Hokuriku Electric Power Co. 112,800 2,556
IHI Corp. 1,043,000 2,542
Keikyu Corp. 349,000 2,513
Nippon Express Co. Ltd. 644,000 2,470
THK Co. Ltd. 97,300 2,438
Mazda Motor Corp. 1,102,000 2,428
Isetan Mitsukoshi Holdings Ltd. 268,340 2,419
Nitori Holdings Co. Ltd. 27,400 2,406
Benesse Holdings Inc. 58,400 2,397
Kurita Water Industries Ltd. 80,400 2,377
Amada Co. Ltd. 281,000 2,347
Lawson Inc. 48,590 2,342
Shimizu Corp. 523,000 2,319
Hisamitsu Pharmaceutical Co. Inc. 57,000 2,298
Obayashi Corp. 517,000 2,293
Dena Co. Ltd. 63,200 2,287
Bank of Kyoto Ltd. 257,000 2,275
Mitsubishi Gas Chemical Co. Inc. 315,000 2,258
Brother Industries Ltd. 151,800 2,229
Santen Pharmaceutical Co. Ltd. 55,300 2,209
JTEKT Corp. 168,400 2,194
Mitsui Chemicals Inc. 617,000 2,190
Sony Financial Holdings Inc. 110,200 2,184
Shimano Inc. 43,000 2,152
Hachijuni Bank Ltd. 373,600 2,152
Advantest Corp. 117,900 2,123
Taisei Corp. 855,000 2,105
Trend Micro Inc. 77,600 2,067
Joyo Bank Ltd. 524,000 2,060
Furukawa Electric Co. Ltd. 509,000 2,057
Sankyo Co. Ltd. 40,100 2,054
Daihatsu Motor Co. Ltd. 140,000 2,041
Fukuoka Financial Group Inc. 487,800 2,028
SBI Holdings Inc. 16,120 2,027
Kyowa Hakko Kirin Co. Ltd. 216,000 2,027
Hiroshima Bank Ltd. 466,200 2,024
Kawasaki Kisen Kaisha Ltd. 543,000 2,006
Toyo Seikan Kaisha Ltd. 122,100 1,999
Japan Steel Works Ltd. 252,513 1,976
Hokuhoku Financial Group Inc. 1,011,100 1,971
Nippon Sheet Glass Co. Ltd. 677,000 1,954

 

 

Credit Saison Co. Ltd. 121,000 1,952
Stanley Electric Co. Ltd. 117,200 1,937
Nissin Foods Holdings Co. Ltd. 54,900 1,933
* Sumco Corp. 94,860 1,908
Ube Industries Ltd. 599,000 1,907
Kajima Corp. 681,000 1,904
TOTO Ltd. 234,000 1,880
Showa Denko KK 934,000 1,879
Gunma Bank Ltd. 354,000 1,877
Jupiter Telecommunications Co. Ltd. 1,857 1,826
Idemitsu Kosan Co. Ltd. 15,609 1,824
NTN Corp. 379,000 1,818
Mitsubishi UFJ Lease & Finance Co. Ltd. 45,230 1,814
Namco Bandai Holdings Inc. 165,100 1,799
Tokyu Land Corp. 411,000 1,787
MEIJI Holdings Co. Ltd. 43,954 1,769
Sysmex Corp. 50,000 1,768
Nippon Paper Group Inc. 82,000 1,747
Yaskawa Electric Corp. 142,000 1,683
* Elpida Memory Inc. 129,189 1,661
Hamamatsu Photonics KK 41,800 1,657
Nishi-Nippon City Bank Ltd. 574,000 1,649
Suruga Bank Ltd. 185,000 1,643
NGK Spark Plug Co. Ltd. 120,000 1,640
Seiko Epson Corp. 100,700 1,616
Fuji Electric Co. Ltd. 505,000 1,595
Nippon Meat Packers Inc. 126,000 1,589
Mitsui Mining & Smelting Co. Ltd. 453,000 1,575
All Nippon Airways Co. Ltd. 526,317 1,570
Keisei Electric Railway Co. Ltd. 274,000 1,570
Yakult Honsha Co. Ltd. 60,900 1,558
Sojitz Corp. 782,500 1,556
GS Yuasa Corp. 233,000 1,551
Casio Computer Co. Ltd. 194,700 1,540
Yamaha Corp. 134,800 1,531
J Front Retailing Co. Ltd. 367,200 1,526
77 Bank Ltd. 299,000 1,506
Tsumura & Co. 47,600 1,495
Konami Corp. 80,800 1,493
Denki Kagaku Kogyo KK 302,000 1,491
FamilyMart Co. Ltd. 39,500 1,483
Mitsui Engineering & Shipbuilding Co. Ltd. 615,000 1,474
Rinnai Corp. 22,200 1,470
Hitachi Construction Machinery Co. Ltd. 58,400 1,462
Shimamura Co. Ltd. 16,600 1,461
Nabtesco Corp. 58,000 1,453
Dowa Holdings Co. Ltd. 232,600 1,448
Showa Shell Sekiyu KK 138,600 1,446
Takashimaya Co. Ltd. 221,860 1,418
NOK Corp. 79,500 1,414
Shimadzu Corp. 157,000 1,394
Aeon Mall Co. Ltd. 64,400 1,381
Sapporo Hokuyo Holdings Inc. 282,900 1,360
Nisshin Seifun Group Inc. 117,400 1,353
Yokogawa Electric Corp. 176,300 1,345
Taiyo Nippon Sanso Corp. 161,000 1,343
Toho Co. Ltd. 93,700 1,343
Sumitomo Rubber Industries Ltd. 130,800 1,332

