0000932471-17-005002.txt : 20170825 0000932471-17-005002.hdr.sgml : 20170825 20170825100903 ACCESSION NUMBER: 0000932471-17-005002 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 21 CONFORMED PERIOD OF REPORT: 20170630 FILED AS OF DATE: 20170825 DATE AS OF CHANGE: 20170825 EFFECTIVENESS DATE: 20170825 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD TAX-MANAGED FUNDS CENTRAL INDEX KEY: 0000923202 IRS NUMBER: 000000000 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07175 FILM NUMBER: 171050657 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106691000 MAIL ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD TAX MANAGED FUNDS DATE OF NAME CHANGE: 20011121 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD TAX-MANAGED FUNDS DATE OF NAME CHANGE: 20011121 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD TAX MANAGED FUND INC DATE OF NAME CHANGE: 19940517 0000923202 S000004383 Vanguard Tax-Managed Balanced Fund C000012133 Admiral Shares VTMFX 0000923202 S000004384 Vanguard Tax-Managed Capital Appreciation Fund C000012135 Admiral Shares VTCLX C000012136 Institutional Shares VTCIX 0000923202 S000004386 Vanguard Developed Markets Index Fund C000012140 Admiral Shares VTMGX C000012141 Institutional Shares VTMNX C000051262 ETF Shares VEA C000135477 Institutional Plus Shares VDIPX C000135478 Investor Shares VDVIX 0000923202 S000004387 Vanguard Tax-Managed Small-Cap Fund C000012142 Admiral Shares VTMSX C000012143 Institutional Shares VTSIX N-CSRS 1 taxmanaged_final.htm taxmanaged_final.htm - Generated by SEC Publisher for SEC Filing

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

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:

Anne E. Robinson, Esquire
  P.O. Box 876
  Valley Forge, PA 19482

 

Registrant’s telephone number, including area code: (610) 669-1000

 

Date of fiscal year end: December 31

 

Date of reporting period: January 1, 2017 – June 30, 2017

 

Item 1: Reports to Shareholders

 



Semiannual Report | June 30, 2017

Vanguard Tax-Managed Funds®

Vanguard Tax-Managed Balanced Fund

Vanguard Tax-Managed Capital Appreciation Fund

Vanguard Tax-Managed Small-Cap Fund


 

A new format, unwavering commitment

As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.

Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.

In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.

We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.

At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.

Contents  
Your Fund’s Performance at a Glance. 1
Chairman’s Perspective. 3
Tax-Managed Balanced Fund. 7
Tax-Managed Capital Appreciation Fund. 85
Tax-Managed Small-Cap Fund. 105
About Your Fund’s Expenses. 124
Trustees Approve Advisory Arrangements. 126
Glossary. 128

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises
or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this
report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: No matter what language you speak, Vanguard has one consistent message and set of
principles. Our primary focus is on you, our clients. We conduct our business with integrity as a faithful steward
of your assets. This message is shown translated into seven languages, reflecting our expanding global
presence.


 

Your Fund’s Performance at a Glance

• For the six months ended June 30, 2017, returns for Vanguard Tax-Managed Funds ranged from less than 3% for the Small-Cap Fund to more than 9% for the Capital Appreciation Fund. The return for the Balanced Fund, which includes both stocks and municipal bonds, fell in between at about 6%.

• Returns for all three funds were generally in line with those of their benchmark indexes.

The Capital Appreciation Fund’s result exceeded the average return of its peers. Both the Small-Cap and Balanced Funds lagged the average returns of their peers.

• The broad U.S. stock and bond markets advanced amid investors’ optimism about the prospects for global economic growth. Municipal bonds also notched a healthy advance. Among the industry sectors that make up the stock market, health care and technology shares surged, while energy stocks tumbled.

Total Returns: Six Months Ended June 30, 2017  
  Total
  Returns
Vanguard Tax-Managed Balanced Fund 6.11%
Tax-Managed Balanced Composite Index 6.24
Mixed-Asset Target Allocation Moderate Funds Average 6.32
For a benchmark description, see the Glossary.  
Mixed-Asset Target Allocation Moderate Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.  
 
Vanguard Tax-Managed Capital Appreciation Fund  
Admiral™ Shares 9.59%
Institutional Shares 9.60
Russell 1000 Index 9.27
Multi-Cap Core Funds Average 8.35
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.  
 
Vanguard Tax-Managed Small-Cap Fund  
Admiral Shares 2.65%
Institutional Shares 2.66
S&P SmallCap 600 Index 2.79
Small-Cap Core Funds Average 3.44

 

Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares
are available to certain institutional investors who meet specific administrative, service, and account-size criteria.

1


 

Expense Ratios      
Your Fund Compared With Its Peer Group      
 
  Admiral Institutional Peer Group
  Shares Shares Average
Tax-Managed Balanced Fund 0.09% 0.86%
Tax-Managed Capital Appreciation Fund 0.09 0.06% 1.12
Tax-Managed Small-Cap Fund 0.09 0.06 1.24

 

The fund expense ratios shown are from the prospectus dated April 26, 2017, and represent estimated costs for the current fiscal year. For
the six months ended June 30, 2017, the funds’ annualized expense ratios were: for the Tax-Managed Balanced Fund, 0.09%; for the
Tax-Managed Capital Appreciation Fund, 0.09% for Admiral Shares and 0.06% for Institutional Shares; and for the Tax-Managed
Small-Cap Fund, 0.09% for Admiral Shares and 0.06% for Institutional Shares. Peer-group expense ratios are derived from data provided
by Lipper, a Thomson Reuters Company, and capture information through year-end 2016.

Peer groups: For the Tax-Managed Balanced Fund, Mixed-Asset Target Allocation Moderate Funds; for the Tax-Managed Capital
Appreciation Fund, Multi-Cap Core Funds; and for the Tax-Managed Small-Cap Fund, Small-Cap Core Funds.

2


 

Chairman’s Perspective


Bill McNabb
Chairman and Chief Executive Officer

Dear Shareholder,

More than a decade ago, the eminent investor and commentator Howard Marks published a memo to his clients titled simply “Risk.” In it, Howard distilled the relationship between investors and risk. “When you boil it all down, it’s the investor’s job to intelligently bear risk for profit,” he wrote.

It’s not surprising, then, that everyone from portfolio managers to behavioral economists avidly studies how investors’ reactions to risk influence not only individual investment decisions but also the broader financial markets. I’m a big fan of some of the behavioral finance work being done, which includes studies by our own investment strategists and analysts.

A lens on investor behavior

For example, Vanguard’s Investment Strategy Group introduced a “risk speedometers” report in January to look at how investors are reacting to market developments. This lens on real-world behavior measures the risk investors are taking in a given period by calculating the difference between net cash flows into higher-risk assets, such as stocks, and net cash flows into lower-risk assets, such as Treasuries. The measures are then compared with long-term averages.

In the spring, the risk speedometer spiked. The spike was fueled by investors’ decisions to direct more of their equity

3


 

dollars to international investments in developed and emerging markets, and their bond dollars to riskier credit categories.

A spiking speedometer seems a fitting analogy for what can happen. I consider myself a responsible driver. Still, when the highway is clear and the weather is nice, I might glance down at the speedometer and find that my right foot has gotten a little heavy.

The same phenomenon is possible with our investment portfolios. Just as our attention can drift from our speed—and the risk level on the road—we can neglect the risk level of our portfolio’s asset allocation. Experience teaches that investors are especially prone to lose sight of risk when markets have been buoyant.

How I manage risk in my own portfolio

Rebalancing—periodically adjusting your asset allocation so it stays in line with your goals and risk tolerance—is one of the best ways I know of to help manage risk. Without rebalancing, your portfolio may end up potentially riskier than you intended and no longer aligned with your goals.

I have a ritual I perform every June and again each December, between Christmas and New Year’s, as I prepare for a series of annual meetings with the Vanguard crew. I’ll set aside some time, review my

Market Barometer      
      Total Returns
    Periods Ended June 30, 2017
      Five Years
  Six Months One Year (Annualized)
Stocks      
Russell 1000 Index (Large-caps) 9.27% 18.03% 14.67%
Russell 2000 Index (Small-caps) 4.99 24.60 13.70
Russell 3000 Index (Broad U.S. market) 8.93 18.51 14.58
FTSE All-World ex US Index (International) 13.95 20.53 7.68
 
Bonds      
Bloomberg Barclays U.S. Aggregate Bond Index      
(Broad taxable market) 2.27% -0.31% 2.21%
Bloomberg Barclays Municipal Bond Index      
(Broad tax-exempt market) 3.57 -0.49 3.26
Citigroup Three-Month U.S. Treasury Bill Index 0.30 0.46 0.13
 
CPI      
Consumer Price Index 1.46% 1.63% 1.31%

 

4


 

investment portfolio, and, if necessary, rebalance back to my target asset allocation.

My own portfolio is a mix of equity and fixed income funds, and I invest in both actively managed funds and index funds. Most years, I’ll make a minor adjustment to get back to the appropriate asset allocation for my own longer-term goals and risk tolerance. It’s not all that complicated, although my portfolio is a little more complex than some because I own more funds than we’d typically suggest. As chairman of Vanguard’s funds, I feel I should own a significant number of them.

Consider your options

You should consider rebalancing if your target allocation is off by 5 percentage points or more. Admittedly, this is often easier said than done. When an investment has performed exceptionally well, people have a hard time trimming it. They can be led astray by that old (and none-too-helpful) investing saw: Let your winners run.

Fortunately, in recent years we’ve seen all sorts of investors take steps to rebalance. Many of the endowments, foundations, and traditional pension plans that Vanguard serves have good processes built into their investment guidelines to make sure rebalancing takes place on a regular basis. And among investors in defined contribution retirement plans, more and more are using target-date funds, where rebalancing happens automatically.

If you choose to rebalance on your own, use your target asset allocation as your guidepost. Don’t be afraid to buy into bad news. In a sense, don’t worry about the noise of the marketplace. If you work with an advisor, make sure he or she understands the importance you place on your rebalancing ritual.

And remember, the goal of rebalancing is to manage risk, not to avoid it altogether. Risk is inherent in investing—we just want to bear that risk intelligently.

In that insightful memo on risk, Howard Marks included a saying often attributed to Will Rogers: “You’ve got to go out on a limb sometimes because that’s where the fruit is.”

Tim Buckley chosen as Vanguard’s next CEO

In closing, I’ll note senior leadership changes that we announced in July. Our board of directors has elected Vanguard Chief Investment Officer Tim Buckley as president and director of Vanguard. Under the planned transition, Tim will succeed me as Vanguard’s chief executive officer on January 1, 2018.

I’m delighted with our board’s selection of Tim. We first met in 1991 when Tim was interviewing for a job at Vanguard. In the decades since, we’ve worked closely together, and he’s always impressed me as a man of tremendous character and an outstanding leader with a passion for serving our clients. During the transition

5


 

period, I will work closely with Tim in managing the firm and overseeing its operations.

Replacing Tim as chief investment officer is Greg Davis, who had been global head of Vanguard Fixed Income Group. And succeeding Greg as our fixed income leader is John Hollyer, who most recently served as our global head of investment risk management. I know Greg and John will both do a superb job in their new roles.

As with past successions, I will remain as chairman for a period of time determined by the board. On a personal note, it has been an honor and a privilege to lead Vanguard. Having spent more than half

my life at Vanguard, I have come to know many fabulous crew members who are incredibly dedicated to Vanguard’s mission. Please be assured that Tim and the rest of the team will serve you and our other clients extremely well as Vanguard prepares for its next chapter.

As always, thank you for investing with Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
July 14, 2017

Vanguard fund shareholders encouraged to vote in proxy campaign
 
This summer you will be asked to vote on the election of trustees for all U.S.-domiciled
Vanguard funds. Shareholders will also be asked to vote on several fund policy proposals
that we believe are in the best interests of all shareholders.
 
Vanguard filed a preliminary proxy statement on July 13, 2017, with the U.S. Securities and
Exchange Commission (SEC). Following the SEC’s review, we expect to provide the proxy
materials to Vanguard fund shareholders beginning in late August 2017. That’s when you
can begin to vote online, by phone, or by mail.
 
A shareholder meeting is scheduled to be held in Scottsdale, Arizona, on November 15,
2017, when voting will conclude. We encourage you to vote promptly. Please visit
vanguard.com for updates.

 

6


 

Tax-Managed Balanced Fund

Fund Profile
As of June 30, 2017

Equity and Portfolio Characteristics  
      DJ
    Russell U.S. Total
    1000 Market
  Fund Index FA Index
Number of Stocks 941 990 3,800
Median Market Cap $68.3B $70.2B $59.8B
Price/Earnings Ratio 21.5x 21.3x 21.2x
Price/Book Ratio 2.9x 3.0x 2.9x
Return on Equity 22.9% 22.5% 16.3%
Earnings Growth Rate 8.7% 8.3% 10.0%
Dividend Yield 1.7% 1.9% 1.8%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate      
(Annualized) 8%
Ticker Symbol VTMFX
Expense Ratio1 0.09%
30-Day SEC Yield 1.76%
Short-Term Reserves 0.0%

 

Fixed Income Characteristics  
 
    Bloomberg Bloomberg
    Barclays Barclays
    1-15 Year Municipal
    Municipal Bond
  Fund Index Index
 
Number of Bonds 1,681 40,686 50,607
 
Yield to Maturity      
(before expenses) 2.0% 1.9% 2.3%
 
Average Coupon 4.5% 4.8% 4.7%
 
Average Duration 5.1 years 4.8 years 6.3 years
 
Average Stated      
Maturity 8.0 years 7.9 years 12.9 years

 

Total Fund Volatility Measures  
    DJ
  Tax-Managed U.S. Total
  Balanced Market
  Comp Index FA Index
R-Squared 1.00 0.89
Beta 0.96 0.43
These measures show the degree and timing of the fund’s
fluctuations compared with the indexes over 36 months.

 

Ten Largest Stocks (% of equity portfolio)  
Apple Inc. Computer  
  Technology 3.3%
Alphabet Inc. Computer Services  
  Software & Systems 2.3
Microsoft Corp. Computer Services  
  Software & Systems 2.2
Amazon.com Inc. Diversified Retail 1.6
Johnson & Johnson Pharmaceuticals 1.5
Exxon Mobil Corp. Oil: Integrated 1.4
Facebook Inc. Computer Services  
  Software & Systems 1.4
Berkshire Hathaway Inc. Insurance: Multi-Line 1.4
JPMorgan Chase & Co. Diversified Financial  
  Services 1.4
Wells Fargo & Co. Banks: Diversified 1.0
Top Ten   17.5%
Top Ten as % of Total Net Assets 8.5%
The holdings listed exclude any temporary cash investments and
equity index products.    

 

Fund Asset Allocation


1 The expense ratio shown is from the prospectus dated April 26, 2017, and represents estimated costs for the current fiscal year. For the
six months ended June 30, 2017, the annualized expense ratio was 0.09%.

7


 

Tax-Managed Balanced Fund

Sector Diversification (% of equity exposure)
      DJ
    Russell U.S. Total
    1000 Market
  Fund Index FA Index
Consumer      
Discretionary 14.1% 13.9% 13.9%
Consumer Staples 7.6 7.5 7.1
Energy 5.6 5.8 5.6
Financial Services 20.8 20.8 21.2
Health Care 13.8 13.8 13.8
Materials &      
Processing 3.6 3.7 3.9
Other 0.0 0.0 0.2
Producer Durables 11.1 10.7 11.0
Technology 18.2 18.6 18.2
Utilities 5.2 5.2 5.1

 

Distribution by Credit Quality (% of fixed  
income portfolio)  
AAA 24.7%
AA 49.3
A 17.2
BBB 7.5
BB 0.2
B 0.3
Not Rated 0.8

Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to
classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit
Quality.

Equity Investment Focus


Fixed Income Investment Focus

 
 
 
 
 
 
 
 
 
Distribution by Stated Maturity  
(% of fixed income portfolio)  
Under 1 Year 9.4%
1 - 3 Years 12.1
3 - 5 Years 11.6
5 - 10 Years 27.4
10 - 20 Years 38.5
20 - 30 Years 0.8
Over 30 Years 0.2

 

Largest Area Concentrations (% of fixed  
income portfolio)  
New York 16.2%
California 13.6
Texas 9.0
Illinois 4.9
Maryland 4.4
Pennsylvania 4.2
Florida 3.8
Massachusetts 3.7
Michigan 3.1
Arizona 3.1
Top Ten 66.0%
"Largest Area Concentration" figures exclude any fixed income
futures contracts.  

 

8


 

Tax-Managed Balanced Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Fiscal-Year Total Returns (%): December 31, 2006, Through June 30, 2017


For a benchmark description, see the Glossary.
Note: For 2017, performance data reflect the six months ended June 30, 2017.

Average Annual Total Returns: Periods Ended June 30, 2017      
        Ten Years
  Inception Date One Year Five Years Income Capital Total
Admiral Shares 9/6/1994 8.24% 8.58% 2.56% 3.62% 6.18%

 

See Financial Highlights for dividend and capital gains information.

9


 

Tax-Managed Balanced Fund

Financial Statements (unaudited)

Statement of Net Assets
As of June 30, 2017

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

      Market
      Value
    Shares ($000)
Common Stocks (48.0%)    
Consumer Discretionary (6.8%)  
* Amazon.com Inc. 27,772 26,883
  Home Depot Inc. 87,099 13,361
  Comcast Corp. Class A 333,489 12,979
  Walt Disney Co. 112,466 11,950
  McDonald’s Corp. 59,574 9,124
  Wal-Mart Stores Inc. 105,249 7,965
* Priceline Group Inc. 3,715 6,949
  NIKE Inc. Class B 93,628 5,524
  Starbucks Corp. 94,623 5,517
  Time Warner Inc. 52,161 5,237
  Costco Wholesale Corp. 30,493 4,877
* Charter Communications    
  Inc. Class A 13,541 4,561
  Lowe’s Cos. Inc. 58,497 4,535
* Netflix Inc. 28,924 4,322
* Tesla Inc. 9,678 3,500
* eBay Inc. 97,549 3,406
  General Motors Co. 91,500 3,196
  TJX Cos. Inc. 42,186 3,045
  Marriott International Inc.    
  Class A 29,328 2,942
  Ford Motor Co. 247,200 2,766
  CBS Corp. Class B 42,313 2,699
  Newell Brands Inc. 46,696 2,504
  Twenty-First Century Fox    
  Inc. Class A 76,951 2,181
* Mohawk Industries Inc. 8,456 2,044
  Ross Stores Inc. 33,108 1,911
* O’Reilly Automotive Inc. 8,532 1,866
  Domino’s Pizza Inc. 8,620 1,823
* Dollar Tree Inc. 25,853 1,808
  Estee Lauder Cos. Inc.    
  Class A 17,818 1,710
  Yum! Brands Inc. 23,005 1,697
  MGM Resorts    
  International 54,205 1,696
  Royal Caribbean Cruises    
  Ltd. 15,347 1,676
  Expedia Inc. 11,176 1,665
* AutoZone Inc. 2,860 1,632
  Sirius XM Holdings Inc. 296,568 1,622
  Dollar General Corp. 22,000 1,586
* NVR Inc. 643 1,550
  VF Corp. 26,400 1,521
* DISH Network Corp.    
  Class A 24,218 1,520
  Carnival Corp. 23,150 1,518
  Lear Corp. 10,000 1,421
* Ulta Beauty Inc. 4,451 1,279
  Thor Industries Inc. 12,100 1,265
  Fortune Brands Home    
  & Security Inc. 19,125 1,248
* Visteon Corp. 12,191 1,244
  DR Horton Inc. 35,942 1,243
* Yum China Holdings Inc. 31,485 1,241
  Lennar Corp. Class A 22,903 1,221
  Las Vegas Sands Corp. 19,100 1,220
  Target Corp. 23,167 1,211
* Live Nation Entertainment    
  Inc. 34,474 1,201
  Coach Inc. 24,420 1,156
  Wyndham Worldwide Corp. 11,500 1,155
* WABCO Holdings Inc. 8,944 1,140
* LKQ Corp. 31,412 1,035
  News Corp. Class A 74,867 1,026
  PVH Corp. 8,403 962
  Advance Auto Parts Inc. 8,204 957
  Hilton Worldwide Holdings    
  Inc. 15,350 949
  Service Corp. International 28,000 937
  Delphi Automotive plc 10,593 928
  Gentex Corp. 48,470 919
* Panera Bread Co. Class A 2,868 902
* Madison Square Garden    
  Co. Class A 4,462 879

 

10


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
  Best Buy Co. Inc. 15,300 877
* Discovery    
  Communications Inc. 33,536 845
* ServiceMaster Global    
  Holdings Inc. 21,547 844
  Wendy’s Co. 54,370 843
  Hanesbrands Inc. 36,400 843
* Liberty Media Corp-Liberty    
  SiriusXM Class C 19,834 827
  Dunkin’ Brands Group Inc. 14,492 799
* Chipotle Mexican Grill Inc.    
  Class A 1,897 789
  Twenty-First Century Fox    
  Inc. 27,500 766
* Liberty Media Corp-Liberty    
  SiriusXM Class A 18,067 758
* CarMax Inc. 11,471 723
  Omnicom Group Inc. 8,579 711
  Tractor Supply Co. 12,514 678
  Wynn Resorts Ltd. 4,991 669
  Harley-Davidson Inc. 12,290 664
  Scripps Networks    
  Interactive Inc. Class A 9,268 633
* Lions Gate Entertainment    
  Corp. Class B 22,981 604
* Lululemon Athletica Inc. 9,897 591
* Liberty Broadband Corp. 6,696 581
  Vail Resorts Inc. 2,700 548
* Liberty Expedia Holdings    
  Inc. Class A 9,385 507
* Under Armour Inc. Class A 22,325 486
  Coty Inc. Class A 25,652 481
  Polaris Industries Inc. 5,200 480
  John Wiley & Sons Inc.    
  Class A 9,018 476
  Viacom Inc. Class A 12,501 476
  Hasbro Inc. 4,200 468
  Macy’s Inc. 19,394 451
  Kohl’s Corp. 11,385 440
* Hilton Grand Vacations Inc. 12,150 438
  Dillard’s Inc. Class A 7,453 430
* Liberty Broadband Corp.    
  Class A 4,986 428
  Gap Inc. 17,685 389
* Liberty Ventures Class A 7,306 382
  BorgWarner Inc. 8,952 379
  Adient plc 5,647 369
  Brinker International Inc. 9,637 367
  Viacom Inc. Class B 10,924 367
  Darden Restaurants Inc. 3,980 360
* Liberty Interactive Corp.    
  QVC Group Class A 14,477 355
  Tiffany & Co. 3,500 329
  Whirlpool Corp. 1,708 327
  Bed Bath & Beyond Inc. 10,100 307
  Nielsen Holdings plc 7,928 306
  Genuine Parts Co. 3,203 297
* TripAdvisor Inc. 7,716 295
  Foot Locker Inc. 5,700 281
  Signet Jewelers Ltd. 4,400 278
* Hertz Global Holdings Inc. 23,464 270
* Murphy USA Inc. 3,558 264
* AutoNation Inc. 6,246 263
  Nordstrom Inc. 5,400 258
  AMERCO 697 255
* Skechers U. S. A. Inc.    
  Class A 8,479 250
* Kate Spade & Co. 13,427 248
* Norwegian Cruise Line    
  Holdings Ltd. 4,453 242
  Aramark 5,698 234
  Ralph Lauren Corp.    
  Class A 3,073 227
  Interpublic Group of    
  Cos. Inc. 8,883 219
  Goodyear Tire & Rubber    
  Co. 5,972 209
* Fitbit Inc. Class A 37,908 201
  Williams-Sonoma Inc. 4,000 194
* Burlington Stores Inc. 2,100 193
  Lions Gate Entertainment    
  Corp. Class A 6,652 188
* JC Penney Co. Inc. 39,791 185
* Discovery Communications    
  Inc. Class A 6,841 177
* Vista Outdoor Inc. 7,611 171
* Under Armour Inc. 7,869 159
  PulteGroup Inc. 6,000 147
* Cabela’s Inc. 2,238 133
  Leggett & Platt Inc. 2,300 121
* Pandora Media Inc. 12,646 113
* Sally Beauty Holdings Inc. 5,500 111
* Urban Outfitters Inc. 5,711 106
  Penske Automotive    
  Group Inc. 2,200 97
  Toll Brothers Inc. 2,401 95
* Avis Budget Group Inc. 3,466 95
* Hyatt Hotels Corp.    
  Class A 1,644 92
  KAR Auction Services Inc. 2,200 92
* Michaels Cos. Inc. 4,823 89
* AMC Networks Inc.    
  Class A 1,653 88
* Michael Kors Holdings Ltd. 2,372 86
* Bright Horizons Family    
  Solutions Inc. 993 77
  Garmin Ltd. 1,500 77
  Dick’s Sporting Goods Inc. 1,800 72

 

11


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
* Wayfair Inc. 868 67
  L Brands Inc. 1,217 66
* Tempur Sealy    
  International Inc. 1,003 54
  H&R Block Inc. 1,700 53
* Cars.com Inc. 1,570 42
* Liberty Media Corp-Liberty    
  Formula One Class A 1,168 41
* Liberty Media Corp-Liberty    
  Formula One 1,114 41
* Floor & Decor Holdings    
  Inc. Class A 1,039 41
  Clear Channel Outdoor    
  Holdings Inc. Class A 7,857 38
  Mattel Inc. 1,682 36
  Carter’s Inc. 400 36
  Lennar Corp. Class B 680 31
* Altice USA Inc. Class A 789 25
      237,818
Consumer Staples (3.7%)    
  Procter & Gamble Co. 183,419 15,985
  Philip Morris    
  International Inc. 116,249 13,653
  Coca-Cola Co. 280,264 12,570
  PepsiCo Inc. 93,364 10,783
  Altria Group Inc. 141,180 10,514
  CVS Health Corp. 75,992 6,114
  Colgate-Palmolive Co. 64,670 4,794
  Mondelez    
  International Inc.    
  Class A 109,437 4,727
  Walgreens Boots    
  Alliance Inc. 58,078 4,548
  Reynolds American Inc. 59,091 3,843
  Kraft Heinz Co. 39,259 3,362
  Kimberly-Clark Corp. 22,121 2,856
  Constellation Brands Inc.    
  Class A 12,887 2,497
* Monster Beverage Corp. 49,597 2,464
  General Mills Inc. 31,466 1,743
  Tyson Foods Inc. Class A 27,747 1,738
  Dr Pepper Snapple    
  Group Inc. 16,632 1,515
* Herbalife Ltd. 20,965 1,495
  Archer-Daniels-Midland Co. 35,973  1,489
  Sysco Corp. 28,697 1,444
  Hershey Co. 13,200 1,417
  Kroger Co. 58,600 1,367
  Church & Dwight Co. Inc. 25,710 1,334
  Clorox Co. 10,000 1,332
  McCormick & Co. Inc. 13,147 1,282
  Molson Coors Brewing Co.    
  Class B 14,200 1,226
  Ingredion Inc. 9,686 1,155
  JM Smucker Co. 9,651 1,142
  Brown-Forman Corp.    
  Class B 23,276 1,131
  Hormel Foods Corp. 30,684 1,047
* Edgewell Personal Care Co. 11,563 879
* US Foods Holding Corp. 31,177 849
  Kellogg Co. 11,075 769
* Blue Buffalo Pet    
  Products Inc. 32,717 746
  Whole Foods Market Inc. 16,000 674
  Conagra Brands Inc. 18,122 648
  Bunge Ltd. 7,914 590
* Hain Celestial Group Inc. 9,125 354
  Energizer Holdings Inc. 6,965 334
  Campbell Soup Co. 5,817 303
* Post Holdings Inc. 3,715 289
* Sprouts Farmers    
  Market Inc. 12,202 277
  Lamb Weston    
  Holdings Inc. 5,600 247
* Pilgrim’s Pride Corp. 8,962 196
* TreeHouse Foods Inc. 2,274 186
  Pinnacle Foods Inc. 2,000 119
* Rite Aid Corp. 35,470 105
  Flowers Foods Inc. 4,800 83
  Casey’s General    
  Stores Inc. 200 21
* AquaBounty    
  Technologies Inc. 69 1
      128,237
Energy (2.7%)    
  Exxon Mobil Corp. 301,915 24,374
  Chevron Corp. 135,132 14,098
  Schlumberger Ltd. 100,467 6,615
  ConocoPhillips 84,912 3,733
  EOG Resources Inc. 36,156 3,273
  Phillips 66 33,106 2,738
  Halliburton Co. 59,825 2,555
  Kinder Morgan Inc. 126,000 2,414
  Valero Energy Corp. 31,400 2,118
* Concho Resources Inc. 16,722 2,032
  Pioneer Natural    
  Resources Co. 11,839 1,889
  Marathon Petroleum Corp. 34,482 1,804
  Occidental Petroleum Corp. 25,966 1,555
  Anadarko Petroleum Corp. 33,792 1,532
  Baker Hughes Inc. 26,850 1,464
  Williams Cos. Inc. 48,200 1,460
  Apache Corp. 25,638 1,229
  Tesoro Corp. 11,100 1,039
  Devon Energy Corp. 31,554 1,009
  Cimarex Energy Co. 9,876 928
* Cheniere Energy Inc. 17,788 866
* Continental Resources Inc. 26,733 864

 

12


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
* Newfield Exploration Co. 29,590 842
  EQT Corp. 13,897 814
  Noble Energy Inc. 28,498 806
  Cabot Oil & Gas Corp. 31,004 778
  Hess Corp. 16,730 734
  National Oilwell Varco Inc. 21,529 709
  ONEOK Inc. 13,184 688
  Marathon Oil Corp. 57,682 684
  World Fuel Services Corp. 17,200 661
* Energen Corp. 12,516 618
  Patterson-UTI Energy Inc. 28,702 579
  RPC Inc. 28,107 568
  Targa Resources Corp. 9,700 438
  Helmerich & Payne Inc. 7,915 430
  Valvoline Inc. 17,015 404
* Southwestern Energy Co. 64,577 393
* Diamondback Energy Inc. 4,123 366
* Weatherford International    
  plc 89,777 347
  HollyFrontier Corp. 12,392 340
  Range Resources Corp. 14,446 335
* Antero Resources Corp. 13,800 298
* Chesapeake Energy Corp. 55,315 275
* Transocean Ltd. 29,464 242
* Parsley Energy Inc. Class A 8,686 241
* Gulfport Energy Corp. 15,798 233
* Rice Energy Inc. 8,571 228
* CONSOL Energy Inc. 15,185 227
  Murphy Oil Corp. 7,300 187
* Extraction Oil & Gas Inc. 13,723 185
  PBF Energy Inc. Class A 7,200 160
* WPX Energy Inc. 16,442 159
  Nabors Industries Ltd. 16,420 134
* QEP Resources Inc. 12,500 126
* Dril-Quip Inc. 2,336 114
* Whiting Petroleum Corp. 20,297 112
* Laredo Petroleum Inc. 9,691 102
  Noble Corp. plc 26,958 98
* Rowan Cos. plc Class A 9,359 96
* Diamond Offshore    
  Drilling Inc. 8,749 95
* Superior Energy    
  Services Inc. 8,816 92
* SunPower Corp. Class A 7,421 69
* First Solar Inc. 1,722 69
  Ensco plc Class A 9,500 49
* Centennial Resource    
  Development Inc. Class A 2,936 46
* Kosmos Energy Ltd. 7,046 45
  SM Energy Co. 2,600 43
* RSP Permian Inc. 575 19
      94,867
Financial Services (10.0%)    
* Berkshire Hathaway Inc.    
  Class B 137,635 23,311
  JPMorgan Chase & Co. 250,716 22,915
  Wells Fargo & Co. 315,091 17,459
  Bank of America Corp. 703,836 17,075
  Citigroup Inc. 200,498 13,409
  Visa Inc. Class A 132,019 12,381
  Mastercard Inc. Class A 67,000 8,137
  Goldman Sachs Group Inc. 32,335 7,175
  American International    
  Group Inc. 81,900 5,120
* PayPal Holdings Inc. 95,137 5,106
  American Express Co. 60,159 5,068
  US Bancorp 94,072 4,884
  American Tower Corp. 33,519 4,435
  Chubb Ltd. 27,902 4,056
  Morgan Stanley 88,819 3,958
  Charles Schwab Corp. 89,405 3,841
  Simon Property Group Inc. 23,328 3,774
  Bank of New York Mellon    
  Corp. 73,032 3,726
  PNC Financial Services    
  Group Inc. 26,840 3,352
  BlackRock Inc. 7,831 3,308
  MetLife Inc. 58,940 3,238
  Aon plc 23,340 3,103
  Prudential Financial Inc. 25,632 2,772
  CME Group Inc. 22,095 2,767
  Capital One Financial    
  Corp. 31,892 2,635
* Fiserv Inc. 21,045 2,575
  Allstate Corp. 28,400 2,512
  Crown Castle    
  International Corp. 24,967 2,501
  Equity Residential 34,450 2,268
  Intercontinental    
  Exchange Inc. 34,287 2,260
  Equinix Inc. 5,196 2,230
  SunTrust Banks Inc. 38,929 2,208
  Public Storage 10,472 2,184
  Synchrony Financial 71,463 2,131
  State Street Corp. 23,498 2,108
  Marsh & McLennan    
  Cos. Inc. 26,797 2,089
  BB&T Corp. 45,019 2,044
  Progressive Corp. 44,997 1,984
  Travelers Cos. Inc. 15,546 1,967
  AvalonBay    
  Communities Inc. 10,200 1,960
  S&P Global Inc. 13,331 1,946
  Prologis Inc. 32,400 1,900
  Fidelity National    
  Information Services Inc. 21,481 1,834

 

13


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
  Hartford Financial    
  Services Group Inc. 34,200 1,798
  Welltower Inc. 23,800 1,781
  First Republic Bank 17,776 1,779
* SVB Financial Group 9,970 1,753
  Moody’s Corp. 14,200 1,728
  Equifax Inc. 12,488 1,716
* Markel Corp. 1,747 1,705
* E*TRADE Financial Corp. 44,329 1,686
* Arch Capital Group Ltd. 17,986 1,678
  Weyerhaeuser Co. 48,386 1,621
  Loews Corp. 33,975 1,590
  Comerica Inc. 21,600 1,582
  KeyCorp 84,218 1,578
  Global Payments Inc. 17,428 1,574
  Boston Properties Inc. 12,781 1,572
  Zions Bancorporation 35,733 1,569
  Essex Property Trust Inc. 5,973 1,537
* Alleghany Corp. 2,559 1,522
* SBA Communications    
  Corp. Class A 11,261 1,519
  Discover Financial Services 24,229 1,507
  Aflac Inc. 18,887 1,467
  Vornado Realty Trust 15,600 1,465
  MSCI Inc. Class A 13,634 1,404
* Howard Hughes Corp. 11,265 1,384
  Torchmark Corp. 18,022 1,379
* Equity Commonwealth 42,296 1,337
  Digital Realty Trust Inc. 11,800 1,333
  Regions Financial Corp. 90,215 1,321
  Ventas Inc. 18,900 1,313
* Signature Bank 9,130 1,310
* CBRE Group Inc. Class A 35,127 1,279
  East West Bancorp Inc. 21,269 1,246
  GGP Inc. 51,800 1,220
  Huntington Bancshares Inc. 89,700 1,213
  Realty Income Corp. 21,500 1,186
  Equity LifeStyle    
  Properties Inc. 13,673 1,181
  Unum Group 25,027 1,167
  Total System Services Inc. 19,900 1,159
  WR Berkley Corp. 16,593 1,148
  Annaly Capital    
  Management Inc. 95,200 1,147
* First Data Corp. Class A 62,985 1,146
  Assured Guaranty Ltd. 27,394 1,143
  American Homes 4 Rent    
  Class A 50,035 1,129
  Everest Re Group Ltd. 4,400 1,120
  Lincoln National Corp. 16,530 1,117
  Reinsurance Group of    
  America Inc. Class A 8,670 1,113
* Zillow Group Inc. 22,654 1,110
  RenaissanceRe    
  Holdings Ltd. 7,918 1,101
  Nasdaq Inc. 15,273 1,092
  Assurant Inc. 10,500 1,089
* Square Inc. 46,176 1,083
* Western Alliance Bancorp 21,925 1,079
  CBOE Holdings Inc. 11,800 1,079
  SL Green Realty Corp. 10,059 1,064
  SEI Investments Co. 19,647 1,057
  Lamar Advertising Co.    
  Class A 14,200 1,045
  Synovus Financial Corp. 23,542 1,042
  Extra Space Storage Inc. 13,300 1,037
  Fifth Third Bancorp 39,575 1,027
  Commerce Bancshares Inc. 17,337 985
  FactSet Research    
  Systems Inc. 5,919 984
  Forest City Realty    
  Trust Inc. Class A 40,632 982
  Mid-America Apartment    
  Communities Inc. 9,294 979
  Alliance Data Systems Corp. 3,804 976
  Douglas Emmett Inc. 25,134 960
  TD Ameritrade    
  Holding Corp. 21,961 944
* Credit Acceptance Corp. 3,650 939
  White Mountains    
  Insurance Group Ltd. 1,066 926
  Federal Realty Investment    
  Trust 7,319 925
  Brown & Brown Inc. 21,461 924
  Raymond James    
  Financial Inc. 11,434 917
  Kilroy Realty Corp. 12,189 916
  Camden Property Trust 10,700 915
  Associated Banc-Corp 35,827 903
  Franklin Resources Inc. 19,575 877
  Popular Inc. 20,800 868
  Host Hotels & Resorts Inc. 46,699 853
  First Horizon National Corp. 47,340 825
  Empire State Realty    
  Trust Inc. 39,457 820
  Apartment Investment    
  & Management Co. 18,776 807
  M&T Bank Corp. 4,599 745
  Regency Centers Corp. 11,800 739
  Allied World Assurance    
  Co. Holdings AG 13,344 706
  Hanover Insurance    
  Group Inc. 7,214 639
  AGNC Investment Corp. 29,900 637
  Morningstar Inc. 8,088 634
  TCF Financial Corp. 39,500 630
  Jones Lang LaSalle Inc. 5,012 627

 

14


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
* TransUnion 14,335 621
  Northern Trust Corp. 6,372 619
  Affiliated Managers    
  Group Inc. 3,684 611
  Dun & Bradstreet Corp. 5,400 584
  Taubman Centers Inc. 9,800 584
* FleetCor Technologies Inc. 3,947 569
  Principal Financial Group Inc. 8,790 563
  Invesco Ltd. 15,911 560
  Legg Mason Inc. 14,354 548
  Colony NorthStar Inc.    
  Class A 37,784 532
  TFS Financial Corp. 34,400 532
  Ally Financial Inc. 24,954 522
  Citizens Financial    
  Group Inc. 14,443 515
  First Hawaiian Inc. 16,576 508
  CNA Financial Corp. 8,693 424
  Tanger Factory Outlet    
  Centers Inc. 16,300 423
  Thomson Reuters Corp. 9,062 419
  People’s United    
  Financial Inc. 23,399 413
* Vantiv Inc. Class A 6,479 410
  FNF Group 8,932 400
* Quality Care    
  Properties Inc. 19,693 361
  UDR Inc. 8,895 347
  BOK Financial Corp. 4,040 340
  Brixmor Property    
  Group Inc. 19,000 340
  T. Rowe Price Group Inc. 4,574 339
* Santander Consumer    
  USA Holdings Inc. 24,845 317
  Iron Mountain Inc. 9,100 313
  XL Group Ltd. 7,093 311
  ProAssurance Corp. 5,000 304
* Donnelley Financial    
  Solutions Inc. 12,058 277
* Athene Holding Ltd.    
  Class A 5,571 276
  Cincinnati Financial Corp. 3,701 268
* OneMain Holdings Inc.    
  Class A 10,868 267
  New York Community    
  Bancorp Inc. 19,700 259
  Ameriprise Financial Inc. 1,893 241
  Retail Properties of    
  America Inc. 19,700 241
  CoreCivic Inc. 8,500 234
  Lazard Ltd. Class A 5,025 233
  Western Union Co. 12,176 232
  Leucadia National Corp. 8,733 228
  Arthur J Gallagher & Co. 3,870 222
  CIT Group Inc. 4,544 221
  Duke Realty Corp. 7,613 213
  Park Hotels & Resorts Inc. 7,865 212
* CoreLogic Inc. 4,849 210
  Alexandria Real Estate    
  Equities Inc. 1,730 208
  Broadridge Financial    
  Solutions Inc. 2,731 206
  DDR Corp. 21,407 194
  Jack Henry & Associates Inc.  1,832 190
* WEX Inc. 1,787 186
  Uniti Group Inc. 7,000 176
  VEREIT Inc. 20,300 165
  Voya Financial Inc. 4,100 151
  Two Harbors Investment    
  Corp. 14,000 139
  American Campus    
  Communities Inc. 2,900 137
  WP Carey Inc. 1,800 119
  American Financial    
  Group Inc. 1,120 111
  Outfront Media Inc. 4,615 107
  MarketAxess Holdings Inc. 500 101
* Euronet Worldwide Inc. 1,111 97
  Invitation Homes Inc. 4,396 95
  Hospitality Properties Trust 3,122 91
  Liberty Property Trust 2,100 86
  Starwood Property Trust Inc. 3,500 78
* SLM Corp. 6,800 78
  Paramount Group Inc. 4,666 75
  Interactive Brokers    
  Group Inc. 1,820 68
  HCP Inc. 2,062 66
  Axis Capital Holdings Ltd. 1,000 65
  PacWest Bancorp 1,200 56
  CyrusOne Inc. 1,000 56
  Macerich Co. 827 48
  Omega Healthcare    
  Investors Inc. 840 28
  Navient Corp. 1,600 27
  Sun Communities Inc. 300 26
  Highwoods Properties Inc. 500 25
  Senior Housing    
  Properties Trust 1,100 23
  CubeSmart 900 22
  EPR Properties 300 22
* Zillow Group Inc. Class A 385 19
  Cullen/Frost Bankers Inc. 200 19
      349,938
Health Care (6.6%)    
  Johnson & Johnson 193,744 25,630
  Pfizer Inc. 428,387 14,390
  Merck & Co. Inc. 192,921 12,364
  UnitedHealth Group Inc. 62,962 11,674

 

15


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
  Amgen Inc. 54,555 9,396
  Medtronic plc 102,810 9,124
  AbbVie Inc. 112,054 8,125
* Celgene Corp. 56,347 7,318
  Bristol-Myers Squibb Co. 119,260 6,645
  Gilead Sciences Inc. 93,774 6,637
  Allergan plc 23,590 5,735
  Abbott Laboratories 116,788 5,677
  Eli Lilly & Co. 64,800 5,333
  Thermo Fisher    
  Scientific Inc. 27,567 4,810
* Biogen Inc. 16,160 4,385
  Aetna Inc. 22,455 3,409
* Boston Scientific Corp. 120,686 3,345
  Cigna Corp. 19,741 3,304
  Danaher Corp. 38,551 3,253
* Express Scripts    
  Holding Co. 49,511 3,161
  Stryker Corp. 22,549 3,129
  Anthem Inc. 16,396 3,085
* Regeneron    
  Pharmaceuticals Inc. 5,475 2,689
  Humana Inc. 10,600 2,551
* HCA Healthcare Inc. 28,559 2,490
  Zoetis Inc. 39,180 2,444
* Intuitive Surgical Inc. 2,430 2,273
  CR Bard Inc. 6,965 2,202
* Vertex    
  Pharmaceuticals Inc. 17,067 2,199
* Cerner Corp. 32,837 2,183
  Becton Dickinson and Co. 10,976 2,142
  Baxter International Inc. 35,100 2,125
  McKesson Corp. 12,736 2,096
* Alexion    
  Pharmaceuticals Inc. 15,738 1,915
* Quintiles IMS    
  Holdings Inc. 20,635 1,847
  Zimmer Biomet    
  Holdings Inc. 13,970 1,794
* Laboratory Corp.    
  of America Holdings 11,599 1,788
  Agilent Technologies Inc. 29,707 1,762
  Cooper Cos. Inc. 7,263 1,739
* Edwards Lifesciences Corp.  13,931 1,647
* Illumina Inc. 9,370 1,626
* Mylan NV 38,876 1,509
* Incyte Corp. 11,341 1,428
  AmerisourceBergen    
  Corp. Class A 14,706 1,390
* DaVita Inc. 19,871 1,287
  Universal Health    
  Services Inc. Class B 10,447 1,275
  Dentsply Sirona Inc. 19,508 1,265
* QIAGEN NV 37,111 1,244
  Cardinal Health Inc. 14,884 1,160
  PerkinElmer Inc. 17,000 1,158
* BioMarin    
  Pharmaceutical Inc. 12,313 1,118
* Varian Medical Systems Inc.  10,197 1,052
  Hill-Rom Holdings Inc. 12,322 981
  Quest Diagnostics Inc. 8,019 891
* IDEXX Laboratories Inc. 4,933 796
  Bio-Techne Corp. 6,600 776
* Premier Inc. Class A 21,043 758
  Perrigo Co. plc 9,600 725
* Alkermes plc 11,823 685
* Hologic Inc. 14,947 678
* Centene Corp. 8,487 678
* Bioverativ Inc. 11,244 677
* Henry Schein Inc. 3,512 643
* Charles River Laboratories    
  International Inc. 6,213 628
  Patterson Cos. Inc. 12,600 592
* Envision Healthcare Corp. 8,997 564
* Ionis Pharmaceuticals Inc. 10,335 526
* athenahealth Inc. 3,325 467
* United Therapeutics Corp. 3,362 436
* Align Technology Inc. 2,875 432
* Tenet Healthcare Corp. 21,120 409
* DexCom Inc. 5,371 393
* Patheon NV 10,982 383
* Akorn Inc. 10,281 345
  ResMed Inc. 4,300 335
* Varex Imaging Corp. 9,097 308
* Bio-Rad Laboratories Inc.    
  Class A 1,301 294
* Alnylam    
  Pharmaceuticals Inc. 3,684 294
* Seattle Genetics Inc. 5,453 282
* ABIOMED Inc. 1,942 278
* Veeva Systems Inc.    
  Class A 4,529 278
* VCA Inc. 2,829 261
* Endo International plc 21,726 243
* Alere Inc. 4,507 226
  Teleflex Inc. 1,038 216
* WellCare Health Plans Inc. 1,175 211
* Allscripts Healthcare    
  Solutions Inc. 16,086 205
* Neurocrine Biosciences Inc. 4,303 198
* Agios Pharmaceuticals Inc. 2,666 137
* Intrexon Corp. 5,623 135
* Mallinckrodt plc 2,945 132
* MEDNAX Inc. 2,099 127
* ACADIA    
  Pharmaceuticals Inc. 4,358 122
* VWR Corp. 3,624 120

 

16


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
  West Pharmaceutical    
  Services Inc. 1,241 117
* Juno Therapeutics Inc. 3,714 111
* LifePoint Health Inc. 1,250 84
* Acadia Healthcare Co. Inc. 1,583 78
* Exelixis Inc. 2,720 67
* TESARO Inc. 460 64
* OPKO Health Inc. 8,813 58
* Intercept    
  Pharmaceuticals Inc. 448 54
* Brookdale Senior Living Inc. 3,453 51
  Bruker Corp. 1,500 43
      231,919
Materials & Processing (1.7%)  
  EI du Pont de Nemours    
  & Co. 57,765 4,662
  Dow Chemical Co. 73,706 4,649
  Monsanto Co. 27,906 3,303
  Ecolab Inc. 17,900 2,376
  Sherwin-Williams Co. 6,460 2,267
  Praxair Inc. 15,187 2,013
* Freeport-McMoRan Inc. 160,424 1,927
  Ingersoll-Rand plc 20,400 1,864
  Vulcan Materials Co. 14,444 1,830
  LyondellBasell Industries    
  NV Class A 20,738 1,750
  PPG Industries Inc. 15,400 1,693
  Air Products &    
  Chemicals Inc. 11,600 1,659
  Newmont Mining Corp. 50,966 1,651
  Celanese Corp. Class A 15,540 1,475
  Martin Marietta    
  Materials Inc. 6,586 1,466
* Crown Holdings Inc. 24,366 1,454
  Ball Corp. 30,836 1,302
  International Paper Co. 22,043 1,248
  Lennox International Inc. 6,600 1,212
  Eagle Materials Inc. 11,900 1,100
  Albemarle Corp. 10,400 1,098
* Owens-Illinois Inc. 44,213 1,058
  Southern Copper Corp. 30,200 1,046
  Sealed Air Corp. 20,800 931
  Owens Corning 13,800 923
  Hexcel Corp. 16,000 845
  NewMarket Corp. 1,720 792
  Valmont Industries Inc. 5,211 780
* Berry Global Group Inc. 13,643 778
  WestRock Co. 12,660 717
  WR Grace & Co. 9,792 705
  Nucor Corp. 12,143 703
  FMC Corp. 8,798 643
  Silgan Holdings Inc. 19,884 632
  Reliance Steel &    
  Aluminum Co. 7,600 553
* Armstrong World    
  Industries Inc. 11,337 522
  Westlake Chemical Corp. 7,800 516
  Scotts Miracle-Gro Co. 5,042 451
* USG Corp. 15,506 450
  CF Industries Holdings Inc. 16,059 449
  Mosaic Co. 19,630 448
  Eastman Chemical Co. 5,219 438
  Fastenal Co. 9,723 423
* Axalta Coating    
  Systems Ltd. 12,836 411
  Ashland Global    
  Holdings Inc. 6,198 409
* Alcoa Corp. 10,465 342
* AdvanSix Inc. 9,636 301
  Masco Corp. 7,489 286
  Packaging Corp.    
  of America 2,552 284
  International Flavors    
  & Fragrances Inc. 1,782 241
  Versum Materials Inc. 6,923 225
  Royal Gold Inc. 2,800 219
  Steel Dynamics Inc. 5,473 196
  United States Steel Corp. 8,000 177
  RPM International Inc. 2,300 125
* Platform Specialty    
  Products Corp. 8,092 103
  Acuity Brands Inc. 300 61
* Univar Inc. 1,729 50
  Sonoco Products Co. 900 46
  AptarGroup Inc. 300 26
  Bemis Co. Inc. 500 23
      60,327
Producer Durables (5.3%)    
  General Electric Co. 623,421 16,839
  Boeing Co. 41,320 8,171
  3M Co. 38,687 8,054
  United Technologies Corp. 57,076 6,970
  Honeywell International Inc.  49,234 6,562
  Union Pacific Corp. 56,950 6,202
  Accenture plc Class A 40,131 4,963
  Lockheed Martin Corp. 17,092 4,745
  FedEx Corp. 21,336 4,637
  United Parcel Service Inc.    
  Class B 41,481 4,587
  Caterpillar Inc. 34,956 3,756
  Southwest Airlines Co. 53,617 3,332
  Delta Air Lines Inc. 59,300 3,187
  CSX Corp. 58,118 3,171
  Automatic Data    
  Processing Inc. 28,434 2,913
* United Continental    
  Holdings Inc. 36,685 2,761
  Raytheon Co. 15,635 2,525

 

17


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
  General Dynamics Corp. 12,414 2,459
  Johnson Controls    
  International plc 54,492 2,363
  Deere & Co. 19,080 2,358
  Emerson Electric Co. 38,090 2,271
  Norfolk Southern Corp. 18,100 2,203
  Northrop Grumman Corp. 8,446 2,168
  Eaton Corp. plc 27,745 2,159
  Roper Technologies Inc. 8,710 2,017
* Verisk Analytics Inc.    
  Class A 22,953 1,937
* Mettler-Toledo    
  International Inc. 3,120 1,836
  Illinois Tool Works Inc. 12,775 1,830
  Rockwell Collins Inc. 16,476 1,731
  TransDigm Group Inc. 6,263 1,684
  Cummins Inc. 9,721 1,577
* Waters Corp. 8,527 1,568
  Cintas Corp. 11,770 1,483
  Waste Management Inc. 20,151 1,478
  Textron Inc. 31,211 1,470
  Xylem Inc. 25,639 1,421
  Toro Co. 20,236 1,402
  AMETEK Inc. 22,900 1,387
  Huntington Ingalls    
  Industries Inc. 7,269 1,353
  Nordson Corp. 11,050 1,341
  American Airlines    
  Group Inc. 26,130 1,315
  AO Smith Corp. 23,300 1,312
* Quanta Services Inc. 39,719 1,308
  Fortive Corp. 20,625 1,307
  Wabtec Corp. 13,965 1,278
  IDEX Corp. 11,229 1,269
  BWX Technologies Inc. 25,219 1,229
  Oshkosh Corp. 17,147 1,181
  Expeditors International    
  of Washington Inc. 20,666 1,167
  Spirit AeroSystems    
  Holdings Inc. Class A 19,828 1,149
  Allegion plc 13,833 1,122
* United Rentals Inc. 9,907 1,117
  Landstar System Inc. 12,535 1,073
* Copart Inc. 33,442 1,063
  Jacobs Engineering    
  Group Inc. 19,495 1,060
  PACCAR Inc. 16,028 1,058
  Republic Services Inc.    
  Class A 16,510 1,052
  JB Hunt Transport    
  Services Inc. 11,510 1,052
  CH Robinson    
  Worldwide Inc. 15,011 1,031
* Welbilt Inc. 54,212 1,022
  AGCO Corp. 15,037 1,013
* AECOM 30,751 994
  Orbital ATK Inc. 10,086 992
  Stanley Black & Decker Inc. 6,710 944
  Lincoln Electric    
  Holdings Inc. 10,223 941
  Carlisle Cos. Inc. 9,000 859
  FLIR Systems Inc. 24,300 842
  Air Lease Corp. Class A 21,300 796
* HD Supply Holdings Inc. 25,877 793
  ITT Inc. 19,369 778
  Paychex Inc. 13,484 768
  Fluor Corp. 16,458 753
  WW Grainger Inc. 3,982 719
  Robert Half    
  International Inc. 14,500 695
* Stericycle Inc. 8,901 679
  Pentair plc 10,087 671
  Flowserve Corp. 14,313 665
  Arconic Inc. 28,166 638
  ManpowerGroup Inc. 5,650 631
  Donaldson Co. Inc. 13,286 605
  National Instruments Corp. 14,511 584
* Clean Harbors Inc. 10,420 582
  L3 Technologies Inc. 3,289 549
  KBR Inc. 35,982 548
  Trinity Industries Inc. 19,100 535
  Parker-Hannifin Corp. 3,302 528
* Kirby Corp. 7,383 494
* Trimble Inc. 13,591 485
  Copa Holdings SA Class A 4,039 473
  Rockwell Automation Inc. 2,903 470
* Keysight Technologies Inc. 11,935 465
  MSC Industrial Direct    
  Co. Inc. Class A 5,300 456
* WESCO International Inc. 7,750 444
* Middleby Corp. 3,433 417
* Zebra Technologies Corp. 3,779 380
  Alaska Air Group Inc. 4,200 377
* Conduent Inc. 22,971 366
* Spirit Airlines Inc. 6,950 359
* JetBlue Airways Corp. 15,274 349
  Kansas City Southern 3,200 335
* Colfax Corp. 8,390 330
  Xerox Corp. 9,664 278
* CoStar Group Inc. 1,051 277
  Dover Corp. 3,363 270
  Old Dominion Freight    
  Line Inc. 2,437 232
  Regal Beloit Corp. 2,800 228
  Snap-on Inc. 1,297 205
  Covanta Holding Corp. 14,400 190
  Macquarie Infrastructure    
  Corp. 2,200 172

 

18


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
  Chicago Bridge & Iron    
  Co. NV 8,058 159
  Avery Dennison Corp. 1,500 133
* Herc Holdings Inc. 3,050 120
  Hubbell Inc. Class B 1,000 113
  Terex Corp. 2,800 105
  Ryder System Inc. 1,400 101
  Genpact Ltd. 3,249 90
* XPO Logistics Inc. 1,349 87
* Sensata Technologies    
  Holding NV 1,982 85
* Genesee & Wyoming    
  Inc. Class A 1,048 72
  Graco Inc. 404 44
* Teledyne Technologies Inc. 201 26
* Gardner Denver    
  Holdings Inc. 1,029 22
      186,347
Technology (8.7%)    
  Apple Inc. 387,696 55,836
  Microsoft Corp. 528,675 36,442
* Facebook Inc. Class A 157,431 23,769
* Alphabet Inc. Class A 21,812 20,278
* Alphabet Inc. Class C 20,408 18,545
  Intel Corp. 333,500 11,252
  Cisco Systems Inc. 347,681 10,882
  Oracle Corp. 215,590 10,810
  International Business    
  Machines Corp. 61,403 9,446
  NVIDIA Corp. 45,600 6,592
  Broadcom Ltd. 24,799 5,779
* Adobe Systems Inc. 38,710 5,475
  QUALCOMM Inc. 98,475 5,438
  Texas Instruments Inc. 66,240 5,096
* salesforce.com Inc. 49,978 4,328
  Applied Materials Inc. 90,580 3,742
  Activision Blizzard Inc. 47,560 2,738
  Cognizant Technology    
  Solutions Corp. Class A 39,715 2,637
  Intuit Inc. 19,124 2,540
* Electronic Arts Inc. 21,448 2,267
* Autodesk Inc. 22,448 2,263
  Corning Inc. 71,577 2,151
* Micron Technology Inc. 71,670 2,140
  Hewlett Packard    
  Enterprise Co. 124,273 2,062
  Lam Research Corp. 14,500 2,051
  DXC Technology Co. 26,275 2,016
  Amphenol Corp. Class A 26,942 1,989
  HP Inc. 113,473 1,983
  Analog Devices Inc. 25,108 1,953
  Western Digital Corp. 19,616 1,738
  Motorola Solutions Inc. 18,528 1,607
* Cadence Design    
  Systems Inc. 47,833 1,602
* NCR Corp. 38,878 1,588
* Synopsys Inc. 21,428 1,563
  Skyworks Solutions Inc. 15,100 1,449
  Xilinx Inc. 21,429 1,378
  Symantec Corp. 46,939 1,326
* IAC/InterActiveCorp 12,491 1,290
* Citrix Systems Inc. 16,064 1,278
* VeriSign Inc. 12,937 1,203
  Teradyne Inc. 39,300 1,180
  CDK Global Inc. 18,758 1,164
  Juniper Networks Inc. 40,200 1,121
* CommScope Holding    
  Co. Inc. 26,191 996
* ServiceNow Inc. 8,912 945
  Amdocs Ltd. 14,500 935
  Dolby Laboratories    
  Inc. Class A 18,600 911
* Twitter Inc. 47,147 843
* GoDaddy Inc. Class A 19,478 826
  DST Systems Inc. 13,260 818
* Red Hat Inc. 8,345 799
  Avnet Inc. 19,000 739
* Dell Technologies Inc.    
  Class V 12,080 738
  Brocade Communications    
  Systems Inc. 55,900 705
  KLA-Tencor Corp. 7,417 679
* Black Knight Financial    
  Services Inc. Class A 16,093 659
* Qorvo Inc. 9,809 621
  Harris Corp. 5,481 598
  Sabre Corp. 27,200 592
* Akamai Technologies Inc. 11,367 566
* Match Group Inc. 31,902 554
* Workday Inc. Class A 5,563 540
  Leidos Holdings Inc. 10,350 535
* ARRIS International plc 19,050 534
  NetApp Inc. 13,071 523
* ON Semiconductor Corp. 35,122 493
  CSRA Inc. 15,000 476
  Microchip Technology Inc. 6,070 468
* Teradata Corp. 15,662 462
  Maxim Integrated    
  Products Inc. 10,029 450
* Gartner Inc. 3,604 445
* EchoStar Corp. Class A 6,859 416
* F5 Networks Inc. 3,097 393
* VMware Inc. Class A 4,475 391
* ANSYS Inc. 3,124 380
* Arrow Electronics Inc. 4,277 335
* Tyler Technologies Inc. 1,801 316
  CA Inc. 8,807 304

 

19


 

Tax-Managed Balanced Fund

      Market
      Value
    Shares ($000)
* Arista Networks Inc. 1,759 263
* Splunk Inc. 4,458 254
* Atlassian Corp. plc Class A 6,712 236
* PTC Inc. 4,275 236
  CDW Corp. 3,757 235
  Marvell Technology    
  Group Ltd. 11,400 188
* Fortinet Inc. 5,022 188
* IPG Photonics Corp. 1,266 184
* Nutanix Inc. 9,012 182
* Ultimate Software    
  Group Inc. 831 175
* CommerceHub Inc. 9,264 162
* Palo Alto Networks Inc. 1,187 159
* Cree Inc. 5,803 143
* Twilio Inc. Class A 4,885 142
* Tableau Software Inc.    
  Class A 2,295 141
* Zynga Inc. Class A 35,728 130
* Groupon Inc. Class A 33,670 129
* CommerceHub Inc.    
  Class A 7,340 128
  SS&C Technologies    
  Holdings Inc. 2,400 92
  Cognex Corp. 940 80
* Guidewire Software Inc. 1,109 76
* Coherent Inc. 323 73
* IHS Markit Ltd. 1,616 71
* FireEye Inc. 4,505 69
* Microsemi Corp. 1,462 68
* Manhattan Associates Inc. 1,409 68
* NXP Semiconductors NV 603 66
* Cavium Inc. 1,029 64
* Advanced Micro    
  Devices Inc. 5,105 64
* Yelp Inc. Class A 1,967 59
* Take-Two Interactive    
  Software Inc. 779 57
* Inovalon Holdings Inc.    
  Class A 4,102 54
* VeriFone Systems Inc. 2,530 46
* Nuance    
  Communications Inc. 2,553 44
      307,298
Utilities (2.5%)    
  AT&T Inc. 427,977 16,148
  Verizon    
  Communications Inc. 278,174 12,423
  NextEra Energy Inc. 35,342 4,952
  Duke Energy Corp. 56,930 4,759
  Dominion Energy Inc. 53,508 4,100
  Southern Co. 77,548 3,713
  American Electric    
  Power Co. Inc. 39,900 2,772
  PG&E Corp. 40,335 2,677
  Exelon Corp. 65,800 2,373
  Sempra Energy 19,829 2,236
  Consolidated Edison Inc. 26,300 2,126
* Level 3 Communications    
  Inc. 35,243 2,090
* T-Mobile US Inc. 33,727 2,045
  WEC Energy Group Inc. 27,832 1,708
  Public Service Enterprise    
  Group Inc. 37,900 1,630
  PPL Corp. 40,300 1,558
  American Water    
  Works Co. Inc. 19,228 1,499
  Edison International 18,117 1,417
  Xcel Energy Inc. 26,304 1,207
  UGI Corp. 24,078 1,166
  FirstEnergy Corp. 38,600 1,126
  NiSource Inc. 44,300 1,123
* Sprint Corp. 129,186 1,061
  Aqua America Inc. 29,478 982
  Alliant Energy Corp. 24,226 973
  CMS Energy Corp. 20,227 935
* United States    
  Cellular Corp. 24,041 921
  OGE Energy Corp. 25,486 887
  NRG Energy Inc. 40,924 705
  Telephone & Data    
  Systems Inc. 24,630 683
  Westar Energy Inc.    
  Class A 11,300 599
  AES Corp. 53,469 594
  Eversource Energy 9,387 570
  Entergy Corp. 6,883 528
  DTE Energy Co. 4,967 525
  Ameren Corp. 9,237 505
  CenterPoint Energy Inc. 17,200 471
* Zayo Group Holdings Inc. 14,230 440
  National Fuel Gas Co. 5,771 322
  MDU Resources    
  Group Inc. 9,950 261
* Calpine Corp. 17,546 237
  SCANA Corp. 3,300 221
  CenturyLink Inc. 8,778 210
  Pinnacle West    
  Capital Corp. 2,458 209
  Avangrid Inc. 4,545 201
  Atmos Energy Corp. 2,345 194
* Vistra Energy Corp. 4,674 78
  Great Plains Energy Inc. 2,400 70
  Fortis Inc. 1
      88,230
Total Common Stocks    
(Cost $991,960)   1,684,981

 

20


 

Tax-Managed Balanced Fund

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Tax-Exempt Municipal Bonds (52.1%)        
Alabama (0.3%)        
Alabama 21st Century Authority Tobacco        
Settlement Revenue 5.000% 6/1/20 500 549
Alabama Incentives Financing Authority        
Special Obligation Revenue 5.000% 9/1/32 380 425
1 Alabama Public School & College Authority        
Capital Improvement Revenue 5.000% 12/1/17 (Prere.) 500 509
Birmingham AL Water Works Board Water        
Revenue 5.000% 1/1/24 1,175 1,401
Black Belt Energy Gas District Alabama Gas        
Supply Revenue PUT 4.000% 6/1/21 1,000 1,079
Black Belt Energy Gas District Alabama Gas        
Supply Revenue PUT 4.000% 7/1/22 2,500 2,743
Jefferson County AL Sewer Revenue 5.000% 10/1/23 500 540
Jefferson County AL Sewer Revenue 0.000% 10/1/25 (4) 500 382
Tuscaloosa AL City Board of Education        
School Tax Warrants Revenue 5.000% 8/1/27 500 607
Tuscaloosa AL City Board of Education        
School Tax Warrants Revenue 5.000% 8/1/28 850 1,023
University of South Alabama University        
Facilities Revenue 5.000% 11/1/23 (4) 565 671
        9,929
Alaska (0.1%)        
Alaska Housing Finance Corp. General        
Housing Revenue 5.000% 12/1/29 500 564
Alaska Municipal Bond Bank Authority        
Revenue 5.000% 9/1/21 1,650 1,879
Matanuska-Susitna Borough AK Lease Revenue        
(Goose Creek Correctional Center) GO 5.000% 9/1/31 1,345 1,527
        3,970
Arizona (1.6%)        
Arizona Board of Regents Arizona State        
University System COP 5.000% 7/1/22 (14) 1,500 1,503
Arizona Board of Regents Arizona State        
University System Revenue 5.875% 7/1/18 (Prere.) 100 105
Arizona Board of Regents Arizona State        
University System Revenue 5.000% 7/1/30 675 794
Arizona COP 5.000% 10/1/18 (4) 500 525
Arizona Health Facilities Authority        
Revenue (Banner Health) 5.000% 1/1/18 (Prere.) 500 510
1 Arizona School Facilities Board COP 5.500% 9/1/18 (Prere.) 500 526
Arizona School Facilities Board COP 5.000% 9/1/19 1,000 1,079
Arizona School Facilities Board COP 5.000% 9/1/21 1,355 1,546
Arizona Transportation Board Excise Tax        
Revenue 5.000% 7/1/21 2,240 2,564
Arizona Transportation Board Excise Tax        
Revenue 5.000% 7/1/23 1,955 2,337
Arizona Transportation Board Excise Tax        
Revenue 5.000% 7/1/24 2,000 2,433
Arizona Transportation Board Excise Tax        
Revenue (Maricopa County Regional Area) 5.000% 7/1/17 (Prere.) 500 500

 

21


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Arizona Transportation Board Excise Tax        
Revenue (Maricopa County Regional Area) 5.000% 7/1/20 (Prere.) 500 556
Arizona Transportation Board Highway        
Revenue 5.000% 7/1/22 2,005 2,346
Arizona Transportation Board Highway        
Revenue 5.000% 7/1/22 (Prere.) 500 588
Arizona Transportation Board Highway        
Revenue 5.000% 7/1/32 1,000 1,198
Chandler AZ GO 5.000% 7/1/23 1,000 1,197
Gilbert AZ GO 5.000% 7/1/20 2,480 2,759
Glendale AZ Industrial Development        
Authority Revenue (Midwestern University) 5.000% 5/15/30 335 363
Glendale AZ Senior Excise Tax Revenue 5.000% 7/1/18 1,100 1,143
Maricopa County AZ Industrial Development        
Authority Health Facilities Revenue        
(Banner Health Obligated Group) 5.000% 1/1/28 1,000 1,235
Maricopa County AZ School District No. 28        
(Kyrene Elementary) GO 4.000% 7/1/19 900 952
Mesa AZ Excise Tax Revenue 5.000% 7/1/27 2,500 2,508
Phoenix AZ Civic Improvement Corp. Airport        
Revenue 5.000% 7/1/24 300 333
Phoenix AZ Civic Improvement Corp. Excise        
Tax Revenue 5.000% 7/1/22 1,145 1,340
Phoenix AZ Civic Improvement Corp. Excise        
Tax Revenue 4.000% 7/1/28 1,000 1,148
Phoenix AZ Civic Improvement Corp.        
Wastewater System Revenue 5.000% 7/1/22 2,190 2,560
Phoenix AZ Civic Improvement Corp.        
Water System Revenue 5.000% 7/1/21 525 601
Phoenix AZ Civic Improvement Corp.        
Water System Revenue 5.000% 7/1/22 1,200 1,407
Phoenix AZ Civic Improvement Corp.        
Water System Revenue 5.000% 7/1/23 2,000 2,391
Phoenix AZ Civic Improvement Corp.        
Water System Revenue 5.000% 7/1/26 2,500 2,993
Phoenix AZ Civic Improvement Corp.        
Water System Revenue 5.000% 7/1/35 1,900 2,237
Pima County AZ Sewer Revenue 5.000% 7/1/20 500 556
Pima County AZ Sewer Revenue 5.000% 7/1/20 1,000 1,112
Pima County AZ Sewer Revenue 5.000% 7/1/24 1,000 1,211
Regional Public Transportation Authority        
Arizona Excise Tax Revenue (Maricopa        
County Public Transportation) 5.250% 7/1/24 1,000 1,227
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 5.000% 1/1/28 750 793
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 5.000% 12/1/28 500 574
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 5.000% 12/1/29 2,000 2,324
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 5.000% 1/1/36 1,540 1,822
Salt Verde AZ Financial Corp. Gas Revenue 5.250% 12/1/24 870 1,011
Salt Verde AZ Financial Corp. Gas Revenue 5.250% 12/1/28 510 608

 

22


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
University Medical Center Corp. Arizona        
Hospital Revenue 5.000% 7/1/19 (ETM) 500 538
Yavapai County AZ Industrial Development        
Authority Hospital Facility Revenue        
(Northern Arizona Healthcare System) 5.250% 10/1/22 500 574
        56,627
Arkansas (0.2%)        
Pulaski County AR Hospital Revenue        
(Arkansas Children’s Hospital) 5.000% 3/1/29 1,000 1,191
Rogers AR Sales & Use Tax Revenue 2.125% 11/1/29 295 297
Springdale AR School District No. 50 GO 4.000% 6/1/27 1,190 1,293
Springdale AR School District No. 50 GO 4.000% 6/1/32 1,155 1,219
University of Arkansas Revenue 5.000% 11/1/21 750 865
University of Arkansas Revenue 5.000% 11/1/24 750 911
University of Arkansas Revenue 5.000% 11/1/30 725 861
        6,637
California (7.1%)        
ABAG Finance Authority for Nonprofit Corps.        
California Revenue (Episcopal Senior        
Communities) 5.000% 7/1/22 500 567
ABAG Finance Authority for Nonprofit Corps.        
California Revenue (Jackson Laboratory) 5.000% 7/1/21 760 864
ABAG Finance Authority for Nonprofit Corps.        
California Revenue (Windemere Ranch        
Infrastructure Financing Program) 5.000% 9/2/30 (4) 1,000 1,197
Alameda CA Corridor Transportation Authority        
Revenue 5.300% 10/1/17 (Prere.) 200 202
Alameda CA Corridor Transportation Authority        
Revenue 0.000% 10/1/30 (2) 740 435
Alameda CA Corridor Transportation Authority        
Revenue 0.000% 10/1/32 (14) 1,650 940
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 5.000% 10/1/30 500 554
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 5.000% 4/1/31 500 575
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 5.000% 4/1/31 1,000 1,155
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) PUT 1.500% 4/2/18 750 751
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) PUT 1.875% 4/1/19 650 656
2 Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) PUT 1.510% 4/1/20 1,000 1,001
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) PUT 1.875% 4/1/20 1,500 1,514
2 Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) PUT 1.610% 4/1/21 1,000 1,000
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) PUT 2.100% 4/1/22 1,000 1,017
2 Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) PUT 1.810% 5/1/23 1,000 1,006
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) PUT 2.950% 4/1/26 1,000 1,052

 

23


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Brea CA Redevelopment Agency Successor        
Agency Tax Allocation Revenue        
(Redevelopment Project AB) 0.000% 8/1/29 (2) 1,000 643
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/18 165 171
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/18 500 517
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/20 575 637
California Department of Water Resources        
Power Supply Revenue 5.000% 5/1/20 4,500 4,989
California Department of Water Resources        
Water System Revenue (Central Valley        
Project) 5.000% 6/1/18 (Prere.) 480 498
California Department of Water Resources        
Water System Revenue (Central Valley        
Project) 5.000% 12/1/28 20 21
California Economic Recovery GO 5.000% 7/1/18 (ETM) 390 406
California Economic Recovery GO 5.000% 7/1/18 (ETM) 110 114
California Economic Recovery GO 5.000% 7/1/19 (Prere.) 500 540
California Economic Recovery GO 5.000% 7/1/19 (ETM) 500 540
California Economic Recovery GO 5.250% 7/1/19 (Prere.) 315 341
California Economic Recovery GO 5.250% 7/1/19 (Prere.) 185 201
California Educational Facilities Authority        
Revenue (University of San Francisco) 6.125% 10/1/30 500 593
California GO 6.000% 4/1/18 500 519
California GO 5.000% 9/1/18 1,905 1,995
California GO 5.000% 11/1/18 (14) 500 507
California GO 5.000% 8/1/19 1,500 1,621
California GO 5.000% 2/1/20 500 549
California GO 5.000% 10/1/20 2,000 2,241
California GO 5.000% 9/1/21 500 575
California GO 5.000% 8/1/22 1,000 1,174
California GO 5.000% 9/1/22 1,805 2,124
California GO 5.000% 12/1/22 1,635 1,934
California GO 5.000% 11/1/23 1,155 1,389
California GO 5.000% 9/1/25 1,560 1,924
California GO 5.000% 3/1/26 630 767
California GO 5.500% 3/1/26 500 515
California GO 3.500% 8/1/27 1,515 1,665
California GO 5.000% 2/1/28 690 805
California GO 4.500% 8/1/28 (2) 15 15
California GO 5.750% 4/1/29 500 541
California GO 5.000% 9/1/29 495 518
California GO 5.000% 9/1/29 455 550
California GO 5.000% 10/1/29 3,500 3,605
California GO 5.000% 11/1/29 1,700 2,003
California GO 5.250% 3/1/30 500 552
California GO 5.000% 9/1/30 1,000 1,139
California GO 5.250% 9/1/30 500 574
California GO 4.000% 8/1/31 1,675 1,816
California GO 5.000% 2/1/32 500 566
California GO 5.000% 10/1/32 1,875 2,207
California GO 4.000% 8/1/33 1,520 1,628

 

24


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
California GO 5.000% 8/1/33 2,865 3,388
California GO 4.000% 9/1/33 2,000 2,143
California GO 4.000% 9/1/35 1,000 1,064
California GO 4.000% 9/1/35 1,815 1,931
California GO PUT 4.000% 12/1/17 2,400 2,406
California Health Facilities Financing Authority        
Revenue (Adventist Health System/West) 5.000% 3/1/23 1,050 1,232
California Health Facilities Financing Authority        
Revenue (Cedars-Sinai Medical Center) 5.000% 8/15/17 500 503
California Health Facilities Financing Authority        
Revenue (Children’s Hospital of Los Angeles) 5.000% 11/15/23 1,000 1,153
California Health Facilities Financing Authority        
Revenue (Kaiser Permanente) 5.000% 11/1/27 1,500 1,877
California Health Facilities Financing Authority        
Revenue (Kaiser Permanente) 4.000% 11/1/38 1,000 1,048
California Health Facilities Financing Authority        
Revenue (Kaiser Permanente) PUT 5.000% 11/1/22 500 587
California Health Facilities Financing Authority        
Revenue (Lucile Salter Packard Children’s        
Hospital at Stanford) 5.000% 8/15/20 325 363
California Health Facilities Financing Authority        
Revenue (Providence St. Joseph Health        
Obligated Group) PUT 4.000% 10/1/24 1,090 1,233
California Health Facilities Financing Authority        
Revenue (Rady Children’s Hospital) 5.000% 8/15/31 965 1,074
California Health Facilities Financing Authority        
Revenue (Sutter Health) 5.500% 8/15/26 500 565
California Health Facilities Financing Authority        
Revenue (Sutter Health) 5.000% 8/15/30 110 114
3 California Health Facilities Financing Authority        
Revenue (Sutter Health) 5.000% 11/15/33 1,000 1,181
California Infrastructure & Economic        
Development Bank Revenue (Bay Area Toll        
Bridges Seismic Retrofit) 5.000% 1/1/28 (Prere.) 500 647
California Municipal Finance Authority Revenue        
(Anaheim Electric Utility Distribution System) 5.000% 10/1/30 965 1,150
California Municipal Finance Authority        
Revenue (University of La Verne) 6.125% 6/1/20 (Prere.) 500 572
California Pollution Control Financing        
Authority Water Furnishing Revenue        
(San Diego County Water Authority        
Desalination Project Pipeline) 5.000% 7/1/37 1,000 1,002
California Public Works Board Lease        
Revenue (Davidson Library) 5.000% 3/1/23 (Prere.) 20 24
California Public Works Board Lease        
Revenue (Department of Corrections) 5.000% 6/1/22 1,000 1,169
California Public Works Board Lease        
Revenue (Department of Corrections) 5.000% 6/1/27 1,000 1,153
California Public Works Board Lease        
Revenue (Judicial Council Projects) 5.000% 10/1/26 1,000 1,193
California Public Works Board Lease        
Revenue (Judicial Council Projects) 5.000% 3/1/28 300 346
California Public Works Board Lease        
Revenue (Judicial Council Projects) 5.125% 12/1/29 250 286

 

25


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
California Public Works Board Lease Revenue        
(Regents of The University of California) 5.000% 3/1/18 (Prere.) 200 205
California Public Works Board Lease Revenue        
(Regents of The University of California) 5.000% 4/1/19 (Prere.) 70 75
California Public Works Board Lease Revenue        
(Regents of The University of California) 5.000% 4/1/19 (Prere.) 120 128
California Public Works Board Lease Revenue        
(Regents of The University of California) 5.000% 12/1/21 (Prere.) 35 41
California Public Works Board Lease Revenue        
(Various Capital Projects) 5.000% 5/1/19 1,000 1,072
California Public Works Board Lease Revenue        
(Various Capital Projects) 5.375% 3/1/20 (Prere.) 1,000 1,113
California Public Works Board Lease Revenue        
(Various Capital Projects) 5.000% 12/1/21 (Prere.) 25 29
California Public Works Board Lease Revenue        
(Various Capital Projects) 4.000% 11/1/31 1,840 1,986
California Public Works Board Lease Revenue        
(Various Capital Projects) 5.000% 11/1/31 1,000 1,152
California Public Works Board Lease Revenue        
(Various Capital Projects) 5.000% 4/1/32 350 396
California State University Systemwide        
Revenue 5.250% 5/1/19 (Prere.) 300 323
California State University Systemwide        
Revenue 5.750% 5/1/19 (Prere.) 500 543
California State University Systemwide        
Revenue 5.000% 11/1/19 1,000 1,091
California State University Systemwide        
Revenue 5.000% 11/1/30 1,000 1,151
California State University Systemwide        
Revenue 5.000% 11/1/32 1,000 1,189
California State University Systemwide        
Revenue 5.000% 11/1/32 2,815 3,401
California State University Systemwide        
Revenue 5.000% 11/1/34 2,000 2,317
California State University Systemwide        
Revenue 5.000% 11/1/35 2,000 2,382
California State University Systemwide        
Revenue PUT 3.000% 11/1/19 1,000 1,032
California Statewide Communities        
Development Authority Revenue        
(Buck Institute for Age Research) 4.000% 11/15/17 275 278
California Statewide Communities        
Development Authority Revenue        
(Loma Linda University Medical Center) 5.000% 12/1/28 400 452
Chabot-Las Positas CA Community        
College District GO 5.000% 8/1/31 1,000 1,163
Chaffey CA Community College District GO 5.000% 6/1/23 840 1,006
Chino CA Public Financing Authority Special        
Tax Revenue 5.000% 9/1/30 (4) 800 923
Chula Vista CA Municipal Financing Authority        
Special Tax Revenue 5.500% 9/1/27 970 1,132
Citrus CA Community College District GO 0.000% 8/1/34 1,000 840
Contra Costa CA Community College        
District GO 5.000% 8/1/31 1,000 1,163

 

26


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Contra Costa CA Municipal Water        
District Revenue 5.000% 10/1/33 1,000 1,173
Contra Costa CA Transportation Authority        
Sales Tax Revenue 5.000% 3/1/26 485 606
Contra Costa CA Transportation Authority        
Sales Tax Revenue 5.000% 3/1/27 600 757
Corona-Norco CA Unified School District        
Special Tax Revenue (Community Facilities        
District No. 98-1) 5.000% 9/1/22 970 1,121
East Bay CA Municipal Utility District Water        
System Revenue 5.000% 6/1/29 1,000 1,246
Foothill/Eastern Transportation Corridor        
Agency California Toll Road Revenue 0.000% 1/15/29 1,390 1,191
Gavilan CA Joint Community College        
District GO 5.000% 8/1/28 1,000 1,204
Golden State Tobacco Securitization Corp.        
California Revenue 5.000% 6/1/25 500 592
Golden State Tobacco Securitization Corp.        
California Revenue 0.000% 6/1/27 (2) 2,060 1,547
Golden State Tobacco Securitization Corp.        
California Revenue 5.000% 6/1/33 1,500 1,728
La Quinta CA Redevelopment Agency Tax        
Allocation Revenue 5.000% 9/1/26 1,500 1,725
La Quinta CA Redevelopment Agency Tax        
Allocation Revenue 5.000% 9/1/30 1,000 1,150
La Verne CA (Brethren Hillcrest Homes) COP 5.000% 5/15/26 350 387
Long Beach CA Finance Authority Natural        
Gas Purchase Revenue 5.250% 11/15/19 75 81
Long Beach CA Finance Authority Natural        
Gas Purchase Revenue 5.250% 11/15/23 330 379
Long Beach CA Unified School District GO 0.000% 8/1/24 (12) 1,290 1,109
Los Angeles CA Community College        
District GO 5.000% 8/1/18 (Prere.) 500 522
Los Angeles CA Community College        
District GO 5.000% 8/1/22 1,000 1,181
Los Angeles CA Community College        
District GO 4.000% 8/1/32 1,000 1,077
Los Angeles CA Department of Airports        
International Airport Revenue 5.000% 5/15/27 500 554
Los Angeles CA Department of Water &        
Power Revenue 5.000% 7/1/24 500 539
Los Angeles CA Department of Water &        
Power Revenue 5.000% 7/1/33 1,375 1,649
Los Angeles CA Department of Water &        
Power Revenue 5.000% 7/1/36 1,000 1,170
Los Angeles CA Department of Water &        
Power Revenue 5.000% 7/1/37 1,000 1,180
Los Angeles CA Unified School District GO 4.750% 7/1/17 (Prere.) 1,475 1,475
Los Angeles CA Unified School District GO 5.000% 7/1/17 (Prere.) 1,825 1,825
Los Angeles CA Unified School District GO 5.000% 7/1/17 (Prere.) 650 650
Los Angeles CA Unified School District GO 5.000% 7/1/19 1,000 1,079
Los Angeles CA Unified School District GO 5.000% 7/1/20 1,700 1,894
Los Angeles CA Unified School District GO 4.500% 7/1/22 (4) 1,535 1,535
Los Angeles CA Unified School District GO 5.000% 7/1/22 1,000 1,177

 

27


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Los Angeles CA Unified School District GO 5.000% 7/1/23 2,000 2,404
Los Angeles CA Unified School District GO 4.500% 7/1/24 (4) 1,500 1,500
Los Angeles CA Unified School District GO 5.000% 7/1/26 500 538
Los Angeles CA Unified School District GO 5.000% 7/1/26 1,000 1,253
Los Angeles CA Unified School District GO 4.500% 1/1/28 (14) 745 745
Los Angeles CA Unified School District GO 5.000% 7/1/29 500 538
Los Angeles CA Unified School District GO 5.000% 7/1/29 500 538
Los Angeles CA Unified School District GO 3.000% 7/1/31 1,500 1,508
Los Angeles CA Wastewater System Revenue 5.000% 6/1/19 (Prere.) 500 537
Los Angeles CA Wastewater System Revenue 5.000% 6/1/36 1,755 2,096
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax Revenue 5.000% 7/1/19 560 604
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax Revenue 5.000% 7/1/31 1,970 2,405
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax Revenue 5.000% 7/1/36 1,935 2,313
Los Angeles County CA Public Works        
Financing Authority Lease Revenue 5.000% 8/1/26 500 575
Los Angeles County CA Redevelopment        
Authority Tax Allocation Revenue        
(Hollywood/North Hollywood        
Redevelopment Project) 5.000% 7/1/20 1,500 1,662
Marysville CA Revenue (Fremont-Rideout        
Health Group) 5.250% 1/1/24 600 605
2 Metropolitan Water District of Southern        
California Revenue PUT 1.290% 3/27/18 1,585 1,585
Milpitas CA Redevelopment Agency        
Successor Agency Tax Allocation Revenue 5.000% 9/1/31 1,130 1,305
Newport Mesa CA Unified School District GO 0.000% 8/1/30 630 421
Oakland CA Redevelopment Agency Tax        
Allocation Revenue (Central District Project) 5.000% 9/1/22 500 578
Oakland CA Unified School District GO 5.000% 8/1/25 (4) 1,500 1,856
Orange County CA Development Agency        
Tax Allocation Revenue (Santa Ana        
Heights Project) 5.000% 3/1/21 1,170 1,313
Palomar Pomerado Health California GO 0.000% 8/1/22 (14) 1,000 900
Palomar Pomerado Health California GO 0.000% 8/1/26 (12) 1,040 796
Palomar Pomerado Health California GO 0.000% 8/1/32 (12) 700 401
Perris CA Public Financing Authority Tax        
Allocation Revenue 5.000% 10/1/21 1,085 1,235
Poway CA Unified School District GO 5.000% 8/1/24 1,750 2,141
Poway CA Unified School District Public        
Financing Authority Special Tax Revenue 5.000% 9/1/31 (4) 1,415 1,658
Riverside County CA Transportation        
Commission Sales Tax Revenue 5.250% 6/1/29 1,000 1,194
Riverside County CA Transportation        
Commission Toll Revenue 0.000% 6/1/30 2,415 1,385
Roseville CA Natural Gas Financing        
Authority Gas Revenue 5.000% 2/15/23 140 156
Roseville CA Natural Gas Financing        
Authority Gas Revenue 5.000% 2/15/25 245 280
Sacramento CA City Financing Authority        
Revenue 5.000% 12/1/22 (15) 750 881

 

28


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Sacramento CA City Financing Authority Tax        
Allocation Revenue 0.000% 12/1/30 (14) 1,815 1,125
Sacramento CA Municipal Utility District        
Revenue 5.000% 8/15/18 (Prere.) 195 204
Sacramento CA Municipal Utility District        
Revenue 5.000% 8/15/19 1,605 1,739
Sacramento CA Municipal Utility District        
Revenue 5.000% 8/15/27 (4) 305 319
Sacramento CA Regional Transportation        
District Farebox Revenue 5.000% 9/1/20 (Prere.) 185 207
Sacramento CA Regional Transportation        
District Farebox Revenue 5.000% 3/1/23 315 349
Sacramento County CA Airport Revenue 5.625% 7/1/29 500 521
Sacramento County CA Sanitation Districts        
Financing Authority Revenue 5.000% 8/1/25 435 536
Sacramento County CA Sanitation Districts        
Financing Authority Revenue 5.000% 8/1/27 575 696
San Bernardino CA Community College        
District GO 0.000% 8/1/22 (4) 1,000 910
San Bernardino County CA Transportation        
Authority Revenue 5.000% 3/1/31 500 570
San Diego CA Community College District GO 5.000% 8/1/21 (Prere.) 500 575
San Diego CA Community College District GO 5.000% 8/1/29 1,000 1,189
San Diego CA Public Facilities Financing        
Authority Sewer Revenue 5.000% 5/15/19 (Prere.) 500 537
San Diego CA Public Facilities Financing        
Authority Water Revenue 5.250% 8/1/20 (Prere.) 500 563
San Diego CA Public Facilities Financing        
Authority Water Revenue 5.000% 8/1/28 1,095 1,338
San Diego CA Public Facilities Financing        
Authority Water Revenue 5.000% 8/1/29 1,500 1,817
San Diego CA Public Facilities Financing        
Authority Water Revenue 5.000% 8/1/31 1,000 1,198
San Diego CA Unified School District GO 0.000% 7/1/27 500 380
San Diego CA Unified School District GO 5.000% 7/1/27 1,130 1,376
San Diego CA Unified School District GO 5.500% 7/1/27 (4) 500 648
San Diego CA Unified School District GO 0.000% 7/1/28 500 362
San Diego CA Unified School District GO 0.000% 7/1/29 500 345
San Diego CA Unified School District GO 0.000% 7/1/30 100 66
San Diego County CA Regional Airport        
Authority Revenue 5.000% 7/1/30 (4) 500 548
San Diego County CA Regional Transportation        
Commission Sales Tax Revenue 5.000% 4/1/31 560 637
San Diego County CA Water Authority        
Revenue 5.000% 5/1/28 1,000 1,205
San Francisco CA Bay Area Rapid Transit        
District GO 5.000% 8/1/30 1,520 1,828
San Francisco CA Bay Area Rapid Transit        
District Sales Tax Revenue 4.000% 7/1/21 350 388
San Francisco CA City & County (Earthquake        
Safety & Emergency Response) GO 5.000% 6/15/20 (Prere.) 500 557
3 San Francisco CA City & County COP 5.000% 4/1/28 1,635 1,959
3 San Francisco CA City & County COP 4.000% 4/1/33 1,000 1,057

 

29


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
San Francisco CA City & County International        
Airport Revenue 5.000% 5/3/21 (Prere.) 95 109
San Francisco CA City & County International        
Airport Revenue 5.250% 5/1/22 500 538
San Francisco CA City & County International        
Airport Revenue 5.000% 5/1/27 225 261
San Francisco CA City & County International        
Airport Revenue 5.000% 5/1/30 405 452
San Francisco CA City & County Public        
Utilities Commission Water Revenue 5.500% 11/1/20 (Prere.) 500 572
San Francisco CA City & County Public        
Utilities Commission Water Revenue 4.000% 11/1/30 1,280 1,413
San Francisco CA City & County Public        
Utilities Commission Water Revenue 5.000% 11/1/31 1,690 2,035
San Francisco CA City & County Public        
Utilities Commission Water Revenue 5.000% 11/1/32 1,000 1,178
San Francisco CA City & County Public        
Utilities Commission Water Revenue 5.000% 11/1/34 1,245 1,422
San Francisco CA City & County Unified        
School District GO 4.000% 6/15/32 965 1,024
San Joaquin County CA Transportation        
Authority Revenue 5.000% 3/1/27 1,000 1,258
San Jose CA Redevelopment Agency Tax        
Allocation Revenue 5.000% 8/1/19 (14) 1,000 1,013
San Jose CA Redevelopment Agency Tax        
Allocation Revenue 6.500% 8/1/28 700 739
San Ramon CA Public Financing Authority        
Tax Allocation Revenue 0.000% 2/1/33 (2) 1,475 800
Santa Monica CA Community College        
District GO 4.000% 8/1/21 1,500 1,667
Southern California Public Power Authority        
Revenue (Canyon Power Project) 5.000% 7/1/22 1,105 1,266
Southern California Public Power Authority        
Revenue (Milford Wind Corridor        
Phase I Project) 5.000% 7/1/26 1,000 1,094
State Center California Community College        
District GO 5.000% 8/1/29 1,000 1,194
Tahoe-Truckee CA Unified School District GO 5.000% 8/1/34 1,030 1,211
Turlock CA Public Financing Authority        
Water Revenue 4.750% 5/1/18 (Prere.) 2,000 2,065
Union CA Elementary School District GO 0.000% 9/1/28 (14) 1,080 782
Union City CA Community Redevelopment        
Agency Successor Agency Tax Allocation        
Revenue 5.000% 10/1/30 1,590 1,862
University of California Revenue 5.250% 5/15/19 (Prere.) 1,985 2,141
University of California Revenue 5.000% 5/15/23 1,000 1,139
University of California Revenue 5.000% 5/15/28 1,000 1,209
University of California Revenue 5.000% 5/15/28 1,000 1,187
University of California Revenue 4.000% 5/15/33 1,000 1,074
University of California Revenue PUT 5.000% 5/15/23 3,625 4,331
West Contra Costa CA Unified School        
District GO 0.000% 8/1/32 (4) 1,155 679
        249,575

 

30


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Colorado (0.8%)        
Adams & Weld County CO School District        
No. 27J GO 5.000% 12/1/34 1,435 1,669
Adams County CO COP 5.000% 12/1/31 650 757
Board of Governors of the Colorado State        
University System Enterprise Revenue 5.000% 3/1/23 300 355
Colorado (UCDHSC Fitzsimons Academic        
Projects) COP 5.000% 11/1/21 500 574
Colorado Educational & Cultural Facilities        
Authority Revenue (Regis University) 5.000% 10/1/25 1,000 1,164
Colorado Educational & Cultural Facilities        
Authority Revenue (University of Denver) 4.000% 3/1/30 500 547
Colorado Health Facilities Authority Retirement        
Facilities Revenue (Liberty Heights Project) 0.000% 7/15/24 (ETM) 1,430 1,231
Colorado Health Facilities Authority Revenue        
(Adventist Health System/Sunbelt        
Obligated Group) PUT 5.000% 11/15/23 2,500 2,944
Colorado Health Facilities Authority        
Revenue (Catholic Health Initiatives) 5.250% 2/1/31 2,500 2,639
Colorado Health Facilities Authority Revenue        
(Covenant Retirement Community Inc.) 5.000% 12/1/27 500 547
Colorado Health Facilities Authority Revenue        
(NCMC Inc.) 4.000% 5/15/30 1,500 1,627
Colorado Springs CO Utility System Revenue 5.000% 11/15/28 500 589
Denver CO City & County Airport Revenue 5.000% 11/15/20 500 559
Denver CO City & County Airport Revenue 5.000% 11/15/24 1,000 1,199
Denver CO City & County Airport Revenue 5.000% 11/15/26 430 480
Denver CO City & County School District GO 5.000% 12/1/36 2,000 2,349
E-470 Public Highway Authority Colorado        
Revenue 5.250% 9/1/18 (14) 1,500 1,563
E-470 Public Highway Authority Colorado        
Revenue 0.000% 9/1/23 (14) 1,000 861
E-470 Public Highway Authority Colorado        
Revenue 5.375% 9/1/26 1,000 1,089
Garfield, Pitkin, & Eagle County CO School        
District GO 4.000% 12/15/34 1,000 1,077
Regional Transportation District of        
Colorado COP 5.000% 6/1/24 1,010 1,112
Regional Transportation District of        
Colorado COP 5.000% 6/1/25 1,000 1,097
University of Colorado Enterprise        
System Revenue 5.000% 6/1/29 500 577
University of Colorado Enterprise        
System Revenue 4.000% 6/1/32 1,590 1,746
        28,352
Connecticut (0.3%)        
Connecticut GO 5.000% 4/15/21 500 557
Connecticut GO 5.000% 11/15/22 1,935 2,218
Connecticut GO 5.000% 4/15/24 500 567
Connecticut GO 5.000% 9/1/26 1,000 1,144
Connecticut GO 5.000% 4/15/28 500 564
Connecticut GO 5.000% 3/1/32 2,950 3,242
Connecticut GO 5.000% 10/15/32 705 791

 

31


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Connecticut Health & Educational Facilities        
Authority Revenue (Hartford Healthcare) 5.000% 7/1/26 500 556
Connecticut Special Tax Revenue        
(Transportation Infrastructure) 5.000% 9/1/23 1,000 1,169
Connecticut Special Tax Revenue        
(Transportation Infrastructure) 5.000% 11/1/25 500 525
University of Connecticut GO 5.000% 2/15/27 635 742
        12,075
Delaware (0.1%)        
Delaware GO 5.000% 2/1/19 600 638
Delaware GO 5.000% 7/1/20 600 668
Delaware GO 5.000% 10/1/20 700 785
Delaware GO 5.000% 7/1/22 1,250 1,469
        3,560
District of Columbia (0.2%)        
District of Columbia GO 5.000% 12/1/17 (Prere.) 500 509
District of Columbia GO 5.000% 6/1/35 1,290 1,533
District of Columbia Hospital Revenue        
(Children’s Hospital Obligated Group) 5.000% 7/15/35 1,000 1,145
District of Columbia Income Tax Revenue 5.000% 12/1/26 655 755
District of Columbia Income Tax Revenue 5.250% 12/1/27 500 548
District of Columbia Income Tax Revenue 5.000% 12/1/30 500 551
District of Columbia Revenue (National        
Public Radio, Inc.) 5.000% 4/1/27 1,000 1,190
Metropolitan Washington DC/VA Airports        
Authority Airport System Revenue 5.000% 10/1/24 500 558
Metropolitan Washington DC/VA Airports        
Authority Dulles Toll Road Revenue (Dulles        
Metrorail & Capital Improvement Projects) 0.000% 10/1/37 1,300 508
        7,297
Florida (2.0%)        
Brevard County FL School Board COP 5.000% 7/1/25 1,000 1,164
Broward County FL Airport System Revenue 5.000% 10/1/28 400 455
Broward County FL Airport System Revenue 5.375% 10/1/29 500 544
Broward County FL Airport System Revenue 5.500% 10/1/31 1,000 1,175
Central Florida Expressway Authority Revenue 4.000% 7/1/32 1,000 1,064
Citizens Property Insurance Corp. Florida        
Revenue (Coastal Account) 5.000% 6/1/20 1,000 1,091
Citizens Property Insurance Corp. Florida        
Revenue (Personal Lines Account/        
Commercial Lines Account) 5.000% 6/1/20 450 496
Florida Board of Education Lottery Revenue 5.000% 7/1/18 1,540 1,602
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/19 1,585 1,703
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/19 220 237
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/20 1,110 1,232
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/21 1,270 1,450
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/21 750 857

 

32


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/21 1,000 1,142
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/22 500 542
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/22 1,245 1,459
Florida Board of Education Public Education        
Capital Outlay GO 5.000% 6/1/24 600 716
Florida Board of Education Public Education        
Capital Outlay GO 4.000% 6/1/32 1,675 1,819
Florida Department of Transportation GO 5.000% 7/1/19 545 588
Florida Department of Transportation GO 5.000% 7/1/19 1,790 1,929
Florida Turnpike Authority Revenue 5.000% 7/1/18 1,400 1,457
Florida Turnpike Authority Revenue 5.000% 7/1/19 500 539
Florida Turnpike Authority Revenue 5.000% 7/1/25 1,500 1,841
Florida Turnpike Authority Revenue 4.000% 7/1/34 1,000 1,050
Florida Turnpike Authority Revenue 4.000% 7/1/34 1,385 1,472
Hillsborough County FL Industrial        
Development Authority Hospital Revenue        
(Tampa General Hospital Project) 5.000% 10/1/28 500 572
Jacksonville FL Electric Authority Water        
& Sewer Revenue 5.000% 10/1/31 500 563
Jacksonville FL Special Revenue 5.000% 10/1/32 500 574
Lakeland FL Educational Facilities Revenue        
(Florida Southern College Project) 5.000% 9/1/31 880 970
Lakeland FL Hospital Revenue (Lakeland        
Regional Health Systems) 5.000% 11/15/26 1,260 1,521
Miami Beach FL Health Facilities Authority        
Revenue (Mount Sinai Medical Center) 5.000% 11/15/27 1,000 1,143
Miami Beach FL Resort Tax Revenue 5.000% 9/1/34 1,000 1,153
Miami-Dade County FL Aviation Revenue        
(Miami International Airport) 4.875% 10/1/24 500 548
Miami-Dade County FL Aviation Revenue        
(Miami International Airport) 5.000% 10/1/30 585 644
Miami-Dade County FL Aviation Revenue        
(Miami International Airport) 5.000% 10/1/33 1,415 1,635
Miami-Dade County FL Aviation Revenue        
(Miami International Airport) 5.000% 10/1/34 1,000 1,150
Miami-Dade County FL Building Better        
Communities GO 5.000% 7/1/36 1,160 1,353
Miami-Dade County FL Health Facilities        
Authority Hospital Revenue (Miami        
Children’s Hospital) 5.000% 8/1/25 1,000 1,156
Miami-Dade County FL Seaport Revenue 5.750% 10/1/28 1,500 1,783
Miami-Dade County FL Special Obligation        
Revenue 5.000% 10/1/22 1,440 1,669
Miami-Dade County FL Special Obligation        
Revenue 5.000% 10/1/24 1,000 1,161
Miami-Dade County FL Special Obligation        
Revenue 5.000% 10/1/30 500 565
Miami-Dade County FL Transit Sales Surtax        
Revenue 4.000% 7/1/31 1,400 1,498
Miami-Dade County FL Water & Sewer        
Revenue 5.000% 10/1/17 (Prere.) 500 505

 

33


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Orange County FL Health Facilities Authority        
Hospital Revenue (Orlando Health Inc.) 5.000% 10/1/30 1,500 1,751
Orange County FL Health Facilities Authority        
Revenue (Nemours Foundation Project) 5.000% 1/1/19 500 528
Orlando & Orange County FL Expressway        
Authority Revenue 5.000% 7/1/20 (Prere.) 500 556
Osceola County FL Expressway System        
Revenue (Poinciana Parkway Project) 0.000% 10/1/19 815 768
Osceola County FL Expressway System        
Revenue (Poinciana Parkway Project) 0.000% 10/1/20 1,270 1,152
Palm Beach County FL Health Facilities        
Authority Hospital Revenue (BRRH Corp.        
Obligated Group) 5.000% 12/1/25 540 624
Palm Beach County FL Public Improvement        
Revenue 5.000% 5/1/33 1,245 1,468
Palm Beach County FL School Board COP 5.000% 8/1/29 1,520 1,784
Palm Beach County FL School Board COP 5.000% 8/1/32 1,500 1,735
Seacoast FL Utility Authority Water & Sewer        
Revenue 5.000% 3/1/21 1,230 1,394
St. Johns County FL Water & Sewer Revenue 0.000% 6/1/24 1,110 952
Sunshine State Governmental Financing        
Commission Florida Revenue (Miami Dade        
County Program) 5.000% 9/1/26 1,000 1,172
Tampa FL Cigarette Tax Allocation Revenue        
(H. Lee Moffitt Cancer Center Project) 5.000% 9/1/18 350 365
Tampa FL Cigarette Tax Allocation Revenue        
(H. Lee Moffitt Cancer Center Project) 5.000% 9/1/19 425 457
Tampa FL Cigarette Tax Allocation Revenue        
(H. Lee Moffitt Cancer Center Project) 5.000% 9/1/20 535 591
Tampa FL Cigarette Tax Allocation Revenue        
(H. Lee Moffitt Cancer Center Project) 5.000% 9/1/26 200 229
Tampa FL Health System Revenue (BayCare        
Health System) 5.000% 11/15/33 1,535 1,713
Tampa FL Hospital Revenue 5.000% 7/1/23 750 854
Tohopekaliga FL Water Authority Utility        
System Revenue 4.000% 10/1/21 1,245 1,379
Tohopekaliga FL Water Authority Utility        
System Revenue 5.750% 10/1/21 (Prere.) 500 591
Tohopekaliga FL Water Authority Utility        
System Revenue 4.000% 10/1/32 1,000 1,087
        68,937
Georgia (1.1%)        
Athens-Clarke County GA Unified        
Government Water & Sewerage Revenue 4.000% 1/1/32 1,000 1,076
Atlanta GA Airport Revenue 5.000% 1/1/33 2,000 2,295
Atlanta GA Development Authority Revenue 5.000% 7/1/29 1,000 1,168
Atlanta GA Water & Wastewater Revenue 5.000% 11/1/21 1,500 1,728
Atlanta GA Water & Wastewater Revenue 5.000% 11/1/25 1,250 1,535
Atlanta GA Water & Wastewater Revenue 5.750% 11/1/27 (4) 500 660
Cobb County GA Kennestone Hospital        
Authority Revenue 5.000% 4/1/24 400 468
DeKalb County GA Water & Sewer Revenue 5.250% 10/1/31 500 574
Georgia GO 5.750% 8/1/17 500 502
Georgia GO 5.000% 5/1/19 (Prere.) 500 536

 

34


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Georgia GO 5.000% 7/1/19 2,065 2,225
Georgia GO 5.000% 1/1/20 1,685 1,846
Georgia GO 5.000% 2/1/20 1,375 1,510
Georgia GO 5.000% 2/1/21 1,155 1,308
Georgia GO 5.000% 1/1/22 2,110 2,449
Georgia GO 5.000% 7/1/22 500 539
Georgia GO 5.000% 7/1/22 1,220 1,433
Georgia GO 5.000% 12/1/22 1,235 1,465
Georgia GO 5.000% 1/1/23 2,450 2,908
Georgia GO 5.000% 7/1/24 1,500 1,836
Gwinnett County GA School District GO 5.000% 2/1/28 500 604
Main Street Natural Gas Inc. Georgia Gas        
Project Revenue 5.250% 9/15/18 100 104
Main Street Natural Gas Inc. Georgia Gas        
Project Revenue 5.000% 3/15/19 395 415
Main Street Natural Gas Inc. Georgia Gas        
Project Revenue 5.000% 3/15/21 500 544
Main Street Natural Gas Inc. Georgia Gas        
Project Revenue 5.000% 3/15/22 400 442
Metropolitan Atlanta Rapid Transportation        
Authority Georgia Sales Tax Revenue 5.000% 7/1/31 1,335 1,598
Metropolitan Atlanta Rapid Transportation        
Authority Georgia Sales Tax Revenue 5.000% 7/1/35 1,095 1,287
Municipal Electric Authority Georgia Revenue 5.000% 1/1/19 1,000 1,052
Municipal Electric Authority Georgia Revenue 5.000% 1/1/26 1,000 1,175
Municipal Electric Authority Georgia Revenue 5.000% 1/1/35 1,500 1,674
Municipal Electric Authority Georgia Revenue        
(Combined Cycle Project) 5.000% 11/1/17 365 370
Private Colleges & University Authority of        
Georgia Revenue (Emory University) 5.000% 10/1/22 630 745
Private Colleges & University Authority of        
Georgia Revenue (Emory University) 5.000% 9/1/28 500 541
        38,612
Guam (0.1%)        
Guam Government Waterworks Authority        
Water & Waste Water System Revenue 5.250% 7/1/23 1,000 1,148
Guam Government Waterworks Authority        
Water & Waste Water System Revenue 5.250% 7/1/33 1,305 1,443
Guam International Airport Authority Revenue 5.000% 10/1/21 350 385
        2,976
Hawaii (0.8%)        
Hawaii Department of Budget & Finance        
Special Purpose Revenue (Hawaii Pacific        
Health Obligated Group) 5.000% 7/1/19 250 268
Hawaii Department of Budget & Finance        
Special Purpose Revenue (Hawaii Pacific        
Health Obligated Group) 5.000% 7/1/20 300 332
Hawaii Department of Budget & Finance        
Special Purpose Revenue (Hawaii Pacific        
Health Obligated Group) 5.000% 7/1/21 400 454
Hawaii GO 5.000% 6/1/19 (Prere.) 285 306
Hawaii GO 5.000% 6/1/19 (Prere.) 215 231
Hawaii GO 5.000% 10/1/21 2,500 2,878
Hawaii GO 5.000% 12/1/21 375 433

 

35


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Hawaii GO 5.000% 12/1/21 (Prere.) 310 359
Hawaii GO 5.000% 12/1/21 (Prere.) 190 220
Hawaii GO 5.000% 8/1/24 1,765 2,142
Hawaii GO 5.000% 8/1/25 1,500 1,815
Hawaii GO 5.000% 10/1/25 1,445 1,783
Hawaii GO 5.000% 10/1/28 1,210 1,482
Hawaii GO 4.000% 4/1/30 1,500 1,648
Hawaii GO 4.000% 10/1/30 1,250 1,378
Hawaii GO 4.000% 4/1/31 1,000 1,090
Hawaii Pacific Health Revenue 5.000% 7/1/19 575 615
Honolulu HI City & County GO 5.000% 7/1/17 (Prere.) 500 500
Honolulu HI City & County GO 5.000% 10/1/20 2,050 2,297
Honolulu HI City & County GO 5.250% 8/1/21 (Prere.) 1,245 1,443
Honolulu HI City & County GO 5.250% 8/1/21 (Prere.) 500 580
Honolulu HI City & County GO 5.000% 10/1/28 1,000 1,211
Honolulu HI City & County GO 5.000% 12/1/30 310 346
Honolulu HI City & County Wastewater        
System Revenue 5.000% 7/1/30 2,000 2,373
University of Hawaii Revenue 5.000% 10/1/27 500 540
        26,724
Idaho (0.0%)        
Idaho Health Facilities Authority Revenue        
(Trinity Health Group) 6.125% 12/1/18 (Prere.) 105 112
 
Illinois (2.5%)        
Chicago IL Board of Education GO 5.250% 12/1/17 (14) 775 782
Chicago IL Board of Education GO 5.000% 12/1/18 (2) 295 301
Chicago IL Board of Education GO 5.000% 12/1/19 (14) 560 583
Chicago IL Board of Education GO 5.250% 12/1/21 (14) 500 536
Chicago IL Board of Education GO 5.000% 12/1/22 1,500 1,329
Chicago IL Board of Education GO 5.000% 12/1/24 (4) 100 101
Chicago IL Board of Education GO 5.250% 12/1/24 (4) 500 523
Chicago IL Board of Education GO 5.250% 12/1/26 (12) 500 522
Chicago IL Board of Education GO 7.000% 12/1/26 500 492
Chicago IL Board of Education GO 4.750% 12/1/29 (4) 105 105
Chicago IL Board of Education GO 4.750% 12/1/31 (4) 50 50
Chicago IL Board of Education GO 5.250% 12/1/35 1,000 810
Chicago IL Metropolitan Water Reclamation        
District GO 5.000% 12/1/31 500 557
Chicago IL Motor Fuel Tax Revenue 5.000% 1/1/18 200 201
Chicago IL Motor Fuel Tax Revenue 5.000% 1/1/19 250 254
Chicago IL Motor Fuel Tax Revenue 5.000% 1/1/20 300 306
Chicago IL Motor Fuel Tax Revenue 5.000% 1/1/22 300 307
Chicago IL O’Hare International Airport        
Revenue 4.750% 1/1/18 (Prere.) 50 51
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/18 (Prere.) 500 510
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/18 (Prere.) 2,525 2,577
Chicago IL O’Hare International Airport        
Revenue 5.250% 1/1/24 200 232
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/25 1,000 1,205

 

36


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Chicago IL O’Hare International Airport        
Revenue 5.500% 1/1/26 1,000 1,166
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/27 500 609
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/29 1,000 1,164
Chicago IL O’Hare International Airport        
Revenue 5.250% 1/1/29 1,500 1,816
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/30 700 825
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/31 1,000 1,152
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/32 500 547
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/32 750 873
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/32 1,000 1,152
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/33 1,000 1,144
Chicago IL O’Hare International Airport        
Revenue 5.000% 1/1/35 1,855 2,123
Chicago IL Park District GO 5.000% 1/1/19 1,115 1,168
Chicago IL Park District GO 5.000% 1/1/19 750 786
Chicago IL Park District GO 5.000% 1/1/32 1,225 1,364
Chicago IL Wastewater Transmission Revenue 5.000% 1/1/28 1,000 1,156
Chicago IL Wastewater Transmission Revenue 5.000% 1/1/29 1,350 1,475
Chicago IL Waterworks Revenue 5.000% 11/1/30 1,000 1,107
Cook County IL GO 5.000% 11/15/21 500 533
Cook County IL GO 5.000% 11/15/28 500 525
Cook County IL GO 5.250% 11/15/28 500 537
Illinois Finance Authority Revenue (Advocate        
Health Care Network) 5.000% 8/1/26 1,500 1,768
Illinois Finance Authority Revenue (Advocate        
Health Care Network) 5.000% 8/1/33 2,550 2,882
Illinois Finance Authority Revenue (Ascension        
Health Credit Group) 5.000% 11/15/32 500 553
Illinois Finance Authority Revenue (Centegra        
Health System) 5.000% 9/1/29 1,300 1,426
Illinois Finance Authority Revenue (DePaul        
University) 5.000% 10/1/33 1,000 1,152
Illinois Finance Authority Revenue (DePaul        
University) 5.000% 10/1/34 1,000 1,147
Illinois Finance Authority Revenue (Edward        
Elmhurst Obligated Group) 5.000% 1/1/36 1,000 1,102
Illinois Finance Authority Revenue (Franciscan        
Communities Inc.) 5.000% 5/15/37 1,000 1,062
Illinois Finance Authority Revenue (Mercy        
Health System) 4.000% 12/1/28 1,000 1,057
Illinois Finance Authority Revenue        
(Northwestern Community Hospital) 5.750% 8/15/30 95 104
Illinois Finance Authority Revenue        
(Northwestern Community Hospital) 5.000% 7/1/35 1,000 1,120

 

37


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Illinois Finance Authority Revenue (Presence        
Health Network Obligated Group) 5.000% 2/15/28 1,250 1,409
Illinois Finance Authority Revenue        
(Rehabilitation Institute of Chicago) 5.500% 7/1/28 2,000 2,295
Illinois Finance Authority Revenue        
(Rush University Medical Center) 5.000% 11/15/33 1,000 1,112
Illinois Finance Authority Revenue        
(Trinity Health Corp.) 5.000% 12/1/30 500 555
Illinois Finance Authority Revenue        
(University of Chicago) 5.000% 10/1/29 500 564
Illinois Finance Authority Revenue        
(University of Chicago) 5.000% 10/1/35 1,000 1,135
Illinois GO 5.000% 1/1/18 500 507
Illinois GO 5.000% 11/1/19 1,000 1,038
Illinois GO 5.000% 1/1/20 (4) 200 212
Illinois GO 5.000% 8/1/20 305 316
Illinois GO 5.000% 1/1/21 (4) 710 749
Illinois GO 5.000% 5/1/21 250 260
Illinois GO 5.000% 8/1/21 500 521
Illinois GO 5.000% 11/1/22 1,000 1,044
Illinois GO 5.000% 11/1/23 1,000 1,043
Illinois GO 5.500% 7/1/24 1,000 1,069
Illinois GO 5.000% 8/1/24 1,500 1,550
Illinois GO 5.000% 1/1/25 1,570 1,639
Illinois GO 5.000% 3/1/26 (4) 1,125 1,198
Illinois GO 5.250% 2/1/30 1,900 1,964
Illinois GO 5.000% 11/1/30 1,000 1,023
Illinois GO 5.250% 7/1/31 1,000 1,028
Illinois GO 5.000% 9/1/31 3,000 3,009
Illinois Regional Transportation Authority        
Revenue 6.250% 7/1/23 (4) 500 617
Illinois Toll Highway Authority Revenue 5.000% 1/1/28 500 544
Illinois Toll Highway Authority Revenue 5.000% 1/1/30 1,000 1,134
Illinois Toll Highway Authority Revenue 5.000% 1/1/32 500 563
Kane McHenry Cook & DeKalb County IL        
Unit School District GO 5.000% 1/1/18 1,000 1,020
Metropolitan Pier & Exposition Authority        
Illinois Dedicated Sales Tax Revenue 0.000% 6/15/19 (14) 1,120 1,061
Metropolitan Pier & Exposition Authority        
Illinois Dedicated Sales Tax Revenue 0.000% 6/15/21 (14) 1,100 970
Metropolitan Pier & Exposition Authority        
Illinois Dedicated Sales Tax Revenue 0.000% 6/15/26 (4) 500 353
Metropolitan Pier & Exposition Authority        
Illinois Dedicated Sales Tax Revenue 0.000% 6/15/27 (4) 780 521
Metropolitan Pier & Exposition Authority        
Illinois Dedicated Sales Tax Revenue 0.000% 12/15/29 (14) 2,000 1,155
Metropolitan Pier & Exposition Authority        
Illinois Dedicated Sales Tax Revenue 0.000% 12/15/31 (14) 290 150
Metropolitan Pier & Exposition Authority        
Illinois Dedicated Sales Tax Revenue 0.000% 6/15/33 (14) 1,100 523
Metropolitan Pier & Exposition Authority        
Illinois Dedicated Sales Tax Revenue        
(McCormick Place Expansion Project) 0.000% 6/15/31 (14) 1,500 796

 

38


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Metropolitan Pier & Exposition Authority        
Illinois Dedicated Sales Tax Revenue        
(McCormick Place Expansion Project) 0.000% 6/15/32 (14) 1,100 553
Railsplitter Tobacco Settlement Authority        
Illinois Tobacco Settlement Revenue 5.250% 6/1/20 1,215 1,345
Railsplitter Tobacco Settlement Authority        
Illinois Tobacco Settlement Revenue 5.500% 6/1/23 1,060 1,205
Railsplitter Tobacco Settlement Authority        
Illinois Tobacco Settlement Revenue 6.000% 6/1/28 400 456
Romeoville IL Revenue (Lewis University        
Project) 5.000% 10/1/28 1,000 1,135
Southwestern Illinois Development Authority        
Health Facilities Revenue (Hospital Sisters        
Services Inc.) 5.000% 2/15/28 1,000 1,196
Will County IL Community High School        
District No. 210 (Lincoln-Way) GO 0.000% 1/1/29 1,000 532
Will County IL Community High School        
District No. 210 (Lincoln-Way) GO 5.000% 1/1/30 1,000 928
        88,926
Indiana (0.7%)        
Ball State University Student Fee Indiana        
Revenue 5.000% 7/1/32 350 414
Ball State University Student Fee Indiana        
Revenue 5.000% 7/1/34 1,050 1,230
Ball State University Student Fee Indiana        
Revenue 5.000% 7/1/35 1,450 1,691
Carmel IN Local Public Improvement Bond        
Bank Revenue 5.000% 7/15/31 1,000 1,187
Indiana Finance Authority Hospital Revenue        
(Indiana University Health Obligated Group) 5.000% 12/1/19 1,275 1,390
Indiana Finance Authority Hospital Revenue        
(Indiana University Health Obligated Group) 5.000% 12/1/22 1,100 1,294
Indiana Finance Authority Hospital Revenue        
(Indiana University Health Obligated Group) 5.000% 12/1/33 1,390 1,595
Indiana Finance Authority Revenue 5.000% 2/1/21 2,000 2,265
Indiana Finance Authority Revenue        
(Community Foundation of Northwest        
Indiana Obligated Group) 5.000% 3/1/25 690 776
Indiana Finance Authority Revenue        
(Marquette Project) 5.000% 3/1/24 1,645 1,867
Indiana Finance Authority Revenue        
(Marquette Project) 5.000% 3/1/25 650 744
Indiana Finance Authority Revenue        
(Stadium Project) 5.250% 2/1/30 1,000 1,194
Indiana Finance Authority Revenue        
(State Revolving Fund) 5.000% 2/1/18 500 512
Indiana Finance Authority Revenue        
(State Revolving Fund) 5.000% 2/1/32 500 577
Indiana Finance Authority Wastewater        
Utility Revenue (CWA Authority Project) 5.000% 10/1/32 500 565
Indiana Municipal Power Agency Revenue 5.000% 1/1/34 1,415 1,639
Indiana Office Building Commission Facilities        
Revenue (New Castle Correctional Facility) 5.250% 7/1/19 (14) 500 539
Indiana University Student Fee Revenue 5.000% 8/1/18 (Prere.) 100 104

 

39


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Indiana University Student Fee Revenue 5.000% 6/1/19 445 478
Indianapolis IN Local Public Improvement Bond        
Bank Revenue (PILOT Infrastructure Project) 5.000% 1/1/35 (4) 1,500 1,619
Indianapolis IN Local Public Improvement Bond        
Bank Revenue (Waterworks Project) 5.500% 1/1/38 (12) 1,900 2,011
Purdue University Indiana University Student        
Facilities System Revenue 5.000% 7/1/21 845 968
Richmond IN Hospital Authority Revenue        
(Reid Hospital & Health Care Services Inc.) 5.000% 1/1/24 700 812
        25,471
Iowa (0.2%)        
Iowa Finance Authority Midwestern Disaster        
Area Revenue (Iowa Fertilizer Co. Project) 5.000% 12/1/19 375 385
Iowa Finance Authority Midwestern Disaster        
Area Revenue (Iowa Fertilizer Co. Project) 5.500% 12/1/22 1,750 1,786
4 Iowa Finance Authority Midwestern Disaster        
Area Revenue (Iowa Fertilizer Co. Project) 5.875% 12/1/27 320 331
Iowa Special Obligation Revenue        
(Ijobs Program) 5.000% 6/1/19 (Prere.) 220 236
Polk County IA GO 4.000% 6/1/25 2,115 2,343
        5,081
Kansas (0.4%)        
Butler County KS Unified School District        
No. 385 Andover GO 4.000% 9/1/29 1,000 1,112
Kansas Department of Transportation        
Highway Revenue 5.000% 9/1/18 (Prere.) 500 523
Kansas Department of Transportation        
Highway Revenue 5.000% 9/1/20 1,000 1,119
Kansas Department of Transportation        
Highway Revenue 5.000% 9/1/25 500 607
Kansas Department of Transportation        
Highway Revenue 5.000% 9/1/26 700 845
Kansas Development Finance Authority        
Hospital Revenue (Adventist Health System/        
Sunbelt Obligated Group) 5.000% 11/15/17 (Prere.) 100 102
Kansas Development Finance Authority        
Revenue 5.000% 5/1/20 1,395 1,537
Kansas Development Finance Authority        
Revenue 5.000% 5/1/25 1,335 1,587
Kansas Development Finance Authority        
Revenue 5.000% 5/1/27 1,585 1,876
Kansas Development Finance Authority        
Revenue 5.000% 4/1/32 1,325 1,486
Leavenworth County KS Unified School        
District GO 4.500% 9/1/19 (12) 500 536
Wichita KS Hospital Facilities Revenue        
(Via Christi Health System Inc.) 5.000% 11/15/21 (Prere.) 500 578
Wyandotte County/Kansas City KS Unified        
Government Utility System Revenue 5.000% 9/1/23 500 579
        12,487

 

40


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Kentucky (0.4%)        
Kentucky Economic Development Finance        
Authority Health System Revenue (Norton        
Healthcare Inc. & Affiliates) 0.000% 10/1/25 (14) 1,140 892
Kentucky Economic Development Finance        
Authority Hospital Revenue (Baptist        
Healthcare System Obligated Group) 5.625% 8/15/27 1,200 1,251
Kentucky Economic Development Finance        
Authority Hospital Revenue (Baptist        
Healthcare System Obligated Group) 5.000% 8/15/31 1,430 1,597
Kentucky Economic Development Finance        
Authority Medical Center Revenue        
(King’s Daughters Medical Center Project) 5.000% 2/1/30 605 631
Kentucky Municipal Power Agency Power        
System Revenue 5.000% 9/1/29 (14) 1,000 1,143
Kentucky Property & Building Commission        
Revenue 5.000% 11/1/18 (Prere.) 500 527
Kentucky Property & Building Commission        
Revenue 5.375% 11/1/18 (Prere.) 440 466
Kentucky Property & Building Commission        
Revenue 5.375% 11/1/23 60 63
Kentucky Public Transportation Infrastructure        
Authority Toll Revenue (Downtown Crossing        
Project) BAN 0.000% 7/1/21 1,325 1,188
Kentucky Public Transportation Infrastructure        
Authority Toll Revenue (Downtown Crossing        
Project) BAN 0.000% 7/1/22 810 698
Kentucky Turnpike Authority Economic        
Development Road Revenue (Revitalization        
Project) 4.000% 7/1/17 500 500
Kentucky Turnpike Authority Economic        
Development Road Revenue (Revitalization        
Project) 5.000% 7/1/18 2,255 2,344
Kentucky Turnpike Authority Economic        
Development Road Revenue (Revitalization        
Project) 5.000% 7/1/19 (Prere.) 305 329
Kentucky Turnpike Authority Economic        
Development Road Revenue (Revitalization        
Project) 5.000% 7/1/28 1,000 1,158
        12,787
Louisiana (0.2%)        
Bossier City LA Utilities Revenue 5.000% 10/1/22 500 585
Bossier City LA Utilities Revenue 5.000% 10/1/23 500 596
Jefferson Parish LA Environmental Facilities &        
Community Development Authority Revenue 5.000% 4/1/18 405 417
2 Louisiana Gasoline & Fuel Tax Revenue PUT 1.285% 5/1/18 1,000 998
Louisiana State University Revenue 5.000% 7/1/23 400 465
New Orleans LA GO 5.125% 12/1/17 (Prere.) 1,645 1,675
New Orleans LA GO 5.000% 12/1/31 500 562
New Orleans LA Sewage Service Revenue 5.000% 6/1/24 900 1,059
New Orleans LA Sewage Service Revenue 5.000% 6/1/27 500 589
St. Charles Parish LA Gulf Opportunity Zone        
Revenue (Valero Energy Corp.) PUT 4.000% 6/1/22 1,300 1,373
        8,319

 

41


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Maine (0.0%)        
Portland ME Airport Revenue 5.000% 1/1/20 (4) 500 540
 
Maryland (2.3%)        
Anne Arundel County MD GO 5.000% 10/1/19 1,455 1,581
Anne Arundel County MD GO 5.000% 10/1/20 1,455 1,631
Anne Arundel County MD GO 5.000% 4/1/23 1,190 1,419
Anne Arundel County MD GO 5.000% 10/1/27 1,455 1,786
Baltimore County MD GO 5.000% 2/1/21 1,500 1,699
Baltimore County MD GO 5.000% 8/1/21 1,435 1,648
Baltimore County MD GO 4.000% 3/1/30 1,200 1,355
Baltimore MD Consolidated Public        
Improvement GO 5.000% 10/15/28 650 764
Baltimore MD Project Revenue 5.000% 7/1/24 2,000 2,411
Howard County MD GO 5.000% 8/15/21 (Prere.) 80 92
Howard County MD GO 5.000% 2/15/22 750 849
Howard County MD GO 5.000% 8/15/24 120 137
Maryland Department of Transportation        
Revenue 5.000% 2/15/18 500 513
Maryland Department of Transportation        
Revenue 5.000% 2/15/19 1,955 2,079
Maryland Department of Transportation        
Revenue 5.000% 11/1/19 3,055 3,328
Maryland Department of Transportation        
Revenue 5.000% 2/15/20 1,090 1,198
Maryland Department of Transportation        
Revenue 5.000% 5/1/20 2,240 2,479
Maryland Department of Transportation        
Revenue 5.000% 11/1/22 2,515 2,975
Maryland Department of Transportation        
Revenue 5.000% 11/1/23 1,900 2,294
Maryland Department of Transportation        
Revenue 4.000% 12/15/29 1,365 1,507
Maryland GO 5.000% 7/15/17 610 611
Maryland GO 5.000% 8/1/17 500 502
Maryland GO 5.250% 8/15/17 500 503
Maryland GO 5.250% 3/1/18 200 206
Maryland GO 5.000% 3/1/19 1,200 1,278
Maryland GO 5.000% 3/15/19 (Prere.) 500 534
Maryland GO 5.000% 8/1/20 (Prere.) 870 971
Maryland GO 5.250% 8/1/20 1,000 1,123
Maryland GO 5.000% 6/1/21 2,415 2,761
Maryland GO 4.000% 8/1/21 1,000 1,108
Maryland GO 5.000% 8/1/21 1,000 1,149
Maryland GO 5.000% 8/1/22 1,510 1,778
Maryland GO 5.000% 8/1/22 1,500 1,766
Maryland GO 5.000% 8/1/22 4,000 4,709
Maryland GO 4.000% 8/1/23 2,390 2,731
Maryland GO 5.000% 8/1/23 1,500 1,803
Maryland GO 4.000% 8/1/26 1,970 2,223
Maryland GO 4.000% 6/1/29 2,000 2,228
Maryland GO 4.000% 6/1/30 2,000 2,213

 

42


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Maryland Health & Higher Educational        
Facilities Authority Revenue (Adventist        
Healthcare Obligated Group) 5.500% 1/1/31 1,850 2,157
Maryland Health & Higher Educational        
Facilities Authority Revenue (Anne        
Arundel Health System) 5.000% 7/1/27 500 570
Maryland Health & Higher Educational        
Facilities Authority Revenue (Johns Hopkins        
Health System Obligated Group) 5.000% 7/1/24 500 580
Maryland Health & Higher Educational        
Facilities Authority Revenue (Maryland        
Institute College of Art) 5.000% 6/1/20 500 540
Maryland Health & Higher Educational        
Facilities Authority Revenue (Meritus        
Medical Center, Inc.) 5.000% 7/1/33 1,215 1,353
Maryland Transportation Authority Facilities        
Projects Revenue 5.000% 7/1/22 500 538
Maryland Transportation Authority GAN 5.250% 3/1/18 700 720
Maryland Transportation Authority GAN 5.250% 3/1/20 500 534
Maryland Water Quality Financing        
Administration Bay Restoration Revolving        
Loan Fund Revenue 5.000% 3/1/24 1,620 1,963
Montgomery County MD GO 5.000% 7/1/17 500 500
Montgomery County MD GO 5.000% 11/1/17 500 507
Montgomery County MD GO 5.000% 11/1/22 1,500 1,774
Montgomery County MD GO 5.000% 11/1/22 1,000 1,183
Montgomery County MD GO 5.000% 11/1/23 2,800 3,378
Montgomery County MD GO 4.000% 12/1/30 1,555 1,721
Prince Georges County MD GO 5.000% 9/15/23 580 666
        80,626
Massachusetts (1.9%)        
Boston MA GO 5.000% 4/1/20 780 861
Massachusetts Bay Transportation Authority        
Sales Tax Revenue 5.000% 7/1/18 (Prere.) 500 520
Massachusetts Bay Transportation Authority        
Sales Tax Revenue 5.000% 7/1/18 (Prere.) 2,500 2,601
Massachusetts Bay Transportation Authority        
Sales Tax Revenue 5.250% 7/1/22 480 568
Massachusetts Bay Transportation Authority        
Sales Tax Revenue 5.500% 7/1/26 (14) 400 513
Massachusetts Bay Transportation Authority        
Sales Tax Revenue 5.250% 7/1/28 500 636
Massachusetts Bay Transportation Authority        
Sales Tax Revenue 5.000% 7/1/31 915 1,141
Massachusetts College Building Authority        
Revenue 5.250% 5/1/19 (Prere.) 445 479
Massachusetts Department of Transportation        
Metropolitan Highway System Revenue 5.000% 1/1/23 500 545
Massachusetts Development Finance Agency        
Revenue (Boston College) 5.000% 7/1/37 1,750 2,067
4 Massachusetts Development Finance Agency        
Revenue (Boston University) TOB VRDO 1.020% 7/7/17 LOC 5,200 5,200
Massachusetts Development Finance Agency        
Revenue (Emerson College) 5.500% 1/1/30 450 481

 

43


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Massachusetts Development Finance Agency        
Revenue (Harvard University) 5.000% 1/1/20 355 389
Massachusetts Development Finance Agency        
Revenue (Lahey Clinic Obligated Group) 5.000% 8/15/25 750 836
Massachusetts Development Finance Agency        
Revenue (Lahey Clinic Obligated Group) 5.000% 8/15/26 500 556
Massachusetts Development Finance Agency        
Revenue (Lahey Clinic Obligated Group) 5.000% 8/15/27 600 669
Massachusetts Development Finance Agency        
Revenue (Milford Regional Medical Center) 5.000% 7/15/17 300 300
Massachusetts Development Finance Agency        
Revenue (Milford Regional Medical Center) 5.000% 7/15/18 200 208
Massachusetts Development Finance Agency        
Revenue (UMass Memorial Medical Center) 5.000% 7/1/25 1,275 1,499
Massachusetts Development Finance Agency        
Revenue (UMass Memorial Medical Center) 5.125% 7/1/26 720 800
Massachusetts Educational Financing Authority        
Education Loan Revenue 5.500% 1/1/22 300 325
Massachusetts GO 5.250% 8/1/17 (Prere.) 800 803
Massachusetts GO 5.500% 10/1/18 500 528
Massachusetts GO 5.000% 3/1/19 (Prere.) 500 533
Massachusetts GO 5.000% 7/1/19 (Prere.) 500 539
Massachusetts GO 5.000% 8/1/20 500 557
Massachusetts GO 5.250% 8/1/20 300 336
Massachusetts GO 5.500% 10/1/20 500 568
Massachusetts GO 5.500% 10/1/20 (14) 500 568
Massachusetts GO 5.000% 4/1/21 (Prere.) 500 569
Massachusetts GO 5.000% 8/1/22 1,000 1,172
Massachusetts GO 5.250% 8/1/23 500 605
Massachusetts GO 5.000% 12/1/23 1,520 1,828
Massachusetts GO 5.000% 12/1/24 2,000 2,440
Massachusetts GO 1.334% 11/1/25 1,380 1,369
Massachusetts GO 5.000% 7/1/26 1,375 1,706
Massachusetts GO 5.000% 7/1/28 1,000 1,263
Massachusetts GO 4.000% 11/1/30 1,980 2,121
2 Massachusetts GO PUT 1.210% 8/1/17 1,000 1,000
4 Massachusetts GO TOB VRDO 1.000% 7/5/17 LOC 2,600 2,600
Massachusetts Health & Educational Facilities        
Authority Revenue (Harvard University) 5.000% 12/15/19 (Prere.) 500 548
Massachusetts Health & Educational Facilities        
Authority Revenue (Museum of Fine Arts)        
VRDO 0.970% 7/5/17 10,200 10,200
Massachusetts Port Authority Revenue 5.000% 7/1/17 415 415
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 5/15/19 (ETM) 390 418
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 5/15/19 110 118
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 10/15/20 225 252
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 5/15/21 900 1,027
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 8/15/23 495 580

 

44


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 8/15/31 1,500 1,768
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 4.000% 8/15/32 600 644
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 8/15/34 1,000 1,164
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 8/15/35 2,000 2,316
Massachusetts Special Obligation Dedicated        
Tax Revenue 5.500% 1/1/26 (14) 500 628
Massachusetts Transportation Fund Revenue        
(Accelerated Bridge Program) 5.000% 6/1/18 1,400 1,452
Massachusetts Turnpike Authority Revenue        
(Metropolitan Highway System) 0.000% 1/1/29 (14) 300 222
Massachusetts Water Pollution Abatement        
Trust Revenue 5.000% 8/1/19 240 259
Massachusetts Water Pollution Abatement        
Trust Revenue 5.250% 8/1/20 200 225
Massachusetts Water Pollution Abatement        
Trust Revenue 5.250% 8/1/21 500 579
Massachusetts Water Pollution Abatement        
Trust Revenue 5.250% 8/1/30 625 798
Massachusetts Water Resources Authority        
Revenue 5.000% 8/1/25 895 994
Massachusetts Water Resources Authority        
Revenue 5.000% 8/1/35 1,000 1,181
        68,087
Michigan (1.6%)        
Battle Creek MI School District GO 5.000% 5/1/25 500 605
Birmingham MI City School District GO 5.000% 5/1/22 740 862
Chippewa Valley MI Schools GO 5.000% 5/1/33 1,000 1,147
Dearborn MI School District GO 5.000% 5/1/34 1,200 1,357
Detroit MI City School District GO 5.250% 5/1/28 (4) 500 605
Detroit MI Sewage Disposal System Revenue 7.000% 7/1/27 (4) 1,000 1,107
Detroit MI Water & Sewerage Department        
Sewage Disposal System Revenue 5.000% 7/1/22 370 422
Detroit MI Water & Sewerage Department        
Sewage Disposal System Revenue 5.000% 7/1/23 1,025 1,162
Detroit MI Water & Sewerage Department        
Sewage Disposal System Revenue 5.000% 7/1/32 1,000 1,101
Great Lakes MI Water Authority Sewer        
Disposal System Revenue 5.000% 7/1/31 1,645 1,867
Great Lakes MI Water Authority Sewer        
Disposal System Revenue 5.000% 7/1/36 1,000 1,114
Great Lakes MI Water Authority Water Supply        
System Revenue 5.000% 7/1/28 1,000 1,180
Great Lakes MI Water Authority Water Supply        
System Revenue 4.000% 7/1/33 (4) 1,000 1,035
Lincoln MI Consolidated School District GO 5.000% 5/1/24 (4) 1,000 1,201
Marysville MI Public Schools District GO 5.000% 5/1/28 1,605 1,912
Michigan Building Authority Revenue 5.000% 10/15/20 (4) 500 542
Michigan Building Authority Revenue 5.000% 4/15/24 1,500 1,793
Michigan Building Authority Revenue 5.000% 4/15/33 1,000 1,146

 

45


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Michigan Finance Authority Hospital Revenue        
Bonds (Trinity Health Credit Group) 5.000% 12/1/35 920 1,040
Michigan Finance Authority Revenue 5.000% 4/1/18 1,000 1,026
Michigan Finance Authority Revenue 5.000% 10/1/22 500 563
Michigan Finance Authority Revenue        
(Detroit Water & Sewer) 5.000% 7/1/22 (4) 1,000 1,146
Michigan Finance Authority Revenue        
(Detroit Water & Sewer) 5.000% 7/1/23 (4) 1,000 1,165
Michigan Finance Authority Revenue        
(Detroit Water & Sewer) 5.000% 7/1/28 750 851
Michigan Finance Authority Revenue        
(Detroit Water & Sewer) 5.000% 7/1/29 1,500 1,701
Michigan Finance Authority Revenue        
(Detroit Water & Sewer) 5.000% 7/1/33 1,000 1,117
Michigan Finance Authority Revenue        
(Henry Ford Health System Obligated Group) 5.000% 11/15/26 1,000 1,212
Michigan Finance Authority Revenue        
(Sparrow Obligated Group) 5.000% 11/15/27 500 568
Michigan Finance Authority Revenue        
(State Clean Water Revolving Fund) 5.000% 10/1/22 2,100 2,476
Michigan Finance Authority Revenue        
(State Clean Water Revolving Fund) 5.000% 10/1/27 1,000 1,174
Michigan Finance Authority Revenue        
(State Clean Water Revolving Fund) 5.000% 10/1/31 500 579
Michigan Finance Authority Revenue        
(Trinity Health Credit Group) 5.000% 12/1/28 2,000 2,386
Michigan Finance Authority Revenue        
(Unemployment Obligation Assessment) 5.000% 1/1/18 500 510
Michigan Finance Authority Revenue        
(Unemployment Obligation Assessment) 5.000% 7/1/19 1,145 1,234
Michigan Finance Authority Revenue        
(Unemployment Obligation Assessment) 5.000% 1/1/22 2,000 2,042
Michigan GAN 5.000% 3/15/27 1,000 1,238
Michigan GO 5.000% 5/1/18 500 517
Michigan GO 5.500% 5/1/19 (Prere.) 595 643
Michigan State University Revenue 5.000% 8/15/20 1,040 1,160
Michigan Trunk Line Revenue 5.000% 11/1/21 500 543
Oakland University MI Revenue 5.000% 3/1/30 1,155 1,343
Portage MI Public Schools GO 5.000% 11/1/34 1,250 1,430
Rochester MI Community School District GO 5.000% 5/1/18 1,800 1,860
Royal Oak MI Hospital Finance Authority        
Hospital Revenue (William Beaumont        
Hospital) 5.000% 9/1/25 1,400 1,642
University of Michigan Revenue 5.000% 4/1/32 2,000 2,415
2 University of Michigan Revenue PUT 1.340% 4/2/18 1,000 1,002
Wayne County MI Airport Authority Revenue 5.000% 12/1/30 1,300 1,488
Wayne County MI Airport Authority Revenue        
(Detroit Metropolitan Wayne County Airport) 4.500% 12/1/25 (14) 1,000 1,014
        57,243
Minnesota (0.7%)        
Bloomington MN Independent School        
District No. 271 GO 5.000% 2/1/22 2,000 2,323
Farmington MN Independent School        
District No. 192 GO 5.000% 2/1/21 1,800 2,034

 

46


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Minneapolis & St. Paul MN Metropolitan        
Airports Commission Revenue 5.000% 1/1/25 250 305
Minneapolis & St. Paul MN Metropolitan        
Airports Commission Revenue 5.000% 1/1/26 200 247
Minneapolis & St. Paul MN Metropolitan        
Council Wastewater GO 5.000% 3/1/21 1,435 1,629
Minneapolis MN Special School        
District No. 1 COP 5.000% 2/1/26 1,855 2,168
Minnesota 911 Revenue 5.000% 6/1/18 1,430 1,483
Minnesota GO 5.000% 10/1/17 (ETM) 10 10
Minnesota GO 5.000% 10/1/17 490 495
Minnesota GO 5.000% 8/1/19 500 540
Minnesota GO 5.000% 8/1/19 (Prere.) 500 540
Minnesota GO 5.000% 11/1/20 335 364
Minnesota GO 5.000% 8/1/21 1,295 1,486
Minnesota GO 5.000% 8/1/22 1,305 1,534
Minnesota GO 5.000% 8/1/25 1,500 1,862
Minnesota GO 5.000% 8/1/27 1,005 1,229
Rochester MN Health Care Facilities        
Revenue (Mayo Clinic) 5.000% 11/15/31 1,000 1,258
Southern Minnesota Municipal Power        
Agency Power Supply System Revenue 5.250% 1/1/19 (Prere.) 500 531
University of Minnesota Revenue 5.000% 12/1/18 1,000 1,056
University of Minnesota Revenue 5.000% 4/1/19 2,775 2,964
University of Minnesota Revenue 5.000% 8/1/19 500 540
University of Minnesota Revenue 5.250% 12/1/29 500 565
        25,163
Mississippi (0.9%)        
DeSoto County MS School District GO 5.000% 5/1/19 370 396
Mississippi Business Finance Corp. Gulf        
Opportunity Zone Industrial Development        
Revenue (Chevron USA Inc. Project) VRDO 0.970% 7/5/17 4,950 4,950
Mississippi Business Finance Corp. Gulf        
Opportunity Zone Industrial Development        
Revenue (Chevron USA Inc. Project) VRDO 0.970% 7/5/17 1,100 1,100
Mississippi Business Finance Corp. Gulf        
Opportunity Zone Industrial Development        
Revenue (Chevron USA Inc. Project) VRDO 0.970% 7/5/17 100 100
Mississippi Business Finance Corp. Gulf        
Opportunity Zone Industrial Development        
Revenue (Chevron USA Inc. Project) VRDO 0.970% 7/5/17 11,700 11,700
Mississippi Business Finance Corp. Gulf        
Opportunity Zone Industrial Development        
Revenue (Chevron USA Inc. Project) VRDO 1.000% 7/5/17 2,600 2,600
Mississippi Business Finance Corp. Gulf        
Opportunity Zone Industrial Development        
Revenue (Chevron USA Inc. Project) VRDO 1.000% 7/5/17 800 800
3 Mississippi Development Bank Special        
Obligation Revenue (Marshall County        
Industrial Development Highway        
Refunding Project) 5.000% 1/1/26 1,300 1,573
Mississippi Development Bank Special        
Obligation Revenue (Rankin County School        
District) 5.000% 6/1/30 1,500 1,808

 

47


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Mississippi GO 5.500% 12/1/18 750 797
Mississippi GO 5.000% 10/1/19 2,000 2,174
Mississippi GO 5.000% 11/1/29 1,000 1,195
Mississippi State University Educational        
Building Corp. Revenue 5.000% 8/1/32 1,000 1,155
        30,348
Missouri (0.4%)        
Jackson County MO Special Obligation        
Revenue (Truman Sports Complex Project) 5.000% 12/1/26 1,000 1,180
Missouri Board of Public Buildings Special        
Obligation Revenue 4.000% 4/1/20 1,000 1,076
Missouri Health & Educational Facilities        
Authority Educational Facilities Revenue        
(St. Louis College of Pharmacy Project) 5.000% 5/1/30 500 544
Missouri Health & Educational Facilities        
Authority Educational Facilities Revenue        
(St. Louis College of Pharmacy Project) 5.000% 5/1/34 880 941
Missouri Health & Educational Facilities        
Authority Health Facilities Revenue (SSM        
Health System) 5.000% 6/1/25 1,000 1,180
Missouri Health & Educational Facilities        
Authority Revenue (Children’s Mercy        
Hospital) 5.000% 5/15/36 1,000 1,135
Missouri Health & Educational Facilities        
Authority Revenue (Mercy Health) 5.000% 11/15/34 1,500 1,699
Missouri Health & Educational Facilities        
Authority Revenue (Mercy Health) VRDO 1.644% 6/1/31 (2) 500 454
Missouri Highways & Transportation        
Commission Road Revenue 5.000% 2/1/23 600 714
Missouri Highways & Transportation        
Commission Road Revenue 5.000% 5/1/23 500 535
Missouri Joint Municipal Electric Utility        
Commission Power Project Revenue (Iatan        
2 Project) 5.000% 12/1/34 1,400 1,598
Missouri Joint Municipal Electric Utility        
Commission Power Project Revenue        
(Prairie Project) 5.000% 12/1/34 1,000 1,147
St. Louis MO Parking Revenue 5.000% 12/15/23 (4) 690 810
St. Louis MO Sewer & Wastewater Revenue 5.000% 5/1/36 1,000 1,162
        14,175
Montana (0.0%)        
Montana Facility Finance Authority Hospital        
Revenue (Benefis Health System) 5.000% 2/15/32 825 952
 
Nebraska (0.3%)        
Central Plains Energy Project Nebraska Gas        
Project Revenue (Project No. 1) 5.250% 12/1/18 160 168
Central Plains Energy Project Nebraska Gas        
Supply Revenue PUT 5.000% 12/1/19 2,000 2,160
Lincoln County NE Hospital Authority No. 1        
Hospital Revenue (Great Plains Regional        
Medical Center Project) 5.000% 11/1/23 750 842
Lincoln NE Electric System Revenue 5.000% 9/1/22 (Prere.) 135 159
Lincoln NE Electric System Revenue 5.000% 9/1/25 265 308

 

48


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Municipal Energy Agency of Nebraska Power        
Supply System Revenue 5.000% 4/1/31 345 384
Nebraska Public Power District Revenue 5.000% 1/1/30 1,000 1,134
Nebraska Public Power District Revenue 5.000% 1/1/32 1,500 1,694
Scotts Bluff County NE Hospital Authority        
Revenue (Regional West Medical Center) 5.000% 2/1/24 1,685 1,883
        8,732
Nevada (0.8%)        
Carson City NV Hospital Revenue (Carson        
Tahoe Regional Medical Center) 5.000% 9/1/33 1,500 1,614
Clark County NV GO 5.000% 12/1/29 500 543
Clark County NV GO 4.000% 6/1/32 1,505 1,637
Clark County NV GO 5.000% 7/1/33 1,000 1,138
Clark County NV Highway Improvement        
Motor Vehicle Fuel Tax Revenue 5.000% 7/1/19 (Prere.) 500 539
Clark County NV Passenger Facility Charge        
Revenue (Las Vegas McCarran International        
Airport) 4.500% 7/1/20 455 490
Clark County NV School District GO 5.000% 12/15/17 (Prere.) 1,175 1,197
Clark County NV School District GO 5.000% 12/15/17 (Prere.) 1,690 1,722
Las Vegas NV GO 5.000% 6/1/18 1,225 1,275
Las Vegas Valley Water District Nevada GO 5.000% 2/1/18 (Prere.) 1,000 1,024
Las Vegas Valley Water District Nevada GO 5.000% 6/1/21 2,000 2,278
Las Vegas Valley Water District Nevada GO 5.000% 6/1/24 1,000 1,213
Las Vegas Valley Water District Nevada GO 5.000% 6/1/35 1,870 2,186
Nevada Capital Improvement & Cultural        
Affairs GO 5.000% 12/1/17 (Prere.) 500 509
Nevada GO 5.000% 4/1/22 1,710 1,989
Nevada GO 5.000% 11/1/23 1,465 1,758
Nevada GO 5.000% 11/1/25 1,015 1,238
Nevada Highway Improvement Revenue        
(Motor Vehicle Fuel Tax) 4.000% 12/1/32 1,660 1,801
Reno NV Health Facility Revenue        
(Dignity Health Obligated Group) 5.250% 7/1/17 (Prere.) 1,100 1,100
Truckee Meadows NV Water Authority        
Water Revenue 5.000% 7/1/34 1,500 1,769
        27,020
New Hampshire (0.1%)        
New Hampshire Health & Education Facilities        
Authority Revenue (Southern New        
Hampshire Medical Center) 5.000% 10/1/17 (Prere.) 1,435 1,450
New Hampshire Health & Education Facilities        
Authority Revenue (Southern New        
Hampshire Medical Center) 5.000% 10/1/32 430 434
New Hampshire Municipal Bond Bank        
Revenue 4.000% 8/15/33 1,000 1,075
        2,959
New Jersey (1.4%)        
Bergen County NJ GO 5.000% 10/15/21 1,470 1,698
Garden State Preservation Trust New Jersey        
Revenue (Open Space & Farmland        
Preservation) 0.000% 11/1/21 (4) 500 453
Jersey City NJ GO 5.000% 3/1/21 480 541

 