 

 

Nisshin Steel Co. Ltd. 617,000 1,325
Miraca Holdings Inc. 34,600 1,324
USS Co. Ltd. 16,970 1,321
Nomura Research Institute Ltd. 59,700 1,319
Cosmo Oil Co. Ltd. 423,000 1,312
Mizuho Securities Co. Ltd. 486,000 1,293
Kaneka Corp. 185,000 1,292
Hitachi Metals Ltd. 102,000 1,286
UNY Co. Ltd. 138,500 1,285
Toho Gas Co. Ltd. 247,000 1,273
Ushio Inc. 64,800 1,267
Marui Group Co. Ltd. 195,800 1,266
Toyo Suisan Kaisha Ltd. 58,000 1,259
Kamigumi Co. Ltd. 146,000 1,246
Iyo Bank Ltd. 149,000 1,241
Hitachi Chemical Co. Ltd. 60,900 1,240
Koito Manufacturing Co. Ltd. 76,712 1,232
Citizen Holdings Co. Ltd. 213,500 1,230
Asics Corp. 91,596 1,227
Dainippon Sumitomo Pharma Co. Ltd. 128,500 1,196
Tokyo Tatemono Co. Ltd. 315,000 1,177
Nomura Real Estate Holdings Inc. 77,371 1,172
Chugoku Bank Ltd. 102,000 1,157
NHK Spring Co. Ltd. 116,000 1,149
Yamaguchi Financial Group Inc. 123,000 1,139
Minebea Co. Ltd. 201,000 1,109
Kansai Paint Co. Ltd. 126,000 1,092
Toyoda Gosei Co. Ltd. 50,700 1,059
Tosoh Corp. 287,000 1,032
Suzuken Co. Ltd. 39,160 1,032
Hakuhodo DY Holdings Inc. 19,210 1,013
Air Water Inc. 82,805 1,008
Shinsei Bank Ltd. 834,014 983
Aeon Credit Service Co. Ltd. 69,410 957
Tokuyama Corp. 179,000 956
Daicel Chemical Industries Ltd. 154,000 951
Mitsubishi Logistics Corp. 83,000 929
Oracle Corp. Japan 22,100 921
McDonald's Holdings Co. Japan Ltd. 38,000 919
Daido Steel Co. Ltd. 159,000 905
* Gree Inc. 53,600 898
Otsuka Corp. 13,560 873
Alfresa Holdings Corp. 22,400 860
Kikkoman Corp. 88,000 829
Nissan Chemical Industries Ltd. 79,000 818
Toyota Boshoku Corp. 56,200 809
ABC-Mart Inc. 22,200 808
Chiyoda Corp. 87,809 804
Yamazaki Baking Co. Ltd. 69,000 803
Aozora Bank Ltd. 346,000 782
Hitachi High-Technologies Corp. 38,651 770
MediPal Holdings Corp. 84,700 749
Yamato Kogyo Co. Ltd. 22,000 734
Obic Co. Ltd. 3,830 730
Mizuho Trust & Banking Co. Ltd. 802,000 724
Mabuchi Motor Co. Ltd. 14,900 710
Hino Motors Ltd. 145,000 710
Nisshinbo Holdings Inc. 71,000 689

 

 

Canon Marketing Japan Inc. 53,700 669
Kinden Corp. 72,000 657
Maruichi Steel Tube Ltd. 25,300 626
Tokyo Steel Manufacturing Co. Ltd. 53,300 622
Square Enix Holdings Co. Ltd. 35,600 618
Matsui Securities Co. Ltd. 113,600 618
Fuji Media Holdings Inc. 432 605
Mitsumi Electric Co. Ltd. 43,600 581
Coca-Cola West Co. Ltd. 30,000 571
Sapporo Holdings Ltd. 142,000 530
Senshu Ikeda Holdings Inc. 361,300 490
Ito En Ltd. 28,100 489
Itochu Techno-Solutions Corp. 14,900 482
Shinko Electric Industries Co. Ltd. 30,973 318
    1,606,533
Netherlands (2.7%)    
Unilever NV 1,136,651 35,614
* ING Groep NV 2,683,215 34,060
Koninklijke Philips Electronics NV 688,847 22,066
Koninklijke KPN NV 1,111,116 18,947
ASML Holding NV 305,719 13,595
Akzo Nobel NV 166,196 11,436
Koninklijke Ahold NV 852,030 11,427
Heineken NV 181,968 9,937
* Aegon NV 1,172,992 8,783
TNT NV 273,780 7,030
Koninklijke DSM NV 113,520 6,980
Reed Elsevier NV 486,460 6,276
Wolters Kluwer NV 201,742 4,718
* Randstad Holding NV 84,012 4,677
Fugro NV 48,074 4,240
Heineken Holding NV 83,663 4,018
SBM Offshore NV 123,175 3,576
Corio NV 43,300 3,030
Koninklijke Vopak NV 48,152 2,318
Koninklijke Boskalis Westminster NV 41,075 2,172
Delta Lloyd NV 64,017 1,703
    216,603
New Zealand (0.1%)    
Fletcher Building Ltd. 447,219 3,189
Telecom Corp. of New Zealand Ltd. 1,439,375 2,213
Sky City Entertainment Group Ltd. 527,340 1,359
Auckland International Airport Ltd. 568,589 960
Contact Energy Ltd. 198,348 881
    8,602
Norway (1.0%)    
Statoil ASA 784,952 21,740
Telenor ASA 583,956 9,611
DnB NOR ASA 610,716 9,364
Seadrill Ltd. 202,042 7,305
Yara International ASA 136,852 6,932
Orkla ASA 571,724 5,538
Norsk Hydro ASA 661,655 5,424
Subsea 7 SA 201,767 5,092
Aker Solutions ASA 111,262 2,558

 

 