49


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Morris County NJ Improvement Authority        
School District Revenue (Morris Hills Regional        
District Project) 5.000% 10/1/23 495 579
New Jersey COP 5.250% 6/15/19 (Prere.) 465 502
New Jersey Economic Development        
Authority Revenue 5.000% 6/15/21 1,000 1,063
New Jersey Economic Development        
Authority Revenue 5.000% 6/15/23 1,000 1,071
New Jersey Economic Development        
Authority Revenue 5.500% 6/15/29 2,000 2,186
New Jersey Economic Development        
Authority Revenue (Cigarette Tax) 5.000% 6/15/19 700 735
New Jersey Economic Development        
Authority Revenue (Cigarette Tax) 5.000% 6/15/26 1,500 1,615
New Jersey Economic Development Authority        
Revenue (Motor Vehicle Surcharges) 5.250% 7/1/26 (14) 500 580
New Jersey Economic Development Authority        
Revenue (School Facilities Construction) 5.250% 9/1/24 300 318
New Jersey Economic Development Authority        
Revenue (School Facilities Construction) 5.000% 3/1/28 2,095 2,180
New Jersey Economic Development Authority        
Sublease Revenue (New Jersey Transit Corp.        
Light Rail Transit System Project) 5.000% 5/1/18 500 512
New Jersey Economic Development Authority        
Sublease Revenue (New Jersey Transit Corp.        
Light Rail Transit System Project) 5.000% 5/1/19 500 523
New Jersey Educational Facilities Authority        
Revenue (University Medical & Dentistry) 6.500% 6/1/19 (Prere.) 195 215
New Jersey GO 5.250% 7/15/18 (2) 500 521
New Jersey GO 5.000% 8/15/19 750 803
New Jersey Health Care Facilities Financing        
Authority Lease Revenue (Greystone Park        
Psychiatric Hospital Project) 5.000% 9/15/24 500 533
New Jersey Health Care Facilities Financing        
Authority Revenue (Barnabas Health) 5.000% 7/1/18 (ETM) 250 260
New Jersey Health Care Facilities Financing        
Authority Revenue (Barnabas Health) 5.000% 7/1/22 1,000 1,154
New Jersey Health Care Facilities Financing        
Authority Revenue (Barnabas Health) 5.000% 7/1/25 900 1,019
New Jersey Health Care Facilities Financing        
Authority Revenue (Hackensack Meridian        
Health) 5.000% 1/1/18 (ETM) 385 393
New Jersey Health Care Facilities Financing        
Authority Revenue (Hackensack Meridian        
Health) 5.000% 1/1/19 (ETM) 315 334
New Jersey Health Care Facilities Financing        
Authority Revenue (Hackensack Meridian        
Health) 5.000% 1/1/19 (ETM) 185 196
New Jersey Health Care Facilities Financing        
Authority Revenue (Hackensack Meridian        
Health) 5.000% 7/1/21 640 724
New Jersey Health Care Facilities Financing        
Authority Revenue (St. Joseph’s Healthcare        
System) 5.000% 7/1/27 1,000 1,143

 

50


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
New Jersey Higher Education Assistance        
Authority Student Loan Revenue 5.250% 12/1/28 240 256
New Jersey Transportation Trust Fund Authority        
Federal Highway Reimbursement Revenue 5.000% 6/15/24 1,750 1,802
New Jersey Transportation Trust Fund Authority        
Federal Highway Reimbursement Revenue 5.000% 6/15/25 1,300 1,433
New Jersey Transportation Trust Fund Authority        
Federal Highway Reimbursement Revenue 5.000% 6/15/29 1,500 1,531
New Jersey Transportation Trust Fund Authority        
Transportation Program Revenue 5.250% 6/15/33 1,500 1,577
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.500% 12/15/17 (4) 150 153
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.500% 12/15/18 (4) 1,135 1,197
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.000% 12/15/19 650 686
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.250% 12/15/19 500 531
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.500% 12/15/20 (14) 2,500 2,753
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.250% 12/15/21 (14) 245 273
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.500% 12/15/21 (12) 150 171
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.500% 12/15/22 1,315 1,450
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.500% 12/15/23 605 671
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.000% 12/15/24 1,000 1,079
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 0.000% 12/15/26 (2) 2,000 1,381
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.500% 6/15/31 500 524
New Jersey Transportation Trust Fund Authority        
Transportation System Revenue 5.000% 6/15/32 700 723
New Jersey Turnpike Authority Revenue 5.000% 1/1/22 500 528
New Jersey Turnpike Authority Revenue 5.000% 1/1/31 1,000 1,127
New Jersey Turnpike Authority Revenue 5.000% 1/1/32 1,000 1,136
New Jersey Turnpike Authority Revenue 5.000% 1/1/35 1,000 1,161
South Jersey Transportation Authority        
New Jersey Transportation System Revenue 5.000% 11/1/25 500 556
Tobacco Settlement Financing Corp.        
New Jersey Revenue 5.000% 6/1/18 1,500 1,519
Tobacco Settlement Financing Corp.        
New Jersey Revenue 5.000% 6/1/19 850 853
Tobacco Settlement Financing Corp.        
New Jersey Revenue 0.000% 6/1/41 5,105 1,397
Tobacco Settlement Financing Corp.        
New Jersey Revenue 0.000% 6/1/41 835 224
West Deptford Township NJ GO 5.000% 7/1/27 (4) 635 635
        49,178

 

51


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
New Mexico (0.2%)        
Albuquerque NM GO 5.000% 7/1/20 2,000 2,224
Albuquerque NM Municipal School        
District No. 12 GO 5.000% 8/1/22 250 292
Albuquerque NM Municipal School        
District No. 12 GO 5.000% 8/1/23 250 298
Farmington NM Pollution Control Revenue        
(Arizona Public Service Co. Four Corners        
Project) 4.700% 9/1/24 1,750 1,889
New Mexico Educational Assistance        
Foundation Revenue 5.000% 12/1/19 500 545
New Mexico Finance Authority Transportation        
Revenue 5.000% 6/15/23 500 553
New Mexico Hospital Equipment Loan Council        
Hospital System Revenue (Presbyterian        
Healthcare Services) 5.000% 8/1/28 1,350 1,579
        7,380
New York (8.4%)        
4 Battery Park City Authority New York        
Revenue TOB VRDO 1.000% 7/5/17 LOC 1,000 1,000
Erie County NY Industrial Development        
Agency School Facility Revenue        
(Buffalo City School District Project) 5.000% 5/1/18 500 517
Erie County NY Industrial Development        
Agency School Facility Revenue        
(Buffalo City School District Project) 5.000% 5/1/19 300 321
Erie County NY Industrial Development        
Agency School Facility Revenue        
(Buffalo City School District Project) 5.000% 5/1/19 (ETM) 200 215
Erie County NY Industrial Development        
Agency School Facility Revenue        
(Buffalo City School District Project) 5.250% 5/1/31 500 568
Hempstead NY GO 4.000% 4/1/29 (4) 1,420 1,560
Hudson Yards Infrastructure Corp. New York        
Revenue 5.000% 2/15/35 1,000 1,172
Hudson Yards Infrastructure Corp. New York        
Revenue 5.000% 2/15/36 1,000 1,170
Long Island NY Power Authority Electric        
System Revenue 4.000% 9/1/18 835 863
Long Island NY Power Authority Electric        
System Revenue 5.250% 4/1/19 (ETM) 75 81
Long Island NY Power Authority Electric        
System Revenue 5.250% 4/1/19 (ETM) 125 134
Long Island NY Power Authority Electric        
System Revenue 5.000% 4/1/23 575 606
Long Island NY Power Authority Electric        
System Revenue 5.000% 9/1/24 45 52
2 Long Island NY Power Authority Electric        
System Revenue PUT 1.385% 11/1/18 1,000 1,001
Monroe County NY Industrial Development        
Corp. Mortgage Revenue (Unity Hospital        
Rochester Project) 5.500% 8/15/23 755 758

 

52


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Monroe County NY Industrial Development        
Corp. Revenue (University of Rochester        
Project) 5.000% 7/1/26 1,000 1,245
Monroe County NY Industrial Development        
Corp. Revenue (University of Rochester        
Project) 5.000% 7/1/37 1,000 1,175
Nassau County NY GO 5.000% 4/1/23 1,000 1,179
New York City NY GO 5.000% 8/1/17 (Prere.) 75 75
New York City NY GO 5.250% 8/1/17 700 703
New York City NY GO 5.250% 8/15/18 (Prere.) 40 42
New York City NY GO 5.500% 11/15/18 (Prere.) 300 319
New York City NY GO 5.625% 4/1/19 (Prere.) 815 880
New York City NY GO 5.000% 8/1/19 1,500 1,618
New York City NY GO 5.000% 8/1/19 1,065 1,149
New York City NY GO 5.000% 8/1/19 425 427
New York City NY GO 5.000% 8/1/20 2,935 3,267
New York City NY GO 5.000% 8/1/20 2,100 2,337
New York City NY GO 5.250% 9/1/20 1,000 1,051
New York City NY GO 5.000% 8/1/21 1,535 1,757
New York City NY GO 5.000% 8/1/21 515 590
New York City NY GO 5.000% 8/1/21 2,000 2,289
New York City NY GO 5.000% 8/1/22 500 586
New York City NY GO 5.000% 8/1/22 1,290 1,512
New York City NY GO 5.000% 10/1/22 500 574
New York City NY GO 5.000% 8/1/23 1,505 1,798
New York City NY GO 5.000% 8/1/23 380 444
New York City NY GO 5.250% 8/15/24 460 482
New York City NY GO 5.000% 8/1/25 750 863
New York City NY GO 5.000% 8/1/25 1,010 1,242
New York City NY GO 5.000% 8/1/26 500 581
New York City NY GO 5.000% 8/1/26 1,000 1,164
New York City NY GO 5.000% 8/15/26 475 496
New York City NY GO 5.000% 5/15/28 480 514
New York City NY GO 5.000% 8/1/28 400 444
New York City NY GO 5.625% 4/1/29 25 27
New York City NY GO 5.000% 5/15/29 500 536
New York City NY GO 5.000% 8/1/30 1,000 1,159
New York City NY GO 5.000% 3/1/31 1,340 1,540
New York City NY GO 5.000% 8/1/31 365 413
New York City NY GO 5.000% 12/1/32 1,755 2,094
New York City NY GO 5.000% 12/1/33 1,500 1,784
New York City NY GO 5.000% 12/1/35 1,000 1,182
New York City NY GO VRDO 0.940% 7/5/17 400 400
New York City NY GO VRDO 0.940% 7/5/17 1,600 1,600
New York City NY GO VRDO 0.950% 7/5/17 LOC 400 400
New York City NY GO VRDO 0.950% 7/5/17 800 800
New York City NY GO VRDO 0.970% 7/5/17 3,000 3,000
New York City NY GO VRDO 0.970% 7/5/17 3,800 3,800
New York City NY GO VRDO 0.970% 7/5/17 LOC 3,100 3,100
New York City NY Health & Hospital Corp.        
Revenue (Health System) 5.000% 2/15/24 1,500 1,634
New York City NY Health & Hospital Corp.        
Revenue (Health System) 5.000% 2/15/30 500 537

 

53


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
New York City NY Housing Development        
Corp. Multi-Family Housing Revenue 5.250% 7/1/29 1,000 1,159
New York City NY Housing Development Corp.        
Multi-Family Housing Revenue PUT 2.950% 2/1/26 1,000 1,025
New York City NY Industrial Development        
Agency Special Facility Revenue (New York        
Stock Exchange Project) VRDO 0.910% 7/7/17 LOC 3,700 3,700
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 0.000% 6/15/18 750 743
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/27 500 539
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/27 1,200 1,472
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 4.750% 6/15/30 255 263
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/30 500 554
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/31 500 565
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.250% 6/15/33 1,000 1,226
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue        
VRDO 0.950% 7/5/17 1,200 1,200
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue        
VRDO 0.950% 7/5/17 1,500 1,500
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue        
VRDO 0.950% 7/5/17 3,000 3,000
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue        
VRDO 0.970% 7/5/17 2,800 2,800
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue        
VRDO 0.970% 7/5/17 7,800 7,800
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue        
VRDO 0.970% 7/5/17 1,500 1,500
New York City NY Transitional Finance        
Authority Building Aid Revenue 5.000% 7/15/24 500 591
New York City NY Transitional Finance        
Authority Building Aid Revenue 5.250% 1/15/25 500 531
New York City NY Transitional Finance        
Authority Building Aid Revenue 5.250% 1/15/26 500 531
New York City NY Transitional Finance        
Authority Building Aid Revenue 5.000% 7/15/28 1,730 2,086
New York City NY Transitional Finance        
Authority Building Aid Revenue 5.125% 1/15/29 1,070 1,134
New York City NY Transitional Finance        
Authority Building Aid Revenue 5.000% 7/15/29 2,000 2,390
New York City NY Transitional Finance        
Authority Building Aid Revenue 5.000% 7/15/30 1,000 1,184

 

54


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
New York City NY Transitional Finance        
Authority Building Aid Revenue 5.000% 7/15/32 250 286
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 2/1/18 (ETM) 200 205
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 2/1/19 1,100 1,168
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.250% 2/1/21 (Prere.) 60 69
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 11/1/22 1,000 1,182
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 11/1/25 400 460
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 11/1/28 1,325 1,607
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 5/1/29 850 993
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 2/1/30 500 579
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.250% 2/1/30 440 498
New York City NY Transitional Finance        
Authority Future Tax Revenue 4.000% 5/1/30 1,500 1,685
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 2/1/31 500 561
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 5/1/31 300 344
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 11/1/31 500 580
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 8/1/32 1,250 1,458
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 11/1/32 1,500 1,774
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 11/1/32 500 578
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 5/1/33 1,800 2,142
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 8/1/34 1,450 1,677
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 8/1/34 1,665 1,961
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 11/1/34 1,500 1,769
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.000% 11/1/35 1,725 2,015
New York City NY Transitional Finance        
Authority Future Tax Revenue VRDO 0.970% 7/5/17 6,000 6,000
New York City NY Transitional Finance        
Authority Future Tax Revenue VRDO 0.970% 7/5/17 11,050 11,050
New York City NY Transitional Finance        
Authority Recovery Revenue VRDO 0.950% 7/5/17 1,600 1,600
New York City NY Trust for Cultural Resources        
Revenue (Lincoln Center for the Performing        
Arts Inc.) 5.000% 12/1/26 1,000 1,220
New York Liberty Development Corp. Revenue 5.000% 11/15/31 1,000 1,126

 

55


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
New York Liberty Development Corp. Revenue        
(7 World Trade Center Project) 5.000% 9/15/31 1,000 1,145
New York Liberty Development Corp. Revenue        
(Goldman Sachs Headquarters) 5.250% 10/1/35 500 623
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/17 (Prere.) 500 508
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/17 (Prere.) 110 112
New York Metropolitan Transportation Authority        
Revenue 5.000% 5/15/18 (Prere.) 500 518
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/19 1,500 1,635
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/20 1,500 1,685
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/21 210 242
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/21 1,000 1,153
New York Metropolitan Transportation Authority        
Revenue 5.250% 11/15/21 (14) 300 349
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/28 1,675 2,034
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/30 500 571
New York Metropolitan Transportation Authority        
Revenue 5.250% 11/15/30 500 561
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/32 500 565
New York Metropolitan Transportation Authority        
Revenue 5.000% 11/15/33 1,500 1,696
New York Metropolitan Transportation Authority        
Revenue (Dedicated Petroleum Tax) 5.250% 11/15/19 (Prere.) 600 659
New York Metropolitan Transportation Authority        
Revenue (Dedicated Tax Fund) 5.250% 11/15/29 1,665 2,059
New York Metropolitan Transportation Authority        
Revenue (Dedicated Tax Fund) 5.000% 11/15/32 1,455 1,732
New York Metropolitan Transportation Authority        
Revenue (Dedicated Tax Fund) 4.000% 11/15/33 1,500 1,627
New York Metropolitan Transportation Authority        
Revenue (Dedicated Tax Fund) 5.000% 11/15/35 2,000 2,361
New York Metropolitan Transportation Authority        
Revenue (Hudson Yards Development) 5.000% 11/15/46 2,000 2,153
New York Metropolitan Transportation Authority        
Revenue (Hudson Yards Development) 5.000% 11/15/51 2,750 2,988
New York Metropolitan Transportation Authority        
Revenue (Transit Revenue) 5.500% 11/15/18 255 265
New York Metropolitan Transportation Authority        
Revenue (Transit Revenue) 5.000% 11/15/31 1,165 1,324
2 New York Metropolitan Transportation Authority        
Revenue PUT 1.270% 11/15/17 1,500 1,499
New York State Dormitory Authority Lease        
Revenue (City of New York Court Facilities) 5.500% 5/15/24 (2) 500 616
New York State Dormitory Authority Lease        
Revenue (City of New York Court Facilities) 5.500% 5/15/27 (2) 500 636

 

56


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
New York State Dormitory Authority Lease        
Revenue (Mental Health Services Facilities) 5.000% 8/15/21 500 557
New York State Dormitory Authority Revenue 5.000% 10/1/20 75 81
New York State Dormitory Authority Revenue        
(City University System) 5.000% 7/1/24 400 443
New York State Dormitory Authority Revenue        
(Fordham University) 5.000% 7/1/18 (Prere.) 250 260
New York State Dormitory Authority Revenue        
(Icahn School of Medicine at Mount Sinai) 5.000% 7/1/28 1,000 1,175
New York State Dormitory Authority Revenue        
(Icahn School of Medicine at Mount Sinai) 5.000% 7/1/32 1,000 1,140
New York State Dormitory Authority Revenue        
(Mount Sinai Hospital Obligated Group) 5.000% 7/1/23 500 553
New York State Dormitory Authority Revenue        
(Mount Sinai School of Medicine of        
New York University) 5.000% 7/1/17 (Prere.) 500 500
New York State Dormitory Authority Revenue        
(New York University) 6.000% 7/1/19 (14) 500 549
New York State Dormitory Authority Revenue        
(North Shore—Long Island Jewish Obligated        
Group) 5.000% 5/1/26 500 560
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 3/15/18 (Prere.) 500 515
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 3/15/20 200 213
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 12/15/20 1,815 2,045
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 2/15/22 (Prere.) 170 198
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 2/15/22 (Prere.) 160 186
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 2/15/23 830 961
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 2/15/24 840 972
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 12/15/26 500 587
3 New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 2/15/27 1,945 2,421
3 New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 2/15/29 1,000 1,217
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 3/15/30 2,000 2,345
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 3/15/32 500 572
3 New York State Dormitory Authority Revenue        
(Personal Income Tax) 4.000% 2/15/33 1,975 2,127
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 2/15/33 300 341
3 New York State Dormitory Authority Revenue        
(Personal Income Tax) 4.000% 2/15/34 1,905 2,040
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 3/15/34 2,000 2,312

 

57


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
3 New York State Dormitory Authority Revenue        
(Personal Income Tax) 4.000% 2/15/35 1,000 1,067
New York State Dormitory Authority Revenue        
(School Districts Financing Program) 5.000% 10/1/20 500 559
New York State Dormitory Authority Revenue        
(School Districts Financing Program) 5.000% 10/1/21 (4) 390 448
New York State Dormitory Authority Revenue        
(Service Contract) 5.000% 7/1/22 500 539
New York State Dormitory Authority Revenue        
(The New School) 5.250% 7/1/20 (Prere.) 500 559
New York State Dormitory Authority Sales Tax        
Revenue 5.000% 3/15/21 1,135 1,292
New York State Dormitory Authority Sales Tax        
Revenue 5.000% 3/15/24 1,320 1,604
New York State Dormitory Authority Sales Tax        
Revenue 5.000% 3/15/25 1,270 1,565
New York State Dormitory Authority Sales Tax        
Revenue 5.000% 3/15/33 1,720 2,048
New York State Dormitory Authority Sales Tax        
Revenue 5.000% 3/15/35 1,420 1,669
New York State Environmental Facilities Corp.        
Revenue (State Clean Water & Drinking Water        
Revolving Funds) 5.000% 6/15/22 2,000 2,352
New York State Environmental Facilities Corp.        
Revenue (State Clean Water & Drinking Water        
Revolving Funds) 5.000% 6/15/24 365 405
New York State Environmental Facilities Corp.        
Revenue (State Clean Water & Drinking Water        
Revolving Funds) 5.000% 6/15/25 500 581
New York State Environmental Facilities Corp.        
Revenue (State Clean Water & Drinking Water        
Revolving Funds) 5.000% 6/15/34 1,500 1,804
New York State GO 4.500% 2/1/18 500 511
New York State GO 4.500% 2/1/19 500 528
New York State GO 5.000% 2/15/30 315 356
New York State Housing Finance Agency        
Housing Revenue (Avalon Bowery Place I)        
VRDO 0.880% 7/7/17 LOC 4,300 4,300
New York State Local Government Assistance        
Corp. Revenue 5.000% 4/1/21 495 542
New York State Thruway Authority Revenue 5.000% 5/1/19 1,135 1,213
New York State Thruway Authority Revenue 5.000% 1/1/20 (14) 500 510
New York State Thruway Authority Revenue 5.000% 1/1/21 (14) 490 500
New York State Thruway Authority Revenue 5.000% 1/1/30 500 564
New York State Thruway Authority Revenue 5.000% 1/1/32 (14) 600 611
New York State Thruway Authority Revenue 5.000% 1/1/35 1,000 1,148
New York State Thruway Authority Revenue        
(Highway & Bridge Trust Fund) 5.000% 10/1/18 (Prere.) 500 525
New York State Thruway Authority Revenue        
(Personal Income Tax) 5.000% 3/15/19 500 534
New York State Thruway Authority Revenue        
(Personal Income Tax) 5.000% 3/15/20 500 551
New York State Thruway Authority Revenue        
(Personal Income Tax) 5.000% 3/15/25 500 573

 

58


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
New York State Urban Development Corp.        
Revenue 5.000% 3/15/36 2,000 2,351
New York State Urban Development Corp.        
Revenue 5.000% 3/15/37 2,000 2,348
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 12/15/17 (Prere.) 1,035 1,055
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 12/15/17 (Prere.) 465 474
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 3/15/18 1,000 1,029
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 12/15/18 600 635
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 12/15/18 (ETM) 145 153
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 12/15/18 355 376
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.500% 3/15/22 (14) 530 629
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 3/15/24 1,325 1,600
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 3/15/25 2,000 2,446
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 3/15/26 2,000 2,411
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 3/15/29 1,500 1,810
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 3/15/31 1,420 1,687
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 3/15/31 2,000 2,339
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 3/15/33 1,485 1,724
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.000% 3/15/33 2,000 2,351
New York State Urban Development Corp.        
Revenue (Service Contract) 5.000% 1/1/18 540 551
New York State Urban Development Corp.        
Revenue (Service Contract) VRDO 0.900% 7/7/17 2,600 2,600
Port Authority of New York & New Jersey        
Revenue 5.000% 7/15/26 500 521
Port Authority of New York & New Jersey        
Revenue 5.000% 9/1/26 1,750 2,119
Port Authority of New York & New Jersey        
Revenue 5.000% 5/1/28 1,250 1,379
Port Authority of New York & New Jersey        
Revenue 5.000% 10/15/29 1,000 1,196
Port Authority of New York & New Jersey        
Revenue 5.000% 10/15/35 1,000 1,163
Suffolk County NY Economic Development        
Corp. Revenue (Catholic Health Services) 5.000% 7/1/21 1,545 1,745
Suffolk County NY Economic Development        
Corp. Revenue (Catholic Health Services) 5.000% 7/1/27 1,370 1,557
Tobacco Settlement Financing Corp.        
New York Revenue 5.000% 6/1/29 1,000 1,160

 

59


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Tobacco Settlement Financing Corp.        
New York Revenue 5.000% 6/1/34 1,760 1,991
Triborough Bridge & Tunnel Authority        
New York Revenue 5.000% 11/15/18 (Prere.) 305 322
Triborough Bridge & Tunnel Authority        
New York Revenue 5.000% 11/15/23 1,500 1,809
Triborough Bridge & Tunnel Authority        
New York Revenue 5.000% 11/15/25 195 205
Triborough Bridge & Tunnel Authority        
New York Revenue 5.000% 11/15/34 2,000 2,339
Triborough Bridge & Tunnel Authority        
New York Revenue 5.000% 11/15/34 1,900 2,257
Triborough Bridge & Tunnel Authority        
New York Revenue 5.000% 11/15/36 1,000 1,179
Utility Debt Securitization Authority        
New York Revenue 5.000% 12/15/33 1,600 1,865
Utility Debt Securitization Authority        
New York Revenue 5.000% 12/15/34 1,000 1,185
Utility Debt Securitization Authority        
New York Revenue 5.000% 12/15/35 1,945 2,301
Utility Debt Securitization Authority        
New York Revenue 5.000% 12/15/36 2,450 2,892
Westchester County NY GO 5.000% 7/1/20 (ETM) 55 61
Westchester County NY GO 5.000% 7/1/20 435 484
Westchester County NY GO 5.000% 7/1/20 (ETM) 10 11
Westchester County NY Health Care        
Corp. Revenue 5.000% 11/1/30 500 544
Westchester County NY Local Development        
Corp. Revenue (Westchester Medical Center) 5.000% 11/1/31 1,085 1,219
Westchester NY Tobacco Asset        
Securitization Revenue 5.000% 6/1/28 1,400 1,603
Westchester NY Tobacco Asset        
Securitization Revenue 5.000% 6/1/33 1,500 1,655
        295,882
North Carolina (0.7%)        
Cary NC Combined Enterprise System        
Revenue 5.000% 12/1/27 500 590
Charlotte NC Airport Revenue 5.000% 7/1/25 2,050 2,510
Charlotte NC Water & Sewer System        
Revenue 5.000% 12/1/20 235 265
Durham County NC GO 5.000% 4/1/20 685 756
Durham County NC GO 5.000% 10/1/22 500 590
Guilford County NC GO 5.000% 3/1/19 1,230 1,310
Mecklenburg County NC Public Facilities        
Corp. Revenue (Annual Appropriation) 5.000% 3/1/19 (Prere.) 500 533
New Hanover County NC Hospital Revenue        
(New Hanover Regional Medical Center        
Project) 5.000% 10/1/34 1,000 1,162
North Carolina Capital Improvement Revenue 5.000% 5/1/19 555 594
North Carolina Capital Improvement Revenue 5.000% 5/1/29 500 549
North Carolina Eastern Municipal Power        
Agency Power Systems Revenue 6.000% 1/1/18 (ETM) 510 523
North Carolina Eastern Municipal Power        
Agency Power Systems Revenue 5.000% 1/1/19 (Prere.) 500 530

 

60


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
North Carolina GAN 5.000% 3/1/25 1,000 1,210
North Carolina GAN 5.000% 3/1/27 1,000 1,192
North Carolina GO 5.000% 3/1/18 500 513
North Carolina GO 5.000% 6/1/19 2,000 2,149
North Carolina GO 5.000% 3/1/20 275 303
North Carolina GO 4.000% 6/1/20 500 541
North Carolina GO 5.000% 5/1/22 250 293
North Carolina Medical Care Commission        
Health Care Facilities Revenue (Vidant        
Health) 5.000% 6/1/21 1,000 1,133
North Carolina Medical Care Commission        
Health Care Facilities Revenue (WakeMed) 5.000% 10/1/27 1,000 1,140
North Carolina Medical Care Commission        
Hospital Revenue (Southeastern Regional        
Medical Center) 5.000% 6/1/24 600 687
North Carolina Municipal Power Agency        
No. 1 Revenue (Catawba Electric) 5.000% 1/1/19 (Prere.) 355 376
North Carolina Municipal Power Agency        
No. 1 Revenue (Catawba Electric) 5.000% 1/1/30 145 153
Orange County NC Public Facilities Co.        
Revenue 5.000% 10/1/24 500 581
Raleigh NC GO 5.000% 9/1/27 2,000 2,543
2 University of North Carolina University        
System Revenue PUT 1.454% 12/1/17 1,200 1,200
Wake County NC GO 4.000% 2/1/18 695 708
Wake County NC GO 5.000% 3/1/18 500 514
Wake County NC Limited Obligation Revenue 4.000% 12/1/19 680 726
        25,874
North Dakota (0.0%)        
3 Grand Forks ND Health Care System Revenue        
(Altru Health System Obligated Group) 5.000% 12/1/25 1,210 1,438
 
Ohio (1.1%)        
American Municipal Power Ohio Inc. Revenue        
(Fremont Energy Center Project) 5.250% 2/15/27 570 654
American Municipal Power Ohio Inc. Revenue        
(Hydroelectric Projects) 5.250% 2/15/18 500 513
Butler County OH Hospital Facilities Revenue        
(Kettering Health Network) 5.250% 4/1/31 500 545
Butler County OH Hospital Facilities Revenue        
(UC Health) 5.250% 11/1/29 435 480
Centerville OH Health Care Revenue        
(Graceworks Lutheran Services) 5.000% 11/1/26 725 795
Centerville OH Health Care Revenue        
(Graceworks Lutheran Services) 5.000% 11/1/27 380 415
Cleveland OH Airport System Revenue 5.250% 1/1/18 (2) 260 265
Columbus OH City School District GO 0.000% 12/1/29 (4) 1,000 690
Columbus OH GO 5.000% 7/1/25 535 623
Columbus OH Sewer Revenue 5.000% 6/1/30 1,500 1,799
Cuyahoga County OH Excise Tax Revenue        
(Sports Facilities Improvement Project) 5.000% 12/1/25 500 586
Cuyahoga County OH Hospital Revenue        
(MetroHealth System) 5.000% 2/15/32 1,000 1,090

 

61


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Fairfield County OH Hospital Facilities        
Revenue (Fairfield Medical Center) 5.125% 6/15/33 615 664
Franklin County OH Convention Facilities        
Authority Revenue 5.000% 12/1/20 1,000 1,119
Franklin County OH Convention Facilities        
Authority Revenue 5.000% 12/1/28 1,680 1,997
Greater Cleveland OH Regional Transit        
Authority Sales Tax Revenue 5.000% 12/1/18 350 370
Hamilton County OH Hospital Facilities        
Revenue (TriHealth Obligated Group) 5.000% 8/15/36 1,000 1,142
Hamilton County OH Hospital Facilities        
Revenue (UC Health) 5.000% 2/1/21 200 223
Hamilton County OH Sales Tax Revenue 5.000% 12/1/27 1,700 2,106
Kent State University Ohio Revenue 5.000% 5/1/19 (Prere.) 460 494
Kent State University Ohio Revenue 5.000% 5/1/23 (12) 40 43
Lucas County OH Hospital Revenue        
(ProMedica Healthcare Obligated Group) 5.000% 11/15/26 500 564
Lucas County OH Hospital Revenue        
(ProMedica Healthcare Obligated Group) 5.250% 11/15/27 1,500 1,707
Ohio Building Authority Revenue        
(Administration Building Fund) 5.000% 10/1/20 100 112
Ohio Capital Facilities Lease-Appropriation        
Revenue (Mental Health Facilities        
Improvement Fund Projects) 5.000% 2/1/22 750 867
Ohio GO 5.000% 2/1/18 3,895 3,988
Ohio GO 5.000% 8/1/23 500 588
Ohio GO 5.000% 8/1/24 500 609
Ohio GO 5.000% 3/15/36 1,005 1,164
Ohio Higher Education GO 5.000% 8/1/21 500 574
Ohio Higher Educational Facility Commission        
Revenue (Case Western Reserve University        
Project) 5.000% 12/1/22 550 646
Ohio Turnpike Commission Turnpike Revenue 5.500% 2/15/20 (14) 1,000 1,109
Ohio Turnpike Commission Turnpike Revenue 5.000% 2/15/28 1,000 1,170
Ohio Turnpike Commission Turnpike Revenue 5.000% 2/15/31 500 542
Ohio Water Development Authority Pollution        
Control Revenue (Water Quality) 5.250% 6/1/19 435 470
Ohio Water Development Authority Water        
Pollution Control Loan Fund Revenue 5.000% 12/1/26 1,500 1,884
Ohio Water Development Authority Water        
Pollution Control Loan Fund Revenue 5.000% 6/1/28 2,000 2,499
Penta Career Center Ohio COP 5.250% 4/1/23 125 142
Revere OH Local School District GO 5.000% 12/1/33 1,000 1,130
Revere OH Local School District GO 5.000% 12/1/35 665 749
Winton Woods City OH School District GO 5.000% 11/1/32 550 616
Winton Woods City OH School District GO 5.000% 11/1/33 255 285
Winton Woods City OH School District GO 5.000% 11/1/34 250 278
Winton Woods City OH School District GO 5.000% 11/1/35 260 289
Winton Woods City OH School District GO 5.000% 11/1/36 250 278
        38,873
Oklahoma (0.2%)        
Norman OK Regional Hospital Authority        
Revenue 5.000% 9/1/28 1,245 1,456
Oklahoma City OK GO 5.000% 3/1/24 525 594

 

62


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Oklahoma City OK Water Utilities Trust        
Water & Sewer Revenue 5.000% 7/1/28 1,140 1,397
Oklahoma Turnpike Authority Revenue 5.000% 1/1/31 300 335
Oklahoma Turnpike Authority Revenue 5.000% 1/1/37 2,000 2,318
Tulsa County OK Industrial Authority Senior        
Living Community Revenue (Montereau Inc.) 5.000% 11/15/23 230 258
University of Oklahoma Revenue 5.000% 7/1/31 475 535
        6,893
Oregon (0.3%)        
Clackamas County OR School District        
No. 12 Sandy GO 5.000% 6/15/28 1,000 1,241
Clatsop County OR School District        
No. 10 Seaside GO 5.000% 6/15/33 1,125 1,353
Deschutes & Jefferson Counties OR School        
District No. 2J GO 0.000% 6/15/31 750 490
Multnomah County OR School District GO 5.000% 6/15/19 1,680 1,808
Oregon Department of Administrative        
Services Lottery Revenue 5.250% 4/1/21 (Prere.) 430 494
Oregon Department of Administrative        
Services Lottery Revenue 5.000% 4/1/25 1,370 1,653
Oregon Department of Administrative        
Services Lottery Revenue 5.250% 4/1/31 70 79
Oregon Facilities Authority Revenue        
(Legacy Health Project) 5.000% 6/1/33 1,000 1,150
Oregon Facilities Authority Revenue        
(PeaceHealth) 5.000% 11/15/17 250 254
Oregon GO 5.000% 5/1/23 500 584
Portland OR GO 5.000% 6/15/20 1,725 1,917
Portland OR Sewer System Revenue 5.000% 6/15/18 (Prere.) 500 519
        11,542
Pennsylvania (2.2%)        
Allegheny County PA GO 4.000% 11/1/30 1,000 1,075
Allegheny County PA Higher Education        
Building Authority University Revenue        
(Duquesne University) 5.500% 3/1/21 (Prere.) 325 375
Allegheny County PA Hospital Development        
Authority Revenue (University of Pittsburgh        
Medical Center) 5.000% 5/15/18 500 517
Allegheny County PA Hospital Development        
Authority Revenue (University of Pittsburgh        
Medical Center) 1.504% 2/1/21 605 605
Allegheny County PA Hospital Development        
Authority Revenue (University of Pittsburgh        
Medical Center) 5.375% 8/15/29 210 226
Allegheny County PA Port Authority Revenue 5.750% 3/1/29 500 574
Allentown PA Neighborhood Improvement        
Zone Development Authority Tax Revenue 5.000% 5/1/24 1,000 1,110
3 Allentown PA Neighborhood Improvement        
Zone Development Authority Tax Revenue 5.000% 5/1/27 250 274
Central Bradford PA Progress Authority        
Revenue (Guthrie Healthcare System) 5.500% 12/1/31 500 572
Chester County PA GO 5.000% 11/15/31 750 871

 

63


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
East Hempfield Township PA Industrial        
Development Authority Revenue (Millersville        
University Student Housing Project) 5.000% 7/1/29 1,000 1,083
Geisinger Authority Health System Pennsylvania        
Revenue (Geisinger Health System) 5.000% 6/1/20 650 717
Lehigh County PA General Purpose Hospital        
Authority Revenue (Lehigh Valley Health        
Network) 5.000% 7/1/29 1,185 1,380
Lower Merion PA School District GO 5.000% 9/1/18 1,500 1,570
Monroeville PA Finance Authority Revenue        
(UPMC Health System) 5.000% 2/15/19 500 531
Montgomery County PA Higher Education        
& Health Authority Hospital Revenue        
(Abington Memorial Hospital) 5.000% 6/1/31 500 551
Montgomery County PA Industrial        
Development Authority Health Services        
Revenue (Albert Einstein Healthcare Network) 5.000% 1/15/23 1,015 1,137
Montgomery County PA Industrial        
Development Authority Health Services        
Revenue (Albert Einstein Healthcare Network) 5.000% 1/15/25 1,000 1,137
Montgomery County PA Industrial        
Development Authority Pollution Control        
Revenue (Exelon Generation Co., LLC) PUT 2.550% 6/1/20 1,000 995
Montgomery County PA Industrial        
Development Authority Retirement        
Community Revenue (ACTS Retirement- Life        
Communities Obligated Group) 5.000% 11/15/25 1,250 1,392
Northampton County PA General Purpose        
Authority Hospital Revenue (St. Luke’s        
Hospital Project) 5.250% 8/15/18 (Prere.) 2,000 2,095
Northampton County PA General Purpose        
Authority Hospital Revenue (St. Luke’s        
Hospital Project) 5.000% 8/15/25 1,000 1,185
Pennsylvania Economic Development        
Financing Authority Health System        
Revenue (Albert        
Einstein Healthcare Network) 6.250% 10/15/19 (Prere.) 895 979
Pennsylvania Economic Development        
Financing Authority Unemployment        
Compensation Revenue 4.000% 1/1/18 750 762
Pennsylvania Economic Development        
Financing Authority Unemployment        
Compensation Revenue 5.000% 7/1/20 700 754
Pennsylvania Economic Development        
Financing Authority Unemployment        
Compensation Revenue 5.000% 1/1/21 1,330 1,408
Pennsylvania GO 5.000% 8/1/17 (Prere.) 500 502
Pennsylvania GO 5.000% 4/15/19 (Prere.) 500 535
Pennsylvania GO 5.000% 7/1/20 500 553
Pennsylvania GO 5.375% 7/1/21 500 575
Pennsylvania GO 5.000% 11/15/22 500 572
Pennsylvania GO 5.000% 8/15/24 500 596
Pennsylvania GO 5.000% 9/15/26 1,500 1,818
Pennsylvania GO 4.000% 8/15/30 (4) 1,000 1,074

 

64


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Pennsylvania GO 5.000% 10/15/32 1,000 1,129
Pennsylvania Higher Educational Facilities        
Authority Revenue (Philadelphia University) 5.000% 6/1/19 740 781
Pennsylvania Higher Educational Facilities        
Authority Revenue (St. Joseph’s University) 5.000% 11/1/24 200 222
Pennsylvania Higher Educational Facilities        
Authority Revenue (Temple University) 5.000% 4/1/32 500 559
Pennsylvania Higher Educational Facilities        
Authority Revenue (Trustees of the        
University of Pennsylvania) 5.000% 9/1/19 (Prere.) 500 542
Pennsylvania State University Revenue 5.000% 2/15/18 (Prere.) 1,000 1,026
Pennsylvania State University Revenue 5.000% 3/1/25 500 549
Pennsylvania Turnpike Commission Oil        
Franchise Tax Revenue 5.000% 12/1/24 1,000 1,184
Pennsylvania Turnpike Commission Oil        
Franchise Tax Revenue 5.000% 12/1/28 500 586
Pennsylvania Turnpike Commission Revenue 5.000% 6/1/19 (Prere.) 860 925
Pennsylvania Turnpike Commission Revenue 5.000% 6/1/19 (Prere.) 190 204
Pennsylvania Turnpike Commission Revenue 5.000% 12/1/19 (Prere.) 175 191
Pennsylvania Turnpike Commission Revenue 5.000% 12/1/20 (Prere.) 495 558
2 Pennsylvania Turnpike Commission Revenue 1.890% 12/1/21 1,215 1,222
Pennsylvania Turnpike Commission Revenue 5.000% 12/1/21 170 185
Pennsylvania Turnpike Commission Revenue 5.000% 6/1/24 1,980 2,330
Pennsylvania Turnpike Commission Revenue 5.000% 6/1/26 (4) 1,635 1,964
Pennsylvania Turnpike Commission Revenue 5.000% 6/1/26 1,000 1,181
Pennsylvania Turnpike Commission Revenue 5.000% 6/1/27 2,255 2,670
Pennsylvania Turnpike Commission Revenue 5.000% 12/1/29 1,250 1,377
Pennsylvania Turnpike Commission Revenue 5.000% 12/1/30 835 909
Pennsylvania Turnpike Commission Revenue 5.000% 12/1/32 2,000 2,279
Pennsylvania Turnpike Commission Revenue 5.000% 6/1/35 1,500 1,676
Philadelphia PA Airport Revenue 5.000% 6/15/23 1,120 1,232
Philadelphia PA Authority for Industrial        
Development Revenue (Temple University) 5.000% 4/1/24 1,000 1,191
Philadelphia PA Authority for Industrial        
Development Revenue (Temple University) 5.000% 4/1/27 1,000 1,184
Philadelphia PA Authority for Industrial        
Development Revenue (The Children’s        
Hospital of Philadelphia Project) 5.000% 7/1/32 750 891
Philadelphia PA Gas Works Revenue 5.000% 10/1/17 (Prere.) 1,000 1,011
Philadelphia PA Gas Works Revenue 5.000% 10/1/25 1,500 1,775
Philadelphia PA Gas Works Revenue 5.000% 10/1/26 1,000 1,191
Philadelphia PA Gas Works Revenue 5.000% 10/1/29 1,000 1,159
Philadelphia PA Hospitals & Higher Education        
Facilities Authority Hospital Revenue        
(Temple University Health System        
Obligated Group) 6.250% 7/1/23 500 501
Philadelphia PA Hospitals & Higher Education        
Facilities Authority Hospital Revenue        
(Temple University Health System        
Obligated Group) 5.500% 7/1/30 245 245
Philadelphia PA Municipal Authority Revenue 6.375% 4/1/19 (Prere.) 500 546
Philadelphia PA School District GO 5.000% 9/1/21 1,035 1,120
Philadelphia PA School District GO 5.250% 9/1/22 500 546
Philadelphia PA School District GO 5.000% 9/1/31 940 1,023

 

65


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Philadelphia PA Water & Waste Water Revenue 5.000% 8/1/20 (Prere.) 560 625
Philadelphia PA Water & Waste Water Revenue 5.000% 7/1/26 1,000 1,178
Philadelphia PA Water & Waste Water Revenue 4.000% 7/1/35 1,110 1,159
Snyder County PA Higher Education Authority        
University Revenue (Susquehanna University        
Project) 5.000% 1/1/27 1,135 1,341
St. Mary Hospital Authority Pennsylvania Health        
System Revenue (Catholic Health Initiatives) 5.000% 11/15/26 1,000 1,093
State Public School Building Authority        
Pennsylvania Lease Revenue (School        
District of Philadelphia) 5.000% 6/1/24 (15) 1,535 1,767
State Public School Building Authority        
Pennsylvania Lease Revenue (School        
District of Philadelphia) 5.000% 6/1/26 (4) 1,650 1,925
University of Pittsburgh of the Commonwealth        
System of Higher Education Pennsylvania        
Revenue (University Capital Project) 5.250% 9/15/19 (Prere.) 500 545
West Shore PA Area Authority Hospital Revenue        
(Holy Spirit Hospital of the Sisters of Christian        
Charity Project) 6.250% 1/1/21 (Prere.) 80 94
        77,691
Puerto Rico (0.1%)        
Puerto Rico Electric Power Authority Revenue 5.000% 7/1/21 (14) 500 506
Puerto Rico Highway & Transportation        
Authority Revenue 5.250% 7/1/21 (13)(3) 500 565
Puerto Rico Public Finance Corp. Revenue 6.000% 8/1/26 (ETM) 1,000 1,282
        2,353
Rhode Island (0.0%)        
Rhode Island Commerce Corp. Airport        
Revenue 5.000% 7/1/30 500 577
Rhode Island Health & Educational Building        
Corp. Higher Education Facilities Revenue        
(University of Rhode Island) 5.000% 9/15/25 500 603
        1,180
South Carolina (0.5%)        
Charleston SC Educational Excellence        
Financing Corp. Revenue (Charleston County        
School District, South Carolina Project) 5.000% 12/1/23 500 599
Columbia SC Waterworks & Sewer System        
Revenue 5.000% 2/1/27 250 289
Florence County SC School District GO 5.000% 3/1/18 1,000 1,027
Lexington County SC Health Services        
District Inc. Hospital Revenue 5.000% 11/1/34 1,500 1,703
Myrtle Beach SC Hospitality Fee Revenue 5.000% 6/1/25 1,000 1,172
Piedmont SC Municipal Power Agency Revenue 0.000% 1/1/24 (14) 1,600 1,378
South Carolina Association of Governmental        
Organizations Educational Facilities Corp.        
Revenue (Pickens School District) 5.000% 12/1/26 1,420 1,674
South Carolina GO 5.000% 4/1/20 450 497
South Carolina Higher Education Revenue        
(Clemson University) 5.000% 5/1/21 1,000 1,138
South Carolina Jobs Economic Development        
Authority Hospital Revenue (Palmetto Health) 5.250% 8/1/24 (4) 500 517

 

66


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
South Carolina Jobs Economic Development        
Authority Hospital Revenue (Palmetto Health) 5.250% 8/1/26 1,000 1,130
South Carolina Public Service Authority        
Revenue 5.000% 1/1/19 (Prere.) 500 530
South Carolina Public Service Authority        
Revenue 5.000% 12/1/37 1,770 1,966
Sumter Two School Facilities Inc.        
South Carolina Installment Purchase Revenue 5.000% 12/1/26 (15) 1,000 1,176
York County SC School District GO        
(Fort Mill School District No. 4) 5.000% 3/1/18 1,365 1,402
        16,198
South Dakota (0.1%)        
Educational Enhancement Funding Corp.        
South Dakota Tobacco Settlement Revenue 5.000% 6/1/25 2,000 2,261
 
Tennessee (0.6%)        
Chattanooga TN Electric System Revenue 5.000% 9/1/31 1,000 1,184
Chattanooga TN Health Educational        
& Housing Facility Board Revenue        
(Catholic Health Initiatives) 5.000% 1/1/33 1,500 1,580
Chattanooga-Hamilton County TN Hospital        
Authority Hospital Revenue 5.000% 10/1/27 1,000 1,127
Knox County TN GO 5.000% 4/1/18 1,000 1,030
Knox County TN Health Educational &        
Housing Facilities Board Hospital Facilities        
Revenue (Covenant Healthcare) 5.000% 1/1/36 1,000 1,128
Memphis TN Electric System Revenue 5.000% 12/1/17 500 509
Memphis TN GO 5.000% 5/1/30 500 561
Metropolitan Government of Nashville &        
Davidson County TN Electric Revenue 5.000% 5/15/35 865 1,035
Metropolitan Government of Nashville &        
Davidson County TN GO 5.000% 7/1/21 625 694
Metropolitan Government of Nashville &        
Davidson County TN Health & Educational        
Facilities Board Revenue (Blakeford at        
Green Hills) 5.000% 7/1/27 500 544
Metropolitan Government of Nashville &        
Davidson County TN Water & Sewer Revenue 5.000% 7/1/20 500 553
Shelby County TN GO 5.000% 3/1/19 500 533
Shelby County TN GO 5.000% 4/1/19 (ETM) 100 107
Shelby County TN GO 5.000% 4/1/19 400 427
Tennessee Energy Acquisition Corp.        
Gas Revenue 5.250% 9/1/17 500 503
Tennessee Energy Acquisition Corp.        
Gas Revenue 5.250% 9/1/18 725 756
Tennessee Energy Acquisition Corp.        
Gas Revenue 5.250% 9/1/22 1,115 1,281
Tennessee Energy Acquisition Corp.        
Gas Revenue 5.000% 2/1/24 1,500 1,704
Tennessee Energy Acquisition Corp.        
Gas Revenue 5.250% 9/1/24 375 440
Tennessee Energy Acquisition Corp.        
Gas Revenue 5.000% 2/1/25 715 824

 

67


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Tennessee Energy Acquisition Corp.        
Gas Revenue 5.250% 9/1/26 585 699
Tennessee Energy Acquisition Corp.        
Gas Revenue 5.000% 2/1/27 1,000 1,166
Tennessee GO 5.000% 8/1/20 625 697
Tennessee GO 5.000% 8/1/21 1,490 1,711
Tennessee GO 5.000% 8/1/22 1,475 1,736
        22,529
Texas (4.7%)        
Alamo TX Regional Mobility Authority Revenue 5.000% 6/15/27 1,280 1,530
Aldine TX Independent School District GO 5.000% 2/15/21 1,865 2,104
Arlington TX GO 5.000% 8/15/19 1,920 2,076
Arlington TX Independent School District GO 5.000% 2/15/24 1,355 1,638
Austin Convention Enterprises Inc. Texas        
Convention Center Revenue 5.000% 1/1/25 500 575
Austin TX Airport System Revenue 5.000% 11/15/26 885 1,083
Austin TX Airport System Revenue 5.000% 11/15/32 1,150 1,352
Austin TX Combined Utility System Revenue 0.000% 5/15/18 (14) 1,000 991
Austin TX Community College District Public        
Facilities Corp. Lease Revenue 5.000% 8/1/27 1,000 1,184
Austin TX Water & Wastewater System        
Revenue 5.000% 11/15/19 (Prere.) 65 71
Austin TX Water & Wastewater System        
Revenue 5.000% 11/15/21 500 577
Austin TX Water & Wastewater System        
Revenue 5.000% 11/15/24 210 229
Brownsville TX Utility System Revenue 4.000% 9/1/30 1,000 1,051
Central Texas Regional Mobility Authority        
Revenue 5.750% 1/1/20 (Prere.) 500 555
Central Texas Regional Mobility Authority        
Revenue 5.000% 1/1/24 1,000 1,178
Central Texas Regional Mobility Authority        
Revenue 0.000% 1/1/25 100 80
Central Texas Regional Mobility Authority        
Revenue 0.000% 1/1/26 180 137
Central Texas Regional Mobility Authority        
Revenue 5.000% 1/1/26 1,000 1,186
Central Texas Regional Mobility Authority        
Revenue 5.000% 1/1/30 800 927
Central Texas Regional Mobility Authority        
Revenue 5.000% 1/1/33 500 552
Central Texas Regional Mobility Authority        
Revenue 5.000% 1/1/34 1,400 1,595
Clifton TX Higher Education Finance Corp.        
Revenue (Baylor University) 5.250% 3/1/29 200 225
Cypress-Fairbanks TX Independent School        
District GO 5.000% 2/15/25 500 563
Dallas County TX GO 5.000% 8/15/25 1,000 1,223
Dallas TX Area Rapid Transit Sales Tax        
Revenue 4.500% 12/1/18 (Prere.) 500 525
Dallas TX Area Rapid Transit Sales Tax        
Revenue 5.000% 12/1/27 500 585
Dallas TX Independent School District GO 5.000% 2/15/23 485 547

 

68


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Dallas TX Waterworks & Sewer System        
Revenue 5.000% 10/1/17 200 202
Dallas TX Waterworks & Sewer System        
Revenue 5.000% 10/1/21 1,090 1,252
Dallas TX Waterworks & Sewer System        
Revenue 5.000% 10/1/21 (Prere.) 195 225
Dallas TX Waterworks & Sewer System        
Revenue 5.000% 10/1/22 140 160
Dallas-Fort Worth TX International Airport        
Revenue 5.250% 11/1/29 1,000 1,174
Denton County TX GO 4.000% 7/15/18 1,500 1,547
El Paso TX Water & Sewer Revenue 5.000% 3/1/26 850 1,040
Fort Worth TX Water & Sewer Revenue 5.000% 2/15/25 450 506
Garland TX Independent School District GO 5.000% 2/15/22 1,025 1,186
Grand Parkway Transportation Corp. Texas        
System Toll Revenue 0.000% 10/1/30 1,550 1,416
Harris County TX Flood Control District GO 5.250% 10/1/18 435 458
Harris County TX GO 5.000% 10/1/23 500 543
Harris County TX GO 5.000% 10/1/23 300 344
Harris County TX GO 5.000% 8/15/32 1,000 1,151
Harris County TX GO 5.000% 10/1/36 1,200 1,392
Harris County TX Sports Authority Revenue 5.000% 11/15/22 945 1,079
2 Harris County TX Toll Road Revenue 1.690% 8/15/18 1,000 1,001
Harris County TX Toll Road Revenue 5.000% 8/15/19 (Prere.) 500 540
Harris County TX Toll Road Revenue 5.000% 8/15/32 500 572
Highland Park TX Independent School        
District GO 5.000% 2/15/19 1,000 1,063
Houston TX Airport System Revenue 5.000% 7/1/19 (14) 1,000 1,004
Houston TX Airport System Revenue 5.000% 7/1/26 (14) 3,000 3,010
Houston TX GO 5.000% 3/1/18 1,650 1,695
Houston TX GO 5.000% 3/1/20 500 532
Houston TX GO 5.000% 3/1/26 1,500 1,830
Houston TX Hotel Occupancy Tax & Special        
Revenue (Convention & Entertainment        
Facilities) 5.000% 9/1/24 1,000 1,180
Houston TX Independent School District GO 5.000% 2/15/19 1,200 1,277
Houston TX Independent School District GO 5.000% 2/15/20 1,105 1,215
Houston TX Independent School District GO        
PUT 3.000% 6/1/18 1,200 1,222
Houston TX Utility System Revenue 5.000% 11/15/17 (Prere.) 380 386
Houston TX Utility System Revenue 5.000% 5/15/21 1,000 1,136
Houston TX Utility System Revenue 5.000% 5/15/25 1,000 1,193
Houston TX Utility System Revenue 5.000% 11/15/28 (4) 120 122
Houston TX Utility System Revenue 4.000% 11/15/31 1,000 1,084
Houston TX Utility System Revenue 5.000% 11/15/33 1,000 1,114
Houston TX Utility System Revenue 5.000% 11/15/34 1,000 1,150
2 Houston TX Utility System Revenue PUT 1.810% 5/1/20 1,000 1,000
Irving TX Independent School District GO 5.000% 2/15/21 1,500 1,696
Judson TX Independent School District 5.000% 2/1/22 600 694
Klein TX Independent School District GO 5.000% 8/1/34 1,200 1,413
Lake Travis TX Independent School        
District GO 5.000% 2/15/32 500 558
Lamar TX Consolidated Independent        
School District GO 5.000% 2/15/25 1,245 1,522

 

69


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Laredo TX Community College District GO 5.000% 8/1/25 1,000 1,191
Lone Star College System Texas GO 5.000% 8/15/19 (Prere.) 250 271
Lower Colorado River Authority Texas        
Transmission Contract Revenue (LCRA        
Transmission Services Corp.) 5.000% 5/15/28 1,150 1,347
Lubbock TX GO 5.000% 2/15/23 500 579
Mesquite TX Health Facilities Development        
Corp. Retirement Facility Revenue        
(Christian Care Centers Inc. Project) 5.000% 2/15/24 350 389
New Hope TX Cultural Education Facilities        
Finance Corp. Student Housing Revenue        
(Tarleton State University Project) 4.000% 4/1/19 495 509
New Hope TX Cultural Education Facilities.        
First Mortgage Revenue        
(Morningside Ministries Project) 6.250% 1/1/33 1,640 1,837
New Hope TX Cultural Education Facilities.        
Retirement Facilities Revenue        
(Westminster Manor Project) 5.000% 11/1/26 1,060 1,195
New Hope TX Cultural Education Facilities.        
Retirement Facilities Revenue        
(Westminster Manor Project) 5.000% 11/1/27 1,000 1,115
New Hope TX Cultural Education Facilities.        
Retirement Facilities Revenue        
(Westminster Manor Project) 5.000% 11/1/28 870 960
New Hope TX Cultural Education Facilities.        
Student Housing Revenue        
(Tarleton State University Project) 5.000% 4/1/23 200 222
New Hope TX Cultural Education Facilities.        
Student Housing Revenue        
(Tarleton State University Project) 5.000% 4/1/24 210 235
New Hope TX Cultural Education Facilities.        
Student Housing Revenue        
(Tarleton State University Project) 5.000% 4/1/25 240 270
North East TX Independent School District GO 5.250% 2/1/22 500 585
North Texas Municipal Water District Regional        
Wastewater System Revenue 5.000% 6/1/22 1,495 1,740
North Texas Municipal Water District Regional        
Wastewater System Revenue 5.000% 6/1/23 1,555 1,843
North Texas Municipal Water District Regional        
Wastewater System Revenue 4.000% 6/1/31 1,500 1,641
North Texas Municipal Water District Water        
System Revenue 5.000% 9/1/22 1,645 1,932
North Texas Municipal Water District Water        
System Revenue 5.000% 9/1/23 1,025 1,226
North Texas Tollway Authority System Revenue 6.000% 1/1/18 (Prere.) 440 451
North Texas Tollway Authority System Revenue 6.000% 1/1/18 (Prere.) 440 451
North Texas Tollway Authority System Revenue 6.000% 1/1/19 (Prere.) 205 220
North Texas Tollway Authority System Revenue 6.000% 1/1/20 60 61
North Texas Tollway Authority System Revenue 6.250% 2/1/23 1,650 1,829
North Texas Tollway Authority System Revenue 6.000% 1/1/25 60 61
North Texas Tollway Authority System Revenue 5.000% 1/1/27 1,010 1,184
North Texas Tollway Authority System Revenue 6.000% 1/1/28 45 48
North Texas Tollway Authority System Revenue 5.500% 9/1/28 500 579
North Texas Tollway Authority System Revenue 5.000% 1/1/29 1,000 1,172
North Texas Tollway Authority System Revenue 5.000% 1/1/30 500 576

 

70


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
North Texas Tollway Authority System Revenue 5.000% 1/1/32 1,740 1,987
North Texas Tollway Authority System Revenue 5.000% 1/1/33 1,500 1,707
North Texas Tollway Authority System Revenue 5.000% 1/1/34 1,575 1,785
North Texas Tollway Authority System Revenue 5.000% 1/1/35 1,000 1,131
Northwest Independent School District        
Texas GO 5.000% 2/15/26 1,000 1,211
Pasadena TX GO 4.000% 2/15/28 1,000 1,109
Plano TX Independent School District GO 5.000% 2/15/18 2,605 2,672
Plano TX Independent School District GO 5.000% 2/15/20 1,400 1,539
Rockwall County TX GO 5.000% 2/1/18 1,080 1,105
Rockwall TX GO 3.000% 8/1/17 600 601
SA Energy Acquisition Public Facility Corp.        
Texas Gas Supply Revenue 5.250% 8/1/17 500 502
SA Energy Acquisition Public Facility Corp.        
Texas Gas Supply Revenue 5.500% 8/1/19 500 540
Sam Rayburn TX Municipal Power        
Agency Revenue 5.000% 10/1/19 210 226
San Antonio TX Electric & Gas Systems Revenue 5.000% 2/1/19 500 531
San Antonio TX Electric & Gas Systems Revenue 5.000% 2/1/21 500 565
San Antonio TX Electric & Gas Systems Revenue 5.000% 2/1/36 1,000 1,177
San Antonio TX GO 5.000% 8/1/20 125 139
San Antonio TX GO 5.000% 2/1/22 1,000 1,128
San Antonio TX GO 5.000% 2/1/24 500 563
San Antonio TX GO 5.000% 2/1/26 1,000 1,216
San Antonio TX Water Revenue 5.000% 5/15/34 1,000 1,176
2 San Antonio TX Water Revenue PUT 1.310% 11/1/17 1,500 1,500
Spring Branch TX Independent School        
District GO 5.000% 2/1/20 1,000 1,097
Spring TX Independent School District GO 5.000% 8/15/32 1,000 1,180
Spring TX Independent School District GO 5.000% 8/15/35 1,370 1,609
Tarrant County TX Cultural Education Facilities        
Finance Corp. Hospital Revenue (Methodist        
Hospitals of Dallas) 5.250% 10/1/31 1,000 1,153
Tarrant County TX Cultural Education Facilities        
Finance Corp. Revenue (CHRISTUS Health) 6.250% 7/1/28 (12) 325 347
Texas A&M University System Revenue Board        
of Regents Revenue 5.000% 5/15/21 1,000 1,140
Texas A&M University System Revenue        
Financing System Revenue 5.000% 5/15/19 (Prere.) 500 536
Texas GO 4.000% 4/1/18 400 409
Texas GO 5.000% 10/1/22 1,000 1,179
Texas GO 5.000% 10/1/24 1,000 1,221
Texas GO 5.000% 10/1/27 1,400 1,670
Texas GO 5.000% 10/1/28 1,330 1,579
Texas GO 5.000% 8/1/31 500 571
Texas Municipal Gas Acquisition & Supply        
Corp. Revenue 5.250% 12/15/17 550 560
Texas Municipal Gas Acquisition & Supply        
Corp. Revenue 5.250% 12/15/21 240 268
Texas Municipal Gas Acquisition & Supply        
Corp. Revenue 5.000% 12/15/22 1,005 1,157
Texas Municipal Gas Acquisition & Supply        
Corp. Revenue 5.000% 12/15/23 380 436
Texas Municipal Gas Acquisition & Supply        
Corp. Revenue 5.250% 12/15/23 190 219

 

71


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Texas Municipal Gas Acquisition & Supply        
Corp. Revenue 5.250% 12/15/24 495 579
Texas Municipal Gas Acquisition & Supply        
Corp. Revenue 5.000% 12/15/25 2,185 2,480
Texas Municipal Gas Acquisition & Supply        
Corp. Revenue 5.000% 12/15/28 1,000 1,112
Texas Public Finance Authority Revenue        
(Texas Southern University) 5.000% 11/1/21 (15) 1,000 1,125
Texas Public Finance Authority Revenue        
(Unemployment Compensation) 4.000% 1/1/18 235 235
Texas State University System Financing        
System Revenue 5.000% 3/15/32 1,580 1,883
Texas Tech University System Financing        
System Revenue 5.000% 2/15/19 (Prere.) 500 532
Texas Transportation Commission GO 5.000% 10/1/21 1,500 1,729
Texas Transportation Commission GO 5.000% 10/1/22 1,175 1,385
Texas Transportation Commission GO 5.000% 10/1/29 1,500 1,801
2 Texas Transportation Commission GO PUT 1.290% 10/1/18 1,500 1,500
Texas Transportation Commission Revenue 5.000% 4/1/21 1,500 1,705
Texas Transportation Commission Revenue 5.000% 4/1/23 1,800 2,141
Texas Transportation Commission Revenue 5.000% 10/1/26 1,000 1,249
Texas Transportation Commission Turnpike        
System Revenue 5.000% 8/15/34 665 739
Texas Turnpike Authority Central Texas        
Turnpike System Revenue 0.000% 8/15/20 (ETM) 285 273
Texas Turnpike Authority Central Texas        
Turnpike System Revenue 0.000% 8/15/20 (2) 525 499
Texas Water Development Board Revenue 5.000% 4/15/20 1,000 1,104
Texas Water Development Board Revenue 5.000% 4/15/21 1,000 1,136
Texas Water Financial Assistance GO 5.000% 8/1/24 500 522
Texas Water Financial Assistance GO 5.000% 8/1/25 500 521
Texas Water Financial Assistance GO 5.000% 8/1/27 500 521
University of North Texas Revenue 5.000% 4/15/36 1,225 1,434
University of Texas Permanent University        
Fund Revenue 5.000% 7/1/19 1,225 1,319
University of Texas System Revenue        
Financing System Revenue 5.000% 8/15/19 325 351
University of Texas System Revenue        
Financing System Revenue 5.000% 8/15/20 1,000 1,115
University of Texas System Revenue        
Financing System Revenue 5.000% 8/15/21 500 573
University of Texas System Revenue        
Financing System Revenue 5.000% 8/15/23 1,000 1,198
Williamson County TX GO 5.000% 2/15/23 230 266
        164,410
Utah (0.2%)        
Central Utah Water Conservancy District GO 5.000% 4/1/30 500 561
3 Salt Lake City UT Sales Tax Revenue 5.000% 2/1/30 955 1,161
Utah Associated Municipal Power Systems        
Revenue (Horse Butte Wind Project) 5.000% 9/1/32 350 391
Utah GO 4.500% 7/1/19 2,000 2,136
Utah GO 5.000% 7/1/19 615 663
Utah Transit Authority Sales Tax Revenue 5.000% 6/15/26 1,000 1,222
        6,134

 

72


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Virginia (1.4%)        
Arlington County VA GO 5.000% 8/15/19 1,535 1,661
Arlington County VA GO 5.000% 8/1/23 600 702
Arlington County VA GO 5.000% 8/15/26 2,000 2,518
Chesapeake VA Toll Road Revenue 5.000% 7/15/21 500 555
Chesterfield County VA GO 5.000% 1/1/22 900 1,045
Fairfax County VA GO 4.000% 10/1/19 2,000 2,129
Fairfax County VA GO 5.000% 10/1/20 1,710 1,918
Fairfax County VA GO 5.000% 10/1/23 1,255 1,514
Fairfax County VA GO 5.000% 10/1/24 1,365 1,677
Fairfax County VA GO 4.000% 10/1/32 1,415 1,574
Fairfax County VA Public Improvement GO 5.000% 10/1/17 500 505
Fairfax County VA Public Improvement GO 5.000% 4/1/21 300 342
Fairfax County VA Sewer Revenue 4.000% 7/15/21 1,790 1,983
Fairfax County VA Water Authority Revenue 5.000% 4/1/25 500 577
Norfolk VA GO 5.000% 10/1/20 775 868
Norfolk VA Water Revenue 5.000% 11/1/31 500 564
Richmond VA Public Utility Revenue 5.000% 1/15/28 1,000 1,219
Roanoke VA Economic Development        
Authority Hospital Revenue (Carilion        
Clinic Obligated Group) 5.000% 7/1/30 500 555
Stafford County VA Economic Development        
Authority Hospital Facilities Revenue        
(Mary Washington Healthcare Obligated        
Group) 5.000% 6/15/24 750 881
Virginia College Building Authority        
Educational Facilities Revenue (21st Century        
College & Equipment Programs) 5.000% 2/1/21 1,000 1,131
Virginia College Building Authority Educational        
Facilities Revenue (21st Century College        
& Equipment Programs) 4.000% 2/1/31 1,445 1,565
Virginia College Building Authority Educational        
Facilities Revenue (Public Higher Education        
Financing Program) 5.000% 9/1/19 1,570 1,701
Virginia College Building Authority Educational        
Facilities Revenue (Public Higher Education        
Financing Program) 5.000% 9/1/22 355 417
Virginia College Building Authority Educational        
Facilities Revenue (Public Higher Education        
Financing Program) 4.000% 9/1/31 1,000 1,088
Virginia Commonwealth Transportation Board        
Revenue 5.000% 9/15/18 2,000 2,096
Virginia Commonwealth Transportation Board        
Revenue 5.000% 9/15/21 2,410 2,769
3 Virginia Commonwealth Transportation Board        
Revenue 4.000% 5/15/35 1,280 1,369
Virginia Public Building Authority Public        
Facilities Revenue 5.000% 8/1/19 1,495 1,615
Virginia Public Building Authority Public        
Facilities Revenue 5.000% 8/1/24 1,250 1,520
Virginia Public School Authority Revenue 5.000% 8/1/19 500 540
Virginia Public School Authority Revenue 5.000% 3/1/20 3,700 4,072
Virginia Public School Authority Revenue 4.000% 8/1/20 1,700 1,842
Virginia Public School Authority Revenue 5.000% 8/1/26 1,500 1,877

 

73


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Virginia Public School Authority Revenue 5.000% 8/1/29 1,500 1,832
Virginia Public School Authority School        
Technology & Security Notes Revenue 5.000% 4/15/21 1,055 1,201
        49,422
Washington (1.0%)        
Central Puget Sound WA Regional Transit        
Authority Sales & Use Tax Revenue 5.000% 11/1/26 750 940
Energy Northwest Washington Electric        
Revenue (Columbia Generating Station) 5.000% 7/1/20 500 556
Energy Northwest Washington Electric        
Revenue (Columbia Generating Station) 5.000% 7/1/31 1,200 1,412
Energy Northwest Washington Electric        
Revenue (Project No. 1) 5.000% 7/1/17 (ETM) 500 500
Energy Northwest Washington Electric        
Revenue (Project No. 1) 5.000% 7/1/21 1,355 1,550
King County WA GO 5.000% 1/1/19 150 159
King County WA GO 5.000% 7/1/20 1,250 1,389
King County WA GO 5.000% 1/1/24 500 578
King County WA Sewer Revenue 5.000% 1/1/20 1,000 1,096
Lewis County WA Public Utility District No. 1        
Revenue (Cowlitz Falls Hydroelectric Project) 5.000% 10/1/21 1,000 1,146
Northwest Energy Washington Electric        
Revenue (Bonneville Power Administration) 5.000% 7/1/28 2,500 2,901
Port of Seattle WA Revenue 5.000% 8/1/29 250 285
Seattle WA GO 5.000% 6/1/21 1,000 1,144
Seattle WA Water System Revenue 5.000% 5/1/19 1,460 1,564
University of Washington Revenue 5.000% 4/1/31 335 376
Washington (Motor Vehicle Fuel Tax) GO 5.000% 7/1/17 (Prere.) 500 500
Washington (Motor Vehicle Fuel Tax) GO 5.000% 7/1/18 (Prere.) 425 442
Washington (Motor Vehicle Fuel Tax) GO 5.000% 7/1/23 375 428
Washington (Motor Vehicle Fuel Tax) GO 5.000% 7/1/27 1,000 1,207
Washington (Motor Vehicle Fuel Tax) GO 4.000% 7/1/31 1,500 1,625
Washington Economic Development Finance        
Authority Lease Revenue (Washington        
Biomedical Research Properties 2) 5.000% 6/1/25 1,080 1,308
Washington GO 5.000% 7/1/17 200 200
Washington GO 5.000% 7/1/18 (Prere.) 500 520
Washington GO 5.000% 7/1/18 675 702
Washington GO 5.000% 8/1/19 (Prere.) 500 541
Washington GO 0.000% 6/1/20 (14) 500 481
Washington GO 5.000% 7/1/20 1,000 1,112
Washington GO 5.000% 7/1/22 1,350 1,581
Washington GO 5.000% 7/1/23 1,000 1,194
Washington GO 5.000% 7/1/25 500 585
Washington GO 5.000% 7/1/25 1,500 1,826
Washington GO 5.000% 8/1/27 1,000 1,222
Washington GO 5.000% 2/1/32 500 568
Washington Health Care Facilities Authority        
Revenue (Central Washington Health        
Services Association) 5.000% 7/1/30 1,760 1,942
Washington Health Care Facilities Authority        
Revenue (Providence Health & Services) 5.000% 10/1/33 880 980
Washington State University General Revenue 5.000% 10/1/31 500 567
        35,127

 

74


 

Tax-Managed Balanced Fund        
 
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
West Virginia (0.0%)        
West Virginia Hospital Finance Authority        
Hospital Revenue (Charleston Area Medical        
Center Inc.) 5.125% 9/1/23 1,000 1,064
 
Wisconsin (0.9%)        
Milwaukee WI GO 4.000% 3/15/19 1,000 1,048
Milwaukee WI GO 4.000% 3/15/20 1,000 1,074
Wisconsin General Fund Annual        
Appropriation Revenue 5.625% 5/1/19 (Prere.) 45 49
Wisconsin General Fund Annual        
Appropriation Revenue 5.625% 5/1/28 415 448
Wisconsin GO 5.000% 5/1/18 (Prere.) 500 517
Wisconsin GO 5.000% 5/1/19 1,335 1,431
Wisconsin GO 5.000% 11/1/19 1,250 1,362
Wisconsin GO 5.000% 5/1/20 1,000 1,107
Wisconsin GO 5.000% 5/1/21 750 855
Wisconsin GO 5.000% 11/1/23 2,370 2,852
Wisconsin GO 5.000% 5/1/24 500 580
Wisconsin GO 5.000% 5/1/26 2,210 2,562
Wisconsin GO 5.000% 5/1/36 2,000 2,318
Wisconsin Health & Educational Facilities        
Authority Revenue (Ascension Health        
Alliance Credit Group) 4.000% 11/15/33 2,000 2,066
Wisconsin Health & Educational Facilities        
Authority Revenue (Ascension Health        
Alliance Credit Group) 4.000% 11/15/34 1,500 1,544
Wisconsin Health & Educational Facilities        
Authority Revenue (Ascension Health        
Alliance Credit Group) 5.000% 11/15/36 1,800 2,059
Wisconsin Health & Educational Facilities        
Authority Revenue (Aspirus, Inc. Obligated        
Group) 5.000% 8/15/25 1,570 1,841
Wisconsin Health & Educational Facilities        
Authority Revenue (Aurora Health Care Inc.) 5.000% 7/15/23 1,140 1,277
Wisconsin Health & Educational Facilities        
Authority Revenue (Marquette University) 5.000% 10/1/30 500 563
Wisconsin Public Finance Authority Hospital        
Revenue (Renown Regional Medical Center) 5.000% 6/1/30 1,000 1,152
Wisconsin Public Power System Power        
Supply System Revenue 5.000% 7/1/32 500 567
Wisconsin Transportation Revenue 5.000% 7/1/33 2,755 3,210
Wisconsin Transportation Revenue 5.000% 7/1/22 (Prere.) 115 135
Wisconsin Transportation Revenue 5.000% 7/1/23 385 451
        31,068
Wyoming (0.0%)        
Wyoming Municipal Power Agency Power        
Supply Revenue 5.000% 1/1/34 (15) 1,000 1,146
Total Tax-Exempt Municipal Bonds (Cost $1,785,238)     1,831,942
Total Investments (100.1%) (Cost $2,777,198)       3,516,923

 

75


 

Tax-Managed Balanced Fund  
 
 
 
 
  Amount
  ($000)
Other Assets and Liabilities (-0.1%)  
Other Assets  
Investment in Vanguard 228
Receivables for Investment Securities Sold 15
Receivables for Accrued Income 22,504
Receivables for Capital Shares Issued 4,987
Other Assets 146
Total Other Assets 27,880
Liabilities  
Payables for Investment Securities Purchased (26,754)
Payables for Capital Shares Redeemed (829)
Payables to Vanguard (1,414)
Other Liabilities (1,165)
Total Liabilities (30,162)
Net Assets (100%)  
Applicable to 120,128,173 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 3,514,641
Net Asset Value Per Share $29.26

 

At June 30, 2017, net assets consisted of:  
  Amount
  ($000)
Paid-in Capital 2,801,987
Undistributed Net Investment Income 524
Accumulated Net Realized Losses (27,555)
Unrealized Appreciation (Depreciation)  
Investment Securities 739,725
Futures Contracts (40)
Net Assets 3,514,641

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Securities with a value of $407,000 have been segregated as initial margin for open futures contracts.
2 Adjustable-rate security.
3 Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2017.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt
from registration, normally to qualified institutional buyers. At June 30, 2017, the aggregate value of these securities was $9,131,000,
representing 0.3% of net assets.
A key to abbreviations and other references follows the Statement of Net Assets.
See accompanying Notes, which are an integral part of the Financial Statements.

76


 

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.
PILOT – Payments in Lieu of Taxes.
PUT—Put Option Obligation.
RAN—Revenue Anticipation Note.
TAN—Tax Anticipation Note.
TOB—Tender Option Bond.
TRAN—Tax Revenue Anticipation Note.
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) AGC (Assured Guaranty Corporation).
(13) BHAC (Berkshire Hathaway Assurance Corporation).
(14) NPFG (National Public Finance Guarantee Corporation).
(15) BAM (Build America Mutual Assurance Company).
(16) MAC (Municipal Assurance Corporation).
(17) RAA (Radian Asset Assurance Inc.).
(18) SBLF (Michigan School Bond Loan 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.