* Renewable Energy Corp. ASA 403,356 1,417
    74,981
Portugal (0.3%)    
EDP - Energias de Portugal SA 1,391,708 5,418
Portugal Telecom SGPS SA 428,541 4,954
Galp Energia SGPS SA Class B 136,731 2,922
Jeronimo Martins SGPS SA 122,028 1,960
Banco Comercial Portugues SA 2,200,698 1,792
Banco Espirito Santo SA 413,108 1,688
* EDP Renovaveis SA 200,879 1,442
Cimpor Cimentos de Portugal SGPS SA 114,790 830
Brisa Auto-Estradas de Portugal SA 119,537 807
    21,813
Singapore (1.7%)    
DBS Group Holdings Ltd. 1,250,123 14,514
Oversea-Chinese Banking Corp. Ltd. 1,834,300 13,940
Singapore Telecommunications Ltd. 5,738,290 13,740
United Overseas Bank Ltd. 870,504 12,979
Keppel Corp. Ltd. 877,276 8,558
* Genting Singapore plc 4,131,000 6,717
Wilmar International Ltd. 1,285,000 5,557
CapitaLand Ltd. 2,024,000 5,299
Singapore Airlines Ltd. 454,710 4,932
Singapore Exchange Ltd. 718,000 4,469
Noble Group Ltd. 2,548,890 4,323
Fraser and Neave Ltd. 812,650 3,875
Singapore Press Holdings Ltd. 1,229,250 3,840
City Developments Ltd. 399,000 3,645
* Hutchison Port Holdings Trust 3,463,251 3,429
Golden Agri-Resources Ltd. 5,593,831 3,059
Singapore Technologies Engineering Ltd. 1,015,906 2,626
Olam International Ltd. 1,174,200 2,607
SembCorp Industries Ltd. 596,660 2,467
SembCorp Marine Ltd. 503,600 2,335
ComfortDelGro Corp. Ltd. 1,843,000 2,278
Jardine Cycle & Carriage Ltd. 73,037 2,119
Keppel Land Ltd. 554,000 1,972
* Global Logistic Properties Ltd. 1,228,000 1,822
Yangzijiang Shipbuilding Holdings Ltd. 1,185,000 1,702
Cosco Corp. Singapore Ltd. 1,013,000 1,645
UOL Group Ltd. 372,750 1,403
* Neptune Orient Lines Ltd. 509,250 783
StarHub Ltd. 327,000 700
* Golden Agri-Resources Ltd. Warrants Exp. 07/23/2012 236,188 32
    137,367
Spain (3.6%)    
Telefonica SA 2,848,280 71,449
Banco Santander SA 5,749,068 67,058
Banco Bilbao Vizcaya Argentaria SA 2,980,777 36,165
Iberdrola SA 2,646,019 23,009
Repsol YPF SA 513,965 17,616
Inditex SA 139,809 11,219
Abertis Infraestructuras SA 223,947 4,859
Red Electrica Corp. SA 81,453 4,636
Criteria Caixacorp SA 646,051 4,556
Gas Natural SDG SA 229,091 4,302
Ferrovial SA 335,255 4,203

 

 

ACS Actividades de Construccion y Servicios SA 87,587 4,107
Banco Popular Espanol SA 633,456 3,720
Banco de Sabadell SA 734,670 3,215
Iberdrola Renovables SA 685,677 2,959
Enagas SA 106,433 2,403
* Amadeus IT Holding SA 118,567 2,263
Acciona SA 20,468 2,223
Mapfre SA 512,892 1,932
Grifols SA 104,404 1,820
Acerinox SA 86,960 1,716
Bankinter SA 246,575 1,691
* Gestevision Telecinco SA 140,258 1,604
Indra Sistemas SA 77,463 1,554
* International Consolidated Airlines Group SA 368,124 1,355
Zardoya Otis SA 80,028 1,329
Fomento de Construcciones y Contratas SA 37,080 1,226
* International Consolidated Airlines Group SA 323,583 1,178
* Banco de Valencia SA 118,661 531
    285,898
Sweden (3.2%)    
Telefonaktiebolaget LM Ericsson Class B 2,115,974 27,224
Hennes & Mauritz AB Class B 716,694 23,793
Nordea Bank AB 1,833,423 20,059
* Volvo AB Class B 968,869 17,031
TeliaSonera AB 1,644,759 14,215
Sandvik AB 734,211 13,856
Atlas Copco AB Class A 491,309 13,048
Svenska Handelsbanken AB Class A 362,941 11,904
SKF AB 298,741 8,688
Skandinaviska Enskilda Banken AB Class A 965,596 8,606
Swedbank AB Class A 488,883 8,360
Atlas Copco AB Class B 299,213 7,227
Svenska Cellulosa AB Class B 390,978 6,292
Assa Abloy AB Class B 212,559 6,108
Millicom International Cellular SA 60,738 5,809
Skanska AB Class B 271,747 5,721
Alfa Laval AB 263,108 5,715
Swedish Match AB 157,125 5,217
Scania AB Class B 216,050 5,008
Tele2 AB 215,312 4,973
Electrolux AB Class B 190,101 4,897
Getinge AB 168,734 4,160
Hexagon AB Class B 172,844 4,124
Kinnevik Investment AB Class B 174,291 4,060
Boliden AB 184,335 3,966
Ratos AB 91,231 3,604
Securitas AB Class B 283,106 3,368
Modern Times Group AB Class B 35,027 2,658
SSAB AB Class A 154,924 2,449
Husqvarna AB 275,381 2,360
Holmen AB 61,356 2,119
    256,619
Switzerland (7.8%)    
Nestle SA 2,409,045 137,954
Novartis AG 1,474,708 79,857
Roche Holding AG 491,128 70,116
* UBS AG 2,548,787 45,853