77


 

Tax-Managed Balanced Fund

Statement of Operations

  Six Months Ended
  June30,2017
  ($000)
Investment Income  
Income  
Dividends 14,222
Interest 22,393
Total Income 36,615
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 186
Management and Administrative 1,118
Marketing and Distribution 147
Custodian Fees 5
Shareholders’ Reports 50
Trustees’ Fees and Expenses 1
Total Expenses 1,507
Net Investment Income 35,108
Realized Net Gain (Loss)  
Investment Securities Sold 2,901
Futures Contracts 8
Realized Net Gain (Loss) 2,909
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 154,967
Futures Contracts (8)
Change in Unrealized Appreciation (Depreciation) 154,959
Net Increase (Decrease) in Net Assets Resulting from Operations 192,976

 

See accompanying Notes, which are an integral part of the Financial Statements.

78


 

Tax-Managed Balanced Fund

Statement of Changes in Net Assets

  Six Months Ended Year Ended
  June 30, December 31,
  2017 2016
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 35,108 61,947
Realized Net Gain (Loss) 2,909 (16,216)
Change in Unrealized Appreciation (Depreciation) 154,959 118,827
Net Increase (Decrease) in Net Assets Resulting from Operations 192,976 164,558
Distributions    
Net Investment Income (33,550) (62,031)
Realized Capital Gain
Total Distributions (33,550) (62,031)
Capital Share Transactions    
Issued 434,582 824,319
Issued in Lieu of Cash Distributions 28,220 52,893
Redeemed (203,125) (362,291)
Net Increase (Decrease) from Capital Share Transactions 259,677 514,921
Total Increase (Decrease) 419,103 617,448
Net Assets    
Beginning of Period 3,095,538 2,478,090
End of Period1 3,514,641 3,095,538
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $524,000 and ($1,034,000).

 

See accompanying Notes, which are an integral part of the Financial Statements.

79


 

Tax-Managed Balanced Fund

Financial Highlights

Six Months          
  Ended          
For a Share Outstanding June 30, Year Ended December 31,
Throughout Each Period 2017 2016 2015 2014 2013 2012
Net Asset Value, Beginning of Period $27.85 $26.86 $26.79 $24.90 $22.25 $20.55
Investment Operations            
Net Investment Income . 300 .595 .557 .547 .517 .525
Net Realized and Unrealized Gain (Loss)            
on Investments 1.397 .989 .067 1.879 2.647 1.696
Total from Investment Operations 1.697 1.584 .624 2.426 3.164 2.221
Distributions            
Dividends from Net Investment Income1 (. 287) (. 594) (. 554) (. 536) (. 514) (. 521)
Distributions from Realized Capital Gains
Total Distributions (. 287) (. 594) (. 554) (. 536) (. 514) (. 521)
Net Asset Value, End of Period $29.26 $27.85 $26.86 $26.79 $24.90 $22.25
 
Total Return2 6.11% 5.94% 2.35% 9.81% 14.34% 10.87%
 
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,515 $3,096 $2,478 $1,911 $1,401 $1,015
Ratio of Total Expenses to            
Average Net Assets 0.09% 0.09% 0.11% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to            
Average Net Assets 2.16% 2.20% 2.11% 2.15% 2.21% 2.43%
Portfolio Turnover Rate 8% 3 11%3 9% 8% 9% 7%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 For tax purposes, nontaxable dividends represent 61%, 57%, 62%, 64%, 63%, and 62% of dividends from net investment income.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information
about any applicable account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares.

See accompanying Notes, which are an integral part of the Financial Statements.

80


 

Tax-Managed Balanced Fund

Notes to Financial Statements

Vanguard Tax-Managed Balanced Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in debt instruments of many municipal issuers; the issuers’ abilities to meet their obligations may be affected by economic and political developments in a specific state or region.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. 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 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. 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.

2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The fund also uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the six months ended June 30, 2017, the fund’s average investments in long and short futures contracts represented 2% and less than 1% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.

81


 

Tax-Managed Balanced Fund

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2013–2016), and for the period ended June 30, 2017, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at June 30, 2017, or at any time during the period then ended.

6. Other: Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2017, the fund had contributed to Vanguard capital in the amount of $228,000, representing 0.01% of the fund’s net assets and 0.09% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

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.

82


 

Tax-Managed Balanced Fund

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

The following table summarizes the market value of the fund’s investments as of June 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 1,684,981
Tax-Exempt Municipal Bonds 1,831,942
Futures Contracts—Assets1 146
Futures Contracts—Liabilities1 (167)
Total 1,684,960 1,831,942
1 Represents variation margin on the last day of the reporting period.

 

D. At June 30, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
5-Year U.S. Treasury Note September 2017 574 67,638 (247)
2-Year U.S. Treasury Note September 2017 282 60,943 (52)
Ultra 10-Year U.S. Treasury Note September 2017 (248) (33,434) 274
10-Year U.S. Treasury Note September 2017 55 6,904 (20)
Ultra Long U.S. Treasury Bond September 2017 (26) (4,313) 6
30-Year U.S. Treasury Bond September 2017 2 307 (1)
        (40)

 

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

E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.

83


 

Tax-Managed Balanced Fund

During the six months ended June 30, 2017, the fund realized $4,569,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2016, the fund had available capital losses totaling $25,944,000 to offset future net capital gains. Of this amount, $1,449,000 is subject to expiration on December 31, 2017. Capital losses of $24,495,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending December 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

At June 30, 2017, the cost of investment securities for tax purposes was $2,777,198,000. Net unrealized appreciation of investment securities for tax purposes was $739,725,000, consisting of unrealized gains of $747,712,000 on securities that had risen in value since their purchase and $7,987,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the six months ended June 30, 2017, the fund purchased $366,559,000 of investment securities and sold $132,425,000 of investment securities, other than U.S. government securities and temporary cash investments. Sales include $8,164,000 in connection with in-kind redemptions of the fund’s capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended June 30, 2017, such purchases and sales were $84,067,000 and $70,790,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

G. Capital shares issued and redeemed were:

  Six Months Ended Year Ended
  June 30, 2017 December 31, 2016
  Shares Shares
  (000) (000)
Issued 15,090 30,189
Issued in Lieu of Cash Distributions 973 1,921
Redeemed (7,069) (13,249)
Net Increase (Decrease) in Shares Outstanding 8,994 18,861

 

H. Management has determined that no material events or transactions occurred subsequent to June 30, 2017, that would require recognition or disclosure in these financial statements.

84


 

Tax-Managed Capital Appreciation Fund

Fund Profile
As of June 30, 2017

Share-Class Characteristics    
  Admiral Institutional
  Shares Shares
Ticker Symbol VTCLX VTCIX
Expense Ratio1 0.09% 0.06%
30-Day SEC Yield 1.70% 1.73%

 

Portfolio Characteristics    
      DJ
      U.S.
      Total
    Russell Market
    1000 FA
  Fund Index Index
Number of Stocks 737 990 3,800
Median Market Cap $66.1B $70.2B $59.8B
Price/Earnings Ratio 21.6x 21.3x 21.2x
Price/Book Ratio 3.0x 3.0x 2.9x
Return on Equity 22.2% 22.5% 16.3%
Earnings Growth Rate 8.7% 8.3% 10.0%
Dividend Yield 1.7% 1.9% 1.8%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate      
(Annualized) 7%
Short-Term Reserves 0.0%

 

Sector Diversification (% of equity exposure)
      DJ
    Russell U.S. Total 
    1000 Market
  Fund Index FA Index 
Consumer Discretionary  14.3% 13.9% 13.9%
Consumer Staples 7.5 7.5 7.1
Energy 5.4 5.8 5.6
Financial Services 20.9 20.8 21.2
Health Care 14.0 13.8 13.8
Materials & Processing 3.5 3.7 3.9
Other 0.0 0.0 0.2
Producer Durables 10.7 10.7 11.0
Technology 18.7 18.6 18.2
Utilities 5.0 5.2 5.1

 

Volatility Measures    
    DJ
  Russell U.S. Total
  1000 Market
  Index FA Index
R-Squared 1.00 1.00
Beta 1.01 0.99
These measures show the degree and timing of the fund’s
fluctuations compared with the indexes over 36 months.

 

Ten Largest Holdings (% of total net assets)
Apple Inc. Computer  
  Technology 3.4%
Alphabet Inc. Computer Services  
  Software & Systems 2.4
Microsoft Corp. Computer Services  
  Software & Systems 2.2
Amazon.com Inc. Diversified Retail 1.6
Johnson & Johnson Pharmaceuticals 1.5
Facebook Inc. Computer Services  
  Software & Systems 1.5
Exxon Mobil Corp. Oil: Integrated 1.4
Berkshire Hathaway Inc. Insurance: Multi-Line 1.3
JPMorgan Chase & Co. Diversified Financial  
  Services 1.3
Wells Fargo & Co. Banks: Diversified 1.1
Top Ten   17.7%
The holdings listed exclude any temporary cash investments and
equity index products.    

 

Investment Focus

 

1 The expense ratios shown are from the prospectus dated April 26, 2017, and represent estimated costs for the current fiscal year. For
the six months ended June 30, 2017, the annualized expense ratios were 0.09% for Admiral Shares and 0.06% for Institutional Shares.

85


 

Tax-Managed Capital Appreciation Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Fiscal-Year Total Returns (%): December 31, 2006, Through June 30, 2017


Note: For 2017, performance data reflect the six months ended June 30, 2017.

Average Annual Total Returns: Periods Ended June 30, 2017    
  Inception Date One Year Five Years Ten Years
Admiral Shares 9/6/1994 18.76% 14.86% 7.38%
Institutional Shares 2/24/1999 18.80 14.90 7.42

 

See Financial Highlights for dividend and capital gains information.

86


 

Tax-Managed Capital Appreciation Fund

Financial Statements (unaudited)

Statement of Net Assets
As of June 30, 2017

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

      Market
      Value
    Shares ($000)
Common Stocks (99.8%)1    
Consumer Discretionary (14.2%)  
* Amazon.com Inc. 133,851 129,568
  Home Depot Inc. 445,141 68,285
  Comcast Corp. Class A 1,561,046 60,756
  Walt Disney Co. 567,879 60,337
  McDonald’s Corp. 305,804 46,837
  Wal-Mart Stores Inc. 503,796 38,127
* Priceline Group Inc. 18,319 34,266
  Starbucks Corp. 534,294 31,155
  Time Warner Inc. 304,872 30,612
  NIKE Inc. Class B 485,126 28,622
  Lowe’s Cos. Inc. 356,815 27,664
  Costco Wholesale Corp. 167,474 26,784
* Netflix Inc. 139,472 20,839
* Charter Communications    
  Inc. Class A 59,589 20,073
  Marriott International Inc.    
  Class A 199,777 20,040
* eBay Inc. 457,275 15,968
  TJX Cos. Inc. 204,469 14,757
  Twenty-First Century Fox    
  Inc. Class A 503,599 14,272
* Tesla Inc. 38,954 14,086
  Ross Stores Inc. 206,205 11,904
  Yum! Brands Inc. 158,953 11,724
  Royal Caribbean Cruises    
  Ltd. 104,593 11,425
  General Motors Co. 315,423 11,018
  Estee Lauder Cos. Inc.    
  Class A 112,088 10,758
* O’Reilly Automotive Inc. 49,150 10,751
* Mohawk Industries Inc. 43,095 10,416
  CBS Corp. Class B 160,925 10,264
  MGM Resorts International 324,221 10,145
  Ford Motor Co. 905,184 10,129
  Expedia Inc. 66,607 9,921
* NVR Inc. 4,041 9,741
  Sirius XM Holdings Inc. 1,742,688 9,533
* CarMax Inc. 147,985 9,332
* AutoZone Inc. 16,255 9,273
* Dollar Tree Inc. 123,414 8,629
  Hasbro Inc. 76,942 8,580
* Panera Bread Co. Class A 27,106 8,529
  Target Corp. 155,625 8,138
* WABCO Holdings Inc. 61,510 7,843
  PVH Corp. 66,936 7,664
  DR Horton Inc. 218,026 7,537
  Fortune Brands Home    
  & Security Inc. 114,801 7,490
  Goodyear Tire & Rubber Co. 208,626 7,294
* Yum China Holdings Inc. 183,673 7,242
  Interpublic Group of Cos.    
  Inc. 293,791 7,227
  Darden Restaurants Inc. 76,927 6,957
* Liberty Interactive Corp.    
  QVC Group Class A 279,306 6,854
* Visteon Corp. 66,473 6,784
  Lennar Corp. Class A 126,336 6,736
  BorgWarner Inc. 142,961 6,056
  Gentex Corp. 316,457 6,003
  Las Vegas Sands Corp. 93,794 5,992
  Advance Auto Parts Inc. 50,598 5,899
  PulteGroup Inc. 232,854 5,712
  Hanesbrands Inc. 231,493 5,361
  Dollar General Corp. 73,707 5,314
  Harley-Davidson Inc. 96,566 5,216
  Carnival Corp. 77,458 5,079
* Discovery    
  Communications Inc. 199,931 5,040
  Viacom Inc. Class B 149,833 5,030
  Scripps Networks    
  Interactive Inc. Class A 69,558 4,752
* Hyatt Hotels Corp. Class A 83,712 4,705
  Newell Brands Inc. 83,463 4,475
  VF Corp. 76,758 4,421
  Lear Corp. 30,629 4,352

 

87


 

Tax-Managed Capital Appreciation Fund

      Market
      Value
    Shares ($000)
  Toll Brothers Inc. 106,247 4,198
  Omnicom Group Inc. 50,564 4,192
* Liberty Media Corp-Liberty    
  SiriusXM Class C 85,986 3,586
  Foot Locker Inc. 70,470 3,473
  Brinker International Inc. 88,041 3,354
* AutoNation Inc. 78,679 3,317
  Gap Inc. 148,246 3,260
* Tempur Sealy International    
  Inc. 60,667 3,239
  Kohl’s Corp. 79,094 3,059
  Delphi Automotive plc 34,717 3,043
  KAR Auction Services Inc. 71,820 3,014
  Wynn Resorts Ltd. 21,318 2,859
  John Wiley & Sons Inc.    
  Class A 53,577 2,826
  Coty Inc. Class A 145,686 2,733
  Bed Bath & Beyond Inc. 88,823 2,700
* Under Armour Inc. Class A 122,247 2,660
  Vail Resorts Inc. 13,100 2,657
* TripAdvisor Inc. 67,080 2,562
* Liberty Expedia Holdings    
  Inc. Class A 46,077 2,489
* Liberty Ventures Class A 46,959 2,455
  News Corp. Class A 177,364 2,430
* Chipotle Mexican Grill Inc.    
  Class A 5,766 2,399
* Norwegian Cruise Line    
  Holdings Ltd. 44,014 2,390
* DISH Network Corp.    
  Class A 37,954 2,382
* Liberty Broadband Corp. 26,990 2,341
* Vista Outdoor Inc. 102,839 2,315
* Liberty Media Corp-    
  Liberty SiriusXM Class A 53,860 2,261
* Michael Kors Holdings Ltd. 61,467 2,228
* Ulta Beauty Inc. 7,478 2,149
  Ralph Lauren Corp. Class A 26,519 1,957
  Nordstrom Inc. 31,966 1,529
  Best Buy Co. Inc. 24,536 1,407
  Coach Inc. 28,940 1,370
  Macy’s Inc. 56,651 1,317
* AMC Networks Inc. Class A 22,919 1,224
* LKQ Corp. 37,002 1,219
  Adient plc 18,417 1,204
* Under Armour Inc. 59,497 1,199
* Hilton Grand Vacations Inc. 33,161 1,196
* Madison Square Garden    
  Co. Class A 5,889 1,160
* Liberty Broadband Corp.    
  Class A 13,284 1,140
  Polaris Industries Inc. 12,226 1,128
* ServiceMaster Global    
  Holdings Inc. 28,469 1,116
  H&R Block Inc. 35,900 1,110
* Lululemon Athletica Inc. 13,048 779
* Skechers U.S.A. Inc.    
  Class A 24,314 717
* Sally Beauty Holdings Inc. 33,345 675
* Pandora Media Inc. 75,390 672
* Michaels Cos. Inc. 35,297 654
* Burlington Stores Inc. 6,574 605
* Live Nation Entertainment    
  Inc. 15,425 538
  Graham Holdings Co.    
  Class B 821 492
  AMERCO 1,200 439
  Lennar Corp. Class B 8,282 372
  Tribune Media Co. Class A 7,900 322
  Staples Inc. 31,122 313
* Murphy USA Inc. 4,037 299
  GameStop Corp. Class A 11,776 254
* Kate Spade & Co. 10,900 202
* Cabela’s Inc. 2,112 125
* Altice USA Inc. Class A 3,877 125
  Nielsen Holdings plc 3,136 121
      1,165,844
Consumer Staples (7.5%)    
  Procter & Gamble Co. 893,492 77,868
  Philip Morris    
  International Inc. 561,782 65,981
  Coca-Cola Co. 1,226,086 54,990
  PepsiCo Inc. 468,488 54,106
  Altria Group Inc. 552,280 41,128
  CVS Health Corp. 388,354 31,247
  Mondelez International    
  Inc. Class A 617,689 26,678
  Colgate-Palmolive Co. 347,747 25,778
  Walgreens Boots Alliance    
  Inc. 301,845 23,637
  Constellation Brands Inc.    
  Class A 85,361 16,537
  Reynolds American Inc. 231,531 15,059
* Monster Beverage Corp. 262,651 13,048
  Kraft Heinz Co. 143,961 12,329
  Kimberly-Clark Corp. 89,751 11,588
  Kroger Co. 442,623 10,322
  Tyson Foods Inc. Class A 164,014 10,272
  Archer-Daniels-Midland Co. 242,866 10,050
  Dr Pepper Snapple Group    
  Inc. 109,488 9,975
  Clorox Co. 71,982 9,591
  Church & Dwight Co. Inc. 168,036 8,718
  Brown-Forman Corp.    
  Class B 166,260 8,080
  McCormick & Co. Inc. 80,966 7,895
  JM Smucker Co. 66,043 7,815
  Hershey Co. 72,467 7,781

 

88


 

Tax-Managed Capital Appreciation Fund

        Market
        Value
      Shares ($000)
  Molson Coors Brewing    
  Co. Class B   88,874 7,673
  Hormel Foods Corp.   209,953 7,161
  Ingredion Inc.   59,184 7,055
  Campbell Soup Co.   97,145 5,066
  General Mills Inc.   88,800 4,920
* Edgewell Personal Care Co. 59,490 4,522
  Energizer Holdings Inc. 62,510 3,002
  Whole Foods Market Inc. 65,508 2,759
  Kellogg Co.   22,838 1,586
  Bunge Ltd.   20,961 1,564
  Sysco Corp.   30,598 1,540
  Conagra Brands Inc.   18,538 663
* Blue Buffalo Pet      
  Products Inc.   28,628 653
* US Foods Holding Corp. 23,654 644
  Lamb Weston Holdings Inc. 6,179 272
* Post Holdings Inc.   1,900 148
* Pilgrim’s Pride Corp.   6,600 145
  Nu Skin Enterprises Inc.    
  Class A   1,013 64
* AquaBounty      
  Technologies Inc.   1,826 15
        609,925
Energy (5.4%)      
  Exxon Mobil Corp. 1,453,428 117,335
  Chevron Corp.   657,090 68,554
  ConocoPhillips   491,868 21,623
  Schlumberger Ltd.   313,414 20,635
  EOG Resources Inc.   227,247 20,570
  Phillips 66   214,201 17,712
  Halliburton Co.   381,607 16,298
  Pioneer Natural      
  Resources Co.   77,710 12,401
  Valero Energy Corp.   182,002 12,278
  Baker Hughes Inc.   218,632 11,918
* Concho Resources Inc. 88,765 10,788
  Anadarko Petroleum Corp. 227,591 10,319
  Marathon Petroleum Corp. 159,433 8,343
  Cabot Oil & Gas Corp. 290,464 7,285
  Williams Cos. Inc.   239,189 7,243
  Cimarex Energy Co.   68,836 6,471
  Occidental Petroleum Corp. 105,502 6,316
* Energen Corp.   125,495 6,196
  Patterson-UTI Energy Inc. 286,601 5,787
  Apache Corp.   119,853 5,745
* Newfield Exploration Co. 187,579 5,339
  Noble Energy Inc.   185,706 5,256
  Tesoro Corp.   54,126 5,066
  Kinder Morgan Inc.   236,063 4,523
  EQT Corp.   74,804 4,383
* Continental Resources Inc. 115,665 3,739
* WPX Energy Inc.   384,186 3,711
  Helmerich & Payne Inc. 57,866 3,144
  Hess Corp. 61,374 2,693
  Targa Resources Corp. 36,063 1,630
  National Oilwell Varco Inc. 48,309 1,591
* First Solar Inc. 28,018 1,117
* Rowan Cos. plc Class A 106,870 1,094
  ONEOK Inc. 19,882 1,037
* Cheniere Energy Inc. 17,497 852
* Antero Resources Corp. 30,231 653
* Southwestern Energy Co. 106,257 646
* Weatherford    
  International plc 151,733 587
* Laredo Petroleum Inc. 54,141 570
* SunPower Corp. Class A 57,456 537
  HollyFrontier Corp. 17,272 474
* Rice Energy Inc. 7,100 189
  Devon Energy Corp. 5,058 162
* CONSOL Energy Inc. 10,690 160
* Extraction Oil & Gas Inc. 11,202 151
  SM Energy Co. 2,226 37
  Marathon Oil Corp. 331 4
* Chesapeake Energy Corp. 229 1
      443,163
Financial Services (20.8%)    
* Berkshire Hathaway    
  Inc. Class B 650,445 110,166
  JPMorgan Chase & Co. 1,202,664 109,923
  Wells Fargo & Co. 1,594,225 88,336
  Bank of America Corp. 3,455,790 83,837
  Citigroup Inc. 1,079,154 72,174
  Visa Inc. Class A 686,529 64,383
  Mastercard Inc. Class A 363,828 44,187
  Goldman Sachs Group Inc. 153,479 34,057
  American International    
  Group Inc. 457,032 28,574
* PayPal Holdings Inc. 512,813 27,523
  American Express Co. 300,034 25,275
  Morgan Stanley 535,505 23,862
  American Tower Corp. 173,628 22,974
  Charles Schwab Corp. 496,358 21,324
  US Bancorp 400,905 20,815
  S&P Global Inc. 124,501 18,176
  Aon plc 129,154 17,171
  Intercontinental    
  Exchange Inc. 248,935 16,410
* Fiserv Inc. 133,007 16,272
  Prudential Financial Inc. 148,953 16,108
  Simon Property Group Inc. 98,152 15,877
  State Street Corp. 164,707 14,779
  MetLife Inc. 262,212 14,406
  Equinix Inc. 33,081 14,197
  Crown Castle International    
  Corp. 138,391 13,864
  Aflac Inc. 172,218 13,378
  SunTrust Banks Inc. 234,876 13,322

 

89


 

Tax-Managed Capital Appreciation Fund

      Market
      Value
    Shares ($000)
  Travelers Cos. Inc. 101,725 12,871
  Discover Financial Services 201,833 12,552
  Public Storage 57,988 12,092
* E*TRADE Financial Corp. 315,716 12,007
  Progressive Corp. 267,429 11,791
* SBA Communications    
  Corp. Class A 85,995 11,601
  AvalonBay Communities Inc. 58,706 11,281
  Ameriprise Financial Inc. 87,796 11,176
  Fidelity National Information    
  Services Inc. 130,247 11,123
  Chubb Ltd. 74,677 10,857
  Global Payments Inc. 117,263 10,591
  PNC Financial Services    
  Group Inc. 82,183 10,262
  Equifax Inc. 73,853 10,149
  First Republic Bank 100,649 10,075
  Equity Residential 151,097 9,947
  Capital One Financial Corp. 117,695 9,724
  Lincoln National Corp. 143,702 9,711
  Boston Properties Inc. 77,995 9,595
  Fifth Third Bancorp 368,271 9,560
  CME Group Inc. 76,029 9,522
  Essex Property Trust Inc. 36,270 9,331
* Markel Corp. 9,515 9,285
  KeyCorp 485,322 9,095
  Allstate Corp. 102,184 9,037
* CBRE Group Inc. Class A 246,639 8,978
  MSCI Inc. Class A 86,829 8,942
* Arch Capital Group Ltd. 95,099 8,872
  Bank of New York Mellon    
  Corp. 173,425 8,848
  Zions Bancorporation 194,374 8,535
  Moody’s Corp. 69,986 8,516
  BlackRock Inc. 19,961 8,432
  East West Bancorp Inc. 134,403 7,873
  Torchmark Corp. 102,754 7,861
  Assurant Inc. 75,128 7,790
* SLM Corp. 676,250 7,777
  Welltower Inc. 103,869 7,775
  Unum Group 166,461 7,762
  Nasdaq Inc. 108,085 7,727
  Reinsurance Group of    
  America Inc. Class A 59,891 7,689
  Total System Services Inc. 130,880 7,624
  Equity LifeStyle    
  Properties Inc. 87,665 7,569
  TD Ameritrade Holding    
  Corp. 174,048 7,482
  M&T Bank Corp. 46,002 7,450
  Franklin Resources Inc. 165,917 7,431
* Alleghany Corp. 12,354 7,348
  Principal Financial Group    
  Inc. 113,318 7,260
  Synchrony Financial 241,273 7,195
  Raymond James Financial    
  Inc. 89,465 7,177
  American Financial Group    
  Inc. 69,403 6,897
  T. Rowe Price Group Inc. 92,836 6,889
  Annaly Capital    
  Management Inc. 562,392 6,777
  WR Berkley Corp. 97,378 6,736
  Weyerhaeuser Co. 198,402 6,646
  SEI Investments Co. 123,501 6,642
  Commerce Bancshares Inc. 114,487 6,506
* Howard Hughes Corp. 52,872 6,495
  Loews Corp. 138,528 6,484
  Prologis Inc. 109,443 6,418
  Popular Inc. 153,360 6,397
  American Homes 4 Rent    
  Class A 280,681 6,335
  GGP Inc. 267,975 6,313
  Lamar Advertising Co.    
  Class A 85,598 6,297
  Extra Space Storage Inc. 79,539 6,204
  Brown & Brown Inc. 143,235 6,169
* Signature Bank 42,511 6,102
  Douglas Emmett Inc. 159,344 6,089
  White Mountains    
  Insurance Group Ltd. 6,999 6,080
  Apartment Investment    
  & Management Co. 137,720 5,918
  Forest City Realty Trust    
  Inc. Class A 241,109 5,828
  SL Green Realty Corp. 54,797 5,797
  Jones Lang LaSalle Inc. 45,890 5,736
  Mid-America Apartment    
  Communities Inc. 53,974 5,688
  Federal Realty Investment    
  Trust 44,803 5,663
  First Horizon National Corp. 319,147 5,560
  Ventas Inc. 79,000 5,489
* CoreLogic Inc. 124,571 5,404
  HCP Inc. 165,100 5,277
  Host Hotels & Resorts Inc. 279,419 5,105
  Affiliated Managers    
  Group Inc. 29,691 4,925
  Dun & Bradstreet Corp. 43,819 4,739
  Jack Henry & Associates    
  Inc. 44,906 4,664
  Alexandria Real Estate    
  Equities Inc. 38,539 4,643
  Cullen/Frost Bankers Inc. 47,496 4,460
  Broadridge Financial    
  Solutions Inc. 58,618 4,429
  Hanover Insurance    
  Group Inc. 49,487 4,386

 

90


 

Tax-Managed Capital Appreciation Fund

      Market
      Value
    Shares ($000)
  Associated Banc-Corp 170,283 4,291
  TFS Financial Corp. 271,733 4,204
  Eaton Vance Corp. 86,022 4,071
  Camden Property Trust 42,323 3,619
  Hospitality Properties Trust 119,017 3,469
  Hartford Financial Services    
  Group Inc. 64,171 3,373
  BOK Financial Corp. 38,481 3,237
  Digital Realty Trust Inc. 28,422 3,210
  Leucadia National Corp. 120,270 3,146
  AGNC Investment Corp. 141,619 3,015
  CNA Financial Corp. 61,718 3,009
  Alliance Data Systems Corp. 11,592 2,976
  Retail Properties of    
  America Inc. 208,902 2,551
  BB&T Corp. 53,177 2,415
  People’s United    
  Financial Inc. 116,625 2,060
  Navient Corp. 123,033 2,048
  DDR Corp. 215,917 1,958
  Interactive Brokers    
  Group Inc. 51,120 1,913
  Northern Trust Corp. 19,091 1,856
  CoreCivic Inc. 66,446 1,833
  Paramount Group Inc. 114,342 1,829
  Legg Mason Inc. 47,414 1,809
  Marsh & McLennan    
  Cos. Inc. 21,585 1,683
  Bank of Hawaii Corp. 20,064 1,665
  Invesco Ltd. 36,848 1,297
* Quality Care Properties Inc. 66,749 1,222
  FNF Group 25,471 1,142
* Vantiv Inc. Class A 17,872 1,132
  Omega Healthcare    
  Investors Inc. 30,324 1,001
  Iron Mountain Inc. 28,923 994
* Zillow Group Inc. 20,136 987
  Ally Financial Inc. 46,442 971
  Lazard Ltd. Class A 18,503 857
* Santander Consumer    
  USA Holdings Inc. 61,229 781
  Apple Hospitality REIT Inc. 39,944 747
* Athene Holding Ltd. Class A 14,511 720
* Western Alliance Bancorp 14,589 718
  Taubman Centers Inc. 11,122 662
* First Data Corp. Class A 34,601 630
* FleetCor Technologies Inc. 4,278 617
  Colony NorthStar Inc.    
  Class A 40,743 574
  Uniti Group Inc. 14,957 376
* Donnelley Financial    
  Solutions Inc. 14,000 321
* Zillow Group Inc. Class A 6,500 317
  Western Union Co. 15,396 293
* Euronet Worldwide Inc. 2,150 188
  Invitation Homes Inc. 2,934 63
* OneMain Holdings Inc.    
  Class A 1,616 40
      1,702,595
Health Care (14.0%)    
  Johnson & Johnson 950,330 125,719
  Pfizer Inc. 1,865,441 62,660
  Merck & Co. Inc. 956,507 61,303
  UnitedHealth Group Inc. 328,174 60,850
  Amgen Inc. 269,967 46,496
  AbbVie Inc. 547,331 39,687
* Celgene Corp. 301,161 39,112
  Medtronic plc 436,939 38,778
  Gilead Sciences Inc. 484,401 34,286
  Allergan plc 113,879 27,683
  Thermo Fisher Scientific Inc.  153,934 26,857
  Bristol-Myers Squibb Co. 474,778 26,455
  Abbott Laboratories 529,605 25,744
  Eli Lilly & Co. 296,671 24,416
* Biogen Inc. 89,106 24,180
  Aetna Inc. 145,181 22,043
  Anthem Inc. 111,626 21,000
  Danaher Corp. 231,447 19,532
* Boston Scientific Corp. 686,689 19,035
  Cigna Corp. 112,107 18,766
* Express Scripts Holding Co.  283,062 18,071
  Becton Dickinson and Co. 88,320 17,232
  Humana Inc. 69,676 16,765
  Stryker Corp. 109,046 15,133
  Zoetis Inc. 240,279 14,989
* Vertex Pharmaceuticals Inc.  113,366 14,609
* Incyte Corp. 108,037 13,603
* Regeneron    
  Pharmaceuticals Inc. 27,413 13,464
  CR Bard Inc. 41,918 13,251
  McKesson Corp. 73,199 12,044
* Henry Schein Inc. 63,041 11,538
  Agilent Technologies Inc. 192,643 11,426
  Zimmer Biomet Holdings    
  Inc. 88,957 11,422
  Cardinal Health Inc. 145,261 11,319
* Laboratory Corp. of    
  America Holdings 65,711 10,129
  AmerisourceBergen Corp.    
  Class A 106,401 10,058
  Cooper Cos. Inc. 40,631 9,728
  Baxter International Inc. 153,258 9,278
  Dentsply Sirona Inc. 130,580 8,467
  Teleflex Inc. 39,319 8,169
  Quest Diagnostics Inc. 72,665 8,077
* Quintiles IMS Holdings Inc. 89,107 7,975
* QIAGEN NV 226,580 7,597
  PerkinElmer Inc. 109,261 7,445

 

91


 

Tax-Managed Capital Appreciation Fund

      Market
      Value
    Shares ($000)
  Universal Health Services    
  Inc. Class B 60,278 7,359
* Illumina Inc. 40,925 7,101
* Cerner Corp. 95,628 6,356
* Charles River Laboratories    
  International Inc. 56,217 5,686
* Intuitive Surgical Inc. 5,822 5,446
* Mylan NV 138,811 5,389
* Centene Corp. 66,211 5,289
* BioMarin Pharmaceutical    
  Inc. 56,479 5,129
* Ionis Pharmaceuticals Inc. 99,475 5,060
  Bio-Techne Corp. 38,893 4,570
  Bruker Corp. 138,767 4,002
* Varian Medical Systems Inc. 38,754 3,999
  Patterson Cos. Inc. 73,371 3,445
* Bioverativ Inc. 55,895 3,363
* Alkermes plc 44,124 2,558
* Alnylam Pharmaceuticals    
  Inc. 31,902 2,545
* Hologic Inc. 43,486 1,973
* Edwards Lifesciences Corp. 15,053 1,780
* Endo International plc 121,044 1,352
* Align Technology Inc. 8,939 1,342
* Juno Therapeutics Inc. 40,150 1,200
* IDEXX Laboratories Inc. 7,422 1,198
* HCA Healthcare Inc. 13,426 1,171
* Bio-Rad Laboratories Inc.    
  Class A 5,171 1,170
* Intercept Pharmaceuticals    
  Inc. 8,668 1,049
* Varex Imaging Corp. 26,745 904
* VCA Inc. 7,844 724
* Veeva Systems Inc. Class A 11,543 708
* VWR Corp. 19,819 654
* ABIOMED Inc. 4,523 648
* ACADIA Pharmaceuticals    
  Inc. 22,979 641
* WellCare Health Plans Inc. 3,569 641
* Seattle Genetics Inc. 10,126 524
* Alere Inc. 10,265 515
* Premier Inc. Class A 14,219 512
* Neurocrine Biosciences Inc. 10,401 478
* Agios Pharmaceuticals Inc. 6,000 309
* DaVita Inc. 4,382 284
* United Therapeutics Corp. 1,913 248
* Acadia Healthcare Co. Inc. 4,200 207
* Mallinckrodt plc 4,103 184
* Intrexon Corp. 3,373 81
      1,144,185
Materials & Processing (3.5%)  
  EI du Pont de Nemours    
  & Co. 349,034 28,171
  Monsanto Co. 178,022 21,071
  Dow Chemical Co. 244,754 15,437
  Ecolab Inc. 115,934 15,390
  Sherwin-Williams Co. 40,058 14,059
  Praxair Inc. 103,342 13,698
  LyondellBasell Industries    
  NV Class A 132,695 11,198
  Vulcan Materials Co. 85,590 10,843
  Martin Marietta    
  Materials Inc. 46,652 10,384
  FMC Corp. 132,448 9,675
  Newmont Mining Corp. 297,030 9,621
  Albemarle Corp. 90,452 9,546
  Celanese Corp. Class A 100,412 9,533
  Ball Corp. 200,108 8,447
  Lennox International Inc. 40,714 7,477
* Crown Holdings Inc. 119,304 7,118
  Owens Corning 104,758 7,010
  Sealed Air Corp. 143,185 6,409
  Southern Copper Corp. 165,670 5,737
  Fastenal Co. 125,785 5,475
  Air Products &    
  Chemicals Inc. 32,969 4,717
  Scotts Miracle-Gro Co. 50,983 4,561
  Valmont Industries Inc. 27,984 4,186
  WR Grace & Co. 55,735 4,013
* Freeport-McMoRan Inc. 328,590 3,946
* Armstrong World    
  Industries Inc. 85,415 3,929
  Nucor Corp. 66,785 3,865
  Westlake Chemical Corp. 54,946 3,638
  Reliance Steel &    
  Aluminum Co. 46,208 3,364
  Packaging Corp. of America 26,568 2,959
  PPG Industries Inc. 23,100 2,540
* Owens-Illinois Inc. 94,689 2,265
  International Paper Co. 35,971 2,036
  Eagle Materials Inc. 21,140 1,954
* AdvanSix Inc. 50,136 1,566
  WestRock Co. 22,602 1,281
  Eastman Chemical Co. 14,072 1,182
  Mosaic Co. 45,122 1,030
* Alcoa Corp. 26,090 852
  CF Industries Holdings Inc. 26,925 753
  Tahoe Resources Inc. 86,000 741
* Berry Global Group Inc. 12,992 741
* Platform Specialty    
  Products Corp. 56,052 711
* Axalta Coating Systems Ltd. 21,484 688
  United States Steel Corp. 30,735 680
  Versum Materials Inc. 16,484 536
  Royal Gold Inc. 5,985 468
  Hexcel Corp. 3,533 187
      285,688

 

92


 

Tax-Managed Capital Appreciation Fund

      Market
      Value
    Shares ($000)
Producer Durables (10.7%)    
  General Electric Co. 2,587,155 69,879
  Boeing Co. 225,405 44,574
  United Technologies Corp. 279,693 34,153
  Union Pacific Corp. 303,684 33,074
  3M Co. 154,044 32,070
  FedEx Corp. 113,273 24,618
  General Dynamics Corp. 114,543 22,691
  Honeywell International Inc.  168,320 22,435
  CSX Corp. 389,166 21,233
  Accenture plc Class A 164,778 20,380
  Illinois Tool Works Inc. 140,947 20,191
  Southwest Airlines Co. 313,976 19,510
  Delta Air Lines Inc. 350,782 18,851
  Northrop Grumman Corp. 72,150 18,522
  United Parcel Service Inc.    
  Class B 148,626 16,437
* United Continental    
  Holdings Inc. 211,747 15,934
  Norfolk Southern Corp. 127,762 15,549
* Mettler-Toledo    
  International Inc. 23,676 13,934
  Lockheed Martin Corp. 47,222 13,109
  Raytheon Co. 80,822 13,051
  Roper Technologies Inc. 51,607 11,949
* Waters Corp. 62,274 11,448
  Parker-Hannifin Corp. 67,377 10,768
  Waste Management Inc. 140,109 10,277
  Deere & Co. 82,823 10,236
  TransDigm Group Inc. 37,171 9,994
* Verisk Analytics Inc.    
  Class A 117,411 9,906
  Emerson Electric Co. 159,064 9,483
  PACCAR Inc. 142,675 9,422
  Toro Co. 131,898 9,139
* Copart Inc. 285,502 9,076
  L3 Technologies Inc. 53,889 9,004
  Cintas Corp. 70,616 8,900
  AMETEK Inc. 143,005 8,662
  Huntington Ingalls    
  Industries Inc. 44,901 8,359
  IDEX Corp. 71,688 8,101
  Textron Inc. 170,296 8,021
  Expeditors International    
  of Washington Inc. 138,833 7,841
  Cummins Inc. 47,769 7,749
  Rockwell Collins Inc. 73,559 7,730
  Old Dominion Freight    
  Line Inc. 78,902 7,515
  Wabtec Corp. 80,447 7,361
  Fortive Corp. 115,723 7,331
  Caterpillar Inc. 65,805 7,071
  JB Hunt Transport    
  Services Inc. 76,689 7,008
  BWX Technologies Inc. 143,634 7,002
* Middleby Corp. 57,579 6,996
  AGCO Corp. 98,700 6,651
  Jacobs Engineering    
  Group Inc. 121,987 6,635
  Landstar System Inc. 73,936 6,329
  ManpowerGroup Inc. 54,486 6,083
  Carlisle Cos. Inc. 59,977 5,722
  FLIR Systems Inc. 164,529 5,703
* Welbilt Inc. 299,477 5,645
  Oshkosh Corp. 80,575 5,550
* HD Supply Holdings Inc. 171,190 5,244
  WW Grainger Inc. 26,954 4,866
  Automatic Data    
  Processing Inc. 47,161 4,832
  Xylem Inc. 86,943 4,819
  Donaldson Co. Inc. 102,983 4,690
  Robert Half    
  International Inc. 96,924 4,646
  Terex Corp. 113,735 4,265
  Genpact Ltd. 151,475 4,216
  Xerox Corp. 144,122 4,141
  Flowserve Corp. 87,374 4,057
  Eaton Corp. plc 51,783 4,030
* Keysight Technologies Inc. 102,679 3,997
  Stanley Black & Decker Inc. 26,735 3,762
* Stericycle Inc. 48,278 3,685
  MSC Industrial Direct    
  Co. Inc. Class A 41,610 3,577
  Orbital ATK Inc. 33,013 3,247
* Zebra Technologies Corp. 30,202 3,036
  Graco Inc. 27,607 3,017
  CH Robinson Worldwide Inc. 39,317 2,700
  ITT Inc. 64,187 2,579
  Allison Transmission    
  Holdings Inc. 68,172 2,557
* Conduent Inc. 159,197 2,538
* Spirit Airlines Inc. 41,357 2,136
  Arconic Inc. 78,271 1,773
  Republic Services Inc.    
  Class A 19,556 1,246
* Clean Harbors Inc. 13,300 743
* Quanta Services Inc. 22,471 740
* JetBlue Airways Corp. 32,396 740
* AECOM 22,185 717
* Colfax Corp. 17,954 707
* WESCO International Inc. 11,627 666
* Trimble Inc. 16,800 599
* CoStar Group Inc. 2,219 585
  Pentair plc 6,124 407
  Ryder System Inc. 5,166 372
  Spirit AeroSystems    
  Holdings Inc. Class A 4,357 252
  American Airlines Group Inc. 4,847 244

 

93


 

Tax-Managed Capital Appreciation Fund

      Market
      Value
    Shares ($000)
  Fluor Corp. 3,441 158
  RR Donnelley & Sons Co. 1,398 18
      871,466
Technology (18.7%)    
  Apple Inc. 1,942,330 279,734
  Microsoft Corp. 2,636,088 181,706
* Facebook Inc. Class A 792,315 119,624
* Alphabet Inc. Class A 105,243 97,842
* Alphabet Inc. Class C 105,630 95,989
  Oracle Corp. 1,072,296 53,765
  Cisco Systems Inc. 1,517,157 47,487
  International Business    
  Machines Corp. 300,425 46,214
  Intel Corp. 1,357,284 45,795
  NVIDIA Corp. 235,253 34,008
  Broadcom Ltd. 145,562 33,923
  Texas Instruments Inc. 389,186 29,940
* Adobe Systems Inc. 203,973 28,850
  QUALCOMM Inc. 473,432 26,143
* salesforce.com Inc. 275,923 23,895
  Applied Materials Inc. 532,975 22,017
  Activision Blizzard Inc. 292,430 16,835
  Intuit Inc. 126,429 16,791
  Cognizant Technology    
  Solutions Corp. Class A 249,738 16,583
  Corning Inc. 477,384 14,345
  Lam Research Corp. 96,753 13,684
  Hewlett Packard    
  Enterprise Co. 808,655 13,416
* Autodesk Inc. 129,138 13,020
  Amphenol Corp. Class A 165,003 12,181
  DXC Technology Co. 148,213 11,371
* Micron Technology Inc. 329,512 9,839
* Cadence Design    
  Systems Inc. 293,674 9,835
  Analog Devices Inc. 125,312 9,749
* Synopsys Inc. 132,555 9,667
  Symantec Corp. 315,666 8,918
  Western Digital Corp. 98,249 8,705
  KLA-Tencor Corp. 90,426 8,275
* Citrix Systems Inc. 103,448 8,232
  Juniper Networks Inc. 288,825 8,052
* Arrow Electronics Inc. 101,793 7,983
  CDK Global Inc. 123,048 7,636
  HP Inc. 434,070 7,588
  Teradyne Inc. 235,865 7,083
  Brocade Communications    
  Systems Inc. 531,669 6,704
* Teradata Corp. 209,161 6,168
* Electronic Arts Inc. 56,496 5,973
  Dolby Laboratories Inc.    
  Class A 115,638 5,662
  NetApp Inc. 137,603 5,511
  CSRA Inc. 171,247 5,437
  DST Systems Inc. 85,404 5,269
  Xilinx Inc. 81,750 5,258
* NCR Corp. 121,998 4,982
* Gartner Inc. 39,226 4,845
* ServiceNow Inc. 42,424 4,497
  Avnet Inc. 108,316 4,211
  CA Inc. 109,686 3,781
  Skyworks Solutions Inc. 38,209 3,666
  Microchip Technology Inc. 43,580 3,364
  SS&C Technologies    
  Holdings Inc. 85,064 3,267
  Motorola Solutions Inc. 36,182 3,138
* Twitter Inc. 174,221 3,113
* CommScope Holding    
  Co. Inc. 77,820 2,959
* IAC/InterActiveCorp 27,461 2,835
* Workday Inc. Class A 28,150 2,731
* VeriSign Inc. 27,631 2,569
* F5 Networks Inc. 16,476 2,093
* Dell Technologies Inc.    
  Class V 31,964 1,953
* Qorvo Inc. 24,546 1,554
  Harris Corp. 13,240 1,444
* Palo Alto Networks Inc. 10,267 1,374
* ANSYS Inc. 8,778 1,068
* PTC Inc. 18,751 1,034
* Fortinet Inc. 27,357 1,024
* Red Hat Inc. 10,084 966
  Leidos Holdings Inc. 15,371 795
  Amdocs Ltd. 11,987 773
* Nutanix Inc. 36,620 738
* Black Knight Financial    
  Services Inc. Class A 16,522 677
* Arista Networks Inc. 4,490 673
* IPG Photonics Corp. 4,591 666
* Guidewire Software Inc. 9,348 642
* FireEye Inc. 42,020 639
* Tableau Software Inc.    
  Class A 10,322 632
* Ultimate Software Group Inc.  2,983 627
* GoDaddy Inc. Class A 14,746 626
* VMware Inc. Class A 7,111 622
* Zynga Inc. Class A 168,731 614
* Match Group Inc. 33,870 589
* Nuance    
  Communications Inc. 33,487 583
* Groupon Inc. Class A 151,535 582
* ON Semiconductor Corp. 41,216 579
* Splunk Inc. 8,603 489
* CommerceHub Inc. 23,928 417
* Atlassian Corp. plc Class A 10,270 361
* EchoStar Corp. Class A 4,300 261
* CommerceHub Inc. Class A 14,126 246
  Sabre Corp. 8,123 177

 

94


 

Tax-Managed Capital Appreciation Fund

      Market
      Value
    Shares ($000)
* Inovalon Holdings Inc.    
  Class A 11,500 151
* ARRIS International plc 5,100 143
      1,528,472
Utilities (5.0%)    
  AT&T Inc. 1,872,980 70,668
  Verizon Communications    
  Inc. 1,170,595 52,279
  Duke Energy Corp. 298,044 24,913
  NextEra Energy Inc. 177,540 24,879
  Southern Co. 356,794 17,083
  PG&E Corp. 215,510 14,303
  Sempra Energy 116,390 13,123
  Edison International 162,181 12,681
  Exelon Corp. 351,421 12,676
* T-Mobile US Inc. 195,494 11,851
  WEC Energy Group Inc. 187,296 11,496
  Consolidated Edison Inc. 141,599 11,444
  Dominion Energy Inc. 142,027 10,884
  Eversource Energy 172,448 10,469
* Level 3 Communications    
  Inc. 170,555 10,114
  American Water Works    
  Co. Inc. 117,032 9,123
  CMS Energy Corp. 190,417 8,807
  UGI Corp. 154,238 7,467
  NiSource Inc. 276,272 7,006
  Atmos Energy Corp. 83,514 6,927
  Aqua America Inc. 183,416 6,108
  PPL Corp. 154,847 5,986
* Sprint Corp. 728,131 5,978
  DTE Energy Co. 56,142 5,939
  CenterPoint Energy Inc. 213,368 5,842
  SCANA Corp. 80,345 5,384
  Telephone & Data    
  Systems Inc. 167,926 4,660
  American Electric    
  Power Co. Inc. 60,633 4,212
* United States Cellular    
  Corp. 105,484 4,042
  AES Corp. 342,688 3,807
* Calpine Corp. 201,394 2,725
  Alliant Energy Corp. 66,238 2,661
* Zayo Group Holdings Inc. 69,558 2,149
  NRG Energy Inc. 81,065 1,396
  Entergy Corp. 15,547 1,194
  Public Service Enterprise    
  Group Inc. 10,098 434
  FirstEnergy Corp. 1,092 32
      410,742
Total Common Stocks    
(Cost $3,672,448)   8,162,080
      Market
      Value
    Shares ($000)
Temporary Cash Investments (0.2%)1  
Money Market Fund (0.2%)    
2 Vanguard Market    
  Liquidity Fund,    
  1.181% 118,348 11,837
 
    Face  
    Amount  
    ($000)  
U. S. Government and Agency Obligations (0.0%)
3 United States Treasury Bill,    
  0.982%–0.987%,    
  9/7/17 500 499
3 United States Treasury Bill,    
  0.923%, 9/21/17 300 299
3 United States Treasury Bill,    
  0.978%, 10/5/17 200 200
      998
Total Temporary Cash Investments  
(Cost $12,834)   12,835
Total Investments (100.0%)    
(Cost $3,685,282)   8,174,915
  Amount
  ($000)
Other Assets and Liabilities (0.0%)  
Other Assets  
Investment in Vanguard 536
Receivables for Accrued Income 7,195
Receivables for Capital Shares Issued 1,621
Other Assets 23
Total Other Assets 9,375
Liabilities  
Payables for Investment Securities  
Purchased (18)
Payables for Capital Shares Redeemed (1,548)
Payables to Vanguard (4,370)
Total Liabilities (5,936)
Net Assets (100%) 8,178,354

 

95


 

Tax-Managed Capital Appreciation Fund

At June 30, 2017, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 3,769,861
Overdistributed Net Investment Income (1,462)
Accumulated Net Realized Losses (79,593)
Unrealized Appreciation (Depreciation)  
Investment Securities 4,489,633
Futures Contracts (85)
Net Assets 8,178,354
 
 
Admiral Shares—Net Assets  
Applicable to 60,304,906 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 7,479,518
Net Asset Value Per Share—  
Admiral Shares $124.03
 
 
Institutional Shares—Net Assets  
Applicable to 11,339,045 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 698,836
Net Asset Value Per Share—  
Institutional Shares $61.63

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
3 Securities with a value of $599,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.

96


 

Tax-Managed Capital Appreciation Fund

Statement of Operations

  Six Months Ended
  June30,2017
  ($000)
Investment Income  
Income  
Dividends 69,342
Interest1 81
Total Income 69,423
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 953
Management and Administrative—Admiral Shares 2,092
Management and Administrative—Institutional Shares 110
Marketing and Distribution—Admiral Shares 179
Marketing and Distribution—Institutional Shares 5
Custodian Fees 33
Shareholders’ Reports—Admiral Shares 53
Shareholders’ Reports—Institutional Shares
Trustees’ Fees and Expenses 2
Total Expenses 3,427
Net Investment Income 65,996
Realized Net Gain (Loss)  
Investment Securities Sold1 19,672
Futures Contracts 1,054
Realized Net Gain (Loss) 20,726
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 627,200
Futures Contracts 32
Change in Unrealized Appreciation (Depreciation) 627,232
Net Increase (Decrease) in Net Assets Resulting from Operations 713,954
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $76,000 and ($5,000), respectively.

 

See accompanying Notes, which are an integral part of the Financial Statements.

97


 

Tax-Managed Capital Appreciation Fund

Statement of Changes in Net Assets

  Six Months Ended Year Ended
  June 30, December 31,
  2017 2016
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 65,996 128,460
Realized Net Gain (Loss) 20,726 26,182
Change in Unrealized Appreciation (Depreciation) 627,232 641,610
Net Increase (Decrease) in Net Assets Resulting from Operations 713,954 796,252
Distributions    
Net Investment Income    
Admiral Shares (58,512) (117,677)
Institutional Shares (5,543) (10,981)
Realized Capital Gain    
Admiral Shares
Institutional Shares
Total Distributions (64,055) (128,658)
Capital Share Transactions    
Admiral Shares 90,598 199,321
Institutional Shares 31,959 (7,556)
Net Increase (Decrease) from Capital Share Transactions 122,557 191,765
Total Increase (Decrease) 772,456 859,359
Net Assets    
Beginning of Period 7,405,898 6,546,539
End of Period1 8,178,354 7,405,898
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,462,000) and ($3,403,000).

 

See accompanying Notes, which are an integral part of the Financial Statements.

98


 

Tax-Managed Capital Appreciation Fund

Financial Highlights

Admiral Shares            
Six Months          
  Ended          
For a Share Outstanding June 30, Year Ended December 31,
Throughout Each Period 2017 2016 2015 2014 2013 2012
Net Asset Value, Beginning of Period $114.08 $103.75 $103.82 $93.70 $71.17 $62.36
Investment Operations            
Net Investment Income 1.004 2.004 1.764 1.633 1.414 1.384
Net Realized and Unrealized Gain (Loss)            
on Investments 9.921 10.332 (.082) 10.103 22.537 8.806
Total from Investment Operations 10.925 12.336 1.682 11.736 23.951 10.190
Distributions            
Dividends from Net Investment Income (.975) (2.006) (1.752) (1.616) (1.421) (1.380)
Distributions from Realized Capital Gains
Total Distributions (.975) (2.006) (1.752) (1.616) (1.421) (1.380)
Net Asset Value, End of Period $124.03 $114.08 $103.75 $103.82 $93.70 $71.17
 
Total Return1 9.59% 12.01% 1.68% 12.52% 33.67% 16.35%
 
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $7,480 $6,793 $5,982 $5,760 $5,040 $3,702
Ratio of Total Expenses to            
Average Net Assets 0.09% 0.09% 0.11% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to            
Average Net Assets 1.72% 1.89% 1.69% 1.66% 1.71% 1.96%
Portfolio Turnover Rate 7%2 8%2 10%2 6% 4% 3%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information
about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

See accompanying Notes, which are an integral part of the Financial Statements.

99


 

Tax-Managed Capital Appreciation Fund

Financial Highlights

Institutional Shares            
Six Months          
  Ended          
For a Share Outstanding June 30, Year Ended December 31,
Throughout Each Period 2017 2016 2015 2014 2013 2012
Net Asset Value, Beginning of Period $56.69 $51.55 $51.59 $46.56 $35.36 $30.98
Investment Operations            
Net Investment Income .517 1.011 .897 .830 .719 .702
Net Realized and Unrealized Gain (Loss)            
on Investments 4.916 5.141 (.046) 5.022 11.203 4.379
Total from Investment Operations 5.433 6.152 .851 5.852 11.922 5.081
Distributions            
Dividends from Net Investment Income (. 493) (1.012) (. 891) (. 822) (.722) (.701)
Distributions from Realized Capital Gains
Total Distributions (. 493) (1.012) (. 891) (. 822) (.722) (.701)
Net Asset Value, End of Period $61.63 $56.69 $51.55 $51.59 $46.56 $35.36
 
Total Return 9.60% 12.06% 1.71% 12.56% 33.73% 16.41%
 
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $699 $613 $564 $530 $468 $317
Ratio of Total Expenses to            
Average Net Assets 0.06% 0.06% 0.07% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to            
Average Net Assets 1.75% 1.92% 1.73% 1.70% 1.75% 2.00%
Portfolio Turnover Rate 7%1 8%1 10%1 6% 4% 3%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

See accompanying Notes, which are an integral part of the Financial Statements.

100


 

Tax-Managed Capital Appreciation Fund

Notes to Financial Statements

Vanguard Tax-Managed Capital Appreciation Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Admiral Shares and Institutional Shares. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

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

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearing-house imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the six months ended June 30, 2017, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2013–2016), and for the period ended June 30, 2017, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

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Tax-Managed Capital Appreciation Fund

4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at June 30, 2017, or at any time during the period then ended.

6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2017, the fund had contributed to Vanguard capital in the amount of $536,000, representing 0.01% of the fund’s net assets and 0.21% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

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.

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Tax-Managed Capital Appreciation Fund

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

The following table summarizes the market value of the fund’s investments as of June 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 8,162,080
Temporary Cash Investments 11,837 998
Futures Contracts—Assets1 5
Total 8,173,922 998
1 Represents variation margin on the last day of the reporting period.      

 

D. At June 30, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
E-mini S&P 500 Index September 2017 120 14,525 (85)

 

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

E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.

During the six months ended June 30, 2017, the fund realized $31,566,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

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Tax-Managed Capital Appreciation Fund

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2016, the fund had available capital losses totaling $68,870,000 to offset future net capital gains. Of this amount, $8,140,000 is subject to expiration on December 31, 2018. Capital losses of $60,730,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

At June 30, 2017, the cost of investment securities for tax purposes was $3,685,282,000. Net unrealized appreciation of investment securities for tax purposes was $4,489,633,000, consisting of unrealized gains of $4,492,165,000 on securities that had risen in value since their purchase and $2,532,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the six months ended June 30, 2017, the fund purchased $464,006,000 of investment securities and sold $326,186,000 of investment securities, other than temporary cash investments. Sales include $55,619,000 in connection with in-kind redemptions of the fund’s capital shares.

G. Capital share transactions for each class of shares were:

  Six Months Ended Year Ended
  June 30, 2017 December 31, 2016
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Admiral Shares        
Issued 311,817 2,581 503,273 4,783
Issued in Lieu of Cash Distributions 43,354 355 88,011 814
Redeemed (264,573) (2,181) (391,963) (3,706)
Net Increase (Decrease)—Admiral Shares 90,598 755 199,321 1,891
Institutional Shares        
Issued 34,655 577 7,423 137
Issued in Lieu of Cash Distributions 3,332 55 6,211 116
Redeemed (6,028) (100) (21,190) (391)
Net Increase (Decrease)—Institutional Shares 31,959 532 (7,556) (138)

 

H. Management has determined that no material events or transactions occurred subsequent to June 30, 2017, that would require recognition or disclosure in these financial statements.

104


 

Tax-Managed Small-Cap Fund

Fund Profile
As of June 30, 2017

Share-Class Characteristics    
  Admiral Institutional
  Shares Shares
Ticker Symbol VTMSX VTSIX
Expense Ratio1 0.09% 0.06%
30-Day SEC Yield 1.28% 1.31%

 

Portfolio Characteristics    
      DJ
      U.S.
      Total
    S&P Market
    SmallCap FA
  Fund 600 Index  Index
Number of Stocks 594 601 3,800
Median Market Cap $1.7B $1.6B $59.8B
Price/Earnings Ratio 23.4x 23.5x 21.2x
Price/Book Ratio 2.2x 2.1x 2.9x
Return on Equity 9.5% 9.4% 16.3%
Earnings Growth Rate 7.8% 8.2% 10.0%
Dividend Yield 1.2% 1.3% 1.8%
Foreign Holdings 0.0% 0.0% 0.0%
Turnover Rate      
(Annualized) 42%
Short-Term Reserves 0.2%

 

Sector Diversification (% of equity exposure)
      DJ
    S&P U.S. Total
    SmallCap Market
  Fund 600 Index FA Index
Consumer Discretionary  15.9% 15.8% 12.7%
Consumer Staples 3.0 3.0 8.0
Energy 2.7 2.8 5.6
Financials 16.4 16.4 15.0
Health Care 12.6 12.7 14.0
Industrials 19.0 19.0 10.8
Information Technology 14.5 14.5 21.4
Materials 5.3 5.2 3.3
Real Estate 6.8 6.8 4.1
Telecommunication      
Services 1.0 1.0 1.9
Utilities 2.8 2.8 3.2

 

Volatility Measures    
    DJ
  S&P U.S. Total
  SmallCap Market
  600 Index FA Index
R-Squared 1.00 0.68
Beta 0.99 1.12
These measures show the degree and timing of the fund’s
fluctuations compared with the indexes over 36 months.

 

Ten Largest Holdings (% of total net assets)
MKS Instruments Inc. Semiconductor  
  Equipment 0.5%
Spire Inc. Gas Utilities 0.5
ALLETE Inc. Electric Utilities 0.5
Healthcare Services Diversified Support  
Group Inc. Services 0.5
Chemed Corp. Health Care Services 0.4
Lumentum Holdings Inc. Communications  
  Equipment 0.4
ProAssurance Corp. Property & Casualty  
  Insurance 0.4
Integra LifeSciences Health Care  
Holdings Corp. Equipment 0.4
Sterling Bancorp Regional Banks 0.4
Nektar Therapeutics Pharmaceuticals 0.4
Top Ten   4.4%
The holdings listed exclude any temporary cash investments and
equity index products.    

 

Investment Focus

1 The expense ratios shown are from the prospectus dated April 26, 2017, and represent estimated costs for the current fiscal year. For
the six months ended June 30, 2017, the annualized expense ratios were 0.09% for Admiral Shares and 0.06% for Institutional Shares.

105


 

Tax-Managed Small-Cap Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Fiscal-Year Total Returns (%): December 31, 2006, Through June 30, 2017


Note: For 2017, performance data reflect the six months ended June 30, 2017.

Average Annual Total Returns: Periods Ended June 30, 2017    
  Inception Date One Year Five Years Ten Years
Admiral Shares 3/25/1999 21.97% 15.33% 8.48%
Institutional Shares 4/21/1999 21.99 15.37 8.53

 

See Financial Highlights for dividend and capital gains information.

106


 

Tax-Managed Small-Cap Fund

Financial Statements (unaudited)

Statement of Net Assets
As of June 30, 2017

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

        Market
        Value
      Shares ($000)
Common Stocks (99.5%)1    
Consumer Discretionary (15.8%)  
  Marriott Vacations      
  Worldwide Corp.   174,974 20,603
  Wolverine World Wide Inc.  728,871 20,416
  ILG Inc.   729,222 20,046
* Five Below Inc.   404,870 19,988
* RH   290,190 18,723
  LCI Industries   176,652 18,089
* Dorman Products Inc. 217,572 18,008
* Dave & Buster’s      
  Entertainment Inc.   269,089 17,897
  Lithia Motors Inc. Class A 180,003 16,962
* iRobot Corp.   196,575 16,540
* Steven Madden Ltd.   395,565 15,803
* Ollie’s Bargain Outlet    
  Holdings Inc.   370,545 15,785
  Boyd Gaming Corp.   593,831 14,733
* TopBuild Corp.   264,240 14,023
  Children’s Place Inc.   134,968 13,780
* Penn National Gaming Inc. 617,228 13,209
* Cooper-Standard      
  Holdings Inc.   126,681 12,778
* Select Comfort Corp. 350,382 12,435
  La-Z-Boy Inc.   361,759 11,757
* Meritage Homes Corp. 275,718 11,635
* Shutterfly Inc.   241,862 11,488
  Nutrisystem Inc.   218,768 11,387
* JC Penney Co. Inc. 2,434,462 11,320
  Core-Mark Holding      
  Co. Inc.   333,793 11,035
* Scientific Games Corp.    
  Class A   411,593 10,743
  Time Inc.   734,334 10,538
  Bob Evans Farms Inc. 143,978 10,342
  MDC Holdings Inc.   292,210 10,324
  Group 1 Automotive Inc. 161,842 10,248
* Gentherm Inc.   261,385 10,142
  Monro Muffler Brake Inc. 234,934 9,809
* American Axle &    
  Manufacturing    
  Holdings Inc. 626,450 9,773
* Vista Outdoor Inc. 409,568 9,219
  Caleres Inc. 322,782 8,967
  DSW Inc. Class A 503,081 8,905
* Fox Factory Holding Corp. 245,133 8,727
* Asbury Automotive    
  Group Inc. 153,953 8,706
  Sonic Corp. 328,201 8,694
  Callaway Golf Co. 661,147 8,449
  Scholastic Corp. 190,593 8,308
* G-III Apparel Group Ltd. 331,275 8,265
  Standard Motor    
  Products Inc. 156,350 8,165
  Sturm Ruger & Co. Inc. 130,655 8,120
* Cavco Industries Inc. 60,823 7,886
* Belmond Ltd. Class A 581,786 7,738
* Installed Building    
  Products Inc. 141,717 7,504
  Gannett Co. Inc. 854,742 7,453
  PetMed Express Inc. 181,348 7,363
  Oxford Industries Inc. 117,603 7,349
  Capella Education Co. 84,671 7,248
* EW Scripps Co. Class A 406,736 7,244
  Strayer Education Inc. 77,662 7,240
  Winnebago Industries Inc. 206,834 7,239
* Universal Electronics Inc. 107,098 7,160
  Abercrombie & Fitch Co. 572,010 7,116
  Wingstop Inc. 209,425 6,471
* Red Robin Gourmet    
  Burgers Inc. 98,740 6,443
  Guess? Inc. 489,841 6,260
  Ethan Allen Interiors Inc. 191,137 6,174
* M/I Homes Inc. 205,053 5,854
  World Wrestling    
  Entertainment Inc.    
  Class A 281,632 5,737

 

107


 

Tax-Managed Small-Cap Fund

      Market
      Value
    Shares ($000)
* Lumber Liquidators    
  Holdings Inc. 215,501 5,400
  New Media Investment    
  Group Inc. 398,127 5,367
  Marcus Corp. 177,651 5,365
  Ruth’s Hospitality    
  Group Inc. 245,939 5,349
  Sonic Automotive Inc.    
  Class A 267,328 5,200
* BJ’s Restaurants Inc. 138,159 5,146
* LGI Homes Inc. 127,819 5,136
  Tile Shop Holdings Inc. 245,385 5,067
* William Lyon Homes    
  Class A 203,249 4,906
  Finish Line Inc. Class A 335,357 4,752
  Rent-A-Center Inc. 402,203 4,714
* Career Education Corp. 488,368 4,688
  Buckle Inc. 261,328 4,652
* Shake Shack Inc. Class A 126,272 4,404
* Unifi Inc. 139,465 4,296
* Crocs Inc. 556,605 4,291
  DineEquity Inc. 97,203 4,282
  Tailored Brands Inc. 381,374 4,256
* Nautilus Inc. 220,971 4,232
* Fiesta Restaurant    
  Group Inc. 198,911 4,108
* Motorcar Parts of    
  America Inc. 142,405 4,022
  Haverty Furniture    
  Cos. Inc. 154,586 3,880
  Cato Corp. Class A 211,618 3,722
* MarineMax Inc. 190,387 3,722
  Superior Industries    
  International Inc. 180,756 3,715
  Movado Group Inc. 146,908 3,709
* Hibbett Sports Inc. 175,343 3,638
* Barnes & Noble    
  Education Inc. 340,096 3,615
  Barnes & Noble Inc. 471,927 3,587
* Iconix Brand Group Inc. 496,908 3,434
* Francesca’s Holdings Corp. 312,626  3,420
* Biglari Holdings Inc. 8,553 3,419
* Genesco Inc. 97,474 3,304
* Chuy’s Holdings Inc. 134,505 3,147
* American Public    
  Education Inc. 124,435 2,943
* Monarch Casino &    
  Resort Inc. 96,303 2,913
* FTD Cos. Inc. 131,507 2,630
* Zumiez Inc. 211,817 2,616
* Ascena Retail Group Inc. 1,182,607  2,543
* El Pollo Loco Holdings Inc. 171,895 2,381
* Perry Ellis International Inc. 121,093 2,357
  Big 5 Sporting Goods Corp. 155,557 2,030
  Fred’s Inc. Class A 189,290 1,747
* Vera Bradley Inc. 175,282 1,714
  Shoe Carnival Inc. 61,647 1,287
* Ruby Tuesday Inc. 481,161 967
* Regis Corp. 75,926 780
* Kirkland’s Inc. 47,397 487
  Stein Mart Inc. 39,890 67
      843,770
Consumer Staples (3.0%)    
* Darling Ingredients Inc. 1,206,816 18,995
  B&G Foods Inc. 485,796 17,294
  Sanderson Farms Inc. 144,198 16,677
  J&J Snack Foods Corp. 105,169 13,890
  Universal Corp. 186,365 12,058
  WD-40 Co. 96,174 10,613
* Cal-Maine Foods Inc. 213,454 8,453
  Coca-Cola Bottling Co.    
  Consolidated 34,536 7,904
  Calavo Growers Inc. 114,313 7,893
* Central Garden & Pet    
  Co. Class A 248,378 7,456
  SpartanNash Co. 282,814 7,342
* SUPERVALU Inc. 2,058,779 6,773
  Andersons Inc. 195,611 6,680
  Inter Parfums Inc. 113,588 4,163
  John B Sanfilippo &    
  Son Inc. 60,553 3,822
  Medifast Inc. 78,063 3,237
* Central Garden & Pet Co. 77,409 2,461
* Seneca Foods Corp.    
  Class A 56,271 1,747
      157,458
Energy (2.7%)    
  US Silica Holdings Inc. 548,173 19,455
* PDC Energy Inc. 422,901 18,231
* McDermott    
  International Inc. 2,143,048 15,366
* SRC Energy Inc. 1,567,275 10,548
  Noble Corp. plc 2,071,426 7,499
* Unit Corp. 329,810 6,177
* Exterran Corp. 228,069 6,089
  Archrock Inc. 533,677 6,084
* Helix Energy Solutions    
  Group Inc. 1,036,903 5,848
* Denbury Resources Inc. 3,633,270 5,559
  Green Plains Inc. 266,267 5,472
* Atwood Oceanics Inc. 634,600 5,172
* Newpark Resources Inc. 664,966 4,887
* REX American    
  Resources Corp. 50,561 4,882
* SEACOR Holdings Inc. 130,506 4,476
* TETRA Technologies Inc.  1,198,418 3,344
* Bill Barrett Corp. 648,357 1,990
* Cloud Peak Energy Inc. 525,564 1,855

 

108


 

Tax-Managed Small-Cap Fund

      Market
      Value
    Shares ($000)
* Geospace Technologies    
  Corp. 133,375 1,845
* Matrix Service Co. 192,439 1,799
* Contango Oil & Gas Co. 238,794 1,586
  Gulf Island Fabrication Inc. 135,341 1,570
* Era Group Inc. 165,285 1,564
* CARBO Ceramics Inc. 187,863 1,287
* Pioneer Energy Services    
  Corp. 535,616 1,098
* Carrizo Oil & Gas Inc. 45,251 788
* Northern Oil and Gas Inc. 362,657 508
      144,979
Financials (16.3%)    
  ProAssurance Corp. 385,834 23,459
  Sterling Bancorp 966,391 22,469
  Selective Insurance    
  Group Inc. 430,399 21,541
  First Financial    
  Bankshares Inc. 481,277 21,272
  FirstCash Inc. 363,219 21,176
  Evercore Partners Inc.    
  Class A 294,004 20,727
  Glacier Bancorp Inc. 547,823 20,056
  Community Bank    
  System Inc. 351,287 19,591
  Interactive Brokers    
  Group Inc. 498,851 18,667
  Great Western    
  Bancorp Inc. 427,853 17,461
  American Equity    
  Investment Life    
  Holding Co. 656,598 17,255
  Hope Bancorp Inc. 916,057 17,084
  Columbia Banking    
  System Inc. 420,096 16,741
  CVB Financial Corp. 737,256 16,537
  Old National Bancorp 945,452 16,309
  RLI Corp. 287,102 15,681
  Financial Engines Inc. 427,128 15,633
  United Community    
  Banks Inc. 515,809 14,339
  Astoria Financial Corp. 683,984 13,782
* PRA Group Inc. 354,954 13,453
  Independent Bank Corp. 199,956 13,327
* Green Dot Corp. Class A 341,632 13,163
  First Midwest Bancorp Inc. 560,583 13,067
  Ameris Bancorp 267,608 12,899
  First Financial Bancorp 453,355 12,558
  NBT Bancorp Inc. 334,657 12,366
  Apollo Commercial Real    
  Estate Finance Inc. 663,690 12,311
  ServisFirst Bancshares Inc. 329,769 12,165
  LegacyTexas Financial    
  Group Inc. 316,120 12,054
  Horace Mann Educators    
  Corp.   302,175 11,422
  Simmons First National    
  Corp. Class A   215,817 11,417
  Northwest Bancshares Inc. 703,926 10,988
  Employers Holdings Inc. 258,342 10,928
  Provident Financial      
  Services Inc.   429,816 10,909
  Waddell & Reed      
  Financial Inc. Class A 576,569 10,886
  Westamerica      
  Bancorporation   193,993 10,871
  Banner Corp.   190,572 10,769
* Walker & Dunlop Inc. 213,829 10,441
  Navigators Group Inc. 187,187 10,277
  City Holding Co.   150,182 9,892
  Boston Private Financial    
  Holdings Inc.   622,079 9,549
* LendingTree Inc.   54,405 9,369
  S&T Bancorp Inc.   259,656 9,311
* BofI Holding Inc.   377,728 8,960
  WisdomTree      
  Investments Inc.   877,545 8,925
  AMERISAFE Inc.   151,093 8,605
  Brookline Bancorp Inc. 581,551 8,491
  First Commonwealth      
  Financial Corp.   664,302 8,423
  Stewart Information      
  Services Corp.   181,341 8,229
  Infinity Property &      
  Casualty Corp.   86,139 8,097
  Banc of California Inc. 372,231 8,003
  Central Pacific Financial    
  Corp.   253,792 7,987
* Encore Capital Group Inc. 190,270 7,639
  Southside Bancshares Inc. 217,506 7,600
  Safety Insurance Group Inc. 110,998 7,581
  United Fire Group Inc. 171,693 7,565
  Tompkins Financial Corp. 93,856 7,388
* First BanCorp 1,196,523 6,928
  Hanmi Financial Corp. 243,503 6,928
  National Bank Holdings    
  Corp. Class A   203,896 6,751
  Piper Jaffray Cos.   110,908 6,649
  Universal Insurance      
  Holdings Inc.   259,572 6,541
  TrustCo Bank Corp. NY 804,862 6,238
  Northfield Bancorp Inc. 340,280 5,836
  Virtus Investment      
  Partners Inc.   51,890 5,757
* Customers Bancorp Inc. 201,961 5,711
* HomeStreet Inc.   201,896 5,587
  Investment Technology    
  Group Inc.   257,745 5,474

 

109


 