 

 

ABB Ltd. 1,528,525 36,704
Credit Suisse Group AG 789,725 33,500
Zurich Financial Services AG 102,000 28,513
Syngenta AG 66,644 21,681
Cie Financiere Richemont SA 365,637 21,083
* Transocean Ltd. 222,768 17,398
Swiss Reinsurance Co. Ltd. 248,719 14,174
Holcim Ltd. 172,585 12,971
Swatch Group AG (Bearer) 22,053 9,731
Swisscom AG 16,959 7,565
Julius Baer Group Ltd. 147,796 6,399
SGS SA 3,478 6,185
Geberit AG 27,392 5,958
Synthes Inc. 40,362 5,451
Givaudan SA 5,337 5,367
Adecco SA 79,723 5,233
Kuehne & Nagel International AG 36,653 5,124
Schindler Holding AG (Bearer) 35,602 4,278
* Actelion Ltd. 73,093 4,203
Swiss Life Holding AG 23,754 3,919
Sika AG 1,342 3,225
Baloise Holding AG 32,458 3,211
* GAM Holding AG 166,295 3,155
Lonza Group AG 37,443 3,135
Sonova Holding AG 33,850 3,009
Lindt & Spruengli AG 84 2,728
Swatch Group AG (Registered) 33,910 2,689
Aryzta AG 50,907 2,600
* Logitech International SA 130,565 2,353
Lindt & Spruengli AG 683 1,971
Straumann Holding AG 7,091 1,820
Schindler Holding AG (Registered) 12,186 1,472
Aryzta AG 14,448 726
    621,311
United Kingdom (21.4%)    
HSBC Holdings plc 12,318,150 127,236
Vodafone Group plc 36,348,180 103,586
BP plc 13,084,476 96,133
Royal Dutch Shell plc Class A 2,299,957 83,428
Rio Tinto plc 1,007,651 71,240
GlaxoSmithKline plc 3,623,529 69,046
Royal Dutch Shell plc Class B 1,876,793 68,154
BHP Billiton plc 1,531,198 60,622
BG Group plc 2,358,842 58,560
British American Tobacco plc 1,391,317 55,789
Anglo American plc 917,323 47,137
AstraZeneca plc 989,224 45,448
Standard Chartered plc 1,629,260 42,261
Barclays plc 8,001,923 35,929
Tesco plc 5,536,970 33,824
Xstrata plc 1,427,437 33,305
Diageo plc 1,746,448 33,197
Unilever plc 897,798 27,351
* Lloyds Banking Group plc 28,282,322 26,280
SABMiller plc 666,217 23,577
National Grid plc 2,426,363 23,082
Imperial Tobacco Group plc 712,561 21,987

 

 