Tax-Managed Small-Cap Fund

      Market
      Value
    Shares ($000)
  Oritani Financial Corp. 314,113 5,356
  Dime Community    
  Bancshares Inc. 269,474 5,282
* Donnelley Financial    
  Solutions Inc. 214,019 4,914
  Bank Mutual Corp. 529,181 4,842
  OFG Bancorp 479,271 4,793
* INTL. FCStone Inc. 125,603 4,743
* World Acceptance Corp. 57,958 4,342
  Fidelity Southern Corp. 189,698 4,336
  HCI Group Inc. 82,042 3,854
  Maiden Holdings Ltd. 328,398 3,645
* Enova International Inc. 237,000 3,519
  Opus Bank 135,800 3,286
* eHealth Inc. 165,560 3,113
* EZCORP Inc. Class A 368,411 2,837
  Capstead Mortgage Corp. 244,634 2,552
  Greenhill & Co. Inc. 102,160 2,053
  United Insurance    
  Holdings Corp. 123,375 1,941
      871,473
Health Care (12.5%)    
  Chemed Corp. 116,451 23,818
* Integra LifeSciences    
  Holdings Corp. 420,770 22,936
* Nektar Therapeutics    
  Class A 1,137,949 22,247
  Cantel Medical Corp. 259,184 20,193
* Medicines Co. 527,950 20,067
* Neogen Corp. 270,054 18,663
* ICU Medical Inc. 107,540 18,551
* Ligand Pharmaceuticals Inc. 141,062  17,125
* HealthEquity Inc. 325,975 16,243
* Supernus    
  Pharmaceuticals Inc. 372,481 16,054
* Haemonetics Corp. 373,060 14,732
* Cambrex Corp. 233,101 13,928
* Merit Medical Systems Inc. 363,209  13,856
* AMN Healthcare    
  Services Inc. 351,410 13,723
* Myriad Genetics Inc. 510,723 13,197
* Magellan Health Inc. 175,102 12,765
* Amedisys Inc. 202,479 12,718
* Select Medical    
  Holdings Corp. 813,232 12,483
* Omnicell Inc. 271,954 11,721
* Repligen Corp. 281,543 11,667
* HMS Holdings Corp. 615,948 11,395
* MiMedx Group Inc. 760,243 11,381
* Inogen Inc. 116,738 11,139
* Tivity Health Inc. 251,613 10,027
  CONMED Corp. 184,141 9,380
* Varex Imaging Corp. 275,254 9,304
* Emergent BioSolutions Inc. 268,369  9,100
* Natus Medical Inc. 241,228 8,998
* Integer Holdings Corp. 207,675 8,982
* Impax Laboratories Inc. 553,056 8,904
* Community Health    
  Systems Inc. 871,500 8,680
  Abaxis Inc. 162,970 8,641
  Ensign Group Inc. 383,524 8,349
* Momenta    
  Pharmaceuticals Inc. 482,637 8,157
* Innoviva Inc. 612,293 7,837
  Kindred Healthcare Inc. 667,444 7,776
* LHC Group Inc. 110,670 7,513
* OraSure Technologies Inc. 417,918 7,213
* BioTelemetry Inc. 210,254 7,033
  Analogic Corp. 93,991 6,828
* Almost Family Inc. 103,762 6,397
  Phibro Animal Health    
  Corp. Class A 171,017 6,336
* Orthofix International NV 132,382 6,153
* PharMerica Corp. 233,759 6,136
  US Physical Therapy Inc. 99,950 6,037
  Luminex Corp. 283,713 5,992
* Quality Systems Inc. 347,039 5,973
* Providence Service Corp. 109,851 5,560
* Acorda Therapeutics Inc. 279,474 5,506
* Anika Therapeutics Inc. 111,315 5,492
* HealthStream Inc. 192,580 5,069
* Diplomat Pharmacy Inc. 335,059 4,959
* Amphastar    
  Pharmaceuticals Inc. 269,893 4,820
* Heska Corp. 46,578 4,754
* SciClone    
  Pharmaceuticals Inc. 425,091 4,676
* Spectrum    
  Pharmaceuticals Inc. 624,093 4,650
* Eagle Pharmaceuticals Inc. 58,808 4,639
* Enanta Pharmaceuticals Inc.  128,706 4,631
* Lannett Co. Inc. 224,373 4,577
  Meridian Bioscience Inc. 289,879 4,566
* Cytokinetics Inc. 377,274 4,565
* CorVel Corp. 90,653 4,301
* CryoLife Inc. 215,427 4,298
* AngioDynamics Inc. 260,451 4,222
  Landauer Inc. 74,796 3,912
* Lantheus Holdings Inc. 221,023 3,901
* Albany Molecular    
  Research Inc. 178,668 3,877
  Invacare Corp. 268,883 3,549
* Surmodics Inc. 119,784 3,372
* Cross Country    
  Healthcare Inc. 242,785 3,134
  Computer Programs    
  & Systems Inc. 94,712 3,107
* Depomed Inc. 276,495 2,970

 

110


 

Tax-Managed Small-Cap Fund

      Market
      Value
    Shares ($000)
* ANI Pharmaceuticals Inc. 61,863 2,895
  Aceto Corp. 168,135 2,598
  LeMaitre Vascular Inc. 81,133 2,533
* Sucampo Pharmaceuticals    
  Inc. Class A 221,637 2,327
* Quorum Health Corp. 319,990 1,328
      667,136
Industrials (19.0%)    
  Healthcare Services    
  Group Inc. 523,591 24,520
  John Bean Technologies    
  Corp. 226,155 22,163
  Brink’s Co. 328,386 22,002
  Barnes Group Inc. 349,484 20,455
* WageWorks Inc. 287,573 19,325
* On Assignment Inc. 353,022 19,116
  Tetra Tech Inc. 415,762 19,021
* Hawaiian Holdings Inc. 387,367 18,187
  Knight Transportation Inc. 477,757 17,701
  ABM Industries Inc. 404,236 16,784
* Moog Inc. Class A 231,558 16,607
  Hillenbrand Inc. 454,930 16,423
  Applied Industrial    
  Technologies Inc. 277,532 16,388
  UniFirst Corp. 111,980 15,756
* Mercury Systems Inc. 350,071 14,734
  Matthews International    
  Corp. Class A 235,918 14,450
* Trex Co. Inc. 213,296 14,432
  Korn/Ferry International 417,711 14,424
  SkyWest Inc. 386,320 13,560
  Allegiant Travel Co.    
  Class A 95,860 12,999
  Universal Forest    
  Products Inc. 148,502 12,966
  Simpson Manufacturing    
  Co. Inc. 288,372 12,605
  Mueller Industries Inc. 411,399 12,527
  Watts Water Technologies    
  Inc. Class A 195,478 12,354
* Proto Labs Inc. 181,063 12,176
* SPX FLOW Inc. 329,848 12,165
  Apogee Enterprises Inc. 213,942 12,160
  Triumph Group Inc. 373,830 11,813
  Forward Air Corp. 221,626 11,808
  Brady Corp. Class A 347,986 11,797
* Aerojet Rocketdyne    
  Holdings Inc. 553,294 11,508
  Franklin Electric Co. Inc. 276,256 11,437
  ESCO Technologies Inc. 188,962 11,272
  EnPro Industries Inc. 157,206 11,220
  Actuant Corp. Class A 444,653 10,938
  Albany International Corp. 201,429 10,756
  Mobile Mini Inc. 357,723 10,678
  Exponent Inc. 182,909 10,664
  Greenbrier Cos. Inc. 229,631 10,620
  AAON Inc. 287,762 10,604
  AZZ Inc. 185,513 10,352
  Kaman Corp. 199,893 9,969
  Comfort Systems USA Inc. 267,531 9,925
* American Woodmark Corp. 103,869 9,925
  Wabash National Corp. 451,137 9,916
* Atlas Air Worldwide    
  Holdings Inc. 189,161 9,865
  Matson Inc. 325,221 9,770
* Harsco Corp. 602,170 9,695
  Interface Inc. Class A 491,991 9,668
* Axon Enterprise Inc. 382,459 9,615
  Insperity Inc. 134,722 9,565
* Saia Inc. 182,012 9,337
* Hub Group Inc. Class A 241,165 9,249
  Tennant Co. 124,983 9,224
  Raven Industries Inc. 271,237 9,032
  Viad Corp. 183,879 8,688
* Patrick Industries Inc. 118,951 8,666
  Cubic Corp. 184,288 8,532
* SPX Corp. 338,351 8,513
* Chart Industries Inc. 244,760 8,500
  Standex International Corp. 92,437 8,384
* Gibraltar Industries Inc. 233,177 8,313
  US Ecology Inc. 164,454 8,305
* TrueBlue Inc. 310,517 8,229
  AAR Corp. 234,265 8,143
  Multi-Color Corp. 98,963 8,075
  Briggs & Stratton Corp. 321,221 7,741
  Federal Signal Corp. 445,882 7,740
  Astec Industries Inc. 137,755 7,647
  Heartland Express Inc. 365,231 7,604
  CIRCOR International Inc. 122,897 7,298
* Navigant Consulting Inc. 352,899 6,973
  Lindsay Corp. 76,805 6,855
  RR Donnelley & Sons Co. 541,439 6,790
* Lydall Inc. 125,917 6,510
  General Cable Corp. 396,999 6,491
  Encore Wire Corp. 151,048 6,450
  Alamo Group Inc. 70,110 6,367
* Aerovironment Inc. 164,284 6,276
* Aegion Corp. Class A 283,628 6,206
* Team Inc. 246,845 5,788
  Quanex Building Products    
  Corp. 271,749 5,747
  Griffon Corp. 258,965 5,684
  Kelly Services Inc. Class A 236,727 5,314
  LSC Communications Inc. 245,445 5,252
* PGT Innovations Inc. 394,769 5,053
  Marten Transport Ltd. 172,383 4,723
  Essendant Inc. 313,456 4,649
  Insteel Industries Inc. 133,203 4,392

 

111


 

Tax-Managed Small-Cap Fund

        Market
        Value
      Shares ($000)
  Titan International Inc. 362,758 4,357
* Echo Global Logistics Inc. 217,669 4,332
  National Presto Industries    
  Inc.   38,946 4,303
* Engility Holdings Inc. 145,143 4,122
* DXP Enterprises Inc.   114,187 3,939
* Veritiv Corp.   87,294 3,928
* MYR Group Inc.   124,362 3,858
  Heidrick & Struggles      
  International Inc.   170,475 3,708
  ArcBest Corp.   173,982 3,584
  Resources Connection Inc. 234,374 3,211
  Powell Industries Inc. 72,449 2,318
* Vicor Corp.   129,282 2,314
* Orion Group Holdings Inc. 276,385 2,065
* Roadrunner Transportation    
  Systems Inc.   274,978 1,999
* CDI Corp.   145,288 850
        1,011,008
Information Technology (14.4%)  
  MKS Instruments Inc. 387,786 26,098
* Lumentum Holdings Inc. 413,077 23,566
* CACI International Inc.    
  Class A   174,448 21,815
* Sanmina Corp.   537,226 20,468
* Stamps.com Inc.   119,964 18,579
* Advanced Energy      
  Industries Inc.   278,122 17,992
* Viavi Solutions Inc. 1,673,397 17,621
* Semtech Corp.   472,520 16,893
  TiVo Corp.   884,492 16,496
* Electronics For      
  Imaging Inc.   345,454 16,368
* Itron Inc.   239,174 16,204
* Anixter International Inc. 206,744 16,167
  Power Integrations Inc. 211,143 15,392
* Rogers Corp.   132,524 14,395
* II-VI Inc.   401,212 13,762
* MicroStrategy Inc. Class A 71,515 13,707
  Cabot Microelectronics    
  Corp.   183,581 13,554
* ExlService Holdings Inc. 233,080 12,955
* Plexus Corp.   232,551 12,225
* Fabrinet   281,137 11,993
* Benchmark Electronics Inc. 352,354 11,381
  Brooks Automation Inc. 514,581 11,161
  Methode Electronics Inc. 270,755 11,155
* Cardtronics plc Class A 331,491 10,893
* TTM Technologies Inc. 625,881 10,865
  Progress Software Corp. 350,985 10,842
  Xperi Corp.   356,088 10,611
* Insight Enterprises Inc. 260,792 10,429
* Veeco Instruments Inc. 368,550 10,264
* NETGEAR Inc.   237,219 10,224
* 8x8 Inc. 702,045 10,215
* OSI Systems Inc. 131,802 9,905
* Kulicke & Soffa Industries    
  Inc. 515,873 9,812
  CSG Systems    
  International Inc. 237,837 9,651
  Ebix Inc. 177,487 9,567
* MaxLinear Inc. 340,776 9,504
* Sykes Enterprises Inc. 280,025 9,389
* Rambus Inc. 806,159 9,214
* Gigamon Inc. 226,909 8,929
* Oclaro Inc. 947,700 8,852
  Badger Meter Inc. 220,246 8,777
* Qualys Inc. 212,638 8,676
  NIC Inc. 448,588 8,501
* Applied Optoelectronics    
  Inc. 129,222 7,985
* SPS Commerce Inc. 124,824 7,959
* ePlus Inc. 102,772 7,615
  ManTech International    
  Corp. Class A 183,277 7,584
* ScanSource Inc. 185,726 7,485
* Bottomline Technologies    
  de Inc. 284,580 7,311
  ADTRAN Inc. 347,872 7,184
* CEVA Inc. 156,954 7,134
* Diodes Inc. 286,802 6,892
* Super Micro Computer Inc. 274,063 6,756
  MTS Systems Corp. 122,978 6,370
* Blucora Inc. 286,319 6,070
* Virtusa Corp. 205,633 6,046
* Shutterstock Inc. 136,967 6,037
  Monotype Imaging    
  Holdings Inc. 328,891 6,019
* CalAmp Corp. 286,244 5,819
* FARO Technologies Inc. 145,315 5,493
  CTS Corp. 251,453 5,431
* Rudolph Technologies Inc. 234,237 5,352
* Cray Inc. 290,425 5,344
* Perficient Inc. 277,863 5,179
* Nanometrics Inc. 200,568 5,072
* LivePerson Inc. 435,531 4,791
  TeleTech Holdings Inc. 110,849 4,523
  Blackbaud Inc. 51,702 4,433
  Comtech    
  Telecommunications    
  Corp. 223,230 4,235
  Cohu Inc. 265,323 4,176
* XO Group Inc. 208,247 3,669
* VASCO Data Security    
  International Inc. 252,646 3,625
  Park Electrochemical Corp. 181,506 3,343
* Harmonic Inc. 625,242 3,283
  Forrester Research Inc. 80,637 3,157

 

112


 

Tax-Managed Small-Cap Fund

      Market
      Value
    Shares ($000)
  Daktronics Inc. 315,020 3,034
* DSP Group Inc. 222,772 2,584
* Electro Scientific    
  Industries Inc. 291,090 2,399
* Digi International Inc. 216,417 2,197
* Agilysys Inc. 199,650 2,020
* Kopin Corp. 531,825 1,973
  Bel Fuse Inc. Class B 77,055 1,903
* Liquidity Services Inc. 230,737 1,465
* DHI Group Inc. 363,499 1,036
* QuinStreet Inc. 230,197 960
  Black Box Corp. 59,919 512
      766,522
Materials (5.3%)    
  HB Fuller Co. 359,618 18,380
  Balchem Corp. 229,727 17,852
* Ingevity Corp. 305,744 17,550
* AK Steel Holding Corp. 2,330,456 15,311
  Quaker Chemical Corp. 96,888 14,071
  KapStone Paper and    
  Packaging Corp. 651,326 13,437
  Stepan Co. 141,908 12,366
  Innospec Inc. 171,114 11,217
  Kaiser Aluminum Corp. 126,150 11,167
  Neenah Paper Inc. 125,600 10,079
* Boise Cascade Co. 296,719 9,020
  Schweitzer-Mauduit    
  International Inc. 233,517 8,694
* US Concrete Inc. 104,543 8,212
* Kraton Corp. 234,038 8,060
* Century Aluminum Co. 470,516 7,331
* AdvanSix Inc. 226,694 7,082
  A Schulman Inc. 217,891 6,973
  PH Glatfelter Co. 335,240 6,551
* Koppers Holdings Inc. 173,036 6,255
  Deltic Timber Corp. 82,157 6,134
  Innophos Holdings Inc. 139,461 6,114
* Clearwater Paper Corp. 129,222 6,041
  Calgon Carbon Corp. 399,702 6,035
* SunCoke Energy Inc. 484,588 5,282
  Rayonier Advanced    
  Materials Inc. 333,551 5,243
  Materion Corp. 137,064 5,126
* TimkenSteel Corp. 301,051 4,627
* Flotek Industries Inc. 439,270 3,927
  Hawkins Inc. 81,446 3,775
  American Vanguard Corp. 206,860 3,568
  Haynes International Inc. 95,911 3,483
  Myers Industries Inc. 184,405 3,310
  Tredegar Corp. 203,090 3,097
  FutureFuel Corp. 190,326 2,872
  Olympic Steel Inc. 103,354 2,013
* LSB Industries Inc. 185,444 1,916
      282,171
Other (3.3%)    
2 Vanguard REIT ETF 2,100,000 174,783
* Gerber Scientific Inc. CVR 110,699
      174,783
Real Estate (3.5%)    
  CoreSite Realty Corp. 199,783 20,683
  DiamondRock Hospitality    
  Co. 1,025,682 11,231
  EastGroup Properties Inc. 133,506 11,188
  PS Business Parks Inc. 70,631 9,351
  HFF Inc. Class A 254,117 8,836
  Summit Hotel Properties    
  Inc. 461,273 8,603
  Sabra Health Care REIT    
  Inc. 345,300 8,322
  Lexington Realty Trust 779,396 7,724
  CBL & Associates    
  Properties Inc. 876,636 7,390
  RE/MAX Holdings    
  Inc. Class A 125,449 7,031
  Government Properties    
  Income Trust 367,671 6,732
  Retail Opportunity    
  Investments Corp. 339,336 6,512
  LTC Properties Inc. 112,403 5,776
  Four Corners Property    
  Trust Inc. 224,248 5,631
  Acadia Realty Trust 199,397 5,543
  Parkway Inc. 225,117 5,153
  CareTrust REIT Inc. 237,800 4,409
  American Assets Trust Inc.  111,463 4,390
  Agree Realty Corp. 94,290 4,325
* Forestar Group Inc. 234,190 4,016
  National Storage    
  Affiliates Trust 168,740 3,900
  Universal Health Realty    
  Income Trust 44,447 3,535
  Ramco-Gershenson    
  Properties Trust 274,046 3,535
  Pennsylvania REIT 281,298 3,184
  Chesapeake Lodging Trust  123,320 3,018
  Chatham Lodging Trust 145,791 2,929
  Franklin Street    
  Properties Corp. 233,366 2,586
  Saul Centers Inc. 42,134 2,443
  Getty Realty Corp. 83,857 2,105
  Kite Realty Group Trust 106,712 2,020
  Urstadt Biddle Properties    
  Inc. Class A 73,615 1,458
  Hersha Hospitality Trust    
  Class A 75,899 1,405
  Cedar Realty Trust Inc. 160,116 776
  Independence Realty    
  Trust Inc. 21,252 210
      185,950

 

113


 

Tax-Managed Small-Cap Fund

      Market
      Value
    Shares ($000)
Telecommunication Services (1.0%)  
  Cogent Communications    
  Holdings Inc. 297,662 11,936
  Consolidated    
  Communications    
  Holdings Inc. 382,988 8,223
* General Communication    
  Inc. Class A 214,331 7,853
* Iridium Communications    
  Inc. 635,477 7,022
  Cincinnati Bell Inc. 339,898 6,645
  ATN International Inc. 79,628 5,450
* Lumos Networks Corp. 194,752 3,480
  Spok Holdings Inc. 177,933 3,149
      53,758
Utilities (2.7%)    
  Spire Inc. 367,964 25,666
  ALLETE Inc. 349,333 25,040
  Avista Corp. 461,513 19,596
  South Jersey Industries Inc. 571,550 19,530
  El Paso Electric Co. 307,167 15,881
  American States Water Co. 286,212 13,569
  California Water Service    
  Group 367,075 13,508
  Northwest Natural Gas Co. 208,896 12,502
      145,292
Total Common Stocks    
(Cost $3,574,230)   5,304,300
Temporary Cash Investments (0.6%)1  
Money Market Fund (0.6%)    
3 Vanguard Market Liquidity    
  Fund, 1.181% 295,878 29,594

 

    Face  
    Amount  
    ($000)  
U. S. Government and Agency Obligations (0.0%)
  United States Treasury Bill,    
  0.982%, 9/7/17 500 499
4 United States Treasury Bill,    
  0.990%, 9/21/17 400 399
4 United States Treasury Bill,    
  1.003%, 10/5/17 1,400 1,397
      2,295
Total Temporary Cash Investments  
(Cost $31,887)   31,889
Total Investments (100.1%)    
(Cost $3,606,117)   5,336,189

 

  Amount
  ($000)
Other Assets and Liabilities (-0.1%)  
Other Assets  
Investment in Vanguard 342
Receivables for Investment Securities Sold 11,469
Receivables for Accrued Income 4,128
Receivables for Capital Shares Issued 1,410
Other Assets 19
Total Other Assets 17,368
Liabilities  
Payables for Investment Securities  
Purchased (21,287)
Payables for Capital Shares Redeemed (824)
Payables to Vanguard (2,427)
Other Liabilities (59)
Total Liabilities (24,597)
Net Assets (100%) 5,328,960

 

114


 

Tax-Managed Small-Cap Fund

At June 30, 2017, net assets consisted of:
  Amount
  ($000)
Paid-in Capital 3,699,411
Undistributed Net Investment Income 39
Accumulated Net Realized Losses (100,694)
Unrealized Appreciation (Depreciation)  
Investment Securities 1,730,072
Futures Contracts 132
Net Assets 5,328,960
 
 
Admiral Shares—Net Assets  
Applicable to 87,926,999 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 4,953,211
Net Asset Value Per Share—  
Admiral Shares $56.33
 
 
Institutional Shares—Net Assets  
Applicable to 6,654,895 outstanding  
$.001 par value shares of beneficial  
interest (unlimited authorization) 375,749
Net Asset Value Per Share—  
Institutional Shares $56.46

 

• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 0.2%, respectively, of
net assets.
2 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
4 Securities with a value of $1,197,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.

115


 

Tax-Managed Small-Cap Fund

Statement of Operations

  Six Months Ended
  June30,2017
  ($000)
Investment Income  
Income  
Dividends1 31,357
Interest1 131
Total Income 31,488
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 634
Management and Administrative—Admiral Shares 1,392
Management and Administrative—Institutional Shares 59
Marketing and Distribution—Admiral Shares 161
Marketing and Distribution—Institutional Shares 3
Custodian Fees 25
Shareholders’ Reports—Admiral Shares 66
Shareholders’ Reports—Institutional Shares 2
Trustees’ Fees and Expenses 2
Total Expenses 2,344
Net Investment Income 29,144
Realized Net Gain (Loss)  
Investment Securities Sold1 171,437
Futures Contracts 599
Realized Net Gain (Loss) 172,036
Change in Unrealized Appreciation (Depreciation)  
Investment Securities (63,055)
Futures Contracts 341
Change in Unrealized Appreciation (Depreciation) (62,714)
Net Increase (Decrease) in Net Assets Resulting from Operations 138,466
1 Dividend income, interest income, and realized net gain (loss) from affiliated companies of the fund were $0, $110,000,
and $4,575,000, respectively.  

 

See accompanying Notes, which are an integral part of the Financial Statements.

116


 

Tax-Managed Small-Cap Fund

Statement of Changes in Net Assets

  Six Months Ended Year Ended
  June 30, December 31,
  2017 2016
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 29,144 48,816
Realized Net Gain (Loss) 172,036 179,211
Change in Unrealized Appreciation (Depreciation) (62,714) 768,581
Net Increase (Decrease) in Net Assets Resulting from Operations 138,466 996,608
Distributions    
Net Investment Income    
Admiral Shares (24,824) (45,029)
Institutional Shares (1,978) (3,852)
Realized Capital Gain    
Admiral Shares
Institutional Shares
Total Distributions (26,802) (48,881)
Capital Share Transactions    
Admiral Shares 177,761 379,355
Institutional Shares (11,188) 28,870
Net Increase (Decrease) from Capital Share Transactions 166,573 408,225
Total Increase (Decrease) 278,237 1,355,952
Net Assets    
Beginning of Period 5,050,723 3,694,771
End of Period1 5,328,960 5,050,723
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $39,000 and ($2,303,000).

 

See accompanying Notes, which are an integral part of the Financial Statements.

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Tax-Managed Small-Cap Fund

Financial Highlights

Admiral Shares            
Six Months          
  Ended          
For a Share Outstanding June 30, Year Ended December 31,
Throughout Each Period 2017 2016 2015 2014 2013 2012
Net Asset Value, Beginning of Period $55.16 $44.37 $45.78 $43.53 $31.16 $27.26
Investment Operations            
Net Investment Income . 309 . 558 . 556 . 463 . 383 . 479
Net Realized and Unrealized Gain (Loss)            
on Investments 1.145 10.788 (1.406) 2.242 12.389 3.885
Total from Investment Operations 1.454 11.346 (.850) 2.705 12.772 4.364
Distributions            
Dividends from Net Investment Income (. 284) (. 556) (. 560) (. 455) (. 402) (. 464)
Distributions from Realized Capital Gains
Total Distributions (. 284) (. 556) (. 560) (. 455) (. 402) (. 464)
Net Asset Value, End of Period $56.33 $55.16 $44.37 $45.78 $43.53 $31.16
 
Total Return1 2.65% 25.73% -1.85% 6.23% 41.00% 16.03%
 
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $4,953 $4,671 $3,419 $3,382 $3,143 $2,132
Ratio of Total Expenses to            
Average Net Assets 0.09% 0.09% 0.11% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to            
Average Net Assets 1.12% 1.19% 1.21% 1.06% 1.05% 1.59%
Portfolio Turnover Rate2 42% 45% 33% 40% 31% 42%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information
about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

See accompanying Notes, which are an integral part of the Financial Statements.

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Tax-Managed Small-Cap Fund

Financial Highlights

Institutional Shares            
Six Months          
  Ended          
For a Share Outstanding June 30, Year Ended December 31,
Throughout Each Period 2017 2016 2015 2014 2013 2012
Net Asset Value, Beginning of Period $55.29 $44.47 $45.88 $43.63 $31.22 $27.33
Investment Operations            
Net Investment Income . 327 . 572 . 576 . 481 . 398 . 492
Net Realized and Unrealized Gain (Loss)            
on Investments 1.136 10.818 (1.406) 2.242 12.428 3.888
Total from Investment Operations 1.463 11.390 (.830) 2.723 12.826 4.380
Distributions            
Dividends from Net Investment Income (. 293) (. 570) (. 580) (. 473) (. 416) (. 490)
Distributions from Realized Capital Gains
Total Distributions (. 293) (. 570) (. 580) (. 473) (. 416) (. 490)
Net Asset Value, End of Period $56.46 $55.29 $44.47 $45.88 $43.63 $31.22
 
Total Return 2.66% 25.78% -1.80% 6.26% 41.09% 16.05%
 
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $376 $379 $276 $236 $237 $175
Ratio of Total Expenses to            
Average Net Assets 0.06% 0.06% 0.07% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to            
Average Net Assets 1.15% 1.22% 1.25% 1.10% 1.09% 1.63%
Portfolio Turnover Rate1 42% 45% 33% 40% 31% 42%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

See accompanying Notes, which are an integral part of the Financial Statements.

119


 

Tax-Managed Small-Cap Fund

Notes to Financial Statements

Vanguard Tax-Managed Small-Cap Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Admiral Shares and Institutional Shares. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

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

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the six months ended June 30, 2017, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2013–2016), and for the period ended June 30, 2017, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

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Tax-Managed Small-Cap Fund

4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at June 30, 2017, or at any time during the period then ended.

6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2017, the fund had contributed to Vanguard capital in the amount of $342,000, representing 0.01% of the fund’s net assets and 0.14% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

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.

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Tax-Managed Small-Cap Fund

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

The following table summarizes the market value of the fund’s investments as of June 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 5,304,300
Temporary Cash Investments 29,594 2,295
Futures Contracts—Liabilities1 (59)
Total 5,333,835 2,295
1 Represents variation margin on the last day of the reporting period.      

 

D. At June 30, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
E-mini Russell 2000 Index September 2017 318 22,487 132

 

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

E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.

During the six months ended June 30, 2017, the fund realized $126,234,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2016, the fund had available capital losses totaling $146,705,000 to offset future net capital gains. Of this amount, $6,546,000 is subject to expiration on December 31, 2017. Capital losses of $140,159,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used

122


 

Tax-Managed Small-Cap Fund

before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

At June 30, 2017, the cost of investment securities for tax purposes was $3,606,117,000. Net unrealized appreciation of investment securities for tax purposes was $1,730,072,000, consisting of unrealized gains of $1,786,675,000 on securities that had risen in value since their purchase and $56,603,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the six months ended June 30, 2017, the fund purchased $1,467,784,000 of investment securities and sold $1,300,921,000 of investment securities, other than temporary cash investments. Sales include $209,676,000 in connection with in-kind redemptions of the fund’s capital shares.

G. Capital share transactions for each class of shares were:

  Six Months Ended Year Ended
  June 30, 2017 December 31, 2016
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Admiral Shares        
Issued 633,528 11,430 1,064,794 22,229
Issued in Lieu of Cash Distributions 19,028 345 34,478 699
Redeemed (474,795) (8,536) (719,917) (15,289)
Net Increase (Decrease)—Admiral Shares 177,761 3,239 379,355 7,639
Institutional Shares        
Issued 16,819 304 42,859 950
Issued in Lieu of Cash Distributions 1,275 23 2,469 50
Redeemed (29,282) (532) (16,458) (345)
Net Increase (Decrease)—Institutional Shares (11,188) (205) 28,870 655

 

H. Management has determined that no material events or transactions occurred subsequent to June 30, 2017, that would require recognition or disclosure in these financial statements.

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About Your Fund’s Expenses

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The accompanying table illustrates your fund’s costs in two ways:

• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“

• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

124


 

Six Months Ended June 30, 2017      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  12/31/2016 6/30/2017 Period
Based on Actual Fund Return      
Tax-Managed Balanced Fund $1,000.00 $1,061.05 $0.46
Tax-Managed Capital Appreciation Fund      
Admiral Shares $1,000.00 $1,095.91 $0.47
Institutional Shares 1,000.00 1,095.98 0.31
Tax-Managed Small-Cap Fund      
Admiral Shares $1,000.00 $1,026.48 $0.45
Institutional Shares 1,000.00 1,026.58 0.30
Based on Hypothetical 5% Yearly Return      
Tax-Managed Balanced Fund $1,000.00 $1,024.35 $0.45
Tax-Managed Capital Appreciation Fund      
Admiral Shares $1,000.00 $1,024.35 $0.45
Institutional Shares 1,000.00 1,024.50 0.30
Tax-Managed Small-Cap Fund      
Admiral Shares $1,000.00 $1,024.35 $0.45
Institutional Shares 1,000.00 1,024.50 0.30

The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for
that period are: for the Tax-Managed Balanced Fund, 0.09%; for the Tax-Managed Capital Appreciation Fund, 0.09% for Admiral Shares
and 0.06% for Institutional Shares; and for the Tax-Managed Small-Cap Fund, 0.09% for Admiral Shares and 0.06% for Institutional
Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value
over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most
recent 12-month period (181/365).

125


 

Trustees Approve Advisory Arrangements

The board of trustees of Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Capital Appreciation Fund, and Vanguard Tax-Managed Small-Cap Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index and Fixed Income Groups. The board determined that continuing each fund’s internalized management structure was in the best interests of each fund and its shareholders.

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.

Nature, extent, and quality of services

The board reviewed the quality of each fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. Both the Equity Index Group and the Fixed Income Group adhere to sound, disciplined investment management processes; each group’s management team has considerable experience, stability, and depth.

The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.

Investment performance

The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.

126


 

Cost

The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also well below the peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.

The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees and produces “profits” only in the form of reduced expenses for fund shareholders.

The benefit of economies of scale

The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.

The board will consider whether to renew the advisory arrangements again after a one-year period.

127


 

Glossary

30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.

Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.

Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.

Average Stated Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid using the maturity date of the security. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average stated maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.

Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.

Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is used. ”Not Rated” is used to classify securities for which a rating is not available.

Dividend Yield. The current, annualized rate of dividends paid on a share of stock, divided by its current share price. For a fund, the weighted average yield for stocks it holds. The index yield is based on the current annualized rate of dividends paid on stocks in the index.

Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.

Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.

128


 

Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.

Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.

Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.

Largest Area Concentrations. An indicator of diversification. The less concentrated a fund’s holdings of bonds, the less the fund will be hurt by any financial problems in a single state or region.

Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.

Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.

Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.

R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.

Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.

Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.

Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.

Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.

129


 

Benchmark Information

Tax-Managed Balanced Composite Index: Weighted 50% Russell 1000 Index and 50%
Bloomberg Barclays 7 Year Municipal Bond Index through January 31, 2002, and 50% Russell
1000 Index and 50% Bloomberg Barclays 1–15 Year Municipal Bond Index thereafter.

130


 

 

 

 

 

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark
of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use
by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification
makes any express or implied warranties or representations with respect to such standard or classification (or the results
to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy,
completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification.
Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in
making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive,
consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

Vanguard Tax-Managed Balanced Fund is not sponsored, endorsed, issued, sold or promoted by Barclays Risk Analytics
and Index Solutions Limited or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or
implied, to the owners or purchasers of Vanguard Tax-Managed Balanced Fund or any member of the public regarding the
advisability of investing in securities generally or in Vanguard Tax-Managed Balanced Fund particularly or the ability of the
Barclays Index to track general bond market performance. Barclays has not passed on the legality or suitability of Vanguard
Tax-Managed Balanced Fund with respect to any person or entity. Barclays’ only relationship to Vanguard and Vanguard
Tax-Managed Balanced Fund is the licensing of the Barclays Index which is determined, composed and calculated by
Barclays without regard to Vanguard or Vanguard Tax-Managed Balanced Fund or any owners or purchasers of Vanguard
Tax-Managed Balanced Fund. Barclays has no obligation to take the needs of Vanguard, Vanguard Tax-Managed Balanced
Fund or the owners of Vanguard Tax-Managed Balanced Fund into consideration in determining, composing or calculating
the Barclays Index. Barclays is not responsible for and has not participated in the determination of the timing of, prices at,
or quantities of Vanguard Tax-Managed Balanced Fund to be issued. Barclays has no obligation or liability in connection
with the administration, marketing or trading of Vanguard Tax-Managed Balanced Fund.

BARCLAYS SHALL HAVE NO LIABILITY TO THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF
THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEX. BARCLAYS
MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF VANGUARD TAX-
MANAGED BALANCED FUND OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA
INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS
RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION
OR PUBLICATION OF THE BLOOMBERG BARCLAYS 1–15 YEAR MUNICIPAL BOND INDEX, AND BARCLAYS SHALL NOT BE
LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT
TO ANY OF THE BLOOMBERG BARCLAYS 1–15 YEAR MUNICIPAL BOND INDEX. BARCLAYS MAKES NO EXPRESS OR
IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR
A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. BARCLAYS SHALL
NOT BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY INDIRECT OR CONSEQUENTIAL DAMAGES
RESULTING FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN.

© 2017 Barclays. Used with Permission.

Source: Barclays Global Family of Indices. Copyright 2017, Barclays. All rights reserved.

131


 

The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 197 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee1

F. William McNabb III

Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).

IndependentTrustees

Emerson U. Fullwood

Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College; Trustee of the University of Rochester.

Rajiv L. Gupta

Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc. (diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.

Amy Gutmann

Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center.

JoAnn Heffernan Heisen

Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Member of the Executive Committee (1997–2008), Chief Global Diversity Officer (retired 2008), Vice President and Chief Information Officer (1997–2006), Controller (1995–1997), Treasurer (1991–1995), and Assistant Treasurer (1989–1991) of Johnson & Johnson (pharmaceuticals/medical devices/consumer products); Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation; Member of the Advisory Board of the Institute for Women’s Leadership at Rutgers University.

F. Joseph Loughrey

Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina


 

Foundation for Education; Director of the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.

Scott C. Malpass

Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, the Board of Catholic Investment Services, Inc. (investment advisor), and the Board of Superintendence of the Institute for the Works of Religion; Chairman of the Board of TIFF Advisory Services, Inc. (investment advisor).

André F. Perold

Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.

Peter F. Volanakis

Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).

Executive Officers

Glenn Booraem

Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017), Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.

Thomas J. Higgins

Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).

Peter Mahoney

Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).

Anne E. Robinson

Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).

Michael Rollings

Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Director of Vanguard Marketing Corporation; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).

Vanguard Senior ManagementTeam
Mortimer J. Buckley James M. Norris
John James Thomas M. Rampulla
Martha G. King Glenn W. Reed
John T. Marcante Karin A. Risi
Chris D. McIsaac  
 
Chairman Emeritus and Senior Advisor
John J. Brennan  
Chairman, 1996–2009  
Chief Executive Officer and President, 1996–2008
 
Founder  
John C. Bogle  
Chairman and Chief Executive Officer, 1974–1996

 

1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.


 

 

 
P.O. Box 2600
Valley Forge, PA 19482-2600
 
 
 
Connect with Vanguard® > vanguard.com
 
 
 
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing> 800-749-7273
 
This material may be used in conjunction
with the offering of shares of any Vanguard
fund only if preceded or accompanied by
the fund’s current prospectus.
 
All comparative mutual fund data are from Lipper, a
Thomson Reuters Company, or Morningstar, Inc., unless
otherwise noted.
 
You can obtain a free copy of Vanguard’s proxy voting
guidelines by visiting vanguard.com/proxyreporting or by
calling Vanguard at 800-662-2739. The guidelines are
also available from the SEC’s website, sec.gov. In
addition, you may obtain a free report on how your fund
voted the proxies for securities it owned during the 12
months ended June 30. To get the report, visit either
vanguard.com/proxyreporting or sec.gov.
 
You can review and copy information about your fund at
the SEC’s Public Reference Room in Washington, D.C. To
find out more about this public service, call the SEC at
202-551-8090. Information about your fund is also
available on the SEC’s website, and you can receive
copies of this information, for a fee, by sending a
request in either of two ways: via email addressed to
publicinfo@sec.gov or via regular mail addressed to the
Public Reference Section, Securities and Exchange
Commission, Washington, DC 20549-1520.
© 2017 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
 
Q1032 082017

 



Semiannual Report | June 30, 2017

Vanguard Developed Markets Index Fund


 

A new format, unwavering commitment

As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.

Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.

In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.

We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.

At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.

Contents  
Your Fund’s Performance at a Glance. 1
Chairman’s Perspective. 3
Fund Profile. 7
Performance Summary. 9
Financial Statements. 10
About Your Fund’s Expenses. 30
Trustees Approve Advisory Arrangement. 32
Glossary. 34

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises
or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this
report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: No matter what language you speak, Vanguard has one consistent message and set of
principles. Our primary focus is on you, our clients. We conduct our business with integrity as a faithful steward
of your assets. This message is shown translated into seven languages, reflecting our expanding global
presence.


 

Your Fund’s Performance at a Glance

• Vanguard Developed Markets Index Fund returned close to 15% for the six months ended June 30, 2017. The return diverged from that of the benchmark index because of temporary price differences arising from fair-value pricing policies (see the Glossary). The fund returned less than its peer group.

• Prospects for the global economy brightened over the period as growth in Europe and Japan was stronger than the markets had expected. Among the largest European markets, Switzerland, France, and Germany returned upward of 16%; the United Kingdom didn’t perform quite as well. Japan, the biggest component of the Pacific region, returned about 11%.

• Nine of the ten market sectors produced double-digit returns. Even with some turbulence, technology finished in the lead, gaining well over 20%. Despite efforts by many oil producers to curb production, supply concerns weighed on prices, contributing to a return of around –4% for the sector.

Total Returns: Six Months Ended June 30, 2017  
  Total
  Returns
Vanguard Developed Markets Index Fund  
Investor Shares 14.59%
FTSE Developed Markets ETF Shares  
Market Price 14.85
Net Asset Value 14.69
Admiral™ Shares 14.71
Institutional Shares 14.70
Institutional Plus Shares 14.74
FTSE Developed All Cap ex US Index 13.90
International Funds Average 15.00

 

International Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares
and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size
criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table
provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138;
7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock
Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about
how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the
Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market
price was above or below the NAV.

1


 

Expense Ratios            
Your Fund Compared With Its Peer Group          
FTSE
    Developed        
    Markets        
  Investor ETF Admiral Institutional Institutional Peer Group
  Shares Shares Shares Shares Plus Shares Average
Developed Markets Index Fund 0.17% 0.07% 0.07% 0.06% 0.05% 1.34%

 

The fund expense ratios shown are from the prospectus dated April 26, 2017, and represent estimated costs for the current fiscal year. For
the six months ended June 30, 2017, the fund’s annualized expense ratios were 0.17% for Investor Shares, 0.07% for FTSE Developed
Markets ETF Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, and 0.05% for Institutional Plus Shares. The peer-group
expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2016.

Peer group: International Funds.

2


 

Chairman’s Perspective


Bill McNabb
Chairman and Chief Executive Officer

Dear Shareholder,

More than a decade ago, the eminent investor and commentator Howard Marks published a memo to his clients titled simply “Risk.” In it, Howard distilled the relationship between investors and risk. “When you boil it all down, it’s the investor’s job to intelligently bear risk for profit,” he wrote.

It’s not surprising, then, that everyone from portfolio managers to behavioral economists avidly studies how investors’ reactions to risk influence not only individual investment decisions but also the broader financial markets. I’m a big fan of some of the behavioral finance work being done, which includes studies by our own investment strategists and analysts.

A lens on investor behavior

For example, Vanguard’s Investment Strategy Group introduced a “risk speedometers” report in January to look at how investors are reacting to market developments. This lens on real-world behavior measures the risk investors are taking in a given period by calculating the difference between net cash flows into higher-risk assets, such as stocks, and net cash flows into lower-risk assets, such as Treasuries. The measures are then compared with long-term averages.

In the spring, the risk speedometer spiked. The spike was fueled by investors’ decisions to direct more of their equity

3


 

dollars to international investments in developed and emerging markets, and their bond dollars to riskier credit categories.

A spiking speedometer seems a fitting analogy for what can happen. I consider myself a responsible driver. Still, when the highway is clear and the weather is nice, I might glance down at the speedometer and find that my right foot has gotten a little heavy.

The same phenomenon is possible with our investment portfolios. Just as our attention can drift from our speed—and the risk level on the road—we can neglect the risk level of our portfolio’s asset allocation. Experience teaches that investors are especially prone to lose sight of risk when markets have been buoyant.

How I manage risk in my own portfolio

Rebalancing—periodically adjusting your asset allocation so it stays in line with your goals and risk tolerance—is one of the best ways I know of to help manage risk. Without rebalancing, your portfolio may end up potentially riskier than you intended and no longer aligned with your goals.

I have a ritual I perform every June and again each December, between Christmas and New Year’s, as I prepare for a series of annual meetings with the Vanguard crew. I’ll set aside some time, review my

Market Barometer      
      Total Returns
    Periods Ended June 30, 2017
      Five Years
  Six Months One Year (Annualized)
Stocks      
Russell 1000 Index (Large-caps) 9.27% 18.03% 14.67%
Russell 2000 Index (Small-caps) 4.99 24.60 13.70
Russell 3000 Index (Broad U.S. market) 8.93 18.51 14.58
FTSE All-World ex US Index (International) 13.95 20.53 7.68
 
Bonds      
Bloomberg Barclays U.S. Aggregate Bond Index      
(Broad taxable market) 2.27% -0.31% 2.21%
Bloomberg Barclays Municipal Bond Index      
(Broad tax-exempt market) 3.57 -0.49 3.26
Citigroup Three-Month U.S. Treasury Bill Index 0.30 0.46 0.13
 
CPI      
Consumer Price Index 1.46% 1.63% 1.31%

 

4


 

investment portfolio, and, if necessary, rebalance back to my target asset allocation.

My own portfolio is a mix of equity and fixed income funds, and I invest in both actively managed funds and index funds. Most years, I’ll make a minor adjustment to get back to the appropriate asset allocation for my own longer-term goals and risk tolerance. It’s not all that complicated, although my portfolio is a little more complex than some because I own more funds than we’d typically suggest. As chairman of Vanguard’s funds, I feel I should own a significant number of them.

Consider your options

You should consider rebalancing if your target allocation is off by 5 percentage points or more. Admittedly, this is often easier said than done. When an investment has performed exceptionally well, people have a hard time trimming it. They can be led astray by that old (and none-too-helpful) investing saw: Let your winners run.

Fortunately, in recent years we’ve seen all sorts of investors take steps to rebalance. Many of the endowments, foundations, and traditional pension plans that Vanguard serves have good processes built into their investment guidelines to make sure rebalancing takes place on a regular basis. And among investors in defined contribution retirement plans, more and more are using target-date funds, where rebalancing happens automatically.

If you choose to rebalance on your own, use your target asset allocation as your guidepost. Don’t be afraid to buy into bad news. In a sense, don’t worry about the noise of the marketplace. If you work with an advisor, make sure he or she understands the importance you place on your rebalancing ritual.

And remember, the goal of rebalancing is to manage risk, not to avoid it altogether. Risk is inherent in investing—we just want to bear that risk intelligently.

In that insightful memo on risk, Howard Marks included a saying often attributed to Will Rogers: “You’ve got to go out on a limb sometimes because that’s where the fruit is.”

Tim Buckley chosen as Vanguard’s next CEO

In closing, I’ll note senior leadership changes that we announced in July. Our board of directors has elected Vanguard Chief Investment Officer Tim Buckley as president and director of Vanguard. Under the planned transition, Tim will succeed me as Vanguard’s chief executive officer on January 1, 2018.

I’m delighted with our board’s selection of Tim. We first met in 1991 when Tim was interviewing for a job at Vanguard. In the decades since, we’ve worked closely together, and he’s always impressed me as a man of tremendous character and an outstanding leader with a passion for serving our clients. During the transition

5


 

period, I will work closely with Tim in managing the firm and overseeing its operations.

Replacing Tim as chief investment officer is Greg Davis, who had been global head of Vanguard Fixed Income Group. And succeeding Greg as our fixed income leader is John Hollyer, who most recently served as our global head of investment risk management. I know Greg and John will both do a superb job in their new roles.

As with past successions, I will remain as chairman for a period of time determined by the board. On a personal note, it has been an honor and a privilege to lead Vanguard. Having spent more than half my life at Vanguard, I have come to know many fabulous crew members who are incredibly dedicated to Vanguard’s mission. Please be assured that Tim and the rest of the team will serve you and our other clients extremely well as Vanguard prepares for its next chapter.

As always, thank you for investing with Vanguard.

Sincerely,


F. William McNabb III
Chairman and Chief Executive Officer
July 14, 2017

Vanguard fund shareholders encouraged to vote in proxy campaign
 
This summer you will be asked to vote on the election of trustees for all U.S.-domiciled
Vanguard funds. Shareholders will also be asked to vote on several fund policy proposals
that we believe are in the best interests of all shareholders.
 
Vanguard filed a preliminary proxy statement on July 13, 2017, with the U.S. Securities and
Exchange Commission (SEC). Following the SEC’s review, we expect to provide the proxy
materials to Vanguard fund shareholders beginning in late August 2017. That’s when you
can begin to vote online, by phone, or by mail.
 
A shareholder meeting is scheduled to be held in Scottsdale, Arizona, on November 15,
2017, when voting will conclude. We encourage you to vote promptly. Please visit
vanguard.com for updates.

 

6


 

Developed Markets Index Fund

Fund Profile
As of June 30, 2017

Share-Class Characteristics          
    FTSE      
    Developed      
  Investor Markets ETF Admiral Institutional Institutional
  Shares Shares Shares Shares Plus Shares
Ticker Symbol VDVIX VEA VTMGX VTMNX VDIPX
Expense Ratio1 0.17% 0.07% 0.07% 0.06% 0.05%

 

Portfolio Characteristics    
      FTSE
    FTSE Global
    Developed All Cap ex
    All Cap ex US
  Fund US Index Index
Number of Stocks 3,821 3,775 5,839
Median Market Cap  $27.1B $27.2B $24.0B
Price/Earnings Ratio  17.2x 17.2x 16.4x
Price/Book Ratio 1.6x 1.6x 1.6x
Return on Equity 13.2% 13.2% 14.0%
Earnings Growth      
Rate 5.9% 5.9% 6.7%
Dividend Yield 2.9% 2.9% 2.9%
Turnover Rate      
(Annualized) 4%
Short-Term      
Reserves 0.3%

 

Sector Diversification (% of equity exposure)
      FTSE
    FTSE Global
    Developed All Cap ex
    All Cap ex US
  Fund US Index Index
Basic Materials 7.6% 7.6% 7.5%
Consumer Goods 17.6 17.7 16.3
Consumer Services 8.2 8.2 8.1
Financials 25.1 25.1 26.0
Health Care 8.9 8.9 7.7
Industrials 16.0 16.0 15.2
Oil & Gas 5.6 5.6 5.9
Technology 4.2 4.1 6.0
Telecommunications 3.6 3.6 4.0
Utilities 3.2 3.2 3.3

 

Volatility Measures    
  Spliced  
  Developed FTSE Global
  ex US All Cap ex US
  Index Index
R-Squared 0.97 0.95
Beta 0.94 0.93
These measures show the degree and timing of the fund’s
fluctuations compared with the indexes over 36 months.

 

Ten Largest Holdings (% of total net assets)
Nestle SA Food Products 1.5%
Samsung Electronics Consumer  
Co. Ltd. Electronics 1.3
Royal Dutch Shell plc Integrated Oil & Gas 1.2
Novartis AG Pharmaceuticals 1.1
Roche Holding AG Pharmaceuticals 1.0
HSBC Holdings plc Banks 1.0
Unilever Personal Products 0.8
Toyota Motor Corp. Automobiles 0.8
British American    
Tobacco plc Tobacco 0.7
BP plc Integrated Oil & Gas 0.6
Top Ten   10.0%
The holdings listed exclude any temporary cash investments and
equity index products.

 

Allocation by Region (% of portfolio)

1 The expense ratios shown are from the prospectus dated April 26, 2017, and represent estimated costs for the current fiscal year. For
the six months ended June 30, 2017, the annualized expense ratios were 0.17% for Investor Shares, 0.07% for FTSE Developed Markets
ETF Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, and 0.05% for Institutional Plus Shares.

7


 

Developed Markets Index Fund

Market Diversification (% of equity exposure)
      FTSE
    FTSE Global
    Developed All Cap ex
    All Cap ex US
  Fund US Index  Index
Europe      
United      
Kingdom 15.7% 15.7% 12.7%
France 8.1 8.1 6.5
Germany 7.9 7.9 6.4
Switzerland 7.1 7.1 5.7
Spain 2.9 2.8 2.3
Sweden 2.8 2.8 2.3
Netherlands 2.8 2.8 2.3
Italy 2.3 2.2 1.8
Denmark 1.5 1.5 1.3
Belgium 1.1 1.1 0.9
Finland 1.0 1.0 0.8
Other 1.3 1.3 1.1
Subtotal 54.5% 54.3% 44.1%
Pacific      
Japan 21.4% 21.4% 17.2%
Australia 6.2 6.2 5.0
South Korea 4.5 4.6 3.7
Hong Kong 3.2 3.2 2.6
Singapore 1.2 1.2 1.0
Other 0.3 0.3 0.2
Subtotal 36.8% 36.9% 29.7%
Emerging      
Markets 0.0% 0.0% 19.1%
North America      
Canada 8.2% 8.3% 6.7%
Middle East 0.5% 0.5% 0.4%

 

8


 

Developed Markets Index Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Fiscal-Year Total Returns (%): July 20, 2007, Through June 30, 2017

 

For a benchmark description, see the Glossary.
Note: For 2017, performance data reflect the six months ended June 30, 2017.

Average Annual Total Returns: Periods Ended June 30, 2017      
  Inception One Five Ten
  Date Year Years Years
Investor Shares 12/19/2013 20.10% 3.75%1
FTSE Developed Markets ETF        
Shares 7/20/2007      
Market Price   20.23 9.12% 1.17 1
Net Asset Value   20.25 9.09 1.17 1
Admiral Shares 8/17/1999 20.30 9.10 1.37
Institutional Shares 1/4/2001 20.17 9.11 1.41
Institutional Plus Shares 4/1/2014 20.30 2.84 1
1 Return since inception.

 

9


 

Developed Markets Index Fund

Financial Statements (unaudited)

Statement of Net Assets—Investments Summary
As of June 30, 2017

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

    Market Percentage
    Value of Net
  Shares ($000) Assets
Common Stocks      
Australia      
Commonwealth Bank of Australia 8,427,073 536,102 0.6%
Westpac Banking Corp. 16,351,356 382,852 0.4%
Australia & New Zealand Banking Group Ltd. 14,302,485 315,682 0.4%
National Australia Bank Ltd. 13,021,921 296,230 0.3%
BHP Billiton Ltd. 15,657,226 279,075 0.3%
1 Australia—Other †   3,626,320 4.1%
    5,436,261 6.1%
 
Austria †   272,127 0.3%
 
Belgium      
Anheuser-Busch InBev SA/NV 3,702,853 408,976 0.5%
Belgium—Other †   529,778 0.6%
    938,754 1.1%
Canada      
Royal Bank of Canada 7,189,431 522,021 0.6%
Toronto-Dominion Bank 9,034,454 455,276 0.5%
Bank of Nova Scotia 5,875,699 353,457 0.4%
Enbridge Inc. 7,947,013 316,581 0.4%
Canadian National Railway Co. 3,677,163 298,358 0.3%
1 Canada—Other †   5,329,292 6.0%
    7,274,985 8.2%
Denmark      
Novo Nordisk A/S Class B 8,710,042 374,247 0.4%
1 Denmark—Other †   988,182 1.1%
    1,362,429 1.5%
 
Finland †   878,267 1.0%

 

10


 

Developed Markets Index Fund      
 
 
 
    Market Percentage
    Value of Net
  Shares ($000) Assets
France      
TOTAL SA 10,726,901 532,560 0.6%
Sanofi 5,253,771 503,417 0.6%
BNP Paribas SA 5,254,634 378,296 0.4%
LVMH Moet Hennessy Louis Vuitton SE 1,211,653 302,981 0.3%
1 France—Other †   5,382,230 6.1%
    7,099,484 8.0%
Germany      
Bayer AG 4,027,357 521,988 0.6%
Siemens AG 3,698,615 508,760 0.6%
SAP SE 4,410,720 461,677 0.5%
Allianz SE 2,212,242 436,569 0.5%
BASF SE 4,461,689 414,086 0.4%
Daimler AG 4,705,290 341,269 0.4%
Deutsche Telekom AG 15,483,446 279,089 0.3%
1 Germany—Other †   3,980,767 4.5%
    6,944,205 7.8%
Hong Kong      
AIA Group Ltd. 58,801,118 430,210 0.5%
Hang Seng Bank Ltd. 3,594,112 75,190 0.1%
1 Hong Kong—Other †   2,288,583 2.6%
    2,793,983 3.2%
 
Ireland †   180,325 0.2%
 
Israel †   438,631 0.5%
 
1Italy †   1,981,928 2.2%
 
Japan      
Toyota Motor Corp. 12,755,470 670,472 0.8%
Mitsubishi UFJ Financial Group Inc. 63,434,717 427,870 0.5%
SoftBank Group Corp. 4,156,952 337,919 0.4%
Sumitomo Mitsui Financial Group Inc. 6,477,594 252,914 0.3%
Chugai Pharmaceutical Co. Ltd. 1,064,527 39,883 0.0%
Japan—Other †   17,104,569 19.3%
    18,833,627 21.3%
 
Malta †   0.0%
 
Netherlands      
Unilever NV 7,605,272 419,825 0.5%
ING Groep NV 18,884,413 325,998 0.4%
1 Netherlands—Other †   1,734,349 1.9%
    2,480,172 2.8%
 
New Zealand †   262,789 0.3%
 
1Norway †   549,282 0.6%
 
Portugal †   148,820 0.2%

 

11


 

Developed Markets Index Fund      
 
 
 
      Market Percentage
      Value of Net
    Shares ($000) Assets
Singapore †   1,047,906 1.2%
 
South Korea      
  Samsung Electronics Co. Ltd. 430,364 896,372 1.0%
  Samsung Electronics Co. Ltd. Preference Shares 80,828 131,790 0.1%
  Samsung Electronics Co. Ltd. GDR 80,099 83,044 0.1%
  Hankook Shell Oil Co. Ltd. 3,209 1,127 0.0%
1 South Korea—Other †   2,900,210 3.3%
      4,012,543 4.5%
Spain      
  Banco Santander SA 70,008,737 464,851 0.5%
  Banco Bilbao Vizcaya Argentaria SA 32,418,637 270,046 0.3%
1 Spain—Other †   1,771,413 2.0%
      2,506,310 2.8%
 
1Sweden †   2,482,780 2.8%
 
Switzerland      
  Nestle SA 15,102,307 1,317,188 1.5%
  Novartis AG 11,464,944 957,628 1.1%
  Roche Holding AG 3,381,188 863,944 1.0%
  UBS Group AG 16,943,712 288,143 0.3%
  Roche Holding AG (Bearer) 170,363 44,015 0.0%
1 Switzerland—Other †   2,795,995 3.2%
      6,266,913 7.1%
United Kingdom      
  HSBC Holdings plc 97,704,915 906,898 1.0%
  British American Tobacco plc 9,030,565 615,372 0.7%
  Royal Dutch Shell plc Class A (London Shares) 21,654,208 575,327 0.6%
  BP plc 93,822,336 541,562 0.6%
  GlaxoSmithKline plc 23,570,242 501,748 0.6%
  Royal Dutch Shell plc Class B 18,316,010 491,722 0.6%
  AstraZeneca plc 6,167,447 413,120 0.5%
  Vodafone Group plc 129,694,904 368,329 0.4%
  Diageo plc 12,052,286 356,168 0.4%
  Unilever plc 5,833,447 315,695 0.4%
  Reckitt Benckiser Group plc 3,037,962 307,969 0.3%
  Lloyds Banking Group plc 347,295,262 299,292 0.3%
  Prudential plc 12,563,330 288,377 0.3%
  Royal Dutch Shell plc Class A 107,983 2,871 0.0%
1 United Kingdom—Other †   7,850,282 8.9%
      13,834,732 15.6%
Total Common Stocks (Cost $77,175,233)   88,027,253 99.3%2

 

12


 

Developed Markets Index Fund        
 
 
 
      Market Percentage
      Value of Net
  Coupon Shares ($000) Assets
Temporary Cash Investments        
Money Market Fund        
3,4 Vanguard Market Liquidity Fund 1.181% 19,621,110 1,962,503 2.2%
 
5U.S. Government and Agency Obligations †     65,054 0.1%
Total Temporary Cash Investments (Cost $2,027,312)   2,027,557 2.3%2
6Total Investments (Cost $79,202,545)     90,054,810 101.6%
 
      Amount  
      ($000)  
Other Assets and Liabilities        
Other Assets        
Investment in Vanguard     5,693  
Receivables for Investment Securities Sold     104  
Receivables for Accrued Income     293,624  
Receivables for Capital Shares Issued     51,435  
Other Assets7     144,910  
Total Other Assets     495,766 0.6%
Liabilities        
Payables for Investment Securities Purchased     (58,505)  
Collateral for Securities on Loan     (1,729,223)  
Payables for Capital Shares Redeemed     (61,750)  
Payables to Vanguard     (23,920)  
Other Liabilities     (67,624)  
Total Liabilities     (1,941,022) (2.2%)
Net Assets     88,609,554 100.0%
 
 
At June 30, 2017, net assets consisted of:        
        Amount
        ($000)
Paid-in Capital       80,210,925
Undistributed Net Investment Income       61,467
Accumulated Net Realized Losses       (2,508,651)
Unrealized Appreciation (Depreciation)        
Investment Securities       10,852,265
Futures Contracts       (10,568)
Forward Currency Contracts       1,283
Foreign Currencies       2,833
Net Assets       88,609,554
 
 
Investor Shares—Net Assets        
Applicable to 93,422,313 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)       958,753
Net Asset Value Per Share—Investor Shares       $10.26

 

13


 

Developed Markets Index Fund  
 
 
 
  Amount
  ($000)
ETF Shares—Net Assets  
Applicable to 1,348,893,839 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 55,615,335
Net Asset Value Per Share—ETF Shares $41.23
 
Admiral Shares—Net Assets  
Applicable to 943,044,478 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 12,500,941
Net Asset Value Per Share—Admiral Shares $13.26
 
Institutional Shares—Net Assets  
Applicable to 793,870,321 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 10,537,478
Net Asset Value Per Share—Institutional Shares $13.27
 
Institutional Plus Shares—Net Assets  
Applicable to 433,667,806 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 8,997,047
Net Asset Value Per Share—Institutional Plus Shares $20.75

 

• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be
sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, the aggregate value of these
securities was $807,934,000, representing 0.9% of net assets.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 1.6%, respectively,
of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
4 Includes $1,729,223,000 of collateral received for securities on loan.
5 Securities with a value of $32,041,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $1,606,623,000.
7 Cash of $11,630,000 has been segregated as collateral for open forward currency contracts.
GDR—Global Depositary Receipt.
See accompanying Notes, which are an integral part of the Financial Statements.

14


 

Developed Markets Index Fund

Statement of Operations

  Six Months Ended
  June30,2017
  ($000)
Investment Income  
Income  
Dividends1 1,462,644
Interest 2 1,701
Securities Lending—Net 32,827
Total Income 1,497,172
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 2,286
Management and Administrative—Investor Shares 599
Management and Administrative—ETF Shares 10,816
Management and Administrative—Admiral Shares 2,270
Management and Administrative—Institutional Shares 1,945
Management and Administrative—Institutional Plus Shares 1,304
Marketing and Distribution—Investor Shares 83
Marketing and Distribution—ETF Shares 1,421
Marketing and Distribution—Admiral Shares 509
Marketing and Distribution—Institutional Shares 131
Marketing and Distribution—Institutional Plus Shares 46
Custodian Fees 4,518
Shareholders’ Reports—Investor Shares 28
Shareholders’ Reports—ETF Shares 929
Shareholders’ Reports—Admiral Shares 120
Shareholders’ Reports—Institutional Shares 16
Shareholders’ Reports—Institutional Plus Shares 5
Trustees’ Fees and Expenses 22
Total Expenses 27,048
Net Investment Income 1,470,124
Realized Net Gain (Loss)  
Investment Securities Sold 2 (39,626)
Futures Contracts 53,335
Foreign Currencies and Forward Currency Contracts 20,960
Realized Net Gain (Loss) 34,669
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 9,019,707
Futures Contracts (18,219)
Foreign Currencies and Forward Currency Contracts 26,945
Change in Unrealized Appreciation (Depreciation) 9,028,433
Net Increase (Decrease) in Net Assets Resulting from Operations 10,533,226

 

1 Dividends are net of foreign withholding taxes of $148,855,000.
2 Interest income and realized net gain (loss) from an affiliated company of the fund were $1,531,000 and ($45,000), respectively.
See accompanying Notes, which are an integral part of the Financial Statements.

15


 

Developed Markets Index Fund

Statement of Changes in Net Assets

  Six Months Ended Year Ended
  June 30, December 31,
  2017 2016
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 1,470,124 1,831,404
Realized Net Gain (Loss) 34,669 (1,712,993)
Change in Unrealized Appreciation (Depreciation) 9,028,433 1,611,578
Net Increase (Decrease) in Net Assets Resulting from Operations 10,533,226 1,729,989
Distributions    
Net Investment Income    
Investor Shares (14,263) (27,425)
ETF Shares (819,792) (1,078,670)
Admiral Shares (185,381) (278,418)
Institutional Shares (160,111) (269,559)
Institutional Plus Shares (137,718) (230,942)
Realized Capital Gain    
Investor Shares
ETF Shares
Admiral Shares
Institutional Shares
Institutional Plus Shares
Total Distributions (1,317,265) (1,885,014)
Capital Share Transactions    
Investor Shares (28,617) (155,754)
ETF Shares 9,772,165 11,051,278
Admiral Shares 1,485,591 1,786,338
Institutional Shares 252,758 1,016,504
Institutional Plus Shares 555,933 217,224
Net Increase (Decrease) from Capital Share Transactions 12,037,830 13,915,590
Total Increase (Decrease) 21,253,791 13,760,565
Net Assets    
Beginning of Period 67,355,763 53,595,198
End of Period1 88,609,554 67,355,763
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $61,467,000 and ($98,236,000).

 

See accompanying Notes, which are an integral part of the Financial Statements.

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Developed Markets Index Fund

Financial Highlights

Investor Shares          
  Six Months       Dec. 19,
  Ended       20131 to
For a Share Outstanding June 30, Year Ended December 31, Dec. 31,
Throughout Each Period 2017 2016 2015 2014 2013
Net Asset Value, Beginning of Period $9.09 $9.15 $9.42 $10.34 $10.00
Investment Operations          
Net Investment Income .171 .262 .261 .337 .008
Net Realized and Unrealized Gain (Loss)          
on Investments 1.152 (. 054) (. 276) (. 919) . 332
Total from Investment Operations 1.323 .208 (.015) (.582) .340
Distributions          
Dividends from Net Investment Income (.153) (. 268) (. 255) (. 338)
Distributions from Realized Capital Gains
Total Distributions (.153) (. 268) (. 255) (. 338)
Net Asset Value, End of Period $10.26 $9.09 $9.15 $9.42 $10.34
 
Total Return2 14.59% 2.36% -0.29% -5.82% 3.40%
 
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $959 $875 $1,040 $1,331 $0.1
Ratio of Total Expenses to Average Net Assets 0.17% 0.17% 0.20% 0.20% 0.20%3
Ratio of Net Investment Income to          
Average Net Assets 3.50% 3.00% 2.73% 3.22% 2.80%3
Portfolio Turnover Rate 4 4% 11% 3% 4% 13%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information
about any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

17


 

Developed Markets Index Fund

Financial Highlights

FTSE Developed Markets ETF Shares            
Six Months          
  Ended          
For a Share Outstanding June 30, Year Ended December 31,
Throughout Each Period 2017 2016 2015 2014 2013 2012
Net Asset Value, Beginning of Period $36.51 $36.75 $37.85 $41.53 $35.02 $30.44
Investment Operations            
Net Investment Income .710 1.090 1.096 1.395 1.099 1.035
Net Realized and Unrealized Gain (Loss)            
on Investments 4.642 (.216) (1.125) (3.681) 6.494 4.591
Total from Investment Operations 5.352 .874 (.029) (2.286) 7.593 5.626
Distributions            
Dividends from Net Investment Income (.632) (1.114) (1.071) (1.394) (1.083) (1.046)
Distributions from Realized Capital Gains
Total Distributions (.632) (1.114) (1.071) (1.394) (1.083) (1.046)
Net Asset Value, End of Period $41.23 $36.51 $36.75 $37.85 $41.53 $35.02
 
Total Return 14.69% 2.51% -0.21% -5.71% 22.12% 18.60%
 
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $55,615 $40,243 $29,288 $24,155 $19,021 $10,979
Ratio of Total Expenses to            
Average Net Assets 0.07% 0.07% 0.09% 0.09% 0.09% 0.10%
Ratio of Net Investment Income to            
Average Net Assets 3.60% 3.10% 2.84% 3.33% 2.91% 3.40%
Portfolio Turnover Rate1 4% 11% 3% 4% 13% 7%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

18


 

Developed Markets Index Fund

Financial Highlights

Admiral Shares            
Six Months          
  Ended          
For a Share Outstanding June 30, Year Ended December 31,
Throughout Each Period 2017 2016 2015 2014 2013 2012
Net Asset Value, Beginning of Period $11.74 $11.82 $12.17 $13.35 $11.26 $9.79
Investment Operations            
Net Investment Income .228 .350 .352 .450 .353 .332
Net Realized and Unrealized Gain (Loss)            
on Investments 1.495 (.071) (.358) (1.180) 2.085 1.474
Total from Investment Operations 1.723 .279 (.006) (.730) 2.438 1.806
Distributions            
Dividends from Net Investment Income (. 203) (. 359) (. 344) (. 450) (. 348) (. 336)
Distributions from Realized Capital Gains
Total Distributions (. 203) (. 359) (. 344) (. 450) (. 348) (. 336)
Net Asset Value, End of Period $13.26 $11.74 $11.82 $12.17 $13.35 $11.26
 
Total Return1 14.71% 2.45% -0.18% -5.66% 22.06% 18.56%
 
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $12,501 $9,702 $7,921 $6,068 $2,060 $1,425
Ratio of Total Expenses to            
Average Net Assets 0.07% 0.07% 0.09% 0.09% 0.09% 0.10%
Ratio of Net Investment Income to            
Average Net Assets 3.60% 3.10% 2.84% 3.33% 2.91% 3.40%
Portfolio Turnover Rate 2 4% 11% 3% 4% 13% 7%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information
about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

19


 

Developed Markets Index Fund

Financial Highlights

Institutional Shares            
Six Months          
  Ended          
For a Share Outstanding June 30, Year Ended December 31,
Throughout Each Period 2017 2016 2015 2014 2013 2012
Net Asset Value, Beginning of Period $11.75 $11.83 $12.18 $13.37 $11.27 $9.79
Investment Operations            
Net Investment Income .229 .352 .354 .452 .356 .336
Net Realized and Unrealized Gain (Loss)            
on Investments 1.494 (.072) (.358) (1.190) 2.094 1.483
Total from Investment Operations 1.723 .280 (.004) (.738) 2.450 1.819
Distributions            
Dividends from Net Investment Income (. 203) (. 360) (. 346) (. 452) (. 350) (. 339)
Distributions from Realized Capital Gains
Total Distributions (. 203) (. 360) (. 346) (. 452) (. 350) (. 339)
Net Asset Value, End of Period $13.27 $11.75 $11.83 $12.18 $13.37 $11.27
 
Total Return 14.70% 2.46% -0.17% -5.72% 22.15% 18.70%
 
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $10,537 $9,092 $8,093 $7,743 $482 $332
Ratio of Total Expenses to            
Average Net Assets 0.06% 0.06% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to            
Average Net Assets 3.61% 3.11% 2.86% 3.35% 2.93% 3.43%
Portfolio Turnover Rate1 4% 11% 3% 4% 13% 7%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

20


 

Developed Markets Index Fund

Financial Highlights

Institutional Plus Shares        
  Six Months     April 1,
   Ended Year Ended 20141 to
For a Share Outstanding June 30, December 31, Dec. 31,
Throughout Each Period 2017 2016 2015 2014
Net Asset Value, Beginning of Period $18.37 $18.49 $19.05 $20.90
Investment Operations        
Net Investment Income . 360 . 552 . 558 . 438
Net Realized and Unrealized Gain (Loss) on Investments 2.341 (.107) (.573) (1.798)
Total from Investment Operations 2.701 .445 (.015) (1.360)
Distributions        
Dividends from Net Investment Income (. 321) (. 565) (. 545) (. 490)
Distributions from Realized Capital Gains
Total Distributions (. 321) (. 565) (. 545) (. 490)
Net Asset Value, End of Period $20.75 $18.37 $18.49 $19.05
 
Total Return 14.74% 2.50% -0.21% -6.67%
 
Ratios/Supplemental Data        
Net Assets, End of Period (Millions) $8,997 $7,444 $7,253 $5,918
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.06% 0.06%2
Ratio of Net Investment Income to Average Net Assets 3.62% 3.12% 2.87% 2.92%2
Portfolio Turnover Rate 3 4% 11% 3% 4%

 

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

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Developed Markets Index Fund

Notes to Financial Statements

Vanguard Developed Markets Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments 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.

2. 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).

3. Futures and Forward Currency Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation

22


 

Developed Markets Index Fund

between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.

The fund also enters into forward currency contracts to provide the appropriate currency exposure related to any open futures contracts. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Futures contracts are valued at their quoted daily settlement prices. Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The aggregate settlement values and notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures or forward currency contracts.

During the six months ended June 30, 2017, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period. The fund’s average investment in forward currency contracts represented 2% of net assets, based on the average of notional amounts at each quarter-end during the period.

4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2013–2016), and for the period ended June 30, 2017, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

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Developed Markets Index Fund

5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at June 30, 2017, or at any time during the period then ended.

8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Withholding taxes on foreign dividends and capital gains have been provided for in accordance with the fund’s understanding of the applicable countries’ tax rules and rates. The fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Such tax reclaims received during the year, if any, are included in dividend income. No other

24


 

Developed Markets Index Fund

amounts for additional tax reclaims are reflected in the financial statements due to the uncertainty as to the ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2017, the fund had contributed to Vanguard capital in the amount of $5,693,000, representing 0.01% of the fund’s net assets and 2.28% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

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 market value of the fund’s investments as of June 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 7,381,064 80,627,122 19,067
Temporary Cash Investments 1,962,503 65,054
Futures Contracts—Liabilities1 (5,451)
Forward Currency Contracts—Assets 16,360
Forward Currency Contracts—Liabilities (15,077)
Total 9,338,116 80,693,459 19,067
1 Represents variation margin on the last day of the reporting period.

 

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Developed Markets Index Fund

D. At June 30, 2017, the fair values of derivatives were reflected in the Statement of Net Assets as follows:

    Foreign  
  Equity Exchange  
  Contracts Contracts Total
Realized Net Gain (Loss) on Derivatives ($000) ($000) ($000)
Other Assets 16,360 16,360
Other Liabilities (5,451) (15,077) (20,528)

 

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended June 30, 2017, were:

 

    Foreign  
  Equity Exchange  
  Contracts Contracts Total
Realized Net Gain (Loss) on Derivatives ($000) ($000) ($000)
Futures Contracts 53,335 53,335
Forward Currency Contracts 14,116 14,116
Realized Net Gain (Loss) on Derivatives 53,335 14,116 67,451
 
Change in Unrealized Appreciation (Depreciation) on Derivatives      
Futures Contracts (18,219) (18,219)
Forward Currency Contracts 16,001 16,001
Change in Unrealized Appreciation (Depreciation) on Derivatives (18,219) 16,001 (2,218)

 

At June 30, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation) 
Dow Jones EURO STOXX 50 Index September 2017 5,877 229,983 (7,815)
Topix Index September 2017 1,159 166,227 2,148
FTSE 100 Index September 2017 1,126 105,930 (2,955)
S&P ASX 200 Index September 2017 590 63,913 (1,830)
S&P/TSX 60 Index September 2017 59 8,079 (116)
        (10,568)

 

Unrealized appreciation (depreciation) on open Dow Jones EURO STOXX 50 Index and FTSE 100 Index futures contracts is required to be treated as realized gain (loss) for tax purposes.

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Developed Markets Index Fund

At June 30, 2017, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

            Unrealized
  Contract         Appreciation
  Settlement Contract Amount (000) (Depreciation)
Counterparty Date Receive Deliver ($000)
Goldman Sachs International 9/20/17 EUR 347,471 USD 390,982 7,636
Morgan Stanley Capital Services LLC 9/20/17 GBP 143,173 USD 183,023 3,934
The Toronto-Dominion Bank 9/12/17 JPY 13,629,874 USD 124,956 (3,377)
BNP Paribas 9/12/17 JPY 11,622,015 USD 103,588 80
The Toronto-Dominion Bank 9/26/17 AUD 135,065 USD 102,776 918
BNP Paribas 9/12/17 JPY 11,092,681 USD 100,989 (2,042)
Credit Suisse International 9/20/17 EUR 46,781 USD 52,613 1,054
Credit Suisse International 9/20/17 GBP 18,424 USD 23,615 443
Barclays Bank plc 9/20/17 EUR 14,670 USD 16,516 314
BNP Paribas 9/26/17 AUD 18,538 USD 14,111 121
Citibank, N.A. 9/19/17 CAD 17,224 USD 13,026 273
JPMorgan Chase Bank, N.A. 9/19/17 CAD 2,309 USD 1,747 36
BNP Paribas 9/20/17 USD 225,516 EUR 201,686 (5,859)
BNP Paribas 9/12/17 USD 163,761 JPY 18,184,900 1,551
BNP Paribas 9/20/17 USD 98,046 GBP 77,422 (3,054)
BNP Paribas 9/26/17 USD 51,403 AUD 67,925 (745)
Bank of America, N.A. 10/18/17 USD 1 EUR 1
            1,283
AUD—Australian dollar.
CAD—Canadian dollar.
EUR—Euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.

 

At June 30, 2017, the counterparties had deposited in segregated accounts securities and cash with a value of $13,095,000 in connection with open forward currency contracts.

27


 

Developed Markets Index Fund

E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2016, the fund had available capital losses totaling $2,545,505,000 to offset future net capital gains. Of this amount, $373,255,000 is subject to expiration on December 31, 2017. Capital losses of $2,172,250,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

At June 30, 2017, the cost of investment securities for tax purposes was $79,320,186,000. Net unrealized appreciation of investment securities for tax purposes was $10,734,624,000, consisting of unrealized gains of $14,997,468,000 on securities that had risen in value since their purchase and $4,262,844,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the six months ended June 30, 2017, the fund purchased $13,825,061,000 of investment securities and sold $1,663,375,000 of investment securities, other than temporary cash investments. Purchases and sales include $9,320,852,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

28


 

Developed Markets Index Fund

G. Capital share transactions for each class of shares were:

  Six Months Ended Year Ended
  June 30, 2017 December 31, 2016
  Amount Shares Amount Shares
  ($000) (000) ($000) (000)
Investor Shares        
Issued 105,643 10,763 158,767 17,838
Issued in Lieu of Cash Distributions 12,547 1,243 23,467 2,631
Redeemed (146,807) (14,856) (337,988) (37,890)
Net Increase (Decrease)—Investor Shares (28,617) (2,850) (155,754) (17,421)
ETF Shares        
Issued 9,772,165 246,665 11,470,709 316,767
Issued in Lieu of Cash Distributions
Redeemed (419,431) (11,500)
Net Increase (Decrease)—ETF Shares 9,772,165 246,665 11,051,278 305,267
Admiral Shares        
Issued 2,346,245 184,843 4,241,004 369,711
Issued in Lieu of Cash Distributions 153,418 11,760 228,037 19,782
Redeemed (1,014,072) (80,140) (2,682,703) (233,330)
Net Increase (Decrease)—Admiral Shares 1,485,591 116,463 1,786,338 156,163
Institutional Shares        
Issued 1,325,532 104,619 2,852,708 247,221
Issued in Lieu of Cash Distributions 148,813 11,395 246,010 21,316
Redeemed (1,221,587) (95,713) (2,082,214) (179,096)
Net Increase (Decrease)—Institutional Shares 252,758 20,301 1,016,504 89,441
Institutional Plus Shares        
Issued 943,921 47,964 1,237,604 68,566
Issued in Lieu of Cash Distributions 130,907 6,417 223,230 12,377
Redeemed (518,895) (25,884) (1,243,610) (67,980)
Net Increase (Decrease) —Institutional Plus Shares 555,933 28,497 217,224 12,963

 

H. Management has determined that no material events or transactions occurred subsequent to June 30, 2017, that would require recognition or disclosure in these financial statements.

29


 

About Your Fund’s Expenses

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The accompanying table illustrates your fund’s costs in two ways:

• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“

• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

30


 

Six Months Ended June 30, 2017      
  Beginning Ending Expenses
  Account Value Account Value Paid During
Developed Markets Index Fund 12/31/2016 6/30/2017 Period
Based on Actual Fund Return      
Investor Shares $1,000.00 $1,145.86 $0.90
FTSE Developed Markets ETF Shares 1,000.00 1,146.93 0.37
Admiral Shares 1,000.00 1,147.11 0.37
Institutional Shares 1,000.00 1,146.97 0.32
Institutional Plus Shares 1,000.00 1,147.38 0.27
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,023.95 $0.85
FTSE Developed Markets ETF Shares 1,000.00 1,024.45 0.35
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.50 0.30
Institutional Plus Shares 1,000.00 1,024.55 0.25

 

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for
that period are 0.17% for Investor Shares, 0.07% for FTSE Developed Markets ETF Shares, 0.07% for Admiral Shares, 0.06% for
Institutional Shares, and 0.05% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized
expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month
period, then divided by the number of days in the most recent 12-month period (181/365).

31


 

Trustees Approve Advisory Arrangement

The board of trustees of Vanguard Developed Markets Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.

Nature, extent, and quality of services

The board reviewed the quality of the fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.

The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.

Investment performance

The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.

Cost

The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory expenses were also well below the peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.

32


 

The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees and produces “profits” only in the form of reduced expenses for fund shareholders.

The benefit of economies of scale
The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund
will realize economies of scale as it grows, with the cost to shareholders declining as fund
assets increase.

The board will consider whether to renew the advisory arrangement again after a one-year period.

33


 

Glossary

Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.

Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.

Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.

Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.

Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.

Fair-Value Pricing. Fair-value adjustments, which are required by the Securities and Exchange Commission, address pricing discrepancies that may arise because of time-zone differences among global stock markets. Foreign stocks may trade on exchanges that close many hours before a fund’s closing share price is calculated in the United States, generally at 4 p.m., Eastern time. In the hours between the foreign close and the U.S. close, the value of these foreign securities may change—because of company-specific announcements or market-wide developments, for example. Such price changes are not immediately reflected in international index values. Fair-value pricing takes such changes into account in calculating the fund’s daily net asset value, thus ensuring that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the fund and that of its benchmark index—a difference that usually corrects itself when the foreign markets reopen.

Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.

Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.

Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share.

For a fund, the weighted average price/book ratio of the stocks it holds.

34


 

Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.

R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.

Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.

Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.

Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.

Benchmark Information

Spliced Developed ex US Index: MSCI EAFE Index through May 28, 2013; FTSE Developed ex
North America Index through December 20, 2015; FTSE Developed All Cap ex US Transition Index
through May 31, 2016; FTSE Developed All Cap ex US Index thereafter. Benchmark returns are
adjusted for withholding taxes.

35


 

The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 197 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

InterestedTrustee1

F. William McNabb III

Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).

Independent Trustees

Emerson U. Fullwood

Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College; Trustee of the University of Rochester.

Rajiv L. Gupta

Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc. (diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.

Amy Gutmann

Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center.

JoAnn Heffernan Heisen

Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Member of the Executive Committee (1997–2008), Chief Global Diversity Officer (retired 2008), Vice President and Chief Information Officer (1997–2006), Controller (1995–1997), Treasurer (1991–1995), and Assistant Treasurer (1989–1991) of Johnson & Johnson (pharmaceuticals/medical devices/consumer products); Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation; Member of the Advisory Board of the Institute for Women’s Leadership at Rutgers University.

F. Joseph Loughrey

Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina


 

Foundation for Education; Director of the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.

Scott C. Malpass

Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, the Board of Catholic Investment Services, Inc. (investment advisor), and the Board of Superintendence of the Institute for the Works of Religion; Chairman of the Board of TIFF Advisory Services, Inc. (investment advisor).

André F. Perold

Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.

Peter F. Volanakis

Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).

Executive Officers

Glenn Booraem

Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017), Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.

Thomas J. Higgins

Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).

Peter Mahoney

Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).

Anne E. Robinson

Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).

Michael Rollings

Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Director of Vanguard Marketing Corporation; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).

Vanguard Senior Management Team
Mortimer J. Buckley James M. Norris
John James Thomas M. Rampulla
Martha G. King Glenn W. Reed
John T. Marcante Karin A. Risi
Chris D. McIsaac  
 
Chairman Emeritus and Senior Advisor
John J. Brennan  
Chairman, 1996–2009  
Chief Executive Officer and President, 1996–2008
 
Founder  
John C. Bogle  
Chairman and Chief Executive Officer, 1974–1996

 

1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.


 

 

  P.O. Box 2600
  Valley Forge, PA 19482-2600
 
 
 
Connect with Vanguard® > vanguard.com
 
 
 
Fund Information > 800-662-7447  
 
Direct Investor Account Services > 800-662-2739 London Stock Exchange Group companies include
Institutional Investor Services > 800-523-1036 FTSE International Limited (”FTSE”), Frank Russell
  Company (”Russell”), MTS Next Limited (”MTS”), and
Text Telephone for People FTSE TMX Global Debt Capital Markets Inc. (”FTSE
Who Are Deaf or Hard of Hearing> 800-749-7273 TMX”). All rights reserved. ”FTSE®”, ”Russell®”,
This material may be used in conjunction ”MTS®”, ”FTSE TMX®” and ”FTSE Russell” and other
  service marks and trademarks related to the FTSE or
with the offering of shares of any Vanguard Russell indexes are trademarks of the London Stock
fund only if preceded or accompanied by Exchange Group companies and are used by FTSE,
the fund’s current prospectus. MTS, FTSE TMX and Russell under licence. All
  information is provided for information purposes only.
All comparative mutual fund data are from Lipper, a No responsibility or liability can be accepted by the
Thomson Reuters Company, or Morningstar, Inc., unless London Stock Exchange Group companies nor its
otherwise noted. licensors for any errors or for any loss from use of this
You can obtain a free copy of Vanguard’s proxy voting publication. Neither the London Stock Exchange
guidelines by visiting vanguard.com/proxyreporting or by Group companies nor any of its licensors make any
calling Vanguard at 800-662-2739. The guidelines are claim, prediction, warranty or representation
also available from the SEC’s website, sec.gov. In whatsoever, expressly or impliedly, either as to the
addition, you may obtain a free report on how your fund results to be obtained from the use of the FTSE
voted the proxies for securities it owned during the 12 Indexes or the fitness or suitability of the Indexes for
months ended June 30. To get the report, visit either any particular purpose to which they might be put.
vanguard.com/proxyreporting or sec.gov. The Industry Classification Benchmark (”ICB”) is
  owned by FTSE. FTSE does not accept any liability to
You can review and copy information about your fund at any person for any loss or damage arising out of any
the SEC’s Public Reference Room in Washington, D.C. To error or omission in the ICB.
find out more about this public service, call the SEC at  
202-551-8090. Information about your fund is also  
available on the SEC’s website, and you can receive  
copies of this information, for a fee, by sending a  
request in either of two ways: via email addressed to  
publicinfo@sec.gov or via regular mail addressed to the  
Public Reference Section, Securities and Exchange  
Commission, Washington, DC 20549-1520.  
  © 2017 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
 
  Q1272 082017

 


Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.

Item 3: Audit Committee Financial Expert.

Not Applicable.

Item 4: Principal Accountant Fees and Services.

(a) Audit Fees.

Not Applicable.

Item 5: Audit Committee of Listed Registrants.

Not Applicable.

Item 6: Investments.


Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
 
Common Stocks (99.3%)1    
Australia (6.1%)    
  Commonwealth Bank of Australia 8,427,073 536,102
  Westpac Banking Corp. 16,351,356 382,852
  Australia & New Zealand Banking Group Ltd. 14,302,485 315,682
  National Australia Bank Ltd. 13,021,921 296,230
  BHP Billiton Ltd. 15,657,226 279,075
  CSL Ltd. 2,213,261 234,894
  Wesfarmers Ltd. 5,499,710 169,584
  Woolworths Ltd. 6,277,041 123,213
  Macquarie Group Ltd. 1,498,004 101,871
  Rio Tinto Ltd. 2,066,060 100,408
  Transurban Group 9,937,493 90,505
  Woodside Petroleum Ltd. 3,569,562 81,883
  Scentre Group 24,894,811 77,401
  Suncorp Group Ltd. 6,237,540 71,046
  Amcor Ltd. 5,620,823 70,023
  Telstra Corp. Ltd. 20,278,341 67,003
  AGL Energy Ltd. 3,286,374 64,402
  QBE Insurance Group Ltd. 6,671,113 60,551
  Insurance Australia Group Ltd. 11,526,350 60,072
  Newcrest Mining Ltd. 3,733,967 57,951
  Brambles Ltd. 7,733,422 57,828
  Westfield Corp. 9,368,971 57,785
  AMP Ltd. 14,242,841 56,833
  Aristocrat Leisure Ltd. 3,089,873 53,569
  South32 Ltd. 25,971,782 53,489
  Goodman Group 8,607,241 52,021
* Origin Energy Ltd. 8,528,851 44,970
  Aurizon Holdings Ltd. 9,588,853 39,496
  Stockland 11,656,730 39,201
  ASX Ltd. 940,580 38,753
  APA Group 5,405,744 38,090
  Sonic Healthcare Ltd. 2,013,806 37,495
  Treasury Wine Estates Ltd. 3,594,793 36,351
  Dexus 4,931,430 35,904
  Ramsay Health Care Ltd. 630,583 35,680
  LendLease Group 2,730,723 34,950
  James Hardie Industries plc 2,143,938 33,788
  Cochlear Ltd. 274,923 32,836
  GPT Group 8,721,331 32,077
  Vicinity Centres 15,920,630 31,415
  Fortescue Metals Group Ltd. 7,814,042 31,280
  Caltex Australia Ltd. 1,267,620 30,782
  Boral Ltd. 5,699,863 30,433
  Oil Search Ltd. 5,710,557 29,904
  Mirvac Group 17,921,094 29,305
  Sydney Airport 5,355,680 29,174
  Medibank Pvt Ltd. 13,480,776 29,026
  Orica Ltd. 1,819,977 28,921
  Challenger Ltd. 2,766,895 28,376
  BlueScope Steel Ltd. 2,783,746 28,183
  Computershare Ltd. 2,358,100 25,627
  SEEK Ltd. 1,722,063 22,379
  Incitec Pivot Ltd. 8,110,700 21,274
* Santos Ltd. 8,822,486 20,520
  Tatts Group Ltd. 6,294,997 20,222
  Bendigo & Adelaide Bank Ltd. 2,291,976 19,511
  Qantas Airways Ltd. 4,403,004 19,354
  Coca-Cola Amatil Ltd. 2,660,529 18,880
  Alumina Ltd. 12,164,616 17,917
  Crown Resorts Ltd. 1,837,490 17,342
  Bank of Queensland Ltd. 1,924,024 16,928

 

1


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Star Entertainment Grp Ltd. 4,097,748 15,905
  ALS Ltd. 2,532,914 14,499
  Healthscope Ltd. 8,474,673 14,403
  Downer EDI Ltd. 2,892,598 14,249
  Link Administration Holdings Ltd. 2,346,045 14,245
  Magellan Financial Group Ltd. 641,105 14,212
  CIMIC Group Ltd. 470,633 14,043
  Tabcorp Holdings Ltd. 4,104,129 13,784
  Iluka Resources Ltd. 2,057,539 13,723
  Ansell Ltd. 729,894 13,311
  REA Group Ltd. 260,139 13,272
  Orora Ltd. 5,864,986 12,889
  Domino's Pizza Enterprises Ltd. 306,424 12,262
  AusNet Services 8,967,752 11,957
  Qube Holdings Ltd. 5,819,280 11,765
  IOOF Holdings Ltd. 1,501,625 11,313
  Macquarie Atlas Roads Group 2,507,062 10,812
  DuluxGroup Ltd. 2,021,301 10,781
  Northern Star Resources Ltd. 2,843,426 10,403
  JB Hi-Fi Ltd. 571,233 10,260
  Adelaide Brighton Ltd. 2,324,483 10,055
  Perpetual Ltd. 228,619 9,813
  nib holdings Ltd. 2,202,186 9,731
  Fairfax Media Ltd. 11,489,525 9,717
  Charter Hall Group 2,295,646 9,698
  carsales.com Ltd. 1,086,026 9,620
  Investa Office Fund 2,816,743 9,497
  Sims Metal Management Ltd. 813,988 9,477
  Evolution Mining Ltd. 5,042,718 9,360
* Metcash Ltd. 4,966,575 9,162
  BT Investment Management Ltd. 1,040,842 9,109
  GrainCorp Ltd. Class A 1,192,493 8,681
  Flight Centre Travel Group Ltd. 290,929 8,564
  OZ Minerals Ltd. 1,484,090 8,448
  CSR Ltd. 2,500,165 8,126
*,^ WorleyParsons Ltd. 916,047 7,893
  Vocus Group Ltd. 3,044,338 7,883
  Harvey Norman Holdings Ltd. 2,643,235 7,762
  TPG Telecom Ltd. 1,751,755 7,674
* Whitehaven Coal Ltd. 3,348,824 7,386
  InvoCare Ltd. 635,099 7,175
  IRESS Ltd. 720,022 7,022
  Primary Health Care Ltd. 2,487,078 6,956
  Nufarm Ltd. 925,719 6,850
  Corporate Travel Management Ltd. 382,246 6,740
  Regis Resources Ltd. 2,294,198 6,677
  Shopping Centres Australasia Property Group 3,967,011 6,673
*,^ Mayne Pharma Group Ltd. 7,242,430 6,040
  Bapcor Ltd. 1,425,400 6,015
  Mineral Resources Ltd. 711,595 5,930
  Washington H Soul Pattinson & Co. Ltd. 457,105 5,857
  Charter Hall Retail REIT 1,865,128 5,831
^ Independence Group NL 2,385,737 5,771
  G8 Education Ltd. 1,950,374 5,412
* St. Barbara Ltd. 2,353,445 5,273
  Navitas Ltd. 1,394,746 5,198
  BWP Trust 2,261,020 5,177
  Cleanaway Waste Management Ltd. 4,886,951 5,164
  Breville Group Ltd. 622,797 5,002
  Cromwell Property Group 6,815,722 4,976
  Super Retail Group Ltd. 752,892 4,745
^ Blackmores Ltd. 61,920 4,562
  Spotless Group Holdings Ltd. 5,150,523 4,549
  Monadelphous Group Ltd. 417,405 4,486

 

2


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Costa Group Holdings Ltd. 1,193,352 4,452
  Steadfast Group Ltd. 2,174,794 4,444
^ Reliance Worldwide Corp. Ltd. 1,728,984 4,440
2 MYOB Group Ltd. 1,649,359 4,333
  Aveo Group 1,984,187 4,243
* NEXTDC Ltd. 1,158,990 4,016
  Webjet Ltd. 419,396 3,981
  GUD Holdings Ltd. 398,164 3,950
^ Platinum Asset Management Ltd. 1,084,717 3,859
  Abacus Property Group 1,509,163 3,758
  Pact Group Holdings Ltd. 814,896 3,751
^ ARB Corp. Ltd. 308,006 3,719
  Premier Investments Ltd. 371,960 3,623
  Seven Group Holdings Ltd. 422,422 3,554
  Eclipx Group Ltd. 1,264,678 3,471
* Sigma Healthcare Ltd. 5,040,589 3,467
  Southern Cross Media Group Ltd. 3,590,776 3,435
  Viva Energy REIT 1,932,982 3,371
* Saracen Mineral Holdings Ltd. 3,714,501 3,345
  Altium Ltd. 502,430 3,309
  Mantra Group Ltd. 1,369,540 3,210
  Sandfire Resources NL 733,812 3,185
  Nine Entertainment Co. Holdings Ltd. 2,977,268 3,156
^ Ardent Leisure Group 2,173,689 3,141
  Automotive Holdings Group Ltd. 1,193,387 3,073
  Charter Hall Long Wale REIT 964,023 3,061
* SpeedCast International Ltd. 1,035,628 3,042
  Brickworks Ltd. 285,897 3,030
  Technology One Ltd. 680,181 3,010
  Bega Cheese Ltd. 600,892 3,007
  Beach Energy Ltd. 6,808,721 3,005
*,^ Australian Agricultural Co. Ltd. 2,100,453 2,995
  GWA Group Ltd. 1,233,793 2,986
  Sirtex Medical Ltd. 230,559 2,880
  McMillan Shakespeare Ltd. 270,097 2,782
  APN Outdoor Group Ltd. 751,346 2,777
  Australian Pharmaceutical Industries Ltd. 1,895,553 2,774
* HT&E Ltd. 1,356,966 2,753
  Genworth Mortgage Insurance Australia Ltd. 1,181,514 2,659
^ Retail Food Group Ltd. 735,061 2,655
^ National Storage REIT 2,284,194 2,651
  Growthpoint Properties Australia Ltd. 1,085,199 2,620
  Credit Corp. Group Ltd. 189,956 2,589
  Estia Health Ltd. 1,101,605 2,582
  Resolute Mining Ltd. 2,704,582 2,481
*,^ Syrah Resources Ltd. 1,157,116 2,464
*,^ Orocobre Ltd. 920,609 2,457
^ IPH Ltd. 661,464 2,439
^ Myer Holdings Ltd. 3,722,191 2,389
  Seven West Media Ltd. 4,280,764 2,352
  Tassal Group Ltd. 798,465 2,338
*,^ Aconex Ltd. 803,991 2,305
*,^ Galaxy Resources Ltd. 1,797,854 2,286
  IDP Education Ltd. 584,219 2,285
  oOh!media Ltd. 705,946 2,235
* Inghams Group Ltd. 859,992 2,227
  Folkestone Education Trust 1,026,789 2,203
  SmartGroup Corp. Ltd. 394,885 2,176
* Nanosonics Ltd. 1,096,498 2,141
*,^ Mesoblast Ltd. 1,334,540 2,133
  Collins Foods Ltd. 467,417 2,120
*,^ Gold Road Resources Ltd. 3,935,170 2,030
* Elders Ltd. 489,195 2,012
*,^ Western Areas Ltd. 1,237,402 2,007

 

3


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Asaleo Care Ltd. 1,776,570 2,006
  Gateway Lifestyle 1,317,459 1,973
  Arena REIT 1,137,252 1,966
  Regis Healthcare Ltd. 648,609 1,960
  WiseTech Global Ltd. 355,307 1,889
  FlexiGroup Ltd. 1,331,227 1,866
  Centuria Industrial REIT 957,544 1,817
  Ingenia Communities Group 909,802 1,817
  Programmed Maintenance Services Ltd. 1,263,462 1,811
* Blue Sky Alternative Investments Ltd. 245,315 1,790
  Japara Healthcare Ltd. 1,100,088 1,776
*,^ Pilbara Minerals Ltd. 6,069,105 1,772
  BWX Ltd. 391,830 1,772
  Bellamy's Australia Ltd. 331,515 1,761
^ Greencross Ltd. 362,801 1,687
^ Tox Free Solutions Ltd. 889,414 1,640
* Infigen Energy 2,898,929 1,626
  WPP AUNZ Ltd. 1,655,934 1,590
  SG Fleet Group Ltd. 523,272 1,529
  GDI Property Group 1,928,027 1,519
* Superloop Ltd. 745,504 1,467
*,^ Lynas Corp. Ltd. 17,970,559 1,450
* RCR Tomlinson Ltd. 547,945 1,438
  Hotel Property Investments 616,999 1,423
  SeaLink Travel Group Ltd. 445,503 1,394
^ Village Roadshow Ltd. 440,566 1,371
  OFX Group Ltd. 1,098,306 1,358
^ Select Harvests Ltd. 358,036 1,348
^ iSentia Group Ltd. 805,041 1,330
*,^ Cardno Ltd. 1,419,488 1,330
^ Ainsworth Game Technology Ltd. 780,061 1,295
  Astro Japan Property Group 255,550 1,247
*,^ Senex Energy Ltd. 5,608,613 1,185
  MACA Ltd. 928,878 1,178
  Cedar Woods Properties Ltd. 292,689 1,172
^ RCG Corp. Ltd. 1,714,536 1,133
*,^ Highfield Resources Ltd. 1,506,420 1,113
*,^ Perseus Mining Ltd. 4,879,902 1,089
  Virtus Health Ltd. 260,295 1,075
*,^ Starpharma Holdings Ltd. 1,831,408 1,028
*,^ Karoon Gas Australia Ltd. 1,043,199 1,025
  Cabcharge Australia Ltd. 514,822 1,001
*,^ Liquefied Natural Gas Ltd. 2,276,091 970
* AWE Ltd. 2,639,325 902
  Thorn Group Ltd. 817,872 893
*,^ Beadell Resources Ltd. 5,335,180 884
* Mount Gibson Iron Ltd. 2,792,778 707
  CSG Ltd. 986,910 565
  ERM Power Ltd. 590,198 542
  Cash Converters International Ltd. 2,154,899 522
*,^ Vita Group Ltd. 555,897 474
  NZME Ltd. 638,779 437
^ Reject Shop Ltd. 122,616 392
  SMS Management & Technology Ltd. 249,012 344
  Decmil Group Ltd. 477,455 341
* Quintis Ltd. 1,474,169 334
*,^ Billabong International Ltd. 513,757 292
* Watpac Ltd. 571,456 248
* MMA Offshore Ltd. 1,869,821 223
*,^ Paladin Energy Ltd. 6,058,533 219
*,^ Arrium Ltd. 8,838,238 149
*,^ Ten Network Holdings Ltd. 1,142,310 140
      5,436,261

 

4


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
Austria (0.3%)    
  Erste Group Bank AG 1,395,940 53,471
  OMV AG 696,728 36,190
  voestalpine AG 552,085 25,733
  ANDRITZ AG 351,043 21,179
* Raiffeisen Bank International AG 640,875 16,177
  BUWOG AG 520,020 14,931
  Wienerberger AG 584,221 13,291
  Lenzing AG 64,673 11,583
^ IMMOFINANZ AG 4,566,574 10,447
  CA Immobilien Anlagen AG 357,469 8,726
  Oesterreichische Post AG 174,356 7,576
  Telekom Austria AG Class A 658,232 5,183
  Vienna Insurance Group AG Wiener Versicherung Gruppe 179,918 5,078
  Mayr Melnhof Karton AG 37,890 4,956
  UNIQA Insurance Group AG 515,373 4,807
  RHI AG 118,209 4,384
  S IMMO AG 250,961 3,643
  Verbund AG 181,198 3,456
* Schoeller-Bleckmann Oilfield Equipment AG 52,397 3,433
  Strabag SE 75,776 3,283
  Zumtobel Group AG 128,490 2,389
  Palfinger AG 49,109 2,291
  DO & CO AG 31,877 2,249
  EVN AG 138,901 2,076
  Flughafen Wien AG 46,139 1,751
  Porr AG 41,705 1,318
^ Semperit AG Holding 44,830 1,308
  Kapsch TrafficCom AG 22,770 1,218
      272,127
Belgium (1.1%)    
  Anheuser-Busch InBev SA/NV 3,702,853 408,976
  KBC Group NV 1,337,288 101,392
  Solvay SA Class A 341,173 45,789
  UCB SA 587,942 40,437
  Ageas 957,358 38,554
  Groupe Bruxelles Lambert SA 365,913 35,220
  Umicore SA 451,411 31,401
  Proximus SADP 691,435 24,200
  Ackermans & van Haaren NV 115,645 19,308
  Colruyt SA 319,404 16,823
* Telenet Group Holding NV 241,750 15,229
  Ontex Group NV 393,546 13,981
  Cofinimmo SA 104,103 12,800
  bpost SA 490,450 11,846
  Sofina SA 71,545 10,276
  Warehouses De Pauw CVA 88,571 9,308
  KBC Ancora 180,232 8,816
  Bekaert SA 165,032 8,396
  Elia System Operator SA/NV 146,725 8,304
  Melexis NV 94,516 7,761
  Aedifica SA 78,576 6,853
  Gimv NV 109,351 6,623
  Befimmo SA 90,162 5,360
  D'ieteren SA/NV 114,476 5,349
  Ion Beam Applications 92,690 5,109
* Econocom Group SA/NV 592,140 4,950
  Euronav NV 615,968 4,870
  Cie d'Entreprises CFE 33,867 4,799
* Tessenderlo Chemie NV (Voting Shares) 111,016 4,774
  Barco NV 40,088 4,115
* AGFA-Gevaert NV 803,244 3,908
  Kinepolis Group NV 60,003 3,331
  Orange Belgium SA 125,672 2,941

 

5


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  EVS Broadcast Equipment SA 56,986 2,291
*,^ Nyrstar (Voting Shares) 349,571 2,132
  Van de Velde NV 28,460 1,523
  Wereldhave Belgium NV 8,838 1,009
      938,754
Canada (8.2%)    
  Royal Bank of Canada 7,189,431 522,021
  Toronto-Dominion Bank 9,034,454 455,276
  Bank of Nova Scotia 5,875,699 353,457
  Enbridge Inc. 7,947,013 316,581
  Canadian National Railway Co. 3,677,163 298,358
  Suncor Energy Inc. 8,111,232 236,995
  Bank of Montreal 3,157,602 231,853
  TransCanada Corp. 4,201,736 200,302
  Manulife Financial Corp. 9,586,555 179,711
  Canadian Imperial Bank of Commerce 2,111,697 171,616
  Brookfield Asset Management Inc. Class A 4,134,762 162,259
  Canadian Natural Resources Ltd. 5,304,172 153,055
  Canadian Pacific Railway Ltd. 702,065 112,960
  Sun Life Financial Inc. 2,969,766 106,168
  Alimentation Couche-Tard Inc. Class B 1,985,244 95,159
  Barrick Gold Corp. 5,673,908 90,263
  Rogers Communications Inc. Class B 1,760,550 83,154
  Magna International Inc. 1,762,157 81,626
  Restaurant Brands International Inc. 1,107,401 69,289
  National Bank of Canada 1,644,281 69,141
  Potash Corp. of Saskatchewan Inc. 4,073,792 66,441
  Fortis Inc. 1,880,839 66,108
  Thomson Reuters Corp. 1,398,359 64,742
^ BCE Inc. 1,431,136 64,450
* CGI Group Inc. Class A 1,250,294 63,884
^ Pembina Pipeline Corp. 1,925,340 63,767
  Franco-Nevada Corp. 855,557 61,732
  Agrium Inc. 674,931 61,170
  Loblaw Cos. Ltd. 1,033,052 57,468
  Goldcorp Inc. 4,161,569 53,656
  Agnico Eagle Mines Ltd. 1,120,687 50,538
  Constellation Software Inc. 96,596 50,533
  Dollarama Inc. 510,642 48,792
  Intact Financial Corp. 638,158 48,206
  Fairfax Financial Holdings Ltd. 109,817 47,593
  Shaw Communications Inc. Class B 2,049,691 44,715
  Waste Connections Inc. (New York Shares) 663,400 42,736
  Wheaton Precious Metals Corp. 2,138,616 42,482
  Power Corp. of Canada 1,831,468 41,776
  Encana Corp. 4,741,802 41,721
  Teck Resources Ltd. Class B 2,288,369 39,669
  Open Text Corp. 1,255,178 39,616
  Waste Connections Inc. 613,749 39,533
  Imperial Oil Ltd. 1,276,567 37,210
  Great-West Lifeco Inc. 1,369,303 37,115
  Metro Inc. 1,125,362 37,038
  Canadian Tire Corp. Ltd. Class A 323,381 36,797
  Cenovus Energy Inc. 4,955,917 36,535
  Inter Pipeline Ltd. 1,793,492 35,129
  CCL Industries Inc. Class B 683,480 34,580
  Saputo Inc. 1,083,212 34,456
  Gildan Activewear Inc. 1,119,394 34,398
  TELUS Corp. 950,729 32,822
  SNC-Lavalin Group Inc. 734,193 31,744
  Onex Corp. 396,227 31,718
^ Power Financial Corp. 1,154,690 29,624
  RioCan REIT 1,563,055 29,012
  Keyera Corp. 901,326 28,371

 

6


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
*,^ Valeant Pharmaceuticals International Inc. 1,629,657 28,325
  First Quantum Minerals Ltd. 3,339,640 28,251
* Tourmaline Oil Corp. 1,212,974 26,078
*,^ BlackBerry Ltd. 2,574,776 25,732
* Seven Generations Energy Ltd. Class A 1,454,474 24,910
  CI Financial Corp. 1,162,452 24,777
* Kinross Gold Corp. 6,056,496 24,613
2 Hydro One Ltd. 1,372,162 24,580
^ PrairieSky Royalty Ltd. 1,035,674 23,584
  H&R REIT 1,369,863 23,261
  Industrial Alliance Insurance & Financial Services Inc. 521,182 22,611
  ARC Resources Ltd. 1,725,881 22,572
  CAE Inc. 1,303,136 22,469
  George Weston Ltd. 245,132 22,190
^ Veresen Inc. 1,527,670 21,605
^ WSP Global Inc. 489,462 20,310
  Crescent Point Energy Corp. 2,636,249 20,166
  Canadian Utilities Ltd. Class A 606,611 19,492
  Methanex Corp. 439,025 19,382
^ Algonquin Power & Utilities Corp. 1,806,726 19,017
^ AltaGas Ltd. 817,317 18,706
  Lundin Mining Corp. 3,088,473 17,552
^ Cameco Corp. 1,916,443 17,453
* Bombardier Inc. Class B 9,352,958 17,021
^ West Fraser Timber Co. Ltd. 359,394 17,011
^ Canadian Apartment Properties REIT 656,807 17,003
* Husky Energy Inc. 1,468,496 16,669
^ Vermilion Energy Inc. 506,990 16,084
  Finning International Inc. 816,657 16,008
  Ritchie Bros Auctioneers Inc. 513,693 14,760
  Atco Ltd. 373,606 14,609
  TMX Group Ltd. 260,811 14,191
^ Peyto Exploration & Development Corp. 776,056 14,075
  Empire Co. Ltd. 819,492 13,978
  IGM Financial Inc. 444,969 13,801
  Smart REIT 550,050 13,624
^ Stantec Inc. 539,436 13,582
  Cineplex Inc. 330,533 13,473
  Quebecor Inc. Class B 404,040 13,372
  Toromont Industries Ltd. 362,847 13,358
^ Enbridge Income Fund Holdings Inc. 530,926 13,179
* B2Gold Corp. 4,636,321 13,050
  Allied Properties REIT 432,927 12,993
  Canadian REIT 366,878 12,977
^ Element Fleet Management Corp. 1,878,779 12,894
  Tahoe Resources Inc. 1,479,250 12,753
^ Whitecap Resources Inc. 1,758,443 12,556
* Turquoise Hill Resources Ltd. 4,716,840 12,549
  Pan American Silver Corp. 722,913 12,158
* IAMGOLD Corp. 2,252,450 11,620
^ Chartwell Retirement Residences 970,137 11,588
  Linamar Corp. 232,304 11,450
  Yamana Gold Inc. 4,588,213 11,074
^ Parkland Fuel Corp. 477,756 10,946
*,^ Amaya Inc. 592,519 10,591
^ First Capital Realty Inc. 686,692 10,463
^ New Flyer Industries Inc. 250,148 10,463
  Alamos Gold Inc. Class A 1,447,118 10,266
  FirstService Corp. 159,144 10,212
* Detour Gold Corp. 850,531 9,956
  Maple Leaf Foods Inc. 388,974 9,820
^ Cott Corp. 675,822 9,761
  Colliers International Group Inc. 170,547 9,640
  Premium Brands Holdings Corp. 134,022 9,616

 

7


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
^ Northland Power Inc. 539,548 9,611
  TFI International Inc. 444,753 9,593
*,^ Ivanhoe Mines Ltd. 2,983,007 9,592
  Enerplus Corp. 1,175,918 9,539
* Descartes Systems Group Inc. 390,929 9,511
  MacDonald Dettwiler & Associates Ltd. 181,801 9,460
  Emera Inc. 253,098 9,409
^ Canadian Western Bank 445,410 9,404
  Granite REIT 235,105 9,299
^ Gibson Energy Inc. 717,424 9,272
  Eldorado Gold Corp. 3,469,165 9,203
  Cominar REIT 927,490 9,090
  TransAlta Corp. 1,404,724 8,980
^ Capital Power Corp. 477,836 8,961
  OceanaGold Corp. 2,972,042 8,961
* New Gold Inc. 2,785,357 8,849
* Celestica Inc. 612,417 8,321
* Parex Resources Inc. 729,305 8,295
^ Artis REIT 810,698 8,190
^ Dream Office REIT 537,316 8,100
  Enercare Inc. 509,426 7,747
^ Laurentian Bank of Canada 183,877 7,681
* Torex Gold Resources Inc. 390,246 7,442
^ Stella-Jones Inc. 213,726 7,295
* Pretium Resources Inc. 739,981 7,110
^ Boardwalk REIT 191,697 7,029
  ShawCor Ltd. 337,446 6,891
* Raging River Exploration Inc. 1,095,473 6,834
  Corus Entertainment Inc. Class B 643,861 6,767
*,^ First Majestic Silver Corp. 807,801 6,703
  Winpak Ltd. 149,077 6,693
  Hudbay Minerals Inc. 1,148,416 6,642
  Norbord Inc. 212,670 6,621
^ Osisko Gold Royalties Ltd. 530,201 6,480
  Enerflex Ltd. 445,621 6,467
* Advantage Oil & Gas Ltd. 954,815 6,457
^ Superior Plus Corp. 722,493 6,363
^ Innergex Renewable Energy Inc. 576,557 6,340
^ Mullen Group Ltd. 504,752 6,228
  Russel Metals Inc. 310,936 6,224
^ North West Co. Inc. 255,145 6,150
^ Transcontinental Inc. Class A 309,856 6,141
  Jean Coutu Group PJC Inc. Class A 390,167 5,987
  Centerra Gold Inc. 1,075,714 5,873
* Endeavour Mining Corp. 330,063 5,696
  ECN Capital Corp. 1,814,800 5,598
* Silver Standard Resources Inc. 571,499 5,548
  CES Energy Solutions Corp. 1,199,864 5,348
* Canfor Corp. 349,900 5,286
^ TransAlta Renewables Inc. 434,909 5,252
^ Secure Energy Services Inc. 768,466 5,244
^ Genworth MI Canada Inc. 190,500 5,241
*,^ NovaGold Resources Inc. 1,155,796 5,241
* Precision Drilling Corp. 1,455,066 4,971
  Dominion Diamond Corp. 388,792 4,893
^ Pason Systems Inc. 328,000 4,892
* Great Canadian Gaming Corp. 263,800 4,858
  Birchcliff Energy Ltd. 1,018,114 4,797
*,^ ProMetic Life Sciences Inc. 3,557,694 4,609
* Gran Tierra Energy Inc. 1,990,614 4,421
^ Hudson's Bay Co. 486,250 4,338
  Westshore Terminals Investment Corp. 265,948 4,309
  Cascades Inc. 315,600 4,305
* Air Canada Class B 318,900 4,274

 

8


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
* Sierra Wireless Inc. 147,700 4,148
^ Home Capital Group Inc. Class B 308,679 4,044
* NuVista Energy Ltd. 799,800 4,040
^ Northview Apartment REIT 244,700 3,970
* ATS Automation Tooling Systems Inc. 373,600 3,829
* Paramount Resources Ltd. Class A 255,600 3,763
* SEMAFO Inc. 1,573,767 3,629
  Enghouse Systems Ltd. 88,300 3,578
*,^ MEG Energy Corp. 1,212,962 3,564
^ Extendicare Inc. 426,800 3,406
  Nevsun Resources Ltd. 1,406,595 3,395
* Kelt Exploration Ltd. 700,800 3,394
  Aecon Group Inc. 263,300 3,277
  Martinrea International Inc. 391,500 3,197
  Dorel Industries Inc. Class B 119,900 3,187
* Obsidian Energy Ltd. 2,465,689 3,099
  Ensign Energy Services Inc. 578,400 3,091
  Cogeco Communications Inc. 49,100 2,999
^ TORC Oil & Gas Ltd. 720,782 2,818
  Fortis Inc. (New York Shares) 76,492 2,689
  Just Energy Group Inc. 502,300 2,634
*,^ Baytex Energy Corp. 1,083,218 2,631
* Alacer Gold Corp. 1,359,400 2,180
* Crew Energy Inc. 701,200 2,168
^ Bonterra Energy Corp. 146,175 1,887
^ AutoCanada Inc. 118,925 1,750
*,^ Pengrowth Energy Corp. 2,197,200 1,728
*,^ China Gold International Resources Corp. Ltd. 1,098,700 1,678
  Morguard REIT 146,700 1,641
*,^ Athabasca Oil Corp. 1,872,686 1,459
^ First National Financial Corp. 68,192 1,428
  Canadian Pacific Railway Ltd. 8,100 1,303
^ Sprott Inc. 652,601 1,147
  Aimia Inc. 698,450 932
* Trisura Group Ltd. 24,889 417
* Osisko Gold Royalties Warrants Exp. 02/26/2019 3,963 8
      7,274,985
Denmark (1.5%)    
  Novo Nordisk A/S Class B 8,710,042 374,247
  Danske Bank A/S 3,329,527 128,097
  Vestas Wind Systems A/S 1,017,267 93,962
  AP Moller - Maersk A/S Class B 29,927 60,258
* Genmab A/S 267,736 57,087
  DSV A/S 896,555 55,070
  Carlsberg A/S Class B 512,353 54,753
  Coloplast A/S Class B 634,573 53,041
  Pandora A/S 509,141 47,515
  Novozymes A/S 1,065,634 46,621
  AP Moller - Maersk A/S Class A 22,781 43,468
  ISS A/S 899,487 35,333
2 DONG Energy A/S 719,196 32,462
  Chr Hansen Holding A/S 429,261 31,219
  TDC A/S 3,877,445 22,549
  GN Store Nord A/S 706,934 20,642
  Jyske Bank A/S 334,841 19,395
  H Lundbeck A/S 287,691 16,150
  FLSmidth & Co. A/S 238,039 15,042
* William Demant Holding A/S 558,581 14,453
  Sydbank A/S 346,679 13,067
  Tryg A/S 545,525 11,930
*,2 Nets A/S 589,419 11,721
  Royal Unibrew A/S 244,064 11,706
  SimCorp A/S 191,874 11,620
* NKT A/S 129,023 10,347

 

9


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
* Bavarian Nordic A/S 156,780 9,236
* Topdanmark A/S 258,216 8,246
  Ambu A/S Class B 124,668 8,037
  Dfds A/S 144,713 7,715
  Rockwool International A/S Class B 29,834 6,564
  Schouw & Co. AB 56,135 6,024
  Spar Nord Bank A/S 368,921 4,838
2 Scandinavian Tobacco Group A/S 278,432 4,533
  ALK-Abello A/S 27,500 4,104
* Bang & Olufsen A/S 165,645 2,773
  Alm Brand A/S 300,784 2,680
  Matas A/S 157,900 2,499
* D/S Norden A/S 116,970 2,129
  Solar A/S Class B 22,355 1,296
      1,362,429
Finland (1.0%)    
  Nokia Oyj 27,887,517 170,999
  Sampo Oyj Class A 2,285,625 117,266
  Kone Oyj Class B 1,847,063 93,970
  UPM-Kymmene Oyj 2,590,387 73,864
  Wartsila OYJ Abp 758,708 44,868
  Stora Enso Oyj 2,786,967 36,013
  Fortum Oyj 2,119,867 33,268
  Orion Oyj Class B 493,595 31,531
  Elisa Oyj 726,096 28,167
  Nokian Renkaat Oyj 654,721 27,101
  Neste Oyj 619,717 24,455
  Huhtamaki Oyj 505,451 19,905
  Metso Oyj 524,809 18,210
  Kesko Oyj Class B 328,205 16,695
  Amer Sports Oyj 573,961 14,356
  Valmet Oyj 663,540 12,893
  Cargotec Oyj Class B 202,398 12,839
  Konecranes Oyj Class B 295,948 12,530
  Outokumpu Oyj 1,471,334 11,741
  Tieto Oyj 366,276 11,331
  Metsa Board Oyj 895,740 6,502
  Sponda Oyj 1,030,641 5,966
  Cramo Oyj 189,014 5,658
  Citycon Oyj 1,908,204 5,007
*,^ Outotec Oyj 699,124 4,814
  Uponor Oyj 259,246 4,712
  YIT Oyj 560,090 4,685
  Kemira Oyj 360,452 4,556
* DNA Oyj 243,624 3,869
  Sanoma Oyj 392,480 3,667
*,^ Caverion Corp. 457,923 3,666
  Ramirent Oyj 305,474 3,082
  Oriola Oyj 588,285 2,462
  Raisio Oyj 567,230 2,358
  F-Secure Oyj 438,137 2,088
  Finnair Oyj 259,707 1,901
*,^ Stockmann OYJ Abp Class B 146,053 1,272
      878,267
France (8.0%)    
  TOTAL SA 10,726,901 532,560
  Sanofi 5,253,771 503,417
  BNP Paribas SA 5,254,634 378,296
  LVMH Moet Hennessy Louis Vuitton SE 1,211,653 302,981
  AXA SA 9,233,860 252,855
  Airbus SE 2,661,532 219,645
  Danone SA 2,765,799 207,595
  Schneider Electric SE 2,587,333 198,836
  Vinci SA 2,269,282 193,574

 

10


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Societe Generale SA 3,566,218 192,311
  L'Oreal SA 798,199 166,436
  Air Liquide SA 1,315,973 162,649
  Orange SA 9,264,231 147,440
^ Pernod Ricard SA 1,031,362 138,107
  Safran SA 1,439,221 131,986
  Cie de Saint-Gobain 2,408,975 128,652
  Essilor International SA 987,457 125,617
  Kering 361,582 123,123
  Vivendi SA 5,217,633 116,184
  Cie Generale des Etablissements Michelin 863,314 114,902
  Engie SA 7,543,573 113,861
  Legrand SA 1,288,915 90,071
  Capgemini SE 758,920 78,399
  Valeo SA 1,148,416 77,264
  L'Oreal SA Loyalty Line 368,925 76,926
^ Renault SA 837,189 75,745
  Publicis Groupe SA 999,322 74,483
  Credit Agricole SA 4,576,487 73,720
*,^ Christian Dior SE 248,917 71,175
  Air Liquide SA (Prime de fidelite) 545,732 67,450
^ Carrefour SA 2,606,586 65,900
  Atos SE 442,578 62,099
* TechnipFMC plc 2,253,510 60,949
  Sodexo SA 435,236 56,251
  Dassault Systemes SE 624,352 55,999
^ Hermes International 112,556 55,600
  Thales SA 491,708 52,920
  Veolia Environnement SA 2,377,346 50,297
  STMicroelectronics NV 3,044,724 43,782
  Klepierre 994,604 40,765
  Bouygues SA 966,625 40,724
  SES SA Class A 1,721,346 40,326
  Peugeot SA 2,013,562 40,130
^ Accor SA 845,173 39,646
  Arkema SA 345,457 36,892
* Teleperformance 278,411 35,698
  Eiffage SA 348,688 31,675
  SCOR SE 767,245 30,481
  Gecina SA 193,908 30,436
  Suez 1,640,533 30,377
  Edenred 1,121,825 29,263
  Bureau Veritas SA 1,258,033 27,847
  Natixis SA 4,143,667 27,815
  Iliad SA 115,440 27,282
* Alstom SA 750,979 26,228
  Eurofins Scientific SE 45,991 25,948
  Zodiac Aerospace 951,097 25,840
  Ingenico Group SA 266,287 24,149
  Groupe Eurotunnel SE 2,248,925 23,995
  Rexel SA 1,460,696 23,871
  SEB SA 131,026 23,518
  Ipsen SA 169,504 23,195
  Orpea 205,773 22,941
  Aeroports de Paris 140,234 22,605
  Bollore SA 4,797,555 21,814
  Eutelsat Communications SA 848,092 21,639
* Ubisoft Entertainment SA 373,548 21,207
  Wendel SA 142,353 21,055
  Rubis SCA 180,412 20,463
  Fonciere Des Regions 204,390 18,959
2 Elior Group 648,574 18,851
  Faurecia 361,852 18,350
2 Euronext NV 352,390 18,301

 

11


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  CNP Assurances 807,519 18,126
  Electricite de France SA 1,638,381 17,752
  Lagardere SCA 557,939 17,605
2 Amundi SA 240,937 17,457
  Eurazeo SA 217,046 16,288
  Casino Guichard Perrachon SA 266,892 15,807
  Imerys SA 178,310 15,521
* Credit Agricole SA Loyalty Line 951,298 15,324
  BioMerieux 69,302 15,007
  Societe BIC SA 125,809 14,939
  ICADE 176,618 14,817
  Dassault Aviation SA 10,529 14,714
  Remy Cointreau SA 119,310 13,907
  Altran Technologies SA 768,462 12,519
  Nexity SA 213,190 12,373
  SPIE SA 399,301 11,994
  JCDecaux SA 360,470 11,819
^ Elis SA 512,077 11,733
* SFR Group SA 342,411 11,573
  Alten SA 134,482 11,092
* Air France-KLM 727,697 10,388
  Cie Plastic Omnium SA 284,290 10,372
  Sopra Steria Group 63,612 10,152
  Sartorius Stedim Biotech 119,929 9,297
*,^ Vallourec SA 1,438,445 8,755
  Havas SA 825,752 8,696
  Euler Hermes Group 73,060 8,684
  Neopost SA 174,217 8,090
  Metropole Television SA 341,788 7,947
*,2 Maisons du Monde SA 202,793 7,882
  Technicolor SA 1,794,165 7,816
  SOITEC 123,169 7,526
* DBV Technologies SA 104,236 7,357
  Nexans SA 132,727 7,268
^ Korian SA 202,752 6,918
  Television Francaise 1 485,934 6,793
*,2 Worldline SA 197,055 6,758
  Tarkett SA 143,930 6,690
^ IPSOS 151,449 5,684
* Fnac Darty SA 65,978 5,348
  Vicat SA 73,887 5,206
2 Europcar Groupe SA 344,003 5,038
  Trigano SA 40,316 4,801
* Genfit 137,694 4,689
  Coface SA 431,756 4,320
  Mercialys SA 192,850 3,773
  Gaztransport Et Technigaz SA 87,955 3,515
* Virbac SA 20,731 3,328
  Derichebourg SA 375,925 3,176
  Beneteau SA 167,679 2,895
  Albioma SA 115,785 2,664
  FFP 26,018 2,648
  Electricite de France SA Loyalty Line 229,038 2,482
  Vilmorin & Cie SA 29,459 2,399
  Boiron SA 24,320 2,398
  Bonduelle SCA 62,306 2,337
  Rallye SA 105,259 2,168
  Guerbet 23,081 2,070
* Eramet 42,029 2,062
  Mersen SA 57,370 1,884
  Interparfums SA 48,836 1,850
  Direct Energie 28,973 1,756
  Manitou BF SA 54,089 1,684
  Jacquet Metal Service 59,909 1,587

 

12


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  GL Events 45,879 1,293
^ Bourbon Corp. 124,871 1,213
*,^ Parrot SA 88,746 954
* Etablissements Maurel et Prom 231,764 906
* Esso SA Francaise 12,795 846
* Haulotte Group SA 49,018 837
* Stallergenes Greer plc 13,945 601
  Union Financiere de France BQE SA 16,273 556
^ CGG SA 90,262 417
      7,099,484
Germany (7.8%)    
  Bayer AG 4,027,357 521,988
  Siemens AG 3,698,615 508,760
  SAP SE 4,410,720 461,677
  Allianz SE 2,212,242 436,569
  BASF SE 4,461,689 414,086
  Daimler AG 4,705,290 341,269
  Deutsche Telekom AG 15,483,446 279,089
  adidas AG 964,604 184,962
  Deutsche Bank AG 10,064,497 178,945
  Deutsche Post AG 4,653,066 174,668
  Linde AG 899,966 171,312
  Fresenius SE & Co. KGaA 1,965,246 168,723
  Bayerische Motoren Werke AG 1,578,473 146,810
  Volkswagen AG Preference Shares 896,710 136,978
  Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 676,153 136,822
  Infineon Technologies AG 5,506,640 116,964
  Continental AG 525,560 113,695
  Henkel AG & Co. KGaA Preference Shares 817,536 112,733
  Fresenius Medical Care AG & Co. KGaA 1,038,969 100,257
  Deutsche Boerse AG 908,108 95,924
  E.ON SE 10,038,061 94,759
  Vonovia SE 2,271,361 90,369
  Merck KGaA 628,034 75,991
  Henkel AG & Co. KGaA 595,737 72,164
  HeidelbergCement AG 720,637 69,858
  Deutsche Wohnen AG 1,718,454 65,847
* Commerzbank AG 5,051,854 60,324
  thyssenkrupp AG 2,064,215 58,830
  Beiersdorf AG 488,015 51,330
* RWE AG 2,340,624 46,756
  ProSiebenSat.1 Media SE 1,107,227 46,448
  Brenntag AG 751,531 43,584
  Porsche Automobil Holding SE Preference Shares 748,583 42,124
  Symrise AG 589,889 41,853
2 Covestro AG 542,011 39,293
* QIAGEN NV 1,086,504 36,152
^ Wirecard AG 557,171 35,539
  GEA Group AG 861,631 35,380
  Hannover Rueck SE 292,006 35,074
  MTU Aero Engines AG 247,273 34,936
  LANXESS AG 443,853 33,662
  United Internet AG 570,902 31,419
  OSRAM Licht AG 389,841 31,118
  LEG Immobilien AG 305,277 28,735
  METRO AG 803,579 27,147
  Deutsche Lufthansa AG 1,134,618 25,857
2 Innogy SE 631,203 24,842
  KION Group AG 317,888 24,316
^ K&S AG 927,009 23,810
*,2 Zalando SE 518,691 23,718
  Evonik Industries AG 739,941 23,682
  HUGO BOSS AG 313,469 21,975
  Volkswagen AG 138,508 21,513

 

13


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
^ STADA Arzneimittel AG 302,170 21,463
  Bayerische Motoren Werke AG Preference Shares 255,971 21,124
  Rheinmetall AG 207,690 19,769
  Fuchs Petrolub SE Preference Shares 357,486 19,484
  Freenet AG 605,644 19,322
  Uniper SE 962,877 18,093
  MAN SE 167,015 17,911
  HOCHTIEF AG 95,560 17,543
  Telefonica Deutschland Holding AG 3,328,816 16,647
  Sartorius AG Preference Shares 166,657 16,115
  Fraport AG Frankfurt Airport Services Worldwide 180,046 15,933
* Dialog Semiconductor plc 359,150 15,345
  RTL Group SA 188,697 14,256
  Duerr AG 117,872 14,028
  Axel Springer SE 225,508 13,565
  Aurubis AG 170,759 13,433
  Gerresheimer AG 158,506 12,757
^ Drillisch AG 208,481 12,576
  Aareal Bank AG 302,957 12,029
  TAG Immobilien AG 717,850 11,307
  CTS Eventim AG & Co. KGaA 253,557 11,227
  Hella KGaA Hueck & Co. 223,471 11,021
  Software AG 242,441 10,634
* MorphoSys AG 141,227 10,024
* Evotec AG 617,449 9,870
  Rational AG 17,877 9,533
  alstria office REIT-AG 702,810 9,505
  Fielmann AG 121,942 9,412
  Stabilus SA 120,842 9,392
  Deutsche EuroShop AG 236,166 9,318
  Jungheinrich AG Preference Shares 246,349 9,027
  TUI AG 619,859 9,007
  GRENKE AG 39,485 8,790
  Leoni AG 165,619 8,538
  Norma Group SE 163,116 8,486
^ Krones AG 71,458 8,284
  Bechtle AG 63,636 8,182
  Suedzucker AG 388,378 8,108
  Salzgitter AG 196,393 8,015
  Wacker Chemie AG 73,359 7,984
* Siltronic AG 89,466 7,601
^ Stroeer SE & Co. KGaA 125,614 7,543
*,2 Rocket Internet SE 335,744 7,234
  Indus Holding AG 101,626 7,209
  Talanx AG 188,253 7,042
  FUCHS PETROLUB SE 140,127 6,612
  TLG Immobilien AG 320,110 6,552
  Nemetschek SE 84,975 6,339
^ Bilfinger SE 161,209 6,328
2 Deutsche Pfandbriefbank AG 505,723 6,255
  Jenoptik AG 234,234 6,158
  CompuGroup Medical SE 105,193 5,901
  Carl Zeiss Meditec AG 112,573 5,855
2 ADO Properties SA 137,960 5,837
* zooplus AG 29,173 5,803
  Pfeiffer Vacuum Technology AG 36,309 5,321
  Schaeffler AG Preference Shares 361,259 5,183
* Sixt SE Preference Shares 102,614 5,092
*,2 Tele Columbus AG 449,597 4,973
  Puma SE 12,314 4,740
  DMG Mori AG 83,326 4,688
  RHOEN-KLINIKUM AG 139,249 4,068
  KWS Saat SE 10,333 4,063
  Kloeckner & Co. SE 369,375 3,896

 

14


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Takkt AG 150,815 3,767
* PATRIZIA Immobilien AG 193,479 3,659
*,^ Nordex SE 294,344 3,621
  Deutz AG 417,409 3,526
  Draegerwerk AG & Co. KGaA Preference Shares 33,454 3,525
* AIXTRON SE 499,018 3,511
* Sixt SE 57,299 3,467
  XING AG 12,853 3,430
*,^ Heidelberger Druckmaschinen AG 1,103,685 3,361
* Vossloh AG 50,663 3,261
*,^ SGL Carbon SE 253,823 3,160
  Wacker Neuson SE 116,840 2,839
^ ElringKlinger AG 133,571 2,561
  Diebold Nixdorf AG 30,363 2,500
  RWE AG Preference Shares 168,303 2,487
^ Bertrandt AG 23,739 2,380
* Biotest AG Preference Shares 93,860 2,361
  Deutsche Beteiligungs AG 50,587 2,256
*,2 Hapag-Lloyd AG 77,124 2,243
  BayWa AG 60,362 2,145
  Wuestenrot & Wuerttembergische AG 95,738 2,098
  Hamburger Hafen und Logistik AG 95,343 2,087
  DIC Asset AG 189,727 2,082
  comdirect bank AG 136,265 1,513
^ Gerry Weber International AG 130,112 1,502
  Draegerwerk AG & Co. KGaA 17,751 1,430
^ SMA Solar Technology AG 45,650 1,372
  Hornbach Baumarkt AG 32,566 1,176
*,^ Biotest AG 32,141 1,034
  CropEnergies AG 86,437 958
* H&R GmbH & Co. KGaA 64,990 907
      6,944,205
Hong Kong (3.2%)    
  AIA Group Ltd. 58,801,118 430,210
  CK Hutchison Holdings Ltd. 13,695,812 171,876
  Hong Kong Exchanges & Clearing Ltd. 5,918,050 152,889
  Cheung Kong Property Holdings Ltd. 13,346,446 104,440
  Sun Hung Kai Properties Ltd. 6,842,919 100,524
  CLP Holdings Ltd. 7,887,559 83,406
  BOC Hong Kong Holdings Ltd. 17,359,849 83,079
  Link REIT 10,764,753 81,888
  Hong Kong & China Gas Co. Ltd. 40,041,911 75,306
  Hang Seng Bank Ltd. 3,594,112 75,190
  Jardine Matheson Holdings Ltd. 993,078 63,752
  Galaxy Entertainment Group Ltd. 10,377,248 62,983
  Power Assets Holdings Ltd. 6,433,376 56,787
  Sands China Ltd. 11,730,289 53,696
  Wharf Holdings Ltd. 5,876,752 48,628
  AAC Technologies Holdings Inc. 3,382,148 42,247
  Hongkong Land Holdings Ltd. 5,705,953 41,991
2 WH Group Ltd. 40,402,661 40,797
  MTR Corp. Ltd. 6,758,739 38,034
  Jardine Strategic Holdings Ltd. 890,836 37,137
  New World Development Co. Ltd. 26,292,740 33,329
  Wheelock & Co. Ltd. 3,959,305 29,863
  Henderson Land Development Co. Ltd. 5,199,403 28,991
  Techtronic Industries Co. Ltd. 6,115,949 28,103
  China Mengniu Dairy Co. Ltd. 13,379,464 26,234
  Samsonite International SA 6,259,589 26,151
* CK Infrastructure Holdings Ltd. 3,059,071 25,697
  Hang Lung Properties Ltd. 9,868,484 24,663
  Bank of East Asia Ltd. 5,727,443 24,616
  Sino Land Co. Ltd. 14,889,751 24,395
  Swire Pacific Ltd. Class A 2,498,809 24,393

 

15


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Want Want China Holdings Ltd. 28,368,090 19,142
  Swire Properties Ltd. 5,392,590 17,776
  ASM Pacific Technology Ltd. 1,299,861 17,539
  Hang Lung Group Ltd. 4,195,000 17,357
  Wynn Macau Ltd. 7,091,241 16,559
* Semiconductor Manufacturing International Corp. 13,608,508 15,763
  Yue Yuen Industrial Holdings Ltd. 3,561,545 14,771
  Hysan Development Co. Ltd. 3,073,584 14,668
  Minth Group Ltd. 3,306,000 14,005
  NWS Holdings Ltd. 6,961,324 13,691
  VTech Holdings Ltd. 820,115 12,991
  PCCW Ltd. 20,509,278 11,656
  Hopewell Holdings Ltd. 3,010,687 11,467
* Tingyi Cayman Islands Holding Corp. 9,530,978 11,305
  Melco International Development Ltd. 3,865,460 10,342
  Li & Fung Ltd. 28,302,826 10,294
  Kerry Properties Ltd. 2,985,924 10,138
  SJM Holdings Ltd. 9,560,211 10,073
  Xinyi Glass Holdings Ltd. 9,917,077 9,816
  Shangri-La Asia Ltd. 5,591,753 9,484
  PRADA SPA 2,467,824 9,176
  Sun Art Retail Group Ltd. 11,510,383 9,162
  First Pacific Co. Ltd. 11,905,738 8,780
  Vitasoy International Holdings Ltd. 4,236,000 8,719
  Fortune REIT 6,943,000 8,618
  MGM China Holdings Ltd. 3,708,671 8,247
  Great Eagle Holdings Ltd. 1,482,688 7,538
* Orient Overseas International Ltd. 994,805 7,131
^ IGG Inc. 4,486,000 6,914
^ Haitong International Securities Group Ltd. 11,574,745 6,836
  Dah Sing Financial Holdings Ltd. 807,020 6,774
  Champion REIT 10,393,556 6,616
^ Kingston Financial Group Ltd. 17,576,000 6,347
  Man Wah Holdings Ltd. 7,057,200 6,335
  Cathay Pacific Airways Ltd. 4,064,101 6,308
  Johnson Electric Holdings Ltd. 1,633,364 5,677
2 BOC Aviation Ltd. 1,056,700 5,587
  Luk Fook Holdings International Ltd. 1,610,000 5,505
  Chow Tai Fook Jewellery Group Ltd. 4,998,417 5,296
  Nexteer Automotive Group Ltd. 3,342,000 5,235
  Television Broadcasts Ltd. 1,356,649 5,110
  Cafe de Coral Holdings Ltd. 1,536,690 4,978
  L'Occitane International SA 2,130,711 4,887
* Esprit Holdings Ltd. 8,758,803 4,665
  Uni-President China Holdings Ltd. 5,636,722 4,552
  SITC International Holdings Co. Ltd. 5,547,000 4,360
  FIH Mobile Ltd. 13,599,964 4,198
* Freeman FinTech Corp. Ltd. 62,655,077 4,173
* Shun Tak Holdings Ltd. 9,031,228 4,153
^ Xinyi Solar Holdings Ltd. 14,472,675 4,132
^ Value Partners Group Ltd. 4,409,000 4,013
  Shui On Land Ltd. 16,456,520 3,984
^ United Co. RUSAL plc 8,085,435 3,968
  Kerry Logistics Network Ltd. 2,664,362 3,937
  Dah Sing Banking Group Ltd. 1,827,784 3,891
* MMG Ltd. 10,535,576 3,886
* Pacific Basin Shipping Ltd. 17,475,000 3,851
*,^ Brightoil Petroleum Holdings Ltd. 13,955,536 3,771
  NagaCorp Ltd. 6,704,000 3,521
  China Travel International Investment Hong Kong Ltd. 12,181,704 3,510
  Guotai Junan International Holdings Ltd. 11,082,844 3,436
  Yuexiu REIT 5,453,958 3,387
  HKBN Ltd. 3,363,000 3,365
*,^ China Baoli Technologies Holdings Ltd. 140,125,000 3,365

 

16


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  K Wah International Holdings Ltd. 5,445,000 3,305
  Stella International Holdings Ltd. 1,801,000 3,232
  Towngas China Co. Ltd. 4,829,066 3,154
  Shougang Fushan Resources Group Ltd. 16,567,711 3,076
*,^ KuangChi Science Ltd. 8,494,000 3,013
  Sunlight REIT 4,588,000 3,008
^ China Goldjoy Group Ltd. 45,968,000 3,003
  Lifestyle International Holdings Ltd. 2,178,030 2,990
  Giordano International Ltd. 5,086,000 2,898
* Global Brands Group Holding Ltd. 27,368,428 2,871
*,^ United Photovoltaics Group Ltd. 21,222,000 2,827
  Lai Sun Development Co. Ltd. 74,557,500 2,722
  TCC International Holdings Ltd. 5,954,000 2,683
  Chow Sang Sang Holdings International Ltd. 1,122,000 2,619
  Pacific Textiles Holdings Ltd. 2,153,000 2,484
* Huabao International Holdings Ltd. 3,926,000 2,341
  Hopewell Highway Infrastructure Ltd. 4,051,160 2,330
  Far East Consortium International Ltd. 4,075,000 2,275
^ Truly International Holdings Ltd. 6,562,000 2,268
  Dynam Japan Holdings Co. Ltd. 1,268,200 2,235
* China Oceanwide Holdings Ltd. 21,943,156 2,137
  SmarTone Telecommunications Holdings Ltd. 1,614,000 2,113
  Prosperity REIT 4,937,000 2,098
*,^ Digital Domain Holdings Ltd. 51,280,000 2,072
  CP Pokphand Co. Ltd. 25,716,000 1,977
  CITIC Telecom International Holdings Ltd. 6,168,000 1,974
  Texwinca Holdings Ltd. 3,179,930 1,935
  Hutchison Telecommunications Hong Kong Holdings Ltd. 5,374,435 1,892
  BEP International Holdings Ltd. 58,400,000 1,870
  SA Sa International Holdings Ltd. 4,590,227 1,810
  Pou Sheng International Holdings Ltd. 9,871,000 1,770
^ HC International Inc. 2,406,000 1,735
*,^ China Harmony New Energy Auto Holding Ltd. 3,591,000 1,715
  Nan Hai Corp. Ltd. 53,500,000 1,707
  Gemdale Properties & Investment Corp. Ltd. 23,524,000 1,656
  Canvest Environmental Protection Group Co. Ltd. 3,118,000 1,633
^ Town Health International Medical Group Ltd. 18,734,000 1,632
^ Goodbaby International Holdings Ltd. 3,924,000 1,627
  Sun Hung Kai & Co. Ltd. 2,520,000 1,623
  Emperor Capital Group Ltd. 17,736,000 1,590
* G-Resources Group Ltd. 107,400,000 1,568
  Ju Teng International Holdings Ltd. 3,802,000 1,559
  Spring REIT 3,529,000 1,537
*,^,2 IMAX China Holding Inc. 493,296 1,513
* COFCO Meat Holdings Ltd. 7,543,000 1,507
*,^ GCL New Energy Holdings Ltd. 30,356,000 1,498
* Beijing Enterprises Medical & Health Group Ltd. 23,910,000 1,484
* Sino Oil And Gas Holdings Ltd. 61,950,000 1,483
*,^ China LNG Group Ltd. 79,820,000 1,482
  Microport Scientific Corp. 1,851,148 1,458
^ Chong Hing Bank Ltd. 689,000 1,454
  Road King Infrastructure Ltd. 1,144,000 1,412
* United Laboratories International Holdings Ltd. 2,138,000 1,410
* NewOcean Energy Holdings Ltd. 4,302,000 1,317
^,2 Regina Miracle International Holdings Ltd. 1,488,000 1,286
*,^ Macau Legend Development Ltd. 6,678,505 1,215
*,^ China Financial International Investments Ltd. 28,340,000 1,089
  China Aerospace International Holdings Ltd. 8,226,000 1,043
  China Silver Group Ltd. 5,652,000 1,035
  Liu Chong Hing Investment Ltd. 662,000 1,019
*,^ China Strategic Holdings Ltd. 61,425,000 951
*,^ China Ocean Industry Group Ltd. 40,610,000 937
*,^ Honghua Group Ltd. 10,350,000 928
* Singamas Container Holdings Ltd. 5,948,000 922

 

17


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
*,^ Summit Ascent Holdings Ltd. 3,914,000 862
* China Medical & HealthCare Group Ltd. 21,040,000 849
  TPV Technology Ltd. 3,842,000 846
  Lee's Pharmaceutical Holdings Ltd. 1,004,000 838
* Convoy Global Holdings Ltd. 55,842,000 823
* Hong Kong Television Network Ltd. 2,018,000 770
*,^ 13 Holdings Ltd. 3,679,500 758
  EVA Precision Industrial Holdings Ltd. 4,854,000 746
* Emperor Watch & Jewellery Ltd. 17,280,000 741
  Varitronix International Ltd. 1,338,000 735
* Lifestyle China Group Ltd. 2,164,030 726
^ Parkson Retail Group Ltd. 4,455,494 713
^,2 CGN New Energy Holdings Co. Ltd. 5,162,000 707
*,^ Vision Fame International Holding Ltd. 6,194,000 666
*,^ Technovator International Ltd. 1,980,000 651
^ Shenwan Hongyuan HK Ltd. 1,625,000 627
* Xinchen China Power Holdings Ltd. 3,538,000 625
* Mei Ah Entertainment Group Ltd. 12,840,000 618
* Sunshine Oilsands Ltd. 18,748,500 600
  Henderson Investment Ltd. 6,722,000 577
* NetMind Financial Holdings Ltd. 125,440,000 530
* Tou Rong Chang Fu Group Ltd. 27,460,000 528
*,^ Anton Oilfield Services Group 5,468,000 511
*,^ China LotSynergy Holdings Ltd. 28,660,000 503
*,^ New Sports Group Ltd. 92,250,000 485
*,^ Good Resources Holdings Ltd. 10,919,595 483
*,^ SOCAM Development Ltd. 1,818,000 477
* New World Department Store China Ltd. 1,887,000 466
*,^ China Huarong Energy Co. Ltd. 10,725,792 460
* Future World Financial Holdings Ltd. 25,544,000 425
  AMVIG Holdings Ltd. 1,380,000 425
  Inspur International Ltd. 1,950,000 412
* Yanchang Petroleum International Ltd. 17,790,000 394
  Yip's Chemical Holdings Ltd. 958,000 390
*,^ Qianhai Health Holdings Ltd. 34,447,500 331
* Peace Map Holding Ltd. 26,420,000 274
* Sincere Watch Hong Kong Ltd. 12,270,000 271
* Silver Base Group Holdings Ltd. 3,820,500 255
* Trinity Ltd. 4,062,000 252
* New Focus Auto Tech Holdings Ltd. 6,176,000 218
*,^ China Healthwise Holdings Ltd. 11,514,000 199
*,^ Suncorp Technologies Ltd. 51,860,000 166
* Auto Italia Holdings 1,425,000 17
      2,793,983
Ireland (0.2%)    
  Kerry Group plc Class A 707,316 60,936
* Bank of Ireland 133,952,057 35,189
  Kingspan Group plc 745,340 25,596
  Glanbia plc 946,960 18,501
* Ryanair Holdings plc 409,688 8,379
  C&C Group plc 1,647,642 6,058
  Green REIT plc 3,177,975 5,165
  Hibernia REIT plc 3,249,572 5,099
  Irish Continental Group plc 758,983 4,393
  Origin Enterprises plc 594,545 4,333
* Allied Irish Banks plc 537,127 3,030
* Ryanair Holdings plc ADR 19,413 2,089
* Permanent TSB Group Holdings plc 497,776 1,557
* Irish Bank Resolution Corp. Ltd. 257,065
      180,325
Israel (0.5%)    
  Teva Pharmaceutical Industries Ltd. 4,359,123 143,724
  Bank Leumi Le-Israel BM 6,968,940 33,859
  Bank Hapoalim BM 4,995,048 33,682

 

18


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Nice Ltd. 294,467 23,200
  Bezeq The Israeli Telecommunication Corp. Ltd. 10,127,891 16,800
* Israel Discount Bank Ltd. Class A 5,760,710 15,174
  Elbit Systems Ltd. 117,876 14,541
  Frutarom Industries Ltd. 185,590 12,957
  Israel Chemicals Ltd. 2,443,761 11,528
  Mizrahi Tefahot Bank Ltd. 626,495 11,391
* Tower Semiconductor Ltd. 463,915 11,103
  Azrieli Group Ltd. 156,635 8,701
  Paz Oil Co. Ltd. 37,307 6,368
  Delek Group Ltd. 25,831 5,645
  Alony Hetz Properties & Investments Ltd. 469,643 4,742
  First International Bank Of Israel Ltd. 242,406 4,392
  Gazit-Globe Ltd. 449,278 4,335
* Airport City Ltd. 306,616 4,242
* Israel Corp. Ltd. 17,462 3,709
  Strauss Group Ltd. 177,388 3,472
* Mazor Robotics Ltd. 199,627 3,439
  Melisron Ltd. 64,213 3,374
  Teva Pharmaceutical Industries Ltd. ADR 95,178 3,162
  Oil Refineries Ltd. 7,118,599 3,132
  Harel Insurance Investments & Financial Services Ltd. 526,954 3,117
* Nova Measuring Instruments Ltd. 135,175 3,088
  Reit 1 Ltd. 797,334 2,981
  Amot Investments Ltd. 529,937 2,775
* Cellcom Israel Ltd. (Registered) 259,604 2,496
* Jerusalem Oil Exploration 41,158 2,470
  Shikun & Binui Ltd. 933,535 2,424
* Partner Communications Co. Ltd. 416,482 2,209
  IDI Insurance Co. Ltd. 36,025 2,099
* Jerusalem Economy Ltd. 719,345 1,828
  Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. 33,352 1,638
  Shufersal Ltd. 307,381 1,611
* Clal Insurance Enterprises Holdings Ltd. 94,439 1,597
  Electra Ltd. 7,908 1,584
* Phoenix Holdings Ltd. 351,580 1,494
  Migdal Insurance & Financial Holding Ltd. 1,354,023 1,448
  Delek Automotive Systems Ltd. 165,207 1,343
* Naphtha Israel Petroleum Corp. Ltd. 166,795 1,325
  Menora Mivtachim Holdings Ltd. 100,617 1,266
  Bayside Land Corp. 2,773 1,235
  Big Shopping Centers Ltd. 17,251 1,226
  Delta-Galil Industries Ltd. 40,983 1,212
* Africa Israel Properties Ltd. 54,715 1,159
  Formula Systems 1985 Ltd. 30,605 1,146
* Kenon Holdings Ltd. 70,463 950
* B Communications Ltd. 47,022 815
* Ceragon Networks Ltd. 295,149 768
  Norstar Holdings Inc. 40,188 750
* Kamada Ltd. 125,763 748
* Gilat Satellite Networks Ltd. 142,835 701
* Allot Communications Ltd. 134,631 687
* AudioCodes Ltd. 106,784 653
* Evogene Ltd. 114,578 575
  Property & Building Corp. Ltd. 4,482 447
  Delek Energy Systems Ltd. 169 94
      438,631
Italy (2.2%)    
* UniCredit SPA 10,856,700 203,360
  Enel SPA 37,697,780 202,192
  Intesa Sanpaolo SPA (Registered) 57,803,356 183,862
  Eni SPA 12,138,527 182,417
  Assicurazioni Generali SPA 6,360,368 104,986
  Atlantia SPA 2,600,498 73,151

 