Reckitt Benckiser Group plc 421,147 21,618
Prudential plc 1,770,263 20,048
Centrica plc 3,522,138 18,367
BT Group plc 5,482,086 16,290
Tullow Oil plc 625,170 14,507
Aviva plc 1,948,944 13,524
Scottish & Southern Energy plc 645,085 13,052
Rolls-Royce Group plc 1,313,317 13,022
BAE Systems plc 2,391,051 12,461
Shire plc 400,523 11,626
Compass Group plc 1,280,522 11,510
British Sky Broadcasting Group plc 818,647 10,844
WPP plc 870,631 10,730
Pearson plc 576,186 10,179
Experian plc 724,372 8,968
Old Mutual plc 3,946,708 8,598
* Royal Bank of Scotland Group plc 12,456,936 8,172
ARM Holdings plc 875,626 8,125
Legal & General Group plc 4,252,713 7,851
Reed Elsevier plc 875,184 7,576
* Cairn Energy plc 999,885 7,409
Smith & Nephew plc 635,427 7,160
Kingfisher plc 1,712,334 6,746
* Wolseley plc 199,036 6,700
Land Securities Group plc 561,872 6,604
WM Morrison Supermarkets plc 1,400,776 6,196
Royal Dutch Shell plc Class A 167,144 6,080
Marks & Spencer Group plc 1,086,063 5,863
Antofagasta plc 268,799 5,860
Smiths Group plc 280,109 5,821
British Land Co. plc 647,732 5,741
Burberry Group plc 304,185 5,729
Standard Life plc 1,663,868 5,513
International Power plc 1,086,947 5,369
Capita Group plc 443,302 5,284
Resolution Ltd. 1,097,558 5,205
Man Group plc 1,278,875 5,039
RSA Insurance Group plc 2,326,869 4,903
Carnival plc 123,312 4,851
J Sainsbury plc 896,256 4,815
Aggreko plc 187,270 4,730
United Utilities Group plc 497,257 4,715
* Randgold Resources Ltd. 58,344 4,714
AMEC plc 245,678 4,699
Johnson Matthey plc 153,312 4,571
Petrofac Ltd. 188,223 4,498
Sage Group plc 972,388 4,338
Severn Trent plc 180,198 4,221
Associated British Foods plc 257,812 4,102
Next plc 126,601 4,017
Hammerson plc 542,479 3,889
Intercontinental Hotels Group plc 187,859 3,850
Weir Group plc 136,708 3,793
* Autonomy Corp. plc 144,448 3,681
G4S plc 888,283 3,635
ICAP plc 425,883 3,604
Admiral Group plc 144,439 3,598
3i Group plc 722,550 3,464

 

 

* ITV plc 2,773,911 3,439
Rexam plc 586,607 3,420
Intertek Group plc 104,649 3,415
Invensys plc 598,358 3,312
Lonmin plc 114,906 3,137
Kazakhmys plc 137,923 3,080
Whitbread plc 115,614 3,058
Fresnillo plc 123,024 3,041
Vedanta Resources plc 79,049 3,013
Cobham plc 815,418 3,013
Segro plc 573,105 2,955
Bunzl plc 244,367 2,917
Serco Group plc 320,177 2,866
Inmarsat plc 284,494 2,753
Investec plc 358,166 2,740
Eurasian Natural Resources Corp. plc 173,772 2,608
Capital Shopping Centres Group plc 421,276 2,588
Schroders plc 88,041 2,453
Balfour Beatty plc 443,462 2,443
Babcock International Group plc 229,350 2,283
Thomas Cook Group plc 688,619 1,881
* Essar Energy plc 244,619 1,858
Home Retail Group plc 511,448 1,584
London Stock Exchange Group plc 115,600 1,544
Firstgroup plc 276,599 1,446
Cable & Wireless Worldwide plc 1,569,901 1,320
TUI Travel plc 319,242 1,161
    1,694,575
Total Investments (99.9%) (Cost $7,291,176)   7,913,860
Other Assets and Liabilities-Net (0.1%)   4,136
Net Assets (100%)   7,917,996

 

* Non-income-producing security.
ADR—American Depositary Receipt.

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 affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as

 

unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

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

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

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 7,968 7,905,892 —
Total 7,968 7,905,892 —

 

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended March 31, 2011:

  Investments in
  Common Stocks
Amount valued based on Level 3 Inputs ($000)
Balance as of (December 31, 2010) 75
Change in Unrealized Appreciation (Depreciation) (75)
Balance as of (March 31, 2011) —

 

D. At March 31, 2011, the cost of investment securities for tax purposes was $7,291,176,000. Net unrealized appreciation of investment securities for tax purposes was $622,684,000, consisting of unrealized gains of $1,156,994,000 on securities that had risen in value since their purchase and $534,310,000 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 TAX-MANAGED FUNDS
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: May 19, 2011

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

  VANGUARD TAX-MANAGED FUNDS
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: May 19, 2011

  VANGUARD TAX-MANAGED FUNDS
 
By:  /s/ THOMAS J. HIGGINS* 
  THOMAS J. HIGGINS 
  CHIEF FINANCIAL OFFICER 
 
Date: May 19, 2011

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683, Incorporated by Reference.