19


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
* Fiat Chrysler Automobiles NV 5,287,707 55,863
  Ferrari NV 615,985 53,006
  CNH Industrial NV 4,654,828 52,789
* Telecom Italia SPA (Registered) 55,359,839 51,218
  Snam SPA 11,676,156 50,957
  Luxottica Group SPA 759,211 44,192
^ Terna Rete Elettrica Nazionale SPA 6,925,213 37,404
  Tenaris SA 2,309,620 36,062
  Leonardo SPA 1,876,042 31,236
  Prysmian SPA 1,044,440 30,804
  EXOR NV 528,407 28,673
  Mediobanca SPA 2,795,530 27,656
*,^ Banco BPM SPA 7,406,007 24,873
  Telecom Italia SPA (Bearer) 29,162,708 21,581
^ Unione di Banche Italiane SPA 4,824,201 20,785
  Intesa Sanpaolo SPA 6,873,549 20,449
  Recordati SPA 496,113 20,118
  Davide Campari-Milano SPA 2,785,844 19,695
  Moncler SPA 778,170 18,255
  FinecoBank Banca Fineco SPA 1,952,602 15,391
2 Poste Italiane SPA 2,218,886 15,215
  A2A SPA 7,699,986 12,803
  Italgas SPA 2,397,370 12,090
  BPER Banca 2,339,656 11,719
  Interpump Group SPA 421,934 11,545
  Azimut Holding SPA 562,071 11,308
  Hera SPA 3,664,035 11,202
  Banca Mediolanum SPA 1,260,855 10,471
  Unipol Gruppo Finanziario SPA 2,385,319 10,466
^ UnipolSai Assicurazioni SPA 4,764,553 10,453
  Saipem SPA 2,800,254 10,370
  Cerved Information Solutions SPA 948,170 10,173
* Brembo SPA 671,600 9,841
  Banca Popolare di Sondrio SCPA 2,284,397 9,038
  DiaSorin SPA 116,058 8,922
  De' Longhi SPA 280,666 8,805
  Buzzi Unicem SPA 346,779 8,647
  Banca Generali SPA 277,357 8,276
*,^ Yoox Net-A-Porter Group SPA 295,562 8,190
2 Anima Holding SPA 1,111,782 7,970
  Autogrill SPA 654,126 7,929
  Industria Macchine Automatiche SPA 73,750 6,785
2 Infrastrutture Wireless Italiane SPA 1,193,689 6,779
*,^ Mediaset SPA 1,680,305 6,620
  Societa Cattolica di Assicurazioni SCRL 818,179 6,365
^ Salvatore Ferragamo SPA 219,328 5,856
  Amplifon SPA 433,798 5,725
* Ansaldo STS SPA 445,415 5,682
  Iren SPA 2,318,145 5,369
2 Enav SPA 1,186,972 5,119
  Saras SPA 2,139,967 4,988
  Ei Towers SPA 77,393 4,481
2 OVS SPA 606,900 4,321
  Tod's SPA 63,068 3,935
  Banca IFIS SPA 96,033 3,904
  Societa Iniziative Autostradali e Servizi SPA 338,417 3,730
  ACEA SPA 237,083 3,600
  Reply SPA 19,412 3,596
  Beni Stabili SpA SIIQ 4,975,122 3,596
  MARR SPA 147,708 3,514
  Brunello Cucinelli SPA 130,432 3,427
  ERG SPA 241,934 3,405
2 Technogym SPA 437,454 3,368
  Buzzi Unicem SPA Savings Shares 230,229 3,278

 

20


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Danieli & C Officine Meccaniche SPA RSP 170,284 3,057
  Credito Emiliano SPA 361,054 2,924
  ASTM SPA 155,528 2,690
^ Salini Impregilo SPA 748,659 2,591
  Parmalat SPA 746,459 2,584
  Datalogic SPA 94,957 2,558
* Fincantieri SPA 2,198,365 2,466
2 RAI Way SPA 454,001 2,268
^ Credito Valtellinese SPA 517,705 2,211
  CIR-Compagnie Industriali Riunite SPA 1,477,406 2,072
  Banca Monte dei Paschi di Siena SPA 113,708 1,959
* Italmobiliare SPA 71,460 1,953
  Piaggio & C SPA 776,469 1,917
  Danieli & C Officine Meccaniche SPA 68,708 1,675
  Immobiliare Grande Distribuzione SIIQ SPA 1,698,456 1,498
^ Geox SPA 389,125 1,284
^ Cairo Communication SPA 285,256 1,251
  Cementir Holding SPA 207,332 1,237
  Astaldi SPA 187,849 1,169
*,^ Safilo Group SPA 152,795 1,131
  Zignago Vetro SPA 134,752 1,131
*,^ Juventus Football Club SPA 1,812,255 1,092
  Esprinet SPA 136,426 984
* Arnoldo Mondadori Editore SPA 536,425 980
  Cofide SPA 1,305,580 861
*,^ Banca Carige SPA 3,495,357 752
* Rizzoli Corriere Della Sera Mediagroup SPA 488,250 683
* GEDI Gruppo Editoriale SPA 636,218 574
  DeA Capital SPA 378,098 525
      1,981,928
Japan (21.3%)    
  Toyota Motor Corp. 12,755,470 670,472
  Mitsubishi UFJ Financial Group Inc. 63,434,717 427,870
  SoftBank Group Corp. 4,156,952 337,919
  Sumitomo Mitsui Financial Group Inc. 6,477,594 252,914
  Honda Motor Co. Ltd. 8,695,193 238,232
  KDDI Corp. 8,909,922 235,646
  Sony Corp. 6,135,948 234,048
  Mizuho Financial Group Inc. 123,330,857 226,124
  Japan Tobacco Inc. 5,822,670 204,656
  Keyence Corp. 439,466 193,465
  Takeda Pharmaceutical Co. Ltd. 3,723,454 189,036
  FANUC Corp. 945,743 183,045
  Shin-Etsu Chemical Co. Ltd. 1,991,298 181,234
  Nintendo Co. Ltd. 522,807 175,031
  East Japan Railway Co. 1,812,455 173,626
  Canon Inc. 5,084,953 172,966
  Nippon Telegraph & Telephone Corp. 3,288,101 155,212
  Seven & i Holdings Co. Ltd. 3,760,888 155,191
  NTT DOCOMO Inc. 6,295,653 148,897
  Central Japan Railway Co. 880,117 143,738
  Tokio Marine Holdings Inc. 3,411,443 141,961
  Murata Manufacturing Co. Ltd. 924,455 141,133
  Panasonic Corp. 10,334,316 140,808
  Kao Corp. 2,349,563 139,701
  Mitsubishi Electric Corp. 9,611,722 139,011
  Hitachi Ltd. 22,541,638 138,985
  Bridgestone Corp. 3,084,593 133,352
  Daikin Industries Ltd. 1,296,694 133,031
  Mitsubishi Corp. 6,231,512 130,993
  Astellas Pharma Inc. 10,106,048 123,867
  Nidec Corp. 1,147,588 117,903
  Mitsui & Co. Ltd. 8,137,089 116,489
  Komatsu Ltd. 4,467,695 114,674

 

21


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
    Market
    Value
  Shares ($000)
Mitsui Fudosan Co. Ltd. 4,618,710 110,657
Daiwa House Industry Co. Ltd. 3,135,879 107,327
Mitsubishi Estate Co. Ltd. 5,728,050 107,073
ITOCHU Corp. 6,949,373 103,469
Tokyo Electron Ltd. 763,408 103,207
Denso Corp. 2,388,954 101,383
Subaru Corp. 2,980,636 101,068
Dai-ichi Life Holdings Inc. 5,540,630 100,570
Recruit Holdings Co. Ltd. 5,794,362 99,720
Nomura Holdings Inc. 16,256,110 98,032
ORIX Corp. 6,291,471 97,894
Hoya Corp. 1,835,264 95,546
Suzuki Motor Corp. 1,995,519 95,062
Nissan Motor Co. Ltd. 9,423,889 94,097
Kubota Corp. 5,464,001 92,357
Kyocera Corp. 1,516,213 88,123
SMC Corp. 285,842 87,380
Otsuka Holdings Co. Ltd. 2,045,910 87,351
Nippon Steel & Sumitomo Metal Corp. 3,803,307 86,186
Fast Retailing Co. Ltd. 254,192 85,008
Kirin Holdings Co. Ltd. 4,078,633 83,198
MS&AD Insurance Group Holdings Inc. 2,444,890 82,463
Shionogi & Co. Ltd. 1,402,992 78,228
Daiichi Sankyo Co. Ltd. 3,163,552 74,669
Secom Co. Ltd. 947,225 72,070
Eisai Co. Ltd. 1,289,041 71,320
Sumitomo Corp. 5,468,068 71,305
Fujitsu Ltd. 9,454,958 69,931
Asahi Group Holdings Ltd. 1,845,641 69,507
Sompo Holdings Inc. 1,779,088 69,055
FUJIFILM Holdings Corp. 1,904,131 68,658
JXTG Holdings Inc. 15,560,734 68,086
Shiseido Co. Ltd. 1,896,326 67,600
Asahi Kasei Corp. 6,158,627 66,441
Sumitomo Mitsui Trust Holdings Inc. 1,830,219 65,740
Sumitomo Realty & Development Co. Ltd. 2,061,759 63,849
Oriental Land Co. Ltd. 930,461 63,062
West Japan Railway Co. 890,460 63,005
Toray Industries Inc. 7,412,737 62,190
Nitto Denko Corp. 750,551 61,982
Shimano Inc. 386,203 61,321
Terumo Corp. 1,492,820 58,905
Resona Holdings Inc. 10,595,199 58,526
Mitsubishi Heavy Industries Ltd. 13,907,184 57,258
Sumitomo Electric Industries Ltd. 3,661,284 56,642
Daito Trust Construction Co. Ltd. 354,701 55,261
MEIJI Holdings Co. Ltd. 666,506 54,046
Ajinomoto Co. Inc. 2,460,693 53,210
Tokyo Gas Co. Ltd. 10,126,805 52,747
Mitsubishi Chemical Holdings Corp. 6,312,101 52,591
Dentsu Inc. 1,080,549 51,837
Aeon Co. Ltd. 3,358,104 51,075
Olympus Corp. 1,365,623 50,034
Marubeni Corp. 7,705,022 49,918
Sekisui House Ltd. 2,802,596 49,532
Kansai Electric Power Co. Inc. 3,567,367 49,192
Nitori Holdings Co. Ltd. 360,937 48,316
Ono Pharmaceutical Co. Ltd. 2,212,315 48,254
Japan Exchange Group Inc. 2,648,280 48,153
Daiwa Securities Group Inc. 7,960,055 47,400
Taisei Corp. 5,163,057 47,224
Unicharm Corp. 1,871,721 47,122
Rakuten Inc. 3,989,625 47,081
T&D Holdings Inc. 2,992,567 45,763

 

22


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Chubu Electric Power Co. Inc. 3,436,184 45,697
  Aisin Seiki Co. Ltd. 877,376 45,103
*,^ Toshiba Corp. 18,590,646 45,034
  Makita Corp. 1,196,982 44,329
  JFE Holdings Inc. 2,498,350 43,500
  Inpex Corp. 4,486,996 43,324
  Sumitomo Chemical Co. Ltd. 7,418,055 42,875
  Sysmex Corp. 703,790 42,124
  Toyota Industries Corp. 785,676 41,555
  Omron Corp. 949,612 41,336
  Asahi Glass Co. Ltd. 951,906 40,202
  Chugai Pharmaceutical Co. Ltd. 1,064,527 39,883
  Hankyu Hanshin Holdings Inc. 1,105,409 39,823
  Osaka Gas Co. Ltd. 9,572,358 39,197
  Obayashi Corp. 3,299,191 38,871
  Mazda Motor Corp. 2,764,218 38,834
  TDK Corp. 577,305 38,161
  Kajima Corp. 4,411,117 37,281
  Tokyu Corp. 4,763,809 36,403
  Yamato Holdings Co. Ltd. 1,732,003 35,187
  Yamaha Motor Co. Ltd. 1,354,954 35,160
  NTT Data Corp. 3,133,650 34,961
  Yakult Honsha Co. Ltd. 495,233 33,757
  Kintetsu Group Holdings Co. Ltd. 8,716,553 33,629
  Dai Nippon Printing Co. Ltd. 3,008,230 33,512
  MINEBEA MITSUMI Inc. 2,060,703 33,326
  Rohm Co. Ltd. 429,250 33,096
  Toyota Tsusho Corp. 1,095,597 32,940
  Isuzu Motors Ltd. 2,647,339 32,873
  Bandai Namco Holdings Inc. 943,310 32,230
  Tohoku Electric Power Co. Inc. 2,319,284 32,143
  NEC Corp. 12,041,604 32,011
  Sumitomo Metal Mining Co. Ltd. 2,378,199 31,787
  LIXIL Group Corp. 1,261,075 31,609
  Sekisui Chemical Co. Ltd. 1,755,568 31,501
* Tokyo Electric Power Co. Holdings Inc. 7,612,443 31,427
  Kuraray Co. Ltd. 1,699,729 30,950
  Shimizu Corp. 2,850,999 30,294
  Seiko Epson Corp. 1,355,856 30,252
  MISUMI Group Inc. 1,314,943 30,138
  Keikyu Corp. 2,495,268 30,094
  Odakyu Electric Railway Co. Ltd. 1,487,938 30,072
  Ricoh Co. Ltd. 3,315,260 29,369
  Concordia Financial Group Ltd. 5,782,820 29,310
  Suntory Beverage & Food Ltd. 627,844 29,183
  Tosoh Corp. 2,829,791 29,164
  Toppan Printing Co. Ltd. 2,635,927 28,985
  NH Foods Ltd. 949,245 28,876
  Koito Manufacturing Co. Ltd. 552,305 28,560
  Trend Micro Inc. 550,464 28,450
  Nippon Paint Holdings Co. Ltd. 747,001 28,419
  Ryohin Keikaku Co. Ltd. 112,877 28,251
  Yamaha Corp. 808,736 27,998
  Yahoo Japan Corp. 6,339,254 27,558
  NSK Ltd. 2,188,159 27,535
  Kyushu Electric Power Co. Inc. 2,255,617 27,414
  Nikon Corp. 1,705,615 27,340
  Kikkoman Corp. 843,640 26,987
  TOTO Ltd. 702,125 26,902
  M3 Inc. 968,032 26,704
  Brother Industries Ltd. 1,151,935 26,682
  Tobu Railway Co. Ltd. 4,860,988 26,558
  Alps Electric Co. Ltd. 913,098 26,524
*,^ Sharp Corp. 7,080,168 26,244

 

23


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  NGK Insulators Ltd. 1,295,598 25,974
  Japan Post Holdings Co. Ltd. 2,081,543 25,893
  Konami Holdings Corp. 459,628 25,586
  Japan Post Bank Co. Ltd. 1,983,474 25,462
  Mitsubishi Tanabe Pharma Corp. 1,091,591 25,251
  Lion Corp. 1,216,970 25,242
  Kyushu Railway Co. 777,059 25,203
  Shimadzu Corp. 1,311,239 24,986
  Keio Corp. 2,878,677 24,130
  Santen Pharmaceutical Co. Ltd. 1,765,020 23,974
  Shizuoka Bank Ltd. 2,627,363 23,828
  Hoshizaki Corp. 262,227 23,792
  Chiba Bank Ltd. 3,252,418 23,669
  Kyowa Hakko Kirin Co. Ltd. 1,265,055 23,529
  Mitsui Chemicals Inc. 4,390,760 23,382
  Yaskawa Electric Corp. 1,081,441 23,026
  Nissan Chemical Industries Ltd. 693,773 22,989
  FamilyMart UNY Holdings Co. Ltd. 394,353 22,583
  Hirose Electric Co. Ltd. 155,600 22,267
  Don Quijote Holdings Co. Ltd. 584,818 22,220
  Nippon Express Co. Ltd. 3,534,521 22,180
  Stanley Electric Co. Ltd. 730,452 22,136
  Oji Holdings Corp. 4,259,002 22,051
  Aozora Bank Ltd. 5,752,328 21,962
* IHI Corp. 6,408,533 21,900
  Kansai Paint Co. Ltd. 932,791 21,535
  Nisshin Seifun Group Inc. 1,308,363 21,509
  USS Co. Ltd. 1,076,590 21,458
  Nissin Foods Holdings Co. Ltd. 341,838 21,375
  Taiheiyo Cement Corp. 5,804,210 21,226
  Start Today Co. Ltd. 857,157 21,124
  Disco Corp. 131,443 21,082
  Kawasaki Heavy Industries Ltd. 7,081,877 21,080
  Nomura Research Institute Ltd. 525,732 20,770
  Nagoya Railroad Co. Ltd. 4,398,821 20,525
  Obic Co. Ltd. 332,013 20,444
  Suruga Bank Ltd. 833,098 20,261
  Mitsubishi Motors Corp. 3,034,757 20,069
  Seibu Holdings Inc. 1,076,372 19,944
  Electric Power Development Co. Ltd. 805,166 19,943
  Hamamatsu Photonics KK 644,515 19,862
  NGK Spark Plug Co. Ltd. 920,437 19,716
  ANA Holdings Inc. 5,648,353 19,667
  Pigeon Corp. 539,803 19,625
  Mitsubishi Gas Chemical Co. Inc. 908,742 19,301
* Nexon Co. Ltd. 970,637 19,253
  Yokogawa Electric Corp. 1,179,606 18,984
  Sumitomo Heavy Industries Ltd. 2,840,358 18,848
  Mitsubishi Materials Corp. 620,123 18,819
  Mebuki Financial Group Inc. 4,995,027 18,650
  Amada Holdings Co. Ltd. 1,605,341 18,621
  J Front Retailing Co. Ltd. 1,207,838 18,613
  Tsuruha Holdings Inc. 173,625 18,450
  Keisei Electric Railway Co. Ltd. 688,311 18,422
  Konica Minolta Inc. 2,191,940 18,287
  Daicel Corp. 1,456,245 18,201
  Kobayashi Pharmaceutical Co. Ltd. 303,742 18,053
  Taisho Pharmaceutical Holdings Co. Ltd. 235,992 17,981
  Rinnai Corp. 192,144 17,951
^ Yamada Denki Co. Ltd. 3,562,454 17,713
  Hulic Co. Ltd. 1,725,637 17,672
  Isetan Mitsukoshi Holdings Ltd. 1,751,712 17,623
  Fukuoka Financial Group Inc. 3,676,368 17,541
  Toho Co. Ltd. 565,685 17,446

 

24


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  JGC Corp. 1,063,796 17,329
  Bank of Kyoto Ltd. 1,813,740 17,187
  Nabtesco Corp. 584,128 17,036
  Hisamitsu Pharmaceutical Co. Inc. 354,641 17,003
  Lawson Inc. 242,493 16,970
  Japan Airlines Co. Ltd. 543,617 16,839
  Alfresa Holdings Corp. 869,675 16,814
  Haseko Corp. 1,369,772 16,680
  Toho Gas Co. Ltd. 2,289,875 16,680
  Toyo Suisan Kaisha Ltd. 434,502 16,670
  Coca-Cola Bottlers Japan Inc. 570,716 16,525
  Nippon Shinyaku Co. Ltd. 257,534 16,486
  Mitsui OSK Lines Ltd. 5,570,892 16,450
  Teijin Ltd. 849,375 16,390
  THK Co. Ltd. 573,484 16,344
  Casio Computer Co. Ltd. 1,058,746 16,318
  Otsuka Corp. 261,156 16,245
  Asics Corp. 871,596 16,198
  JTEKT Corp. 1,097,329 16,148
  Keihan Holdings Co. Ltd. 2,516,734 16,016
  JSR Corp. 920,309 15,932
  Credit Saison Co. Ltd. 811,073 15,882
  Hakuhodo DY Holdings Inc. 1,180,304 15,719
  Temp Holdings Co. Ltd. 830,969 15,612
  Chugoku Electric Power Co. Inc. 1,412,534 15,596
  Nippon Electric Glass Co. Ltd. 423,680 15,455
  Kurita Water Industries Ltd. 564,602 15,444
  Sumco Corp. 1,060,070 15,408
  Marui Group Co. Ltd. 1,042,039 15,397
  Fuji Electric Co. Ltd. 2,867,435 15,167
  Sumitomo Rubber Industries Ltd. 885,479 14,996
  Kose Corp. 136,022 14,918
* Kobe Steel Ltd. 1,445,857 14,909
  Kewpie Corp. 567,313 14,897
  Sohgo Security Services Co. Ltd. 329,513 14,874
  Hitachi Chemical Co. Ltd. 493,224 14,787
  Nichirei Corp. 526,461 14,763
  Tokyu Fudosan Holdings Corp. 2,488,977 14,761
  Advantest Corp. 857,983 14,708
  Showa Denko KK 626,208 14,602
* Nippon Yusen KK 7,804,997 14,591
  Hino Motors Ltd. 1,301,581 14,533
  CyberAgent Inc. 465,098 14,444
  Sojitz Corp. 5,852,529 14,407
  Calbee Inc. 363,146 14,284
  Sony Financial Holdings Inc. 834,927 14,279
  Air Water Inc. 772,149 14,251
  Nankai Electric Railway Co. Ltd. 2,749,069 14,236
  Ezaki Glico Co. Ltd. 263,369 14,181
  MediPal Holdings Corp. 764,512 14,176
  DIC Corp. 392,187 14,170
  Shinsei Bank Ltd. 8,012,114 14,035
  Idemitsu Kosan Co. Ltd. 487,777 13,877
  Ube Industries Ltd. 5,283,060 13,637
  Furukawa Electric Co. Ltd. 305,350 13,614
  Daifuku Co. Ltd. 452,600 13,576
  Hitachi Metals Ltd. 971,841 13,559
  Toyo Seikan Group Holdings Ltd. 800,935 13,559
  SCREEN Holdings Co. Ltd. 200,267 13,396
  Takashimaya Co. Ltd. 1,400,349 13,359
  Ebara Corp. 476,727 13,282
  Tokyo Tatemono Co. Ltd. 1,010,276 13,280
  Tsumura & Co. 325,775 13,232
  Sega Sammy Holdings Inc. 976,965 13,172

 

25


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Hitachi Construction Machinery Co. Ltd. 521,748 13,125
  Benesse Holdings Inc. 346,816 13,111
  Mabuchi Motor Co. Ltd. 261,641 13,078
  Suzuken Co. Ltd. 391,906 13,046
  Hiroshima Bank Ltd. 2,927,451 13,031
  Chugoku Bank Ltd. 866,922 13,015
  Hachijuni Bank Ltd. 2,039,834 12,997
  SBI Holdings Inc. 943,789 12,834
  Yamaguchi Financial Group Inc. 1,054,252 12,769
  Gunma Bank Ltd. 2,116,593 12,746
*,^ PeptiDream Inc. 399,400 12,644
  Shimamura Co. Ltd. 102,965 12,623
  Park24 Co. Ltd. 495,745 12,615
  Yamazaki Baking Co. Ltd. 632,121 12,603
  Square Enix Holdings Co. Ltd. 382,266 12,528
  Hitachi High-Technologies Corp. 319,785 12,453
  AEON Financial Service Co. Ltd. 579,497 12,298
  Horiba Ltd. 200,300 12,218
  Kyushu Financial Group Inc. 1,926,420 12,207
  Azbil Corp. 318,601 12,129
  NOK Corp. 564,103 11,976
  DeNA Co. Ltd. 530,965 11,934
  Denka Co. Ltd. 2,302,641 11,916
  Miraca Holdings Inc. 263,490 11,867
  Nomura Real Estate Holdings Inc. 598,048 11,769
  Seven Bank Ltd. 3,278,502 11,755
  Morinaga & Co. Ltd. 207,000 11,737
  Mitsubishi UFJ Lease & Finance Co. Ltd. 2,134,419 11,711
  Iida Group Holdings Co. Ltd. 701,550 11,710
  Ulvac Inc. 242,000 11,677
  Aeon Mall Co. Ltd. 590,894 11,674
  Nifco Inc. 216,330 11,635
  Sundrug Co. Ltd. 310,490 11,582
  Kagome Co. Ltd. 379,133 11,545
  Matsumotokiyoshi Holdings Co. Ltd. 201,933 11,503
  COMSYS Holdings Corp. 554,660 11,452
^ Iyo Bank Ltd. 1,376,941 11,438
  Nihon M&A Center Inc. 312,200 11,428
  Izumi Co. Ltd. 200,293 11,389
  Fujikura Ltd. 1,353,259 11,384
  Hikari Tsushin Inc. 107,203 11,294
  Oracle Corp. Japan 173,595 11,292
  Nippon Kayaku Co. Ltd. 792,139 11,233
  Asahi Intecc Co. Ltd. 246,191 11,203
  Sanwa Holdings Corp. 1,034,933 10,930
  TIS Inc. 388,100 10,807
  Yokohama Rubber Co. Ltd. 535,766 10,801
  Nippon Shokubai Co. Ltd. 165,691 10,703
  Sumitomo Dainippon Pharma Co. Ltd. 780,588 10,655
  Mitsui Mining & Smelting Co. Ltd. 2,700,975 10,585
  Kinden Corp. 653,404 10,549
  Kaneka Corp. 1,377,336 10,541
  Kamigumi Co. Ltd. 1,000,285 10,515
*,^ Kawasaki Kisen Kaisha Ltd. 4,350,981 10,482
  Ito En Ltd. 284,860 10,400
  Sumitomo Forestry Co. Ltd. 659,491 10,389
  Rohto Pharmaceutical Co. Ltd. 500,191 10,354
  Zenkoku Hosho Co. Ltd. 251,929 10,315
  Daido Steel Co. Ltd. 1,783,801 10,286
  Sotetsu Holdings Inc. 2,063,352 10,242
  Sugi Holdings Co. Ltd. 191,011 10,235
  Seino Holdings Co. Ltd. 762,396 10,164
  Nippon Paper Industries Co. Ltd. 494,493 10,137
  NTN Corp. 2,169,557 10,096

 

26


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Daiichikosho Co. Ltd. 214,500 10,075
  Hokuhoku Financial Group Inc. 629,503 10,069
  Kaken Pharmaceutical Co. Ltd. 183,411 10,015
  Toyo Tire & Rubber Co. Ltd. 484,900 9,934
  House Foods Group Inc. 392,077 9,836
  SCSK Corp. 218,428 9,814
  Sawai Pharmaceutical Co. Ltd. 173,307 9,733
  Miura Co. Ltd. 496,000 9,706
  Citizen Watch Co. Ltd. 1,367,125 9,620
  Tokyo Century Corp. 239,874 9,614
  77 Bank Ltd. 1,938,965 9,571
  Kakaku.com Inc. 665,462 9,566
  Relo Group Inc. 487,900 9,499
  Toyoda Gosei Co. Ltd. 392,597 9,407
^ MonotaRO Co. Ltd. 290,117 9,376
  Pola Orbis Holdings Inc. 354,280 9,373
  Nagase & Co. Ltd. 613,531 9,360
  Sumitomo Osaka Cement Co. Ltd. 1,952,344 9,285
  Takara Holdings Inc. 886,213 9,247
  Welcia Holdings Co. Ltd. 249,540 9,238
  Shikoku Electric Power Co. Inc. 779,747 9,204
  Glory Ltd. 279,812 9,190
^ Japan Airport Terminal Co. Ltd. 239,320 9,187
  Nishi-Nippon Railroad Co. Ltd. 2,034,654 9,164
  Ibiden Co. Ltd. 528,957 9,148
^ Skylark Co. Ltd. 630,113 9,053
  GS Yuasa Corp. 2,068,873 9,030
  Maruichi Steel Tube Ltd. 308,391 8,972
  Sankyo Co. Ltd. 260,408 8,846
  Taiyo Yuden Co. Ltd. 557,921 8,815
  Showa Shell Sekiyu KK 946,986 8,796
  Toagosei Co. Ltd. 673,100 8,780
*,^ Acom Co. Ltd. 1,915,248 8,767
  Topcon Corp. 502,242 8,678
  Aoyama Trading Co. Ltd. 242,709 8,664
  Sapporo Holdings Ltd. 313,099 8,633
  NHK Spring Co. Ltd. 815,679 8,612
  Zensho Holdings Co. Ltd. 464,300 8,429
  NOF Corp. 659,000 8,411
  Itochu Techno-Solutions Corp. 239,009 8,381
  Toyobo Co. Ltd. 4,556,368 8,364
  Nihon Kohden Corp. 361,061 8,358
  Mitsubishi Logistics Corp. 626,330 8,357
  Bic Camera Inc. 781,443 8,302
  K's Holdings Corp. 419,090 8,194
  Penta-Ocean Construction Co. Ltd. 1,436,700 8,188
  Aica Kogyo Co. Ltd. 265,100 8,095
  Dowa Holdings Co. Ltd. 1,065,751 8,084
  Nishi-Nippon Financial Holdings Inc. 773,468 8,064
  H2O Retailing Corp. 441,487 8,055
  Daishi Bank Ltd. 1,738,447 8,028
  Cosmos Pharmaceutical Corp. 41,107 8,009
  Taiyo Nippon Sanso Corp. 703,307 7,933
  San-In Godo Bank Ltd. 936,986 7,915
^ OSG Corp. 387,478 7,911
  DMG Mori Co. Ltd. 474,588 7,856
* Tokuyama Corp. 1,617,000 7,814
  Kyowa Exeo Corp. 463,000 7,807
  ADEKA Corp. 510,200 7,795
  Ushio Inc. 613,933 7,749
  Hokuriku Electric Power Co. 855,933 7,727
  Nishimatsu Construction Co. Ltd. 1,445,000 7,674
  Wacoal Holdings Corp. 566,229 7,668
  Nippon Suisan Kaisha Ltd. 1,307,900 7,665

 

27


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Amano Corp. 367,200 7,664
  Nipro Corp. 586,409 7,654
  Shiga Bank Ltd. 1,471,393 7,607
  TS Tech Co. Ltd. 259,878 7,595
  Sankyu Inc. 1,155,000 7,556
  Leopalace21 Corp. 1,207,100 7,509
  Zeon Corp. 698,501 7,476
  Okumura Corp. 1,106,000 7,454
  Juroku Bank Ltd. 2,352,158 7,433
  Nihon Parkerizing Co. Ltd. 492,700 7,368
  Japan Post Insurance Co. Ltd. 331,094 7,323
  Iwatani Corp. 1,167,000 7,250
  TechnoPro Holdings Inc. 180,000 7,245
  Morinaga Milk Industry Co. Ltd. 940,000 7,147
  Awa Bank Ltd. 1,027,045 7,000
  Tadano Ltd. 572,228 6,933
  Nikkon Holdings Co. Ltd. 296,500 6,876
  Ship Healthcare Holdings Inc. 220,500 6,869
  Pilot Corp. 160,800 6,848
  Nippon Light Metal Holdings Co. Ltd. 2,876,200 6,846
  ABC-Mart Inc. 115,872 6,829
  Kiyo Bank Ltd. 393,400 6,827
  Tokai Tokyo Financial Holdings Inc. 1,223,935 6,815
  Toda Corp. 1,086,647 6,787
  Maeda Corp. 613,000 6,765
  Hokkaido Electric Power Co. Inc. 885,992 6,760
  Mitsubishi Pencil Co. Ltd. 239,000 6,745
  Ain Holdings Inc. 93,200 6,745
  Lintec Corp. 280,847 6,730
  Tokyo Ohka Kogyo Co. Ltd. 201,100 6,720
  Jafco Co. Ltd. 165,670 6,699
  Nisshinbo Holdings Inc. 658,071 6,696
  Nippon Gas Co. Ltd. 205,500 6,668
  Tokyo Seimitsu Co. Ltd. 205,500 6,629
  OKUMA Corp. 686,525 6,569
  Tsubakimoto Chain Co. 758,000 6,564
*,^ LINE Corp. 188,058 6,529
  Kyudenko Corp. 181,800 6,517
  Sangetsu Corp. 372,900 6,483
^ Sanrio Co. Ltd. 325,766 6,399
^ Japan Lifeline Co. Ltd. 150,400 6,362
  Oki Electric Industry Co. Ltd. 445,200 6,324
  Rengo Co. Ltd. 1,085,214 6,300
  Shima Seiki Manufacturing Ltd. 134,600 6,283
  Senshu Ikeda Holdings Inc. 1,482,090 6,270
  Anritsu Corp. 689,170 6,227
  Hanwa Co. Ltd. 851,000 6,102
  Resorttrust Inc. 328,988 6,070
  Keiyo Bank Ltd. 1,392,367 6,046
  Itoham Yonekyu Holdings Inc. 658,705 5,978
  Nichias Corp. 516,000 5,969
  Fujitsu General Ltd. 257,100 5,962
  Ryosan Co. Ltd. 161,300 5,899
  Toyota Boshoku Corp. 311,688 5,871
  FP Corp. 107,962 5,846
  Heiwa Corp. 260,936 5,825
  Megmilk Snow Brand Co. Ltd. 209,000 5,823
  Shimachu Co. Ltd. 242,578 5,788
  Musashino Bank Ltd. 187,780 5,782
  Ariake Japan Co. Ltd. 82,800 5,770
  Hazama Ando Corp. 906,200 5,719
  Hitachi Kokusai Electric Inc. 244,800 5,717
  Mitsui Engineering & Shipbuilding Co. Ltd. 3,954,451 5,666
  Shochiku Co. Ltd. 443,502 5,659

 

28


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Fuji Seal International Inc. 199,100 5,504
  SHO-BOND Holdings Co. Ltd. 107,700 5,443
  Kokuyo Co. Ltd. 397,400 5,429
  Kumagai Gumi Co. Ltd. 1,684,000 5,423
  North Pacific Bank Ltd. 1,530,417 5,375
  Fuji Machine Manufacturing Co. Ltd. 370,300 5,356
^ Kenedix Inc. 1,130,000 5,345
  Maeda Road Construction Co. Ltd. 267,614 5,343
  Mochida Pharmaceutical Co. Ltd. 73,708 5,320
  Sumitomo Bakelite Co. Ltd. 748,000 5,290
  Duskin Co. Ltd. 203,600 5,242
  Capcom Co. Ltd. 220,184 5,226
  Fuyo General Lease Co. Ltd. 91,000 5,207
  Tokai Carbon Co. Ltd. 935,500 5,198
  Ogaki Kyoritsu Bank Ltd. 1,792,000 5,187
  Toho Holdings Co. Ltd. 261,900 5,166
  Hokuetsu Kishu Paper Co. Ltd. 656,700 5,158
  Topre Corp. 189,100 5,131
  Kandenko Co. Ltd. 483,711 5,091
*,^ Aiful Corp. 1,388,661 5,079
  Nihon Unisys Ltd. 320,000 5,068
  Meitec Corp. 118,800 5,067
  PALTAC Corp. 150,100 5,058
  Fuji Oil Holdings Inc. 214,100 4,953
  NTT Urban Development Corp. 510,631 4,936
  Yoshinoya Holdings Co. Ltd. 294,100 4,903
  Tomy Co. Ltd. 410,500 4,897
  Hitachi Capital Corp. 202,896 4,892
  Toyo Ink SC Holdings Co. Ltd. 924,000 4,867
  Takasago Thermal Engineering Co. Ltd. 298,600 4,865
  Cosmo Energy Holdings Co. Ltd. 306,194 4,832
  Nippo Corp. 239,884 4,828
^ Nissha Printing Co. Ltd. 172,900 4,808
  Okasan Securities Group Inc. 745,284 4,806
  HIS Co. Ltd. 159,171 4,797
  Nachi-Fujikoshi Corp. 839,000 4,785
  KYORIN Holdings Inc. 214,489 4,765
  Mandom Corp. 87,400 4,742
  Fujitec Co. Ltd. 361,400 4,740
  Canon Marketing Japan Inc. 207,242 4,724
  Nichiha Corp. 133,500 4,711
^ Orient Corp. 2,676,330 4,675
  Hitachi Transport System Ltd. 198,236 4,675
  Fukuyama Transporting Co. Ltd. 722,928 4,593
  Autobacs Seven Co. Ltd. 282,454 4,591
  KYB Corp. 888,218 4,562
  Inaba Denki Sangyo Co. Ltd. 119,500 4,545
  Sakata Seed Corp. 146,100 4,544
  Maruha Nichiro Corp. 171,300 4,528
  Hyakugo Bank Ltd. 1,107,585 4,518
  Koei Tecmo Holdings Co. Ltd. 226,400 4,500
^ Colowide Co. Ltd. 262,500 4,475
  GungHo Online Entertainment Inc. 1,737,100 4,473
  Hokkoku Bank Ltd. 1,162,399 4,471
^ Daio Paper Corp. 328,400 4,434
  Ai Holdings Corp. 163,900 4,414
^ GMO Payment Gateway Inc. 79,600 4,412
  Japan Steel Works Ltd. 279,327 4,390
  Trusco Nakayama Corp. 182,800 4,369
  Open House Co. Ltd. 141,100 4,354
  Yaoko Co. Ltd. 101,200 4,336
  cocokara fine Inc. 86,200 4,264
  Token Corp. 34,300 4,223
  Nippon Seiki Co. Ltd. 208,000 4,193

 

29


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Kanamoto Co. Ltd. 125,300 4,174
  Nomura Co. Ltd. 182,200 4,161
  Chiyoda Corp. 703,539 4,156
  Yamato Kogyo Co. Ltd. 159,731 4,103
  TPR Co. Ltd. 126,500 4,098
  Daiseki Co. Ltd. 183,400 4,081
  Hyakujushi Bank Ltd. 1,229,958 4,073
  Bank of Okinawa Ltd. 100,120 4,070
  Tokai Rika Co. Ltd. 218,992 4,051
  Central Glass Co. Ltd. 935,000 4,034
  Paramount Bed Holdings Co. Ltd. 92,100 4,028
  Kissei Pharmaceutical Co. Ltd. 147,489 4,006
  Exedy Corp. 141,443 3,999
  TOKAI Holdings Corp. 534,300 3,993
  Valor Holdings Co. Ltd. 175,400 3,987
  NSD Co. Ltd. 221,000 3,985
  Totetsu Kogyo Co. Ltd. 130,100 3,984
  Okamoto Industries Inc. 340,000 3,957
  Prima Meat Packers Ltd. 671,000 3,942
  Onward Holdings Co. Ltd. 532,049 3,935
  United Arrows Ltd. 120,800 3,924
  Kitz Corp. 419,600 3,922
  Tokyo Dome Corp. 430,000 3,896
  Okinawa Electric Power Co. Inc. 169,675 3,881
  Ci:z Holdings Co. Ltd. 102,600 3,878
  Hitachi Zosen Corp. 782,000 3,861
  Tokyo Steel Manufacturing Co. Ltd. 453,100 3,840
  JINS Inc. 68,800 3,833
  CKD Corp. 249,900 3,826
  Hitachi Maxell Ltd. 186,200 3,818
  Gree Inc. 436,753 3,817
  Kuroda Electric Co. Ltd. 193,800 3,805
  Daihen Corp. 482,000 3,799
  Kureha Corp. 76,500 3,792
  San-A Co. Ltd. 85,700 3,791
  Unipres Corp. 169,100 3,776
^ Iriso Electronics Co. Ltd. 46,800 3,774
  Kusuri no Aoki Holdings Co. Ltd. 72,000 3,772
  Takara Standard Co. Ltd. 227,900 3,730
  GMO Internet Inc. 285,800 3,721
  Hitachi Koki Co. Ltd. 482,600 3,719
  Asatsu-DK Inc. 148,240 3,717
  NET One Systems Co. Ltd. 390,300 3,705
  Sumitomo Mitsui Construction Co. Ltd. 3,459,100 3,700
  Kanematsu Corp. 1,800,000 3,694
  Matsui Securities Co. Ltd. 450,052 3,680
  DCM Holdings Co. Ltd. 418,700 3,674
^ V Technology Co. Ltd. 21,200 3,660
  Nanto Bank Ltd. 127,735 3,646
  Taiyo Holdings Co. Ltd. 80,600 3,632
  NS Solutions Corp. 151,304 3,606
  Noevir Holdings Co. Ltd. 70,700 3,604
^ Taikisha Ltd. 136,100 3,597
  Yodogawa Steel Works Ltd. 135,700 3,593
  Makino Milling Machine Co. Ltd. 432,000 3,589
  UACJ Corp. 1,301,000 3,573
  Okamura Corp. 375,500 3,571
  Nippon Flour Mills Co. Ltd. 222,400 3,569
^ Outsourcing Inc. 73,000 3,563
  Saizeriya Co. Ltd. 121,500 3,537
^ SMS Co. Ltd. 116,300 3,535
^ Joyful Honda Co. Ltd. 115,400 3,528
  Nippon Soda Co. Ltd. 636,000 3,526
  Takuma Co. Ltd. 349,300 3,516

 

30


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Eizo Corp. 89,200 3,514
  Adastria Co. Ltd. 125,900 3,509
  ZERIA Pharmaceutical Co. Ltd. 188,600 3,496
  Tokyo TY Financial Group Inc. 125,200 3,466
  Nissan Shatai Co. Ltd. 345,865 3,454
  MOS Food Services Inc. 112,300 3,453
  Nitto Boseki Co. Ltd. 716,000 3,448
  Daikyonishikawa Corp. 256,600 3,436
  Seiren Co. Ltd. 217,500 3,431
* Nippon Sheet Glass Co. Ltd. 413,900 3,431
  Hogy Medical Co. Ltd. 51,300 3,420
  PanaHome Corp. 320,000 3,412
  Sumitomo Warehouse Co. Ltd. 536,000 3,406
  TOMONY Holdings Inc. 697,100 3,405
  Arcs Co. Ltd. 156,100 3,380
  Nippon Steel & Sumikin Bussan Corp. 70,300 3,377
* Renesas Electronics Corp. 385,000 3,366
  Nippon Densetsu Kogyo Co. Ltd. 163,300 3,364
  TSI Holdings Co. Ltd. 462,500 3,335
^ Infomart Corp. 435,100 3,311
  Siix Corp. 83,300 3,308
  Starts Corp. Inc. 138,600 3,302
^ EDION Corp. 361,600 3,285
  Kyoritsu Maintenance Co. Ltd. 112,500 3,277
*,^ Japan Display Inc. 1,719,597 3,261
  Sakata INX Corp. 202,700 3,240
  Meidensha Corp. 938,000 3,226
  FCC Co. Ltd. 158,200 3,198
  Piolax Inc. 114,100 3,186
  Nisshin Oillio Group Ltd. 543,000 3,185
^ Earth Chemical Co. Ltd. 61,700 3,179
  Noritz Corp. 159,500 3,171
  Nichicon Corp. 293,600 3,162
  Shinmaywa Industries Ltd. 374,000 3,162
  Komeri Co. Ltd. 121,948 3,107
  Hosiden Corp. 269,900 3,102
  Heiwado Co. Ltd. 144,700 3,100
  Fancl Corp. 168,000 3,088
  Toei Co. Ltd. 325,000 3,087
  KH Neochem Co. Ltd. 160,800 3,080
  Yamanashi Chuo Bank Ltd. 723,000 3,059
  Inabata & Co. Ltd. 229,800 3,057
  Toho Bank Ltd. 866,000 3,052
  Zenrin Co. Ltd. 104,500 3,031
  Kameda Seika Co. Ltd. 61,900 3,024
^ Obara Group Inc. 55,200 3,014
  IBJ Leasing Co. Ltd. 125,100 3,011
  Sanyo Special Steel Co. Ltd. 530,000 3,008
  Takeuchi Manufacturing Co. Ltd. 162,100 2,995
^ Yamagata Bank Ltd. 666,000 2,987
  Mitsuba Corp. 161,200 2,984
  Aomori Bank Ltd. 838,000 2,975
^ Bank of Nagoya Ltd. 78,600 2,974
  TOC Co. Ltd. 312,500 2,965
^ Mirait Holdings Corp. 263,300 2,962
*,^ euglena Co. Ltd. 279,500 2,937
  Japan Aviation Electronics Industry Ltd. 210,508 2,921
  Toshiba TEC Corp. 563,252 2,917
  Showa Sangyo Co. Ltd. 530,000 2,916
  Daiwabo Holdings Co. Ltd. 836,000 2,913
^ Ichigo Inc. 972,700 2,908
^ ASKUL Corp. 94,400 2,906
  Shibuya Corp. 95,900 2,893
^ Fuso Chemical Co. Ltd. 88,900 2,893

 

31


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Digital Garage Inc. 153,900 2,889
  Japan Petroleum Exploration Co. Ltd. 138,181 2,887
  United Super Markets Holdings Inc. 272,600 2,883
  Yamazen Corp. 282,300 2,871
  Senko Group Holdings Co. Ltd. 440,000 2,865
^ Round One Corp. 302,500 2,864
  Kintetsu World Express Inc. 161,600 2,861
  Chudenko Corp. 110,000 2,857
^ Nichi-iko Pharmaceutical Co. Ltd. 182,500 2,850
  Alpine Electronics Inc. 189,900 2,849
^ Descente Ltd. 210,100 2,845
^ Musashi Seimitsu Industry Co. Ltd. 98,000 2,844
  Komori Corp. 220,000 2,836
  Keihin Corp. 206,000 2,822
^ J Trust Co. Ltd. 355,800 2,810
  Nagaileben Co. Ltd. 120,600 2,806
  Kotobuki Spirits Co. Ltd. 85,700 2,803
  Bank of Iwate Ltd. 70,200 2,803
  Takara Bio Inc. 200,600 2,800
  As One Corp. 59,600 2,789
  Seikagaku Corp. 166,800 2,783
  Transcosmos Inc. 115,400 2,768
  Chiyoda Co. Ltd. 105,600 2,768
  Heiwa Real Estate Co. Ltd. 171,300 2,767
  Kadokawa Dwango Corp. 213,500 2,762
  Gunze Ltd. 769,000 2,761
  Daikyo Inc. 1,348,579 2,752
  Benefit One Inc. 68,800 2,752
  San-Ai Oil Co. Ltd. 268,400 2,749
  Oita Bank Ltd. 710,000 2,739
  Shinko Electric Industries Co. Ltd. 320,269 2,722
^ Futaba Corp. 154,700 2,719
  Belluna Co. Ltd. 227,200 2,717
^ Toshiba Plant Systems & Services Corp. 171,600 2,711
  Morita Holdings Corp. 172,400 2,708
  Japan Wool Textile Co. Ltd. 324,100 2,707
  Tokyo Broadcasting System Holdings Inc. 152,582 2,706
^ Furukawa Co. Ltd. 1,549,000 2,702
  Nippon Signal Company Ltd. 291,800 2,692
^ Atom Corp. 391,800 2,683
  Nikkiso Co. Ltd. 277,100 2,669
  Nippon Chemi-Con Corp. 732,000 2,657
  Jaccs Co. Ltd. 542,000 2,647
  Nissin Kogyo Co. Ltd. 166,000 2,645
  Goldwin Inc. 42,900 2,633
  DTS Corp. 85,600 2,630
  Max Co. Ltd. 182,000 2,629
  Seiko Holdings Corp. 638,000 2,616
  Aeon Delight Co. Ltd. 80,700 2,615
  Toho Zinc Co. Ltd. 618,000 2,604
  Ryobi Ltd. 637,000 2,599
  Life Corp. 91,800 2,582
  Topy Industries Ltd. 86,300 2,578
  Takasago International Corp. 68,300 2,577
  Fuji Soft Inc. 90,800 2,571
  Doutor Nichires Holdings Co. Ltd. 120,700 2,563
  Nitta Corp. 81,700 2,549
  Kato Sangyo Co. Ltd. 94,700 2,547
  Star Micronics Co. Ltd. 156,700 2,546
  Mani Inc. 97,000 2,540
  SKY Perfect JSAT Holdings Inc. 589,067 2,537
  Toridoll Holdings Corp. 98,500 2,536
^ Financial Products Group Co. Ltd. 263,800 2,520
  Pacific Industrial Co. Ltd. 193,000 2,514

 

32


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
^ Royal Holdings Co. Ltd. 109,500 2,507
^ Sato Holdings Corp. 99,800 2,505
  Hiday Hidaka Corp. 100,528 2,504
  Axial Retailing Inc. 65,400 2,500
  Futaba Industrial Co. Ltd. 274,700 2,492
  Lasertec Corp. 178,500 2,486
^ Kumiai Chemical Industry Co. Ltd. 429,504 2,486
  Joshin Denki Co. Ltd. 172,000 2,484
  Funai Soken Holdings Inc. 96,800 2,468
  Koa Corp. 132,700 2,464
  Mizuno Corp. 431,000 2,459
  Tokyu Construction Co. Ltd. 299,300 2,453
  Ichibanya Co. Ltd. 71,300 2,441
  Riso Kagaku Corp. 124,500 2,435
  Yuasa Trading Co. Ltd. 79,900 2,430
  Nisshin Steel Co. Ltd. 220,691 2,425
  Fukui Bank Ltd. 963,000 2,415
  Aida Engineering Ltd. 251,400 2,413
  Oiles Corp. 136,100 2,411
  Justsystems Corp. 161,700 2,405
  Milbon Co. Ltd. 42,700 2,401
  Plenus Co. Ltd. 113,600 2,399
*,^ Pioneer Corp. 1,190,600 2,391
  Asahi Holdings Inc. 145,000 2,387
  Saibu Gas Co. Ltd. 1,011,000 2,386
  Nojima Corp. 152,300 2,370
  Tachi-S Co. Ltd. 128,900 2,361
^ LIFULL Co. Ltd. 268,600 2,360
  Sintokogio Ltd. 225,400 2,346
  Sinfonia Technology Co. Ltd. 567,000 2,344
  Monex Group Inc. 881,600 2,338
  Internet Initiative Japan Inc. 128,100 2,329
  Kisoji Co. Ltd. 94,500 2,303
  Kurabo Industries Ltd. 994,000 2,293
  Toshiba Machine Co. Ltd. 509,000 2,290
^ Zojirushi Corp. 200,600 2,290
  Shikoku Bank Ltd. 817,000 2,280
  Sanyo Chemical Industries Ltd. 48,300 2,274
  KOMEDA Holdings Co. Ltd. 141,800 2,263
  Dainichiseika Color & Chemicals Manufacturing Co. Ltd. 285,000 2,262
  Unizo Holdings Co. Ltd. 81,300 2,259
  Fujicco Co. Ltd. 98,200 2,247
  Aichi Bank Ltd. 39,800 2,247
* Showa Corp. 231,300 2,245
  Create SD Holdings Co. Ltd. 96,900 2,244
  Kyokuto Kaihatsu Kogyo Co. Ltd. 139,000 2,240
  Sanken Electric Co. Ltd. 530,000 2,236
^ Sodick Co. Ltd. 191,700 2,235
  Hokuetsu Bank Ltd. 93,700 2,231
*,^ KLab Inc. 140,700 2,225
  Marudai Food Co. Ltd. 473,000 2,213
  S Foods Inc. 60,100 2,212
  Optex Group Co. Ltd. 68,100 2,207
^ COLOPL Inc. 217,285 2,204
^ T Hasegawa Co. Ltd. 103,900 2,200
  Wakita & Co. Ltd. 189,300 2,200
  Eiken Chemical Co. Ltd. 72,700 2,198
  Bank of the Ryukyus Ltd. 149,100 2,190
  EPS Holdings Inc. 139,400 2,186
  Sekisui Jushi Corp. 118,600 2,180
^ Chugoku Marine Paints Ltd. 281,700 2,174
^ Fuji Kyuko Co. Ltd. 200,000 2,166
^ Ringer Hut Co. Ltd. 100,000 2,165
  Ichikoh Industries Ltd. 267,000 2,155

 

33


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  kabu.com Securities Co. Ltd. 637,900 2,151
  Kohnan Shoji Co. Ltd. 115,200 2,148
  AOKI Holdings Inc. 168,500 2,141
  Sanyo Denki Co. Ltd. 208,000 2,137
  Prestige International Inc. 197,600 2,135
  NEC Networks & System Integration Corp. 98,100 2,135
  Sanki Engineering Co. Ltd. 189,300 2,129
  Miyazaki Bank Ltd. 644,000 2,122
  Nishimatsuya Chain Co. Ltd. 206,500 2,116
^ Marusan Securities Co. Ltd. 252,600 2,112
  Nissin Electric Co. Ltd. 198,400 2,108
^ Megachips Corp. 85,200 2,106
  Belc Co. Ltd. 42,200 2,104
  Raito Kogyo Co. Ltd. 198,300 2,100
^ Wacom Co. Ltd. 653,100 2,095
  Nishio Rent All Co. Ltd. 65,500 2,094
^ Fujimori Kogyo Co. Ltd. 66,400 2,088
  Akita Bank Ltd. 702,000 2,079
  Daibiru Corp. 199,400 2,078
^ W-Scope Corp. 118,100 2,075
  Yondoshi Holdings Inc. 83,100 2,073
  Modec Inc. 92,700 2,066
^ Ricoh Leasing Co. Ltd. 58,900 2,063
  Macnica Fuji Electronics Holdings Inc. 139,900 2,050
  Japan Securities Finance Co. Ltd. 394,100 2,045
  Dexerials Corp. 207,200 2,030
  Fuji Co. Ltd. 79,000 2,024
  Bunka Shutter Co. Ltd. 262,000 2,013
  Mitsuboshi Belting Ltd. 181,000 2,010
  Shindengen Electric Manufacturing Co. Ltd. 369,000 2,009
  Konoike Transport Co. Ltd. 146,600 2,003
  Fukushima Industries Corp. 52,000 2,002
  Relia Inc. 182,700 1,990
^ Yokogawa Bridge Holdings Corp. 141,700 1,965
  Eagle Industry Co. Ltd. 115,700 1,964
  Chofu Seisakusho Co. Ltd. 82,100 1,960
  Kura Corp. 42,500 1,955
  Gurunavi Inc. 119,800 1,948
  Aichi Steel Corp. 49,300 1,948
  DyDo Group Holdings Inc. 38,500 1,939
  Mitsui Sugar Co. Ltd. 66,800 1,935
  Miroku Jyoho Service Co. Ltd. 91,000 1,931
  Nippon Koei Co. Ltd. 67,800 1,927
  Dip Corp. 93,900 1,910
^ Tsubaki Nakashima Co. Ltd. 98,400 1,909
  Canon Electronics Inc. 92,400 1,893
  Tocalo Co. Ltd. 57,400 1,893
  Nippon Denko Co. Ltd. 535,500 1,891
* Unitika Ltd. 2,553,000 1,885
  VT Holdings Co. Ltd. 380,000 1,878
  St. Marc Holdings Co. Ltd. 61,300 1,877
  Juki Corp. 129,000 1,877
  Sumitomo Seika Chemicals Co. Ltd. 38,100 1,874
  TKC Corp. 63,300 1,868
  Noritake Co. Ltd. 54,400 1,863
  G-Tekt Corp. 99,600 1,860
  CMK Corp. 221,500 1,841
^ Doshisha Co. Ltd. 96,500 1,838
  Nippon Ceramic Co. Ltd. 78,600 1,836
  Eighteenth Bank Ltd. 637,000 1,827
^ Sumitomo Riko Co. Ltd. 176,900 1,826
^ Osaka Soda Co. Ltd. 376,000 1,824
  Vector Inc. 107,200 1,822
  Nitto Kogyo Corp. 114,700 1,815

 

34


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Bando Chemical Industries Ltd. 182,800 1,814
  Toppan Forms Co. Ltd. 175,191 1,813
  NichiiGakkan Co. Ltd. 182,200 1,810
  Sanyo Electric Railway Co. Ltd. 351,000 1,808
  Shikoku Chemicals Corp. 147,000 1,807
  Create Restaurants Holdings Inc. 199,800 1,805
  Avex Group Holdings Inc. 134,400 1,804
  Mitsubishi Shokuhin Co. Ltd. 62,500 1,797
  Pack Corp. 56,400 1,790
  Tochigi Bank Ltd. 420,800 1,789
  Ohsho Food Service Corp. 46,900 1,788
^ Sankyo Tateyama Inc. 116,200 1,776
  BML Inc. 91,100 1,773
  Tekken Corp. 595,000 1,772
  Press Kogyo Co. Ltd. 379,600 1,768
  Itochu Enex Co. Ltd. 198,200 1,757
^ IDOM Inc. 254,200 1,756
  Kanto Denka Kogyo Co. Ltd. 199,000 1,756
  Xebio Holdings Co. Ltd. 98,900 1,749
  Towa Pharmaceutical Co. Ltd. 37,400 1,748
* Ishihara Sangyo Kaisha Ltd. 170,200 1,748
^ Fujimi Inc. 84,100 1,742
^ Ehime Bank Ltd. 137,300 1,731
  Jeol Ltd. 330,000 1,730
  Tsugami Corp. 239,000 1,720
  Kaga Electronics Co. Ltd. 83,700 1,718
  T-Gaia Corp. 90,200 1,714
  Tosho Co. Ltd. 36,000 1,711
^ Hokuto Corp. 97,000 1,707
  Inageya Co. Ltd. 101,500 1,706
  Nittetsu Mining Co. Ltd. 31,600 1,704
  Clarion Co. Ltd. 446,000 1,702
  Pressance Corp. 128,500 1,699
  TV Asahi Holdings Corp. 93,930 1,697
  Daiho Corp. 356,000 1,695
* Pacific Metals Co. Ltd. 644,000 1,694
  Mitsui High-Tec Inc. 105,700 1,693
  JVC Kenwood Corp. 565,800 1,690
  Elecom Co. Ltd. 83,200 1,687
  OBIC Business Consultants Co. Ltd. 32,200 1,685
  Tsukishima Kikai Co. Ltd. 147,100 1,683
  Riken Corp. 37,100 1,677
  Minato Bank Ltd. 88,300 1,674
  Menicon Co. Ltd. 50,600 1,662
  Tanseisha Co. Ltd. 155,600 1,659
  Asahi Diamond Industrial Co. Ltd. 224,900 1,657
  Foster Electric Co. Ltd. 95,800 1,656
  Hamakyorex Co. Ltd. 66,200 1,656
  Hibiya Engineering Ltd. 96,600 1,653
  Sakai Moving Service Co. Ltd. 42,600 1,648
^ F@N Communications Inc. 185,900 1,645
  Takara Leben Co. Ltd. 366,200 1,645
  Okabe Co. Ltd. 178,300 1,645
  Goldcrest Co. Ltd. 74,200 1,644
*,^ Sanden Holdings Corp. 566,000 1,641
  Tokyotokeiba Co. Ltd. 64,300 1,639
  Sogo Medical Co. Ltd. 37,900 1,635
  Iino Kaiun Kaisha Ltd. 379,700 1,633
  Nippon Thompson Co. Ltd. 307,200 1,630
  Giken Ltd. 60,900 1,630
  Bell System24 Holdings Inc. 158,500 1,628
  Idec Corp. 124,700 1,624
^ Yonex Co. Ltd. 179,100 1,620
  Taihei Dengyo Kaisha Ltd. 140,000 1,618

 

35


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Takamatsu Construction Group Co. Ltd. 66,200 1,613
  Matsuya Co. Ltd. 167,400 1,604
  Japan Pulp & Paper Co. Ltd. 424,000 1,603
^ Micronics Japan Co. Ltd. 161,700 1,600
^ Kenko Mayonnaise Co. Ltd. 55,400 1,598
  Shizuoka Gas Co. Ltd. 239,300 1,596
^ COOKPAD Inc. 196,600 1,596
  Konishi Co. Ltd. 110,400 1,583
  Warabeya Nichiyo Holdings Co. Ltd. 57,300 1,582
  JSP Corp. 52,300 1,581
  Kyoei Steel Ltd. 95,200 1,580
^ JCR Pharmaceuticals Co. Ltd. 62,300 1,578
^ Yokohama Reito Co. Ltd. 166,300 1,570
  Towa Bank Ltd. 1,393,000 1,566
  Tamura Corp. 333,000 1,556
  YAMABIKO Corp. 142,900 1,547
^ Japan Material Co. Ltd. 82,400 1,541
  Tokai Corp. 38,700 1,534
^ Arata Corp. 45,000 1,532
  Daiken Corp. 71,200 1,531
^ Nippon Carbon Co. Ltd. 49,200 1,530
  Namura Shipbuilding Co. Ltd. 256,800 1,518
  Systena Corp. 75,200 1,515
  Teikoku Sen-I Co. Ltd. 90,900 1,514
  Yellow Hat Ltd. 62,800 1,499
  Kanematsu Electronics Ltd. 48,100 1,480
  Cawachi Ltd. 61,000 1,477
  Arcland Sakamoto Co. Ltd. 109,400 1,473
^ Digital Arts Inc. 41,500 1,451
  Tsurumi Manufacturing Co. Ltd. 87,100 1,448
  Itoki Corp. 168,700 1,447
  Trancom Co. Ltd. 29,600 1,447
  Rock Field Co. Ltd. 83,600 1,437
  Kato Works Co. Ltd. 50,900 1,433
  Key Coffee Inc. 73,200 1,432
  Oyo Corp. 101,600 1,430
  Okuwa Co. Ltd. 124,000 1,429
^ Nippon Yakin Kogyo Co. Ltd. 687,100 1,428
  Shinko Plantech Co. Ltd. 184,300 1,427
  MCJ Co. Ltd. 135,100 1,426
^ Dai-Dan Co. Ltd. 121,000 1,422
  Matsuya Foods Co. Ltd. 38,000 1,422
  J-Oil Mills Inc. 39,700 1,412
  Kasai Kogyo Co. Ltd. 108,400 1,403
  Starzen Co. Ltd. 32,000 1,400
  Tokushu Tokai Paper Co. Ltd. 38,400 1,391
  Dai Nippon Toryo Co. Ltd. 507,000 1,385
  Nissei Build Kogyo Co. Ltd. 249,000 1,384
  Jimoto Holdings Inc. 760,400 1,383
  Enplas Corp. 44,800 1,382
  Nohmi Bosai Ltd. 95,700 1,380
  Nihon Nohyaku Co. Ltd. 233,200 1,377
  ASKA Pharmaceutical Co. Ltd. 91,600 1,376
  Sanshin Electronics Co. Ltd. 106,000 1,366
  Daido Metal Co. Ltd. 150,100 1,364
  Ryoyo Electro Corp. 85,100 1,360
  Kansai Urban Banking Corp. 113,100 1,355
  Information Services International-Dentsu Ltd. 57,600 1,351
^ Kyokuto Securities Co. Ltd. 93,900 1,348
  PAL GROUP Holdings Co. Ltd. 51,700 1,346
^ Anicom Holdings Inc. 61,300 1,345
  Fujibo Holdings Inc. 47,600 1,337
  Maruwa Co. Ltd. 32,300 1,337
^ OSAKA Titanium Technologies Co. Ltd. 80,700 1,336

 

36


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Neturen Co. Ltd. 140,500 1,334
  Torii Pharmaceutical Co. Ltd. 54,600 1,332
  Osaki Electric Co. Ltd. 177,000 1,325
^ Yakuodo Co. Ltd. 45,000 1,320
  Geo Holdings Corp. 126,900 1,317
^ Marvelous Inc. 133,100 1,314
  METAWATER Co. Ltd. 47,900 1,314
  Tsukui Corp. 223,200 1,310
  Bank of Saga Ltd. 563,000 1,306
  Maeda Kosen Co. Ltd. 86,100 1,303
  Anest Iwata Corp. 141,000 1,294
  Mitani Sekisan Co. Ltd. 51,100 1,293
  Broadleaf Co. Ltd. 208,900 1,289
  Sakai Chemical Industry Co. Ltd. 334,000 1,284
  Mitsui-Soko Holdings Co. Ltd. 469,000 1,283
  Nippon Road Co. Ltd. 243,000 1,281
  Kamei Corp. 94,000 1,281
  UKC Holdings Corp. 75,800 1,277
  Denki Kogyo Co. Ltd. 248,000 1,277
  Iseki & Co. Ltd. 64,500 1,266
^ Alpen Co. Ltd. 70,900 1,265
  Riken Vitamin Co. Ltd. 32,200 1,261
  Wowow Inc. 46,200 1,253
  CONEXIO Corp. 72,300 1,245
  Daiwa Industries Ltd. 113,700 1,243
  FIDEA Holdings Co. Ltd. 741,500 1,237
^ Toyo Engineering Corp. 499,000 1,232
  Rokko Butter Co. Ltd. 52,100 1,232
  Toyo Construction Co. Ltd. 310,900 1,227
^ ST Corp. 52,200 1,225
  Hosokawa Micron Corp. 28,000 1,224
^ KAWADA TECHNOLOGIES Inc. 18,300 1,222
^ Yushin Precision Equipment Co. Ltd. 49,300 1,217
  Yorozu Corp. 78,200 1,217
  Nagatanien Holdings Co. Ltd. 96,000 1,213
  Nippon Valqua Industries Ltd. 60,800 1,205
  Nissei ASB Machine Co. Ltd. 34,300 1,195
*,^ Toa Corp. 75,100 1,187
* Kintetsu Department Store Co. Ltd. 379,000 1,185
  Arakawa Chemical Industries Ltd. 69,000 1,184
  Meisei Industrial Co. Ltd. 194,800 1,183
  Ichiyoshi Securities Co. Ltd. 140,100 1,181
  Amuse Inc. 43,200 1,178
  France Bed Holdings Co. Ltd. 132,400 1,177
  Vital KSK Holdings Inc. 144,200 1,176
^ Keiyo Co. Ltd. 169,000 1,174
^ Arcland Service Holdings Co. Ltd. 65,600 1,170
  Union Tool Co. 41,700 1,169
  Nissin Corp. 240,000 1,164
  ESPEC Corp. 75,900 1,162
  Maruzen Showa Unyu Co. Ltd. 275,000 1,155
^ OSJB Holdings Corp. 441,100 1,152
  Nippon Kanzai Co. Ltd. 65,000 1,152
  Shin-Etsu Polymer Co. Ltd. 146,400 1,145
* Kappa Create Co. Ltd. 100,200 1,138
  Denyo Co. Ltd. 65,000 1,131
  Katakura Industries Co. Ltd. 95,400 1,131
  Mitsubishi Steel Manufacturing Co. Ltd. 478,000 1,126
  Sagami Chain Co. Ltd. 90,300 1,125
^ eRex Co. Ltd. 129,400 1,125
^ Michinoku Bank Ltd. 682,000 1,124
  Kobe Bussan Co. Ltd. 23,700 1,124
  Daisan Bank Ltd. 73,300 1,120
  Achilles Corp. 66,600 1,120

 

37


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Cosel Co. Ltd. 90,800 1,119
  Roland DG Corp. 48,600 1,110
  Daiichi Jitsugyo Co. Ltd. 202,000 1,104
  Happinet Corp. 62,800 1,102
  Shimizu Bank Ltd. 33,700 1,095
  Tamron Co. Ltd. 63,000 1,092
  Kyodo Printing Co. Ltd. 320,000 1,089
  Fuji Pharma Co. Ltd. 31,900 1,085
  Ministop Co. Ltd. 51,500 1,079
  Tenma Corp. 58,100 1,072
  Melco Holdings Inc. 37,600 1,072
  Aisan Industry Co. Ltd. 134,800 1,069
  Chiba Kogyo Bank Ltd. 202,500 1,067
  KFC Holdings Japan Ltd. 60,020 1,064
^ Istyle Inc. 133,700 1,059
  Sac's Bar Holdings Inc. 94,200 1,059
  Toyo Kanetsu KK 384,000 1,057
  Meiko Network Japan Co. Ltd. 78,800 1,051
  Fukuda Corp. 22,000 1,047
  JAC Recruitment Co. Ltd. 69,200 1,046
  Tonami Holdings Co. Ltd. 278,000 1,041
^ Kansai Super Market Ltd. 75,100 1,038
  Toho Co. Ltd. 38,100 1,036
  Mie Bank Ltd. 45,600 1,035
  Ateam Inc. 39,000 1,035
^ Senshukai Co. Ltd. 142,700 1,029
  Keihanshin Building Co. Ltd. 165,200 1,029
^ Kyokuyo Co. Ltd. 37,300 1,026
^ Toho Titanium Co. Ltd. 131,100 1,016
  Chukyo Bank Ltd. 49,500 1,010
  Qol Co. Ltd. 67,100 1,007
  Fuso Pharmaceutical Industries Ltd. 40,700 1,006
  Daikokutenbussan Co. Ltd. 19,900 1,006
  Nitto Kohki Co. Ltd. 43,800 1,006
^ Riken Technos Corp. 187,900 999
^ Hodogaya Chemical Co. Ltd. 24,900 999
  Shinko Shoji Co. Ltd. 78,300 997
  Shinnihon Corp. 122,100 994
  Nichiden Corp. 28,300 986
  Ines Corp. 98,200 984
  Onoken Co. Ltd. 63,200 980
  Toyo Tanso Co. Ltd. 56,500 979
  Fukui Computer Holdings Inc. 29,100 977
^ Fujita Kanko Inc. 29,700 976
*,^ Akebono Brake Industry Co. Ltd. 310,200 976
  Kyosan Electric Manufacturing Co. Ltd. 185,000 971
^ Fujiya Co. Ltd. 43,400 968
  Chiyoda Integre Co. Ltd. 48,700 967
^ Stella Chemifa Corp. 37,200 963
  Kita-Nippon Bank Ltd. 33,000 956
  Icom Inc. 42,400 951
  Tsukuba Bank Ltd. 313,800 947
  Koatsu Gas Kogyo Co. Ltd. 131,000 947
  Itochu-Shokuhin Co. Ltd. 22,300 939
  Yahagi Construction Co. Ltd. 114,700 937
  Osaka Steel Co. Ltd. 48,300 936
  Mimasu Semiconductor Industry Co. Ltd. 61,800 932
  Toyo Corp. 96,000 926
  Daito Pharmaceutical Co. Ltd. 42,000 926
  WATAMI Co. Ltd. 77,000 920
  SMK Corp. 239,000 917
^ Nihon Chouzai Co. Ltd. 28,700 911
  K&O Energy Group Inc. 57,600 910
  Sekisui Plastics Co. Ltd. 111,300 908

 

38


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Uchida Yoko Co. Ltd. 36,200 906
  Honeys Holdings Co. Ltd. 83,700 905
  Toenec Corp. 145,000 901
^ BRONCO BILLY Co. Ltd. 38,500 901
  Nippon Parking Development Co. Ltd. 619,800 900
  Linical Co. Ltd. 56,600 900
^ Hito Communications Inc. 49,900 899
  Kurimoto Ltd. 49,400 897
  Toa Corp. 92,800 895
  Noritsu Koki Co. Ltd. 102,500 893
^ Torishima Pump Manufacturing Co. Ltd. 88,100 892
  Komatsu Seiren Co. Ltd. 138,700 891
  Yurtec Corp. 130,000 889
  Sumitomo Densetsu Co. Ltd. 61,100 885
  Mitsubishi Nichiyu Forklift Co. Ltd. 127,100 884
  Hokkan Holdings Ltd. 232,000 881
  Shinwa Co. Ltd. 46,000 880
^ Jamco Corp. 39,500 871
  Aiphone Co. Ltd. 49,200 864
  Kanagawa Chuo Kotsu Co. Ltd. 132,000 862
  Tosei Corp. 121,000 861
  Tomoku Co. Ltd. 253,000 859
^ Sun Frontier Fudousan Co. Ltd. 85,100 856
* KNT-CT Holdings Co. Ltd. 555,000 856
  Okura Industrial Co. Ltd. 160,000 853
* Mitsubishi Paper Mills Ltd. 117,800 848
  T RAD Co. Ltd. 267,000 846
  AOI Electronics Co. Ltd. 22,600 846
  Mars Engineering Corp. 38,400 845
  Nippon Beet Sugar Manufacturing Co. Ltd. 44,000 844
  Rhythm Watch Co. Ltd. 411,000 841
^ MTI Ltd. 130,000 840
^ Studio Alice Co. Ltd. 41,100 838
  NDS Co. Ltd. 30,500 838
  Misawa Homes Co. Ltd. 92,700 834
  Chori Co. Ltd. 44,300 827
  Japan Transcity Corp. 204,000 827
  Fudo Tetra Corp. 514,200 824
  NS United Kaiun Kaisha Ltd. 408,000 824
^ PC Depot Corp. 159,300 823
  Zuken Inc. 58,500 821
^ Wellnet Corp. 66,300 819
  Parco Co. Ltd. 66,800 805
  SRA Holdings 29,800 802
  GCA Corp. 89,600 801
  Yomiuri Land Co. Ltd. 168,000 797
  Mitsui Matsushima Co. Ltd. 64,100 796
  Kanaden Corp. 76,600 792
  CI Takiron Corp. 148,000 787
  Aichi Corp. 112,400 783
  Weathernews Inc. 23,400 783
  Hakuto Co. Ltd. 61,700 781
^ Aeon Fantasy Co. Ltd. 27,100 780
  Tatsuta Electric Wire and Cable Co. Ltd. 127,700 777
  Toyo Kohan Co. Ltd. 207,900 775
  Mie Kotsu Group Holdings Inc. 221,700 774
^ CHIMNEY Co. Ltd. 31,300 774
  Chuetsu Pulp & Paper Co. Ltd. 368,000 773
^ Tokyo Rope Manufacturing Co. Ltd. 50,400 769
  Hisaka Works Ltd. 87,800 764
^ Teikoku Electric Manufacturing Co. Ltd. 74,400 764
^ Nihon Trim Co. Ltd. 18,700 763
^ Pronexus Inc. 65,200 762
  Sanyo Shokai Ltd. 47,400 755

 

39


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Mito Securities Co. Ltd. 267,000 754
  Tokyo Energy & Systems Inc. 83,000 747
*,^ Nippon Sharyo Ltd. 292,000 747
  Ryoden Corp. 107,000 743
  Sinanen Holdings Co. Ltd. 36,400 742
^ JP-Holdings Inc. 275,400 739
  Advan Co. Ltd. 71,700 730
  Taiho Kogyo Co. Ltd. 57,500 728
  Kourakuen Holdings Corp. 44,300 721
  Hioki EE Corp. 36,500 720
*,^ Japan Drilling Co. Ltd. 35,300 707
  Halows Co. Ltd. 33,300 699
  Shibusawa Warehouse Co. Ltd. 216,000 698
* SWCC Showa Holdings Co. Ltd. 940,000 695
  Mitsubishi Research Institute Inc. 23,800 691
^ Japan Cash Machine Co. Ltd. 66,100 689
  Organo Corp. 140,000 688
  Seika Corp. 193,000 685
  Nippon Coke & Engineering Co. Ltd. 784,500 685
  Tokyo Tekko Co. Ltd. 184,000 682
  Matsuda Sangyo Co. Ltd. 51,500 680
  Hokkaido Gas Co. Ltd. 278,000 680
  Toyo Securities Co. Ltd. 298,000 680
  Asunaro Aoki Construction Co. Ltd. 89,900 679
  Asahi Co. Ltd. 57,900 676
  Fujitsu Frontech Ltd. 42,400 676
  Mitsubishi Kakoki Kaisha Ltd. 301,000 673
  Sanoh Industrial Co. Ltd. 94,700 671
  Yusen Logistics Co. Ltd. 72,100 667
  Tosho Printing Co. Ltd. 147,000 666
  Tokyo Electron Device Ltd. 43,700 655
*,^ U-Shin Ltd. 96,700 652
  Takaoka Toko Co. Ltd. 44,900 652
  Atsugi Co. Ltd. 600,000 645
^ Daisyo Corp. 39,700 635
^ Godo Steel Ltd. 35,300 629
  Kitagawa Iron Works Co. Ltd. 29,600 622
  Toli Corp. 185,400 617
  Gun-Ei Chemical Industry Co. Ltd. 18,700 607
  Nihon Yamamura Glass Co. Ltd. 374,000 606
  Chuo Spring Co. Ltd. 197,000 604
^ Pasona Group Inc. 64,800 599
  Cleanup Corp. 77,600 598
^ Fields Corp. 55,400 596
^ Tokyo Rakutenchi Co. Ltd. 113,000 580
^ Fuji Oil Co. Ltd. 190,800 577
  Krosaki Harima Corp. 149,000 575
  Taisei Lamick Co. Ltd. 22,000 573
^ Zuiko Corp. 16,100 564
^ Right On Co. Ltd. 63,700 557
  Mitsui Home Co. Ltd. 84,000 554
  Artnature Inc. 85,400 551
  Tsutsumi Jewelry Co. Ltd. 28,300 540
  Dai-ichi Seiko Co. Ltd. 27,700 537
*,^ Laox Co. Ltd. 101,800 535
  Furuno Electric Co. Ltd. 89,000 529
  Alpha Systems Inc. 25,900 529
  Yushiro Chemical Industry Co. Ltd. 39,200 528
  Japan Radio Co. Ltd. 41,000 527
  Future Corp. 66,900 524
  Gakken Holdings Co. Ltd. 17,800 521
  Tv Tokyo Holdings Corp. 24,800 507
  Fujikura Kasei Co. Ltd. 90,600 507
  Maezawa Kasei Industries Co. Ltd. 45,100 505

 

40


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Paris Miki Holdings Inc. 120,400 504
  CAC Holdings Corp. 53,700 503
  Nihon Dempa Kogyo Co. Ltd. 62,800 490
  Gecoss Corp. 40,800 488
  ASAHI YUKIZAI Corp. 220,000 486
  Corona Corp. Class A 47,800 484
  Elematec Corp. 29,400 479
  Best Denki Co. Ltd. 341,400 473
  Kitano Construction Corp. 162,000 472
  Chugai Ro Co. Ltd. 236,000 469
  CMIC Holdings Co. Ltd. 33,800 465
^ Kobelco Eco-Solutions Co. Ltd. 117,000 458
  Maezawa Kyuso Industries Co. Ltd. 33,400 456
  Sankyo Seiko Co. Ltd. 131,200 456
  NEC Capital Solutions Ltd. 27,000 445
^ Funai Electric Co. Ltd. 55,100 442
*,^ Shin Nippon Biomedical Laboratories Ltd. 68,900 435
  Dunlop Sports Co. Ltd. 42,600 428
  Showa Aircraft Industry Co. Ltd. 40,000 420
  Nippon Chemiphar Co. Ltd. 9,000 413
^ Kojima Co. Ltd. 150,700 413
  Pocket Card Co. Ltd. 60,500 403
  Cybozu Inc. 88,700 400
  Shimojima Co. Ltd. 39,400 399
  Takihyo Co. Ltd. 95,000 397
*,^ FDK Corp. 332,000 397
^ Daikoku Denki Co. Ltd. 25,600 393
  Inaba Seisakusho Co. Ltd. 29,300 378
  Airport Facilities Co. Ltd. 69,400 377
^ Toyo Denki Seizo KK 25,200 374
*,^ Aplus Financial Co. Ltd. 370,100 366
  Toda Kogyo Corp. 140,000 344
^ Srg Takamiya Co. Ltd. 68,200 344
  Sumitomo Precision Products Co. Ltd. 109,000 341
  Nakayama Steel Works Ltd. 57,500 333
^ Tabuchi Electric Co. Ltd. 96,000 303
  Kinki Sharyo Co. Ltd. 12,600 289
  Toa Oil Co. Ltd. 237,000 281
* Yamada SxL Home Co. Ltd. 371,000 278
*,^ Takata Corp. 141,938 44
      18,833,627
Malta (0.0%)    
  BGP Holdings PLC 7,179,555
 
Netherlands (2.8%)    
  Unilever NV 7,605,272 419,825
  ING Groep NV 18,884,413 325,998
  ASML Holding NV 1,560,799 203,455
  Koninklijke Philips NV 4,475,140 159,309
  Unibail-Rodamco SE 479,601 120,849
  Koninklijke Ahold Delhaize NV 6,205,978 118,455
  Akzo Nobel NV 1,226,557 106,672
  Heineken NV 1,044,592 101,571
  RELX NV 4,262,232 87,874
  ArcelorMittal 2,934,989 66,575
* Altice NV Class A 2,779,385 64,035
  Koninklijke DSM NV 855,988 62,258
  Wolters Kluwer NV 1,414,177 59,810
  NN Group NV 1,626,747 57,722
  Koninklijke KPN NV 15,043,885 48,149
  Heineken Holding NV 472,961 43,352
  Aegon NV 8,298,517 42,471
2 ABN AMRO Group NV 1,581,083 41,886
  Randstad Holding NV 530,663 30,938

 

41


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Gemalto NV 401,417 24,076
  Aalberts Industries NV 476,413 18,958
* Altice NV Class B 744,341 17,169
  ASR Nederland NV 480,202 16,199
2 Philips Lighting NV 427,805 15,802
* Galapagos NV 195,615 14,954
  Koninklijke Vopak NV 320,807 14,866
  IMCD Group NV 261,216 14,152
  ASM International NV 240,383 13,979
  SBM Offshore NV 860,704 13,787
  Boskalis Westminster 383,014 12,439
^ TKH Group NV 220,083 12,217
  APERAM SA 234,588 10,893
*,^ OCI NV 461,143 10,154
  Wereldhave NV 207,068 10,144
  PostNL NV 2,138,992 9,982
  Eurocommercial Properties NV 247,380 9,881
  Corbion NV 280,292 8,964
  BE Semiconductor Industries NV 166,192 8,887
2 Refresco Group NV 333,533 6,804
2 GrandVision NV 246,289 6,592
  Koninklijke BAM Groep NV 1,178,486 6,412
  Arcadis NV 328,361 5,931
*,^ TomTom NV 592,656 5,672
* Fugro NV 343,490 5,099
2 Flow Traders 151,755 4,188
  Wessanen 243,773 4,127
  Vastned Retail NV 97,229 4,067
  Accell Group 124,020 4,059
* NSI NV 75,307 2,720
*,2 Basic-Fit NV 117,124 2,096
  BinckBank NV 277,820 1,404
  Brunel International NV 88,395 1,235
  Aegon NV (New York Shares) 207,234 1,059
      2,480,172
New Zealand (0.3%)    
  Spark New Zealand Ltd. 8,844,822 24,508
  Auckland International Airport Ltd. 4,432,407 23,160
  Fisher & Paykel Healthcare Corp. Ltd. 2,757,233 23,141
  Fletcher Building Ltd. 3,351,043 19,624
  Contact Energy Ltd. 3,534,936 13,496
  Meridian Energy Ltd. 6,050,136 12,901
  Ryman Healthcare Ltd. 2,031,737 12,344
^ Z Energy Ltd. 1,814,885 10,506
*,^ a2 Milk Co. Ltd. 3,527,283 10,343
  SKYCITY Entertainment Group Ltd. 3,216,966 9,622
* Xero Ltd. 478,592 8,839
  Mercury NZ Ltd. 3,392,489 8,252
  Trade Me Group Ltd. 1,998,762 7,807
  Kiwi Property Group Ltd. 7,382,256 7,624
  Mainfreight Ltd. 426,135 7,338
  Chorus Ltd. 2,122,596 7,203
  Air New Zealand Ltd. 2,439,930 5,830
^ EBOS Group Ltd. 411,183 5,276
  SKY Network Television Ltd. 1,835,948 4,642
  Goodman Property Trust 4,699,057 4,303
  Genesis Energy Ltd. 2,339,552 4,166
  Infratil Ltd. 1,856,567 4,047
^ Freightways Ltd. 692,213 3,887
  Summerset Group Holdings Ltd. 1,000,624 3,482
  Precinct Properties New Zealand Ltd. 3,755,219 3,384
  Metlifecare Ltd. 754,190 2,968
  Argosy Property Ltd. 3,855,411 2,937
  Vital Healthcare Property Trust 1,654,499 2,739

 

42


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Vector Ltd. 1,114,484 2,719
  Heartland Bank Ltd. 1,714,982 2,236
^ New Zealand Refining Co. Ltd. 820,231 1,467
  Kathmandu Holdings Ltd. 675,413 1,010
* TOWER Ltd. 718,809 685
* New Zealand Oil & Gas Ltd. 661,128 303
      262,789
Norway (0.6%)    
  DNB ASA 5,234,622 89,118
  Statoil ASA 4,724,625 78,344
  Telenor ASA 3,346,563 55,520
  Orkla ASA 3,800,470 38,628
  Norsk Hydro ASA 6,509,328 36,023
  Yara International ASA 853,997 32,112
  Marine Harvest ASA 1,820,788 31,152
  Subsea 7 SA 1,264,350 17,048
  Storebrand ASA 2,202,894 15,201
  Gjensidige Forsikring ASA 837,184 14,291
  TGS NOPEC Geophysical Co. ASA 507,959 10,422
^ Schibsted ASA Class B 432,255 9,561
  Schibsted ASA Class A 394,201 9,521
  Aker BP ASA 498,560 7,383
  Leroy Seafood Group ASA 1,329,375 7,220
  Bakkafrost P/F 189,702 7,143
  Tomra Systems ASA 572,145 6,992
  SpareBank 1 SR-Bank ASA 782,238 6,700
  Salmar ASA 265,094 6,571
  Veidekke ASA 474,436 6,201
2 Entra ASA 463,888 5,776
  Borregaard ASA 440,931 5,442
  Atea ASA 401,497 5,388
  SpareBank 1 SMN 580,403 4,992
^,2 XXL ASA 472,512 4,545
  Aker ASA 116,398 3,822
  Austevoll Seafood ASA 417,248 3,546
*,2 Aker Solutions ASA 686,424 3,106
*,^ DNO ASA 3,083,493 2,828
*,^ Nordic Semiconductor ASA 680,880 2,711
*,^ Wallenius Wilhelmsen Logistics 459,018 2,704
*,^ Petroleum Geo-Services ASA 1,399,851 2,439
^ Opera Software ASA 602,647 2,360
  Hoegh LNG Holdings Ltd. 206,155 2,055
  Grieg Seafood ASA 250,014 1,741
  Stolt-Nielsen Ltd. 108,532 1,524
^ Ocean Yield ASA 193,404 1,512
*,^ Norwegian Air Shuttle ASA 51,792 1,508
  Norway Royal Salmon ASA 82,710 1,262
^,2 BW LPG Ltd. 347,389 1,209
*,^ REC Silicon ASA 8,699,495 1,130
*,^ Akastor ASA 613,671 1,014
  Norwegian Property ASA 733,857 905
*,^ Seadrill Ltd. 1,661,830 612
      549,282
Portugal (0.2%)    
  Galp Energia SGPS SA 2,524,379 38,254
  EDP - Energias de Portugal SA 11,171,793 36,546
  Jeronimo Martins SGPS SA 1,190,652 23,246
  Banco Comercial Portugues SA 43,534,772 11,715
  EDP Renovaveis SA 998,536 7,937
  NOS SGPS SA 1,139,493 6,916
  Navigator Co. SA 1,217,279 5,253
  Sonae SGPS SA 4,573,006 5,081
  CTT-Correios de Portugal SA 692,506 4,382
^ REN - Redes Energeticas Nacionais SGPS SA 1,293,499 4,052

 

43


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Semapa-Sociedade de Investimento e Gestao 102,808 1,994
  Altri SGPS SA 314,820 1,450
^ Mota-Engil SGPS SA 415,402 1,152
* Banco BPI SA 369,386 444
  Sonaecom SGPS SA 131,059 382
* Banco Espirito Santo SA 10,412,510 16
      148,820
Singapore (1.2%)    
  DBS Group Holdings Ltd. 8,727,118 131,350
  Oversea-Chinese Banking Corp. Ltd. 15,982,553 125,197
  Singapore Telecommunications Ltd. 36,447,977 102,932
  United Overseas Bank Ltd. 6,071,145 101,926
  Keppel Corp. Ltd. 6,962,619 31,796
  CapitaLand Ltd. 12,338,089 31,351
  Global Logistic Properties Ltd. 14,322,431 29,754
  Wilmar International Ltd. 9,528,953 23,178
  Genting Singapore plc 28,311,394 22,306
  Ascendas REIT 11,501,267 21,792
  Singapore Exchange Ltd. 4,025,455 21,454
  Singapore Technologies Engineering Ltd. 7,537,689 20,137
  Singapore Press Holdings Ltd. 7,905,286 18,548
  City Developments Ltd. 2,346,338 18,277
  Singapore Airlines Ltd. 2,477,126 18,205
  ComfortDelGro Corp. Ltd. 9,920,417 16,570
  Suntec REIT 12,119,678 16,448
  CapitaLand Mall Trust 11,325,053 16,242
  Jardine Cycle & Carriage Ltd. 485,873 15,643
  UOL Group Ltd. 2,374,395 13,174
  CapitaLand Commercial Trust 9,969,934 12,016
  SATS Ltd. 3,092,600 11,473
  Venture Corp. Ltd. 1,273,458 11,147
  Mapletree Commercial Trust 9,498,092 11,007
  Hutchison Port Holdings Trust 24,893,589 10,695
  Sembcorp Industries Ltd. 4,523,728 10,113
  Mapletree Industrial Trust 6,648,600 8,982
  Yangzijiang Shipbuilding Holdings Ltd. 10,246,028 8,854
  Golden Agri-Resources Ltd. 31,541,456 8,591
  Keppel REIT 9,816,800 8,164
  Mapletree Greater China Commercial Trust 9,711,300 7,616
^ Singapore Post Ltd. 7,652,612 7,392
  Mapletree Logistics Trust 6,815,300 5,915
  StarHub Ltd. 2,916,669 5,762
^ Sembcorp Marine Ltd. 3,974,284 4,744
  United Engineers Ltd. 2,146,200 4,271
  Ascott Residence Trust 5,075,425 4,257
  Yanlord Land Group Ltd. 3,192,736 4,069
  Frasers Centrepoint Trust 2,580,300 4,010
  Raffles Medical Group Ltd. 4,047,300 3,940
  Keppel Infrastructure Trust 9,283,200 3,811
  Starhill Global REIT 6,570,300 3,721
  CDL Hospitality Trusts 3,069,000 3,689
  Frasers Logistics & Industrial Trust 4,372,500 3,430
  Parkway Life REIT 1,702,900 3,315
  First Resources Ltd. 2,282,500 3,142
  SIA Engineering Co. Ltd. 1,057,077 3,132
  Croesus Retail Trust 3,590,700 3,077
  Genting Hong Kong Ltd. 9,993,600 2,996
  Keppel DC REIT 3,177,087 2,977
  Lippo Malls Indonesia Retail Trust 9,087,200 2,936
  CapitaLand Retail China Trust 2,459,800 2,930
  Frasers Commercial Trust 2,691,500 2,784
  Cache Logistics Trust 4,126,500 2,742
  Asian Pay Television Trust 6,502,600 2,692
  Ascendas India Trust 3,256,000 2,685

 

44


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  OUE Hospitality Trust 4,946,300 2,676
  Wing Tai Holdings Ltd. 1,822,975 2,636
  ESR REIT 5,994,900 2,569
  Manulife US REIT 2,707,300 2,437
  First REIT 2,469,000 2,403
  Ascendas Hospitality Trust 3,901,900 2,338
  M1 Ltd. 1,429,740 2,263
  Yoma Strategic Holdings Ltd. 5,300,300 2,252
  OUE Ltd. 1,366,100 1,945
  Far East Hospitality Trust 3,967,700 1,931
  Soilbuild Business Space REIT 3,589,120 1,876
  Accordia Golf Trust 3,583,400 1,861
  SPH REIT 2,558,100 1,858
  RHT Health Trust 2,852,700 1,853
^ Noble Group Ltd. 4,867,386 1,643
^ SIIC Environment Holdings Ltd. 4,289,900 1,620
  Sheng Siong Group Ltd. 2,211,900 1,591
*,^ Ezion Holdings Ltd. 8,589,353 1,464
  Silverlake Axis Ltd. 3,443,000 1,462
  Sabana Shari'ah Compliant Industrial REIT 4,309,700 1,456
  Sarine Technologies Ltd. 1,073,700 1,199
  GL Ltd. 1,992,500 1,034
^ Hyflux Ltd. 2,261,000 904
*,^ Midas Holdings Ltd. 5,447,000 890
*,^ COSCO Shipping International Singapore Co. Ltd. 4,458,069 889
  Bumitama Agri Ltd. 1,326,500 723
  Boustead Singapore Ltd. 1,126,000 720
^ China Everbright Water Ltd. 2,042,400 712
  Indofood Agri Resources Ltd. 1,734,900 605
* Ying Li International Real Estate Ltd. 3,447,000 331
* Vard Holdings Ltd. 1,767,500 308
*,^ Ezra Holdings Ltd. 10,329,900 83
* Ezion Holdings Ltd Warrants Exp. 04/15/2020 720,757 17
      1,047,906
South Korea (4.5%)    
  Samsung Electronics Co. Ltd. 430,364 896,372
  SK Hynix Inc. 2,594,109 152,740
  Samsung Electronics Co. Ltd. Preference Shares 80,828 131,790
  Hyundai Motor Co. 676,720 94,352
  NAVER Corp. 127,810 93,689
  KB Financial Group Inc. 1,813,356 91,557
  Shinhan Financial Group Co. Ltd. 2,064,644 89,079
  Samsung Electronics Co. Ltd. GDR 80,099 83,044
  POSCO 330,609 82,815
  Hyundai Mobis Co. Ltd. 316,793 69,255
  Hana Financial Group Inc. 1,418,021 56,001
  LG Chem Ltd. 217,694 55,397
  KT&G Corp. 537,009 54,932
  Samsung C&T Corp. 350,714 45,378
  Kia Motors Corp. 1,250,565 41,763
  SK Innovation Co. Ltd. 294,270 40,755
  Amorepacific Corp. 152,670 40,547
  Korea Electric Power Corp. 1,127,334 40,200
  Woori Bank 2,460,779 39,640
  SK Holdings Co. Ltd. 161,320 39,212
  Samsung SDI Co. Ltd. 255,501 38,357
  Samsung Fire & Marine Insurance Co. Ltd. 151,476 37,286
*,^ Celltrion Inc. 368,149 37,024
  LG Household & Health Care Ltd. 41,338 35,919
  LG Display Co. Ltd. 1,084,644 35,080
  LG Electronics Inc. 492,763 34,570
  Samsung Life Insurance Co. Ltd. 309,606 31,652
  LG Corp. 435,522 29,445
^ NCSoft Corp. 84,029 27,872

 

45


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Samsung SDS Co. Ltd. 155,355 25,058
  Coway Co. Ltd. 271,017 24,631
  Samsung Electro-Mechanics Co. Ltd. 270,690 24,164
  Hyundai Motor Co. 2nd Preference Shares 222,503 22,656
  Lotte Chemical Corp. 71,355 21,476
  E-MART Inc. 101,420 20,779
* Hyundai Heavy Industries Co. Ltd. 131,237 20,291
  Hankook Tire Co. Ltd. 363,401 20,200
  Hyundai Steel Co. 360,849 19,600
  Korea Zinc Co. Ltd. 47,749 19,027
  Mirae Asset Daewoo Co. Ltd. 1,872,358 18,065
*,^,2 Samsung Biologics Co. Ltd. 65,167 16,623
  S-Oil Corp. 200,366 16,601
  Hyosung Corp. 113,300 16,592
  Industrial Bank of Korea 1,280,004 15,930
  Kangwon Land Inc. 522,280 15,915
  AMOREPACIFIC Group 139,917 15,900
  Korea Aerospace Industries Ltd. 311,182 15,495
  SK Telecom Co. Ltd. ADR 580,382 14,898
  GS Holdings Corp. 248,724 14,825
  LG Uplus Corp. 1,045,452 14,258
* Samsung Heavy Industries Co. Ltd. 1,294,829 14,105
  Hyundai Engineering & Construction Co. Ltd. 348,521 14,041
^ Kakao Corp. 157,112 13,939
  Lotte Shopping Co. Ltd. 51,953 13,787
  Dongbu Insurance Co. Ltd. 226,550 13,463
  BNK Financial Group Inc. 1,405,125 13,436
  Orion Corp. 63,600 12,969
  Hyundai Glovis Co. Ltd. 89,203 12,241
* Hyundai Robotics Co. Ltd. 35,314 11,929
  Hyundai Development Co-Engineering & Construction 289,819 11,903
*,^,2 Netmarble Games Corp. 86,279 11,688
  SK Telecom Co. Ltd. 49,978 11,621
  Korea Investment Holdings Co. Ltd. 185,131 11,344
  Samsung Securities Co. Ltd. 307,580 11,097
  CJ CheilJedang Corp. 34,475 10,888
*,^ Hanmi Pharm Co. Ltd. 33,248 10,836
  Daelim Industrial Co. Ltd. 133,298 10,373
  KCC Corp. 27,009 10,311
  Hanwha Chemical Corp. 388,422 10,250
  CJ Corp. 61,812 10,237
  Hyundai Marine & Fire Insurance Co. Ltd. 292,402 10,057
  LG Innotek Co. Ltd. 68,802 9,926
  Hanwha Corp. 237,165 9,828
  Hyundai Motor Co. Preference Shares 96,757 9,557
  Medy-Tox Inc. 19,017 9,313
  BGF retail Co. Ltd. 99,385 8,780
  Amorepacific Corp. Preference Shares 53,114 8,636
  NH Investment & Securities Co. Ltd. 638,382 8,283
  Yuhan Corp. 38,434 8,263
  Hanssem Co. Ltd. 49,395 7,944
*,^ Samsung Engineering Co. Ltd. 757,624 7,882
  S-1 Corp. 92,822 7,870
* Korean Air Lines Co. Ltd. 232,025 7,847
  DGB Financial Group Inc. 752,307 7,756
  LG Chem Ltd. Preference Shares 42,551 7,513
^ Hotel Shilla Co. Ltd. 149,834 7,474
  Hyundai Department Store Co. Ltd. 76,084 7,349
  Mando Corp. 31,984 7,203
  Hanwha Life Insurance Co. Ltd. 1,177,422 7,160
  Hanon Systems 787,271 7,090
^ OCI Co. Ltd. 87,103 6,826
  Shinsegae Inc. 34,022 6,824
* Hanwha Techwin Co. Ltd. 174,702 6,793

 

46


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  LG Household & Health Care Ltd. Preference Shares 12,269 6,669
  Shinhan Financial Group Co. Ltd. ADR 148,968 6,479
  Meritz Securities Co. Ltd. 1,431,126 6,335
  CJ E&M Corp. 90,625 6,007
* Korea Gas Corp. 128,782 5,990
* Daewoo Engineering & Construction Co. Ltd. 898,154 5,949
*,^ GS Engineering & Construction Corp. 219,574 5,847
  KB Financial Group Inc. ADR 114,834 5,798
*,^ ViroMed Co. Ltd. 64,162 5,765
^ SK Chemicals Co. Ltd. 88,881 5,719
  GS Retail Co. Ltd. 125,622 5,664
^ Doosan Heavy Industries & Construction Co. Ltd. 304,799 5,584
*,^ Kumho Tire Co. Inc. 836,932 5,494
  Cheil Worldwide Inc. 340,541 5,477
* NHN Entertainment Corp. 77,554 5,444
*,^ CJ Korea Express Corp. 34,174 5,393
^ Kumho Petrochemical Co. Ltd. 83,368 5,364
  LS Corp. 83,019 5,292
  Samsung Card Co. Ltd. 153,908 5,259
  Doosan Corp. 50,333 5,237
  LG Electronics Inc. Preference Shares 148,717 5,209
^ Kolon Industries Inc. 84,388 5,083
  Com2uSCorp 47,789 4,922
* Doosan Infracore Co. Ltd. 648,959 4,803
* Hugel Inc. 9,799 4,791
* Hyundai Mipo Dockyard Co. Ltd. 48,854 4,664
^ Hyundai Wia Corp. 76,118 4,643
  Posco Daewoo Corp. 236,810 4,617
*,^ Komipharm International Co. Ltd. 146,056 4,609
*,^ Hanmi Science Co. ltd 62,113 4,577
  KIWOOM Securities Co. Ltd. 55,368 4,516
  Meritz Fire & Marine Insurance Co. Ltd. 255,018 4,472
  NongShim Co. Ltd. 15,136 4,466
  Korean Reinsurance Co. 421,404 4,456
  Lotte Confectionery Co. Ltd. 25,595 4,437
  Lotte Chilsung Beverage Co. Ltd. 2,901 4,348
^ Youngone Corp. 145,546 4,339
  Korea Electric Power Corp. ADR 240,049 4,314
  KT Corp. ADR 252,052 4,194
*,^ Hyundai Rotem Co. Ltd. 231,754 4,186
*,^ Yungjin Pharmaceutical Co. Ltd. 421,340 4,178
^ SK Materials Co. Ltd. 24,055 4,166
*,^ SillaJen Inc. 236,497 4,148
^ Korea Kolmar Co. Ltd. 65,577 4,137
  Ottogi Corp. 5,980 4,131
*,^ Pan Ocean Co. Ltd. 874,176 4,035
  KEPCO Plant Service & Engineering Co. Ltd. 104,475 4,033
^ Dongsuh Cos. Inc. 148,410 3,970
^ CJ CGV Co. Ltd. 61,138 3,935
  Green Cross Corp. 25,278 3,856
  SK Networks Co. Ltd. 694,002 3,792
^ Fila Korea Ltd. 50,306 3,760
  Samsung Fire & Marine Insurance Co. Ltd. Preference Shares 21,675 3,692
  Hyundai Greenfood Co. Ltd. 238,342 3,687
  Doosan Bobcat Inc. 116,109 3,617
* WONIK IPS Co. Ltd. 136,795 3,544
  Green Cross Holdings Corp. 125,792 3,495
  LS Industrial Systems Co. Ltd. 70,934 3,462
  Dongkuk Steel Mill Co. Ltd. 270,441 3,457
^ SFA Engineering Corp. 87,090 3,426
^ LIG Nex1 Co. Ltd. 52,504 3,397
^ Kolon Life Science Inc. 23,548 3,380
  LOTTE Himart Co. Ltd. 54,885 3,348
* Dongbu HiTek Co. Ltd. 169,761 3,336

 

47


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Seoul Semiconductor Co. Ltd. 174,557 3,303
  Poongsan Corp. 87,193 3,277
^ Cosmax Inc. 32,539 3,273
  Hana Tour Service Inc. 40,597 3,247
*,^ Hanjin Kal Corp. 139,867 3,240
* Hyundai Construction Equipment Co. Ltd. 10,604 3,188
  Eo Technics Co. Ltd. 40,330 3,179
  Hyundai Home Shopping Network Corp. 27,358 3,133
  LG International Corp. 112,423 3,052
  Samyang Holdings Corp. 27,788 2,976
* Hyundai Electric & Energy System Co. Ltd. 10,922 2,974
  Chong Kun Dang Pharmaceutical Corp. 27,821 2,966
  Koh Young Technology Inc. 56,055 2,940
  Innocean Worldwide Inc. 52,506 2,931
  Korea Petrochemical Ind Co. Ltd. 13,240 2,930
  GS Home Shopping Inc. 14,310 2,894
  LOTTE Fine Chemical Co. Ltd. 83,147 2,861
  SKC Co. Ltd. 96,424 2,830
  LG Hausys Ltd. 29,384 2,813
  Hite Jinro Co. Ltd. 137,350 2,797
^ Paradise Co. Ltd. 222,570 2,791
  JB Financial Group Co. Ltd. 464,802 2,583
^ Toptec Co. Ltd. 90,834 2,583
^ Young Poong Corp. 2,505 2,559
  Taekwang Industrial Co. Ltd. 2,686 2,529
  Soulbrain Co. Ltd. 38,540 2,507
^ Able C&C Co. Ltd. 111,170 2,506
  DoubleUGames Co. Ltd. 45,694 2,466
  IS Dongseo Co. Ltd. 63,962 2,460
  Hyundai Elevator Co. Ltd. 45,360 2,431
  Huchems Fine Chemical Corp. 103,784 2,428
* Asiana Airlines Inc. 452,299 2,423
* Seegene Inc. 72,712 2,398
  CJ O Shopping Co. Ltd. 14,310 2,395
  Hansol Chemical Co. Ltd. 38,427 2,383
^ JW Pharmaceutical Corp. 56,729 2,334
^ Hankook Tire Worldwide Co. Ltd. 120,771 2,301
^ Kolon Corp. 32,091 2,301
^ Douzone Bizon Co. Ltd. 84,291 2,269
*,^ Osstem Implant Co. Ltd. 49,182 2,253
*,^ Foosung Co. Ltd. 243,400 2,244
^ Korea Real Estate Investment & Trust Co. Ltd. 781,177 2,239
*,^ Genexine Co. Ltd. 53,048 2,233
* Advanced Process Systems Corp. 51,715 2,228
  LF Corp. 84,421 2,213
^ Ilyang Pharmaceutical Co. Ltd. 61,623 2,194
^ Bukwang Pharmaceutical Co. Ltd. 117,600 2,193
^ Daou Technology Inc. 113,232 2,172
  Daesang Corp. 93,106 2,153
  Korea Electric Terminal Co. Ltd. 33,862 2,111
  Halla Holdings Corp. 36,690 2,059
  Loen Entertainment Inc. 26,854 2,051
  Lotte Food Co. Ltd. 3,677 2,047
  Tongyang Inc. 1,009,997 2,009
  Hanwha General Insurance Co. Ltd. 269,894 1,998
  Nexen Tire Corp. 169,579 1,979
* Jusung Engineering Co. Ltd. 166,523 1,979
*,^ HLB Inc. 149,688 1,962
  SK Gas Ltd. 17,358 1,958
*,^ Hanall Biopharma Co. Ltd. 170,881 1,949
^ Hansae Co. Ltd. 81,765 1,918
  Meritz Financial Group Inc. 153,691 1,914
*,^ iNtRON Biotechnology Inc. 57,225 1,913
^ Handsome Co. Ltd. 66,788 1,909

 

48


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
^ Modetour Network Inc. 67,142 1,858
  Hanjin Transportation Co. Ltd. 57,517 1,850
*,^ Medipost Co. Ltd. 34,231 1,849
*,^ SK Securities Co. Ltd. 1,291,918 1,829
  Dong-A Socio Holdings Co. Ltd. 15,406 1,825
*,^ Korea Line Corp. 56,643 1,819
  Hanil Cement Co. Ltd. 18,029 1,813
^ Dong-A ST Co. Ltd. 21,923 1,766
  Daishin Securities Co. Ltd. 129,895 1,753
^ Partron Co. Ltd. 185,467 1,687
  Vieworks Co. Ltd. 33,527 1,685
*,^ Interflex Co. Ltd. 48,633 1,676
^ TES Co. Ltd. 67,869 1,675
  SPC Samlip Co. Ltd. 10,497 1,664
  LEENO Industrial Inc. 39,686 1,664
*,^ Chabiotech Co. Ltd. 152,684 1,661
  Dongwon Industries Co. Ltd. 5,877 1,658
*,^ Webzen Inc. 85,805 1,647
*,^ Hanwha Investment & Securities Co. Ltd. 498,370 1,632
^ Grand Korea Leisure Co. Ltd. 83,027 1,625
*,^ SM Entertainment Co. 70,410 1,620
^ Jeil Pharmaceutical Co. 7,819 1,602
*,^ Duk San Neolux Co. Ltd. 62,066 1,578
^ Daewoo Shipbuilding & Marine Engineering Co. Ltd. 40,899 1,566
*,^ Celltrion Pharm Inc. 80,396 1,556
* DIO Corp. 53,472 1,543
^ ST Pharm Co. Ltd. 42,426 1,540
^ Posco ICT Co. Ltd. 237,489 1,540
  CJ CheilJedang Corp. Preference Shares 10,101 1,531
  Songwon Industrial Co. Ltd. 79,755 1,527
  S&T Motiv Co. Ltd. 34,552 1,526
  Daeduck Electronics Co. 155,203 1,499
^ Ssangyong Cement Industrial Co. Ltd. 116,787 1,496
* Taeyoung Engineering & Construction Co. Ltd. 195,178 1,495
^ Dawonsys Co. Ltd. 97,270 1,483
  AK Holdings Inc. 22,330 1,448
  Samyang Corp. 16,062 1,447
* Yuanta Securities Korea Co. Ltd. 403,271 1,445
  Namyang Dairy Products Co. Ltd. 2,157 1,442
  Daishin Securities Co. Ltd. Preference Shares 169,999 1,435
^ Daewoong Pharmaceutical Co. Ltd. 19,098 1,433
  Kumho Industrial Co. Ltd. 135,822 1,425
*,^ Taihan Electric Wire Co. Ltd. 1,167,343 1,422
  Mirae Asset Life Insurance Co. Ltd. 309,540 1,420
^ JW Holdings Corp. 166,061 1,402
*,^ CrystalGenomics Inc. 105,638 1,398
  Seah Besteel Corp. 51,808 1,384
  Sebang Global Battery Co. Ltd. 39,657 1,378
*,^ Jenax Inc. 63,320 1,376
  Tongyang Life Insurance Co. Ltd. 156,996 1,370
  Silicon Works Co. Ltd. 44,619 1,368
  SL Corp. 72,356 1,367
*,^ Gamevil Inc. 24,787 1,351
  POSCO Chemtech Co. Ltd. 100,003 1,342
^ iMarketKorea Inc. 112,171 1,334
  Hansol Paper Co. Ltd. 78,408 1,319
  Binggrae Co. Ltd. 22,121 1,319
  WeMade Entertainment Co. Ltd. 43,112 1,301
*,^ GemVax & Kael Co. Ltd. 118,196 1,292
^ YG Entertainment Inc. 46,825 1,291
  Daeduck GDS Co. Ltd. 78,242 1,290
*,^ Aprogen pharmaceuticals Inc. 362,481 1,275
* Wonik Holdings Co. Ltd. 174,797 1,275
  DongKook Pharmaceutical Co. Ltd. 22,776 1,257

 

49


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Muhak Co. Ltd. 60,148 1,249
*,^ Homecast Co. Ltd. 154,109 1,248
*,^ Peptron Inc. 27,408 1,244
*,^ Amicogen Inc. 35,102 1,239
  Youngone Holdings Co. Ltd. 23,622 1,238
^ Ahnlab Inc. 28,232 1,238
* Hansol Technics Co. Ltd. 82,677 1,229
  Dongwon F&B Co. Ltd. 5,740 1,221
  NICE Holdings Co. Ltd. 79,767 1,219
*,^ Hanjin Heavy Industries & Construction Co. Ltd. 308,670 1,214
^ Daewoong Co. Ltd. 105,314 1,206
  Interpark Holdings Corp. 226,106 1,196
* Eugene Investment & Securities Co. Ltd. 337,863 1,193
  NICE Information Service Co. Ltd. 168,244 1,192
*,^ Maeil Dairies Co. Ltd. 18,014 1,176
* Ssangyong Motor Co. 195,087 1,166
  Samchully Co. Ltd. 10,736 1,159
^ SeAH Steel Corp. 13,474 1,145
*,^ ATGen Co. Ltd. 38,870 1,138
  Hankook Shell Oil Co. Ltd. 3,209 1,127
^ InBody Co. Ltd. 47,178 1,123
  KISWIRE Ltd. 33,267 1,121
  Kwangju Bank Co. Ltd. 97,481 1,116
^ Seobu T&D 67,307 1,100
^ NS Shopping Co. Ltd. 72,450 1,089
  Kwang Dong Pharmaceutical Co. Ltd. 137,082 1,048
^ It's Hanbul Co. Ltd. 26,917 1,045
*,^ Emerson Pacific Inc. 37,199 1,039
  Sungwoo Hitech Co. Ltd. 152,509 1,028
^ Caregen Co. Ltd. 18,346 1,025
  Shinyoung Securities Co. Ltd. 21,218 1,020
*,^ Binex Co. Ltd. 98,290 1,005
  Hancom Inc. 67,427 1,005
  Hyundai Corp. 56,796 1,003
*,^ Taewoong Co. Ltd. 42,562 1,003
*,^ CMG Pharmaceutical Co. Ltd. 347,647 1,002
  CJ Hellovision Co. Ltd. 125,068 997
  Lock&Lock Co. Ltd. 75,263 973
*,^ Huons Co. Ltd. 18,793 973
  Namhae Chemical Corp. 101,634 959
  Daekyo Co. Ltd. 134,037 956
^ Dae Hwa Pharmaceutical Co. Ltd. 48,014 952
  i-SENS Inc. 39,399 947
^ KEPCO Engineering & Construction Co. Inc. 53,860 925
  Hansol Holdings Co. Ltd. 158,847 915
^ Hyundai Livart Furniture Co. Ltd. 43,777 911
^ Korea Kolmar Holdings Co. Ltd. 31,853 893
  Dae Han Flour Mills Co. Ltd. 5,395 891
  Green Cross Cell Corp. 30,014 885
  E1 Corp. 15,584 882
  KT Skylife Co. Ltd. 61,639 881
*,^ CUROCOM Co. Ltd. 387,242 868
  Cell Biotech Co. Ltd. 25,445 864
  Cuckoo Electronics Co. Ltd. 6,774 858
* Dongbu Securities Co. Ltd. 227,274 856
* Neowiz 69,435 850
*,^ Pharmicell Co. Ltd. 227,554 840
*,^ NUTRIBIOTECH Co. Ltd. 45,060 824
* Woongjin Thinkbig Co. Ltd. 111,751 811
  GOLFZON Co. Ltd. 15,663 811
  Kyobo Securities Co. Ltd. 79,565 803
  Huons Global Co. Ltd. 23,520 801
*,^ G-SMATT GLOBAL Co. Ltd. 66,586 801
  Chongkundang Holdings Corp. 11,965 800

 

50


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  KISCO Corp. 19,512 783
^ Kolao Holdings 139,617 776
  Sindoh Co. Ltd. 15,193 749
^ ICD Co. Ltd. 59,955 739
^ TK Corp. 82,760 735
  Seoyon E-Hwa Co. Ltd. 55,918 733
  CJ Freshway Corp. 20,077 729
*,^ COSON Co. Ltd. 70,847 725
* S&T Dynamics Co. Ltd. 83,976 722
*,^ Leaders Cosmetics Co. Ltd. 49,872 722
* KTB Investment & Securities Co. Ltd. 217,006 718
*,^ Insun ENT Co. Ltd. 116,903 713
  Youlchon Chemical Co. Ltd. 58,292 711
  SBS Media Holdings Co. Ltd. 270,712 707
  Humax Co. Ltd. 68,550 695
  Sung Kwang Bend Co. Ltd. 73,204 686
^ Lutronic Corp. 67,722 684
  INTOPS Co. Ltd. 64,055 669
*,^ CrucialTec Co. Ltd. 203,787 666
*,^ SFA Semicon Co. Ltd. 300,917 654
  Eusu Holdings Co. Ltd. 85,485 651
^ Humedix Co. Ltd. 23,333 643
^ Byucksan Corp. 183,918 635
^ Coreana Cosmetics Co. Ltd. 115,233 621
^ KH Vatec Co. Ltd. 58,503 596
* NEPES Corp. 60,998 594
*,^ Naturalendo Tech Co. Ltd. 55,863 591
*,^ Agabang&Company 102,616 575
* GNCO Co. Ltd. 295,077 563
*,^ Cellumed Co. Ltd. 71,328 519
*,^ Samsung Pharmaceutical Co. Ltd. 150,885 509
* Lumens Co. Ltd. 148,721 500
  Cosmax BTI Inc 19,085 491
  Sam Young Electronics Co. Ltd. 40,228 487
*,^ 3S Korea Co. Ltd. 239,550 485
^ Hyundai Corp. Holdings Inc. 35,159 470
*,^ APS Holdings Corp. 45,107 465
^ GOLFZONNEWDIN Co. Ltd. 96,764 463
  Seoyon Co. Ltd. 49,070 463
  KB Insurance Co. Ltd. 15,654 450
  DY Corp. 62,546 424
  MegaStudy Co. Ltd. 15,058 407
*,^ Duksan Hi-Metal Co. Ltd. 50,261 403
^ CROWNHAITAI Holdings Co. Ltd. 18,715 397
* Crown Confectionery Co. Ltd. 24,101 387
^ Maeil Holdings Co. Ltd. 16,179 387
*,^ KONA I Co. Ltd. 44,874 369
* Doosan Engine Co. Ltd. 95,069 352
^ Hitejinro Holdings Co. Ltd. 33,510 338
*,^ Ssangyong Information & Communication 21,273 37
* Amicogen Inc. Rights Exp. 07/26/2017 1,847 13
* Jeil Pharmaceutical Co. 18,902
* Orion Corp. 121,954
      4,012,543
Spain (2.8%)    
  Banco Santander SA 70,008,737 464,851
  Banco Bilbao Vizcaya Argentaria SA 32,418,637 270,046
  Telefonica SA 21,009,734 217,485
  Iberdrola SA 27,087,016 214,649
  Industria de Diseno Textil SA 5,120,319 196,646
^ Amadeus IT Group SA 2,040,807 121,991
* Repsol SA 5,649,536 86,614
  CaixaBank SA 17,439,070 83,365
2 Aena SA 312,765 61,075

 

51


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
^ Abertis Infraestructuras SA 3,043,136 56,409
  Banco de Sabadell SA 27,159,224 55,257
* Ferrovial SA 2,337,748 51,929
  Grifols SA 1,732,831 48,313
* ACS Actividades de Construccion y Servicios SA 1,173,360 45,367
  Red Electrica Corp. SA 2,105,960 44,058
^ Endesa SA 1,535,577 35,424
^ Gas Natural SDG SA 1,488,627 34,847
  Bankinter SA 3,356,563 30,964
^ Enagas SA 1,102,249 30,934
* Bankia SA 5,571,762 26,949
  Gamesa Corp. Technologica SA 1,090,961 23,342
  Grifols SA Preference Shares 1,094,218 23,130
  Merlin Properties Socimi SA 1,579,719 19,985
  Distribuidora Internacional de Alimentacion SA 2,999,155 18,716
  Mapfre SA 4,935,834 17,277
2 Cellnex Telecom SA 730,203 15,091
  Bolsas y Mercados Espanoles SHMSF SA 383,853 13,874
  Viscofan SA 199,520 11,823
  Acciona SA 130,373 11,478
  Mediaset Espana Comunicacion SA 901,695 11,229
  Inmobiliaria Colonial SA 1,211,290 10,568
* Acerinox SA 711,364 9,755
  Grupo Catalana Occidente SA 228,055 9,614
  Zardoya Otis SA 884,469 9,161
  Melia Hotels International SA 580,747 8,698
  Applus Services SA 676,007 8,529
* Indra Sistemas SA 587,285 8,476
  Prosegur Cia de Seguridad SA 1,237,779 8,050
  Ebro Foods SA 327,965 7,500
  Hispania Activos Inmobiliarios SOCIMI SA 446,741 7,390
* NH Hotel Group SA 1,000,012 6,030
  Tecnicas Reunidas SA 153,921 5,964
  Corp Financiera Alba SA 88,361 5,345
  CIE Automotive SA 227,935 5,240
  Axiare Patrimonio SOCIMI SA 286,819 4,908
2 Euskaltel SA 447,951 4,778
  Cia de Distribucion Integral Logista Holdings SA 177,638 4,675
  Almirall SA 286,839 4,672
^ Atresmedia Corp. de Medios de Comunicacion SA 350,305 4,102
  Faes Farma SA 1,192,304 3,962
*,^ Sacyr SA 1,415,033 3,759
* Fomento de Construcciones y Contratas SA 335,094 3,621
* Construcciones y Auxiliar de Ferrocarriles SA 88,162 3,619
*,^ Pharma Mar SA 774,652 3,489
  Ence Energia y Celulosa SA 623,108 2,556
*,^ Codere SA 4,904,043 2,473
^ Obrascon Huarte Lain SA 664,201 2,393
  Papeles y Cartones de Europa SA 234,390 2,007
*,^ Liberbank SA 1,304,419 1,344
*,^ Promotora de Informaciones SA 149,285 401
* Sacyr SA Rights Exp. 07/16/2017 1,415,033 113
      2,506,310
Sweden (2.8%)    
  Nordea Bank AB 15,432,632 196,557
  Volvo AB Class B 7,583,061 129,319
  Swedbank AB Class A 5,121,784 125,001
^ Hennes & Mauritz AB Class B 4,608,767 114,906
  Atlas Copco AB Class A 2,973,145 114,323
  Investor AB Class B 2,184,504 105,395
  Telefonaktiebolaget LM Ericsson Class B 14,452,168 103,913
  Svenska Handelsbanken AB Class A 7,123,508 102,024
  Assa Abloy AB Class B 4,597,690 101,340
  Skandinaviska Enskilda Banken AB Class A 6,886,873 83,377

 

52


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Sandvik AB 5,224,676 82,259
* Essity AB Class B 2,902,232 79,405
  Atlas Copco AB Class B 1,936,098 66,921
  Hexagon AB Class B 1,234,164 58,635
  Telia Co. AB 12,567,767 57,920
  Skanska AB Class B 1,749,196 41,536
  Boliden AB 1,324,857 36,215
  SKF AB 1,775,648 36,057
  Electrolux AB Class B 1,075,212 35,258
  Kinnevik AB 1,112,757 34,114
  Swedish Match AB 910,047 32,062
  Alfa Laval AB 1,516,367 31,036
  Trelleborg AB Class B 1,177,846 26,894
  Securitas AB Class B 1,545,199 26,062
  Industrivarden AB Class A 929,356 23,664
  Svenska Cellulosa AB SCA Class B 2,895,133 21,902
  Industrivarden AB 886,046 21,256
  Castellum AB 1,332,379 19,575
  Getinge AB 939,106 18,394
  Tele2 AB 1,733,778 18,169
  Husqvarna AB 1,819,666 18,088
^ Nibe Industrier AB Class B 1,778,438 16,799
* Lundin Petroleum AB 868,211 16,734
  Elekta AB Class B 1,738,811 16,456
^ ICA Gruppen AB 422,284 15,731
  BillerudKorsnas AB 847,094 13,388
  Hexpol AB 1,210,269 13,214
  Loomis AB Class B 356,290 12,771
  L E Lundbergforetagen AB Class B 160,346 12,666
2 Dometic Group AB 1,449,483 12,592
  Fabege AB 645,908 12,434
* Fastighets AB Balder Class B 506,806 12,281
*,^ Swedish Orphan Biovitrum AB 793,969 12,264
  Com Hem Holding AB 881,209 12,247
  JM AB 338,731 12,001
^ Intrum Justitia AB 352,323 11,965
  NCC AB Class B 418,894 11,799
  Peab AB 947,003 11,490
  Indutrade AB 468,173 10,731
  Holmen AB 244,994 10,633
  Saab AB Class B 205,310 10,147
* SSAB AB Class B 2,701,270 10,020
2 Thule Group AB 520,448 9,776
^ AAK AB 132,108 9,651
  Wallenstam AB 975,541 9,407
  Modern Times Group MTG AB Class B 265,104 9,125
  Hufvudstaden AB Class A 545,494 9,051
  Axfood AB 531,441 8,874
  Sweco AB Class B 346,587 8,575
*,2 Ahlsell AB 1,247,705 8,559
* NetEnt AB 967,096 8,450
^ Lifco AB Class B 234,425 7,526
* Investment AB Latour Class B 597,504 7,488
  Wihlborgs Fastigheter AB 349,155 7,382
2 Bravida Holding AB 998,885 7,295
  Bonava AB Class B 419,775 7,177
2 Attendo AB 548,036 6,691
  AF AB 311,832 6,453
  Hemfosa Fastigheter AB 538,139 5,813
  Kungsleden AB 882,553 5,411
  Avanza Bank Holding AB 122,689 5,358
  Nobia AB 524,693 5,300
  Pandox AB 294,697 5,257
* SSAB AB Class A 1,073,636 4,900

 

53


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
* Betsson AB 564,984 4,899
*,^ Fingerprint Cards AB Class B 1,259,481 4,591
  Ratos AB 905,288 4,318
  Cloetta AB Class B 1,009,844 4,160
  Oriflame Holding AG 110,370 4,146
* Bilia AB 406,482 4,018
  Atrium Ljungberg AB 224,314 3,738
  Vitrolife AB 59,164 3,718
  Clas Ohlson AB 177,527 3,416
  Lindab International AB 311,194 3,393
  Investment AB Oresund 183,169 3,359
  Melker Schorling AB 49,963 3,210
  Concentric AB 189,106 3,090
^ Mycronic AB 338,827 3,088
  Klovern AB 2,631,372 2,880
  Bure Equity AB 242,069 2,816
2 Resurs Holding AB 436,308 2,713
  Klovern AB Preference Shares 74,833 2,606
* Haldex AB 181,648 2,287
  Svenska Handelsbanken AB Class B 160,717 2,275
  Mekonomen AB 112,065 2,222
  SkiStar AB 93,951 2,180
* SAS AB 937,813 2,045
* Collector AB 180,163 2,038
  SAS AB Preference Shares 30,825 1,990
  Skandinaviska Enskilda Banken AB 165,290 1,975
  Hemfosa Fastigheter AB Preference Shares 85,099 1,737
  Rezidor Hotel Group AB 435,200 1,608
  SKF AB Class A 60,231 1,225
  NCC AB Class A 40,748 1,149
  Fastighets AB Balder Preference Shares 26,928 1,115
  Sagax AB 295,624 1,032
  Bonava AB 16,650 284
      2,482,780
Switzerland (7.1%)    
  Nestle SA 15,102,307 1,317,188
  Novartis AG 11,464,944 957,628
  Roche Holding AG 3,381,188 863,944
  UBS Group AG 16,943,712 288,143
  ABB Ltd. 9,318,187 231,288
  Zurich Insurance Group AG 724,066 211,318
  Cie Financiere Richemont SA 2,483,205 205,482
  Credit Suisse Group AG 11,962,894 174,072
  Swiss Re AG 1,551,079 142,145
  LafargeHolcim Ltd. 1,711,348 98,356
  Givaudan SA 44,871 89,913
  Geberit AG 181,115 84,574
  Lonza Group AG 359,410 77,854
  Sika AG 10,190 65,421
  SGS SA 24,964 60,530
  Adecco Group AG 769,781 58,644
^ Swatch Group AG (Bearer) 150,935 55,825
  Julius Baer Group Ltd. 1,052,463 55,608
  Swisscom AG 109,252 52,801
  Swiss Life Holding AG 155,088 52,462
  Partners Group Holding AG 82,136 50,999
  Roche Holding AG (Bearer) 170,363 44,015
  Kuehne & Nagel International AG 243,221 40,663
  Sonova Holding AG 247,974 40,339
  Schindler Holding AG 178,280 37,798
  LafargeHolcim Ltd. (Paris Shares) 635,227 36,427
  Baloise Holding AG 225,652 34,953
  Chocoladefabriken Lindt & Spruengli AG Registered Shares 458 31,936
  Chocoladefabriken Lindt & Spruengli AG 5,331 30,906

 

54


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Swiss Prime Site AG 328,774 29,892
  Clariant AG 1,327,021 29,292
*,^ Vifor Pharma AG 250,758 27,698
  Straumann Holding AG 48,504 27,622
* Dufry AG 160,490 26,338
  EMS-Chemie Holding AG 35,144 25,951
  Logitech International SA 691,735 25,454
  Temenos Group AG 283,176 25,334
* Actelion Ltd. 88,230 24,688
  Schindler Holding AG (Registered) 116,225 24,158
  Flughafen Zurich AG 86,274 21,189
  Georg Fischer AG 20,155 19,550
  PSP Swiss Property AG 194,386 18,187
  Helvetia Holding AG 30,473 17,476
  ams AG 266,056 17,265
^ BB Biotech AG 277,190 17,015
  Swatch Group AG (Registered) 192,148 14,037
  Cembra Money Bank AG 147,550 13,984
2 Sunrise Communications Group AG 169,278 13,347
  Aryzta AG 403,799 13,317
  dormakaba Holding AG 15,139 13,176
  Barry Callebaut AG 9,547 13,142
2 VAT Group AG 101,968 12,685
  OC Oerlikon Corp. AG 909,002 11,963
  Allreal Holding AG 65,450 11,843
  Tecan Group AG 59,692 11,240
  Pargesa Holding SA 145,785 11,108
  DKSH Holding AG 133,075 10,819
  Banque Cantonale Vaudoise 14,536 10,781
  Bucher Industries AG 32,851 10,335
  Belimo Holding AG 2,397 10,326
  GAM Holding AG 763,305 10,263
  Valiant Holding AG 85,537 9,869
  SFS Group AG 84,591 9,601
  Forbo Holding AG 5,698 9,371
  Mobimo Holding AG 32,733 9,189
^ Panalpina Welttransport Holding AG 63,314 8,935
* Idorsia Ltd. 456,302 8,613
  Emmi AG 10,754 8,100
  Sulzer AG 63,245 7,173
  Implenia AG 80,580 6,044
  u-blox Holding AG 32,150 6,035
  Vontobel Holding AG 91,860 5,985
^ COSMO Pharmaceuticals NV 33,176 5,833
  Schweiter Technologies AG 4,280 5,548
^ Daetwyler Holding AG 31,983 5,447
  Huber & Suhner AG 67,345 5,036
  Conzzeta AG 4,830 4,784
*,^ Basilea Pharmaceutica AG 56,618 4,780
  St. Galler Kantonalbank AG 10,597 4,683
  Siegfried Holding AG 16,210 4,581
  Autoneum Holding AG 16,663 4,571
^ Burckhardt Compression Holding AG 14,583 4,186
  Valora Holding AG 12,892 4,121
  VZ Holding AG 12,380 3,976
  Rieter Holding AG 16,544 3,768
* Arbonia AG 205,919 3,767
  Interroll Holding AG 2,615 3,492
  Bobst Group SA 35,913 3,453
  Ascom Holding AG 165,304 3,385
*,^ Meyer Burger Technology AG 2,584,175 3,230
  Ypsomed Holding AG 14,923 3,026
  LEM Holding SA 2,335 3,021
  Kudelski SA 165,562 2,826

 

55


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  BKW AG 47,817 2,811
  Bell Food Group AG 5,884 2,809
  Bachem Holding AG 24,274 2,769
  Intershop Holding AG 5,297 2,657
  EFG International AG 369,199 2,396
  Vetropack Holding AG 1,098 2,374
  APG SGA SA 4,603 2,233
*,^ Leonteq AG 39,905 2,219
* Schmolz & Bickenbach AG 2,126,087 1,981
  Zehnder Group AG 44,516 1,621
  ALSO Holding AG 11,723 1,506
  Syngenta AG 2,525 1,171
  Swissquote Group Holding SA 40,265 1,113
* Alpiq Holding AG 12,360 1,056
  Plazza AG 3,907 942
  Aryzta AG (Dublin Shares) 3,587 119
      6,266,913
United Kingdom (15.6%)    
  HSBC Holdings plc 97,704,915 906,898
  British American Tobacco plc 9,030,565 615,372
  Royal Dutch Shell plc Class A (London Shares) 21,654,208 575,327
  BP plc 93,822,336 541,562
  GlaxoSmithKline plc 23,570,242 501,748
  Royal Dutch Shell plc Class B 18,316,010 491,722
  AstraZeneca plc 6,167,447 413,120
  Vodafone Group plc 129,694,904 368,329
  Diageo plc 12,052,286 356,168
  Unilever plc 5,833,447 315,695
  Reckitt Benckiser Group plc 3,037,962 307,969
  Lloyds Banking Group plc 347,295,262 299,292
  Prudential plc 12,563,330 288,377
  Rio Tinto plc 5,869,807 248,598
  Barclays plc 82,671,385 218,648
  Glencore plc 56,717,924 212,536
  Imperial Brands plc 4,656,769 209,263
  National Grid plc 16,764,033 207,716
  Shire plc 3,167,272 174,641
* Compass Group plc 7,707,600 162,689
  BT Group plc 40,742,215 156,665
  BHP Billiton plc 10,143,940 155,413
  Aviva plc 19,694,799 135,095
* Standard Chartered plc 13,122,385 132,907
  WPP plc 6,042,487 127,235
  BAE Systems plc 15,391,162 127,059
  RELX NV (London Shares) 5,229,884 113,055
  CRH plc (London Shares) 2,807,455 99,942
  Legal & General Group plc 28,867,047 97,138
  Experian plc 4,591,772 94,237
  SSE plc 4,944,189 93,551
  Rolls-Royce Holdings plc 8,016,128 92,977
* Tesco plc 39,733,619 87,479
  Wolseley plc 1,228,994 75,433
  Smith & Nephew plc 4,305,069 74,342
* Anglo American plc 5,480,199 73,214
  London Stock Exchange Group plc 1,532,150 72,881
  Centrica plc 26,671,230 69,539
  Sky plc 5,045,291 65,343
  Associated British Foods plc 1,693,164 64,793
  Shire plc ADR 387,767 64,086
  Old Mutual plc 23,242,589 58,639
  Carnival plc 883,269 58,405
  3i Group plc 4,672,462 54,937
  InterContinental Hotels Group plc 916,748 50,911
* Royal Bank of Scotland Group plc 15,766,872 50,875

 

56


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Ashtead Group plc 2,445,393 50,602
  Standard Life plc 9,598,584 49,913
  Land Securities Group plc 3,746,092 49,459
  Bunzl plc 1,627,930 48,533
  Sage Group plc 5,236,790 46,927
  Mondi plc 1,784,047 46,781
  Burberry Group plc 2,158,763 46,713
  Whitbread plc 889,292 45,958
  CRH plc (Dublin Shares) 1,246,457 44,179
  Persimmon plc 1,488,739 43,481
  ITV plc 18,210,973 43,107
  Intertek Group plc 781,831 42,950
  Paddy Power Betfair plc 401,593 42,817
  Kingfisher plc 10,885,960 42,640
  International Consolidated Airlines Group SA (London Shares) 5,175,084 41,141
  Randgold Resources Ltd. 454,291 40,312
  RSA Insurance Group plc 4,930,664 39,553
  Smiths Group plc 1,901,591 39,538
  British Land Co. plc 4,958,200 39,143
  DCC plc 428,086 38,986
  St. James's Place plc 2,517,736 38,807
  United Utilities Group plc 3,322,120 37,553
2 Worldpay Group plc 9,128,534 37,431
  Taylor Wimpey plc 15,841,625 36,380
  Pearson plc 4,000,026 36,016
  Barratt Developments plc 4,893,030 35,936
  GKN plc 8,331,334 35,388
  Smurfit Kappa Group plc 1,131,052 35,292
  Johnson Matthey plc 935,030 34,995
  Informa plc 4,011,679 34,992
  Next plc 685,966 34,452
  Marks & Spencer Group plc 7,893,914 34,261
  Wm Morrison Supermarkets plc 10,524,546 33,056
  Severn Trent plc 1,138,102 32,355
  G4S plc 7,555,919 32,135
  Micro Focus International plc 1,078,513 31,891
  Croda International plc 627,935 31,800
  Rentokil Initial plc 8,897,325 31,662
  Direct Line Insurance Group plc 6,685,990 30,960
  Segro plc 4,819,916 30,721
  DS Smith plc 4,843,845 29,896
  Capita plc 3,217,322 28,993
  Melrose Industries plc 9,067,489 28,646
  Hammerson plc 3,827,396 28,636
  Coca-Cola HBC AG 947,632 27,869
*,2 ConvaTec Group plc 6,392,215 26,560
  Berkeley Group Holdings plc 624,893 26,277
  Halma plc 1,833,383 26,273
  J Sainsbury plc 7,952,227 26,084
  Admiral Group plc 972,844 25,386
  Spirax-Sarco Engineering plc 353,816 24,676
  Royal Mail plc 4,423,432 24,266
  Rightmove plc 437,739 24,222
* Just Eat plc 2,779,330 23,724
  Weir Group plc 1,046,418 23,618
  Meggitt plc 3,781,148 23,495
  Bellway plc 594,525 23,071
2 Auto Trader Group plc 4,655,426 23,051
  Travis Perkins plc 1,210,644 22,950
  Investec plc 3,063,913 22,894
  Provident Financial plc 718,259 22,781
  Hiscox Ltd. 1,378,103 22,755
  TUI AG 1,518,058 22,130
  Inmarsat plc 2,202,062 22,085

 

57


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Schroders plc 545,977 22,077
2 Merlin Entertainments plc 3,445,151 21,566
  Pennon Group plc 2,001,223 21,507
  IMI plc 1,325,901 20,651
  BBA Aviation plc 5,028,577 20,131
  Inchcape plc 2,045,079 20,103
  Hargreaves Lansdown plc 1,175,111 19,927
  Cobham plc 11,644,168 19,664
  RPC Group plc 1,997,943 19,581
  Tate & Lyle plc 2,267,537 19,543
  Phoenix Group Holdings 1,914,107 19,329
  Booker Group plc 7,964,146 19,314
  Aberdeen Asset Management plc 4,823,884 18,992
  Spectris plc 572,966 18,837
  easyJet plc 1,062,195 18,817
^ Mediclinic International plc 1,898,675 18,366
  Dixons Carphone plc 4,832,498 17,864
  Antofagasta plc 1,703,441 17,772
  Playtech plc 1,430,732 17,723
  Fresnillo plc 891,453 17,281
* BTG plc 1,895,435 17,226
  B&M European Value Retail SA 3,901,037 17,223
  UBM plc 1,892,764 17,010
*,^ Metro Bank plc 361,349 16,890
  Derwent London plc 481,704 16,650
  TP ICAP plc 2,702,389 16,445
  Beazley plc 2,559,756 16,281
  Electrocomponents plc 2,113,733 15,899
* Paysafe Group plc 2,370,122 15,774
  Howden Joinery Group plc 2,965,531 15,732
  Man Group plc 7,770,826 15,681
*,^ CYBG plc 4,251,784 15,294
  Intermediate Capital Group plc 1,378,259 14,946
  John Wood Group plc 1,788,266 14,941
  Intu Properties plc 4,258,071 14,933
  Saga plc 5,453,110 14,876
  Hays plc 6,721,614 14,533
  Close Brothers Group plc 734,665 14,451
  SSP Group plc 2,307,963 14,300
* Indivior plc 3,510,683 14,295
  Polymetal International plc 1,256,075 14,086
  William Hill plc 4,222,185 13,993
  Shaftesbury plc 1,102,576 13,973
  Babcock International Group plc 1,214,422 13,926
  Aggreko plc 1,161,505 13,914
  IWG plc 3,292,866 13,882
  Capital & Counties Properties plc 3,601,778 13,747
  GVC Holdings plc 1,390,125 13,700
  UDG Healthcare plc 1,206,655 13,610
  Jupiter Fund Management plc 2,047,845 13,469
  Berendsen plc 832,591 13,348
  IG Group Holdings plc 1,794,229 13,282
  Greene King plc 1,513,066 13,279
* Tullow Oil plc 6,751,505 13,272
  WS Atkins plc 483,862 13,122
^ Hikma Pharmaceuticals plc 678,940 13,003
  Tritax Big Box REIT plc 6,728,028 12,809
  Rotork plc 4,176,059 12,803
  Ladbrokes Coral Group plc 8,403,571 12,532
  NEX Group plc 1,526,270 12,420
  Great Portland Estates plc 1,591,983 12,393
  Moneysupermarket.com Group plc 2,631,135 12,119
  HomeServe plc 1,262,587 12,084
  WH Smith plc 534,104 11,922

 

58


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
  Balfour Beatty plc 3,374,999 11,906
  Britvic plc 1,299,711 11,715
  Amec Foster Wheeler plc 1,885,175 11,484
  Daily Mail & General Trust plc 1,301,610 11,311
  NMC Health plc 396,514 11,299
  Greencore Group plc 3,420,390 10,963
  Centamin plc 5,292,201 10,690
  Dechra Pharmaceuticals plc 461,404 10,225
  QinetiQ Group plc 2,884,480 10,161
  National Express Group plc 2,086,797 9,966
  Victrex plc 398,336 9,732
* Firstgroup plc 5,926,667 9,716
  Grafton Group plc 1,055,861 9,692
  UNITE Group plc 1,143,397 9,665
  Jardine Lloyd Thompson Group plc 606,786 9,482
  Pagegroup plc 1,525,801 9,470
  Ultra Electronics Holdings plc 353,800 9,453
  Bodycote plc 951,994 9,345
  Essentra plc 1,268,048 9,324
  Domino's Pizza Group plc 2,427,854 9,292
  Cineworld Group plc 1,004,659 9,182
  Cranswick plc 246,932 9,024
  AA plc 3,003,202 8,924
  Lancashire Holdings Ltd. 976,954 8,872
  Ashmore Group plc 1,908,904 8,786
  Elementis plc 2,267,221 8,694
  Drax Group plc 2,012,726 8,548
  AVEVA Group plc 335,149 8,473
  Diploma plc 587,661 8,443
  Synthomer plc 1,328,058 8,436
*,2 Wizz Air Holdings plc 265,034 8,358
  Crest Nicholson Holdings plc 1,220,515 8,330
  Bovis Homes Group plc 663,590 8,262
  JD Sports Fashion plc 1,813,143 8,259
  Rathbone Brothers plc 249,721 8,243
  Renishaw plc 174,411 8,224
  BGEO Group plc 179,545 8,168
* Serco Group plc 5,410,939 8,097
  Dignity plc 249,132 8,081
  Thomas Cook Group plc 6,865,186 8,043
*,^ Ocado Group plc 2,135,435 8,037
  Paragon Group of Cos. plc 1,401,749 7,797
* KAZ Minerals plc 1,152,678 7,775
  Kier Group plc 477,476 7,630
  Genus plc 324,882 7,520
  Greggs plc 532,291 7,481
  Redrow plc 1,044,965 7,448
2 Sophos Group plc 1,284,882 7,423
  Savills plc 638,161 7,315
  Vesuvius plc 1,057,341 7,307
  Petrofac Ltd. 1,258,119 7,234
  Grainger plc 2,095,516 7,178
  Big Yellow Group plc 690,513 7,119
2 John Laing Group plc 1,796,551 7,091
  Hill & Smith Holdings plc 384,353 6,913
  Kennedy Wilson Europe Real Estate plc 474,378 6,852
  Assura plc 8,083,377 6,717
2 ZPG plc 1,417,164 6,699
  LondonMetric Property plc 3,053,039 6,656
2 Countryside Properties plc 1,485,760 6,600
  Workspace Group plc 566,277 6,561
  Card Factory plc 1,676,236 6,497
* Cairn Energy plc 2,840,639 6,378
  Galliford Try plc 419,502 6,350

 

59


 

Vanguard® Developed Markets Index Fund    
Schedule of Investments    
June 30, 2017    
 
      Market
      Value
    Shares ($000)
* Evraz plc 2,352,213 6,336
2 Hastings Group Holdings plc 1,538,344 6,288
^ Mitie Group plc 1,724,757 6,217
  Senior plc 2,012,371 6,151
2 Ibstock plc 1,856,300 5,943
  Fidessa Group plc 195,616 5,904
^ TalkTalk Telecom Group plc 2,507,121 5,893
2 Spire Healthcare Group plc 1,384,507 5,852
  Brewin Dolphin Holdings plc 1,269,037 5,663
^ Carillion plc 2,324,799 5,654
  Hansteen Holdings plc 3,469,260 5,627
2 McCarthy & Stone plc 2,592,328 5,558
  SIG plc 2,826,899 5,470
  Safestore Holdings plc 986,531 5,403
  Dairy Crest Group plc 685,265 5,339
  esure Group plc 1,341,967 5,261
  NewRiver REIT plc 1,120,147 5,106
* Vectura Group plc 3,482,481 5,079
  Marston's plc 3,147,419 5,004
  Morgan Advanced Materials plc 1,333,828 4,930
  Stagecoach Group plc 1,994,557 4,841
  Virgin Money Holdings UK plc 1,383,952 4,805
  Go-Ahead Group plc 206,677 4,737
  Entertainment One Ltd. 1,623,533 4,662
  F&C Commercial Property Trust Ltd. 2,454,713 4,647
  SuperGroup plc 233,741 4,551
  Polypipe Group plc 911,504 4,543
  J D Wetherspoon plc 347,249 4,413
*,^ Sports Direct International plc 1,150,106 4,363
  De La Rue plc 499,123 4,343
  Telecom Plus plc 285,135 4,290
  Ted Baker plc 137,652 4,282
  Laird plc 2,357,427 4,258
^ Hochschild Mining plc 1,187,438 4,245
  Restaurant Group plc 976,968 4,168
* Hunting plc 652,711 4,151
  PZ Cussons plc 927,989 4,143
  Halfords Group plc 928,794 4,137
  Keller Group plc 348,211 3,991
  St. Modwen Properties plc 836,229 3,907
* EI Group plc 2,282,538 3,819
  UK Commercial Property Trust Ltd. 3,181,482 3,817
  Dunelm Group plc 484,429 3,802
  Ferrexpo plc 1,399,081 3,768
  Chesnara plc 739,203 3,721
  Northgate plc 644,422 3,720
  OneSavings Bank plc 760,343 3,710
  Computacenter plc 345,609 3,649
* Ophir Energy plc 3,239,259 3,588
^ Pets at Home Group plc 1,702,820 3,585
  RPS Group plc 1,050,305 3,579
  Fenner plc 948,700 3,538
* Petra Diamonds Ltd. 2,449,671 3,485
  Oxford Instruments plc 248,714 3,395
  Mitchells & Butlers plc 1,130,674 3,394
  Vedanta Resources plc 398,575 3,332
  Debenhams plc 5,751,886 3,246
  Chemring Group plc 1,322,441 3,182
* Aldermore Group plc 1,122,888 3,179
  Renewi plc 2,905,608 3,133
  888 Holdings plc 892,628 2,964
  Acacia Mining plc 740,721 2,879
  Redefine International PLC 5,545,537 2,872
  Royal Dutch Shell plc Class A 107,983 2,871

 

60


 

Vanguard® Developed Markets Index Fund        
Schedule of Investments        
June 30, 2017        
 
          Market
          Value
        Shares ($000)
  N Brown Group plc     706,966 2,859
  Picton Property Income Ltd.     2,584,508 2,800
  KCOM Group plc     2,401,646 2,785
^ NCC Group plc     1,236,496 2,636
  Rank Group plc     833,968 2,582
* Nostrum Oil & Gas plc     402,220 2,534
* Imagination Technologies Group plc     1,241,943 2,474
*,^ Allied Minds plc     1,131,546 2,464
2 Shawbrook Group plc     552,302 2,439
  ITE Group plc     1,209,026 2,427
  International Personal Finance plc     1,054,920 2,318
  Lookers plc     1,485,552 2,210
  Interserve plc     692,589 2,085
  Devro plc     772,675 2,081
  Helical plc     498,105 1,954
  Schroder REIT Ltd.     2,313,643 1,927
* Gocompare.Com Group plc     1,363,667 1,886
*,^ AO World plc     1,239,358 1,873
  Daejan Holdings plc     23,266 1,870
  Countrywide plc     821,265 1,788
* Premier Foods plc     3,286,287 1,735
  Soco International plc     1,053,780 1,600
* Lamprell plc     1,199,605 1,597
*,^ Premier Oil plc     2,436,821 1,591
^ Foxtons Group plc     1,173,928 1,448
*,^ Lonmin plc     1,362,828 1,168
2 CMC Markets plc     492,675 917
*,^ Genel Energy plc     749,894 808
  Smurfit Kappa Group plc     14,247 443
* Janus Henderson Group plc     1,325 44
* Sole Realisation Co. plc     239 2
 
          13,834,732
 
Total Common Stocks (Cost $77,175,233)       88,027,253
 
 
    Coupon      
 
Temporary Cash Investments (2.3%)1        
Money Market Fund (2.2%)        
3,4 Vanguard Market Liquidity Fund 1.181%   19,621,110 1,962,503
 
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.1%)        
  United States Treasury Bill 0.647% 8/10/17 1,200 1,199
  United States Treasury Bill 0.638% 8/24/17 6,000 5,992
  United States Treasury Bill 0.963%–0.987% 9/7/17 10,500 10,482
5 United States Treasury Bill 0.923%–0.993% 9/21/17 33,000 32,929
5 United States Treasury Bill 0.976% 10/5/17 3,500 3,491
5 United States Treasury Bill 0.954% 10/26/17 8,000 7,974
5 United States Treasury Bill 1.056% 11/24/17 3,000 2,987
 
          65,054
 
Total Temporary Cash Investments (Cost $2,027,312)       2,027,557
 
Total Investments (101.6%) (Cost $79,202,545)       90,054,810
Other Assets and Liabilities—Net (-1.6%)4,6       (1,445,256)
 
Net Assets (100%)       88,609,554

 

* Non-income-producing security.

61


 

Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2017

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,606,623,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 1.6%, respectively, of net
assets.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 2017, the aggregate value of these securities was $807,934,000, representing
0.9% of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
4 Includes $1,729,223,000 of collateral received for securities on loan.
5 Securities with a value of $32,041,000 have been segregated as initial margin for open futures contracts.
6 Cash of $11,630,000 has been segregated as initial margin for open forward currency contracts.
ADR—American Depositary Receipt.
GDR—Global Depositary Receipt.
REIT—Real Estate Investment Trust.

62


 

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© 2017 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.

SNA1272 082017


Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management
Investment Companies.

Not Applicable.

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

Not Applicable.

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers.

Not Applicable.

Item 10: Submission of Matters to a Vote of Security Holders.

Not Applicable.

Item 11: 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. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12: Exhibits.

(a) Certifications.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

  VANGUARD TAX-MANAGED FUNDS
 
 
BY: /s/ F. WILLIAM MCNABB III*
F. WILLIAM MCNABB III 
CHIEF EXECUTIVE OFFICER 
 
Date: August 17, 2017

 


 

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: August 17, 2017

 

 

VANGUARD TAX-MANAGED FUNDS
 
BY: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
CHIEF FINANCIAL OFFICER 

 

Date: August 17, 2017

 

* By: /s/ Anne E. Robinson

Anne E. Robinson, pursuant to a Power of Attorney filed on October 4, 2016 see file Number
33-32548, Incorporated by Reference.

EX-99.CERT 2 taxmanaged_cert302.htm taxmanaged_cert302.htm - Generated by SEC Publisher for SEC Filing

CERTIFICATIONS

 

I, F. William McNabb III, certify that:

 

1. I have reviewed this report on Form N-CSR of Vanguard Tax-Managed Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date:    August 17, 2017             

/s/ F. William McNabb III

 

F. William McNabb III

 

Chief Executive Officer

 

 


 

 

CERTIFICATIONS

 

I, Thomas J. Higgins, certify that:

 

1. I have reviewed this report on Form N-CSR of Vanguard Tax-Managed Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date:     August 17, 2017               

/s/  Thomas J Higgins

 

Thomas J. Higgins

 

Chief Financial Officer

 

EX-99.906 CERT 3 taxmanaged_cert906.htm taxmanaged_cert906.htm - Generated by SEC Publisher for SEC Filing

 

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

 

Name of Issuer: Vanguard Tax-Managed Funds

 

            In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:

 

1.            The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.            The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer.

 

 

Date:    August 17, 2017             

/s/ F. William McNabb III

 

F. William McNabb III

 

Chief Executive Officer

 

 

 

0322296, v0.276

 


 

 

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

 

Name of Issuer:  Vanguard Tax-Managed Funds

 

            In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:

 

1.The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer.

 

 

Date:     August 17, 2017               

/s/  Thomas J Higgins

 

Thomas J. Higgins

 

Chief Financial Officer

 

 

 

 

 

 

 

                                                 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                                            

0322296, v0.276

 

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