Structured Broad Market Fund Institutional Plus Shares (VSBPX)

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Indexed to Russell 3000 Index

  Fact sheet (12/31/2013)

Summary of this fund

Vanguard Structured Broad Market Fund seeks a long-term total return higher than that of the Russell 3000 Index, while maintaining a risk profile similar to the index.

Investment approach

  • Large-, mid-, and small-cap equity diversified across growth and value styles.
  • Quantitative, structured equity strategy.
  • Value added through individual stock selection.
  • Seeks risk profile consistent with the benchmark.

About the benchmark

  • The Russell 3000 Index measures the performance of the largest 3,000 companies representing approximately 98% of the investable U.S. equity market.
  • The index is constructed to provide a comprehensive, unbiased, and stable barometer of the broad market and is reconstituted annually to ensure new and growing equities are included.

PRICE AND DISTRIBUTIONS

Price and distributions

as of 04/17/2014

NAV

The market value of a mutual fund's total assets, minus liabilities, divided by the number of shares outstanding. The value of a single share is called its share value or share price.

Change $/%
$70.24
$0.11 positive change   0.16%
SEC yield

A non-money market fund's SEC yield is based on a formula mandated by the Securities and Exchange Commission (SEC) that calculates a fund's hypothetical annualized income, as a percentage of its assets. A security's income, for the purposes of this calculation, is based on the current market yield to maturity (in the case of bonds) or projected dividend yield (for stocks) of the fund's holdings over a trailing 30 day period. This hypothetical income will differ (at times, significantly) from the fund's actual experience; as a result, income distributions from the fund may be higher or lower than implied by the SEC yield.



The SEC yield for a money market fund is calculated by annualizing its daily income distributions for the previous seven days.

1.70% B

BASED ON HOLDINGS' YIELD TO MATURITY/DIVIDEND FOR LAST 30 DAYS OF PRIOR MONTH

Dividend yield

The annual rate of return on a share of stock, determined by dividing the annual dividend by its current share price. In a stock mutual fund, this figure represents the average dividend yield of the stocks held by the fund.

1.84%

KEY FUND FACTS

Key fund facts

Expense ratio
0.18% as of 01/27/2014
Lipper peer average
expense ratio
1.17% as of 12/31/2013
Designation
Domestic Large Blend
Inception on
05/03/2004
Total net assets

This represents the total net assets for all share classes of Vanguard's U.S. funds that share the same investment strategy, management and holdings, but does not include any collective trusts sharing the same investment mandate.

$551.6 million as of 03/31/2014
Net assets for
VSBPX
 
$527.7 million as of 03/31/2014
Holdings 
214 as of 03/31/2014
Management style
Active
Benchmark
Russell 3000 Index (RU30INTR)
Turnover rate 
 63.50%(Fiscal year-end  09/30/2013)

Fees and minimums

Fees and minimums

Purchase fee:

A fee charged by some mutual funds when an investor buys shares. This fee is not a sales charge or load because it is paid directly to the fund to offset the costs of trading certain securities.

None
Redemption fee:

A fee charged by some mutual funds when an investor sells shares. A redemption fee differs from a back-end load because the money is paid back into the fund. Many funds charge redemption fees only when shares are bought and then sold within a specific period of time, generally in an effort to discourage market-timing and short-term trading. Some brokers also charge their clients redemption fees for the sale of securities.

None
Minimum investment:
$200,000,000

ETF Knowledge Center™   

STYLEBOX

Stylebox

Stock
Portfolio of large, mid-, and small-capitalization stocks diversified across investment styles.



Expected range
Central tendency

About our styleboxes  

Objective

Vanguard Structured Broad Market Fund seeks a long-term total return higher than that of the Russell 3000 Index, while maintaining a risk profile similar to the index.

Investment approach

  • Large-, mid-, and small-cap equity diversified across growth and value styles.
  • Quantitative, structured equity strategy.
  • Value added through individual stock selection.
  • Seeks risk profile consistent with the benchmark.

About the benchmark

  • The Russell 3000 Index measures the performance of the largest 3,000 companies representing approximately 98% of the investable U.S. equity market.
  • The index is constructed to provide a comprehensive, unbiased, and stable barometer of the broad market and is reconstituted annually to ensure new and growing equities are included.

Total returns

as of 03/31/2014

View as:

as of 03/31/2014

View as:
30%
20
10
0%
 
 
 
 
  YTD 1 year 5 year 10 year Since inception

05/03/2004

NAV
3.42% 25.52% 23.18% 8.38%
Benchmark

Russell 3000 Index

**
1.97% 22.61% 21.93%

Note: Fee adjusted for mutual funds where applicable.

* On October 3, 2006, the Vanguard Structured Broad Market Fund Institutional Plus share class was seeded with assets from Vanguard Structured Broad Market Trust. Prior to October 3, 2006, the fund was organized and managed, since its inception on May 3, 2004, as a collective trust by Vanguard Fiduciary Trust Company, an affiliate of The Vanguard Group, Inc. The fund has the same portfolio manager, investment objective, strategies, policies, and risks as it did prior to its reorganization from the trust. As a result, the fund’s Institutional Plus share class has adopted the past performance history of the trust.

** Measures the performance of the 3,000 largest U.S. companies.

The performance data shown represent past performance, which is not a guarantee of future results. Investment returns and principal value will fluctuate, so investors' shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data cited.


People and process

Firms

Vanguard Equity Investment Group

Product management

Vanguard Structured Broad Market Fund seeks to outperform the Russell 3000 Index—an unmanaged benchmark of U.S. equities—while tightly controlling risk relative to the benchmark. The portfolio integrates a proprietary stock-selection methodology with disciplined, consistently applied risk controls designed to match benchmark characteristics. Stock selection is a quantitative process that ranks stocks of similar size and industry representation. Quantitative models evaluate thousands of stocks daily based on fundamental criteria, including valuation, earnings growth prospects, and market acceptance. No attempt is made to predict relative performance based on sector or market capitalization. The fund is expected to exhibit annualized tracking error volatility of less than 1.75% by minimizing exposure to major market risk factors and tightly controlling relative positions of individual securities. Over the long run, the fund seeks an information ratio—value-added divided by tracking error volatility—of 0.6, which translates to an annualized alpha of approximately 1%.

Firm and manager details  

Sector weightings

  Sector  VSBPX
as of 03/31/2014
Benchmark

Russell 3000 Index

as of 12/31/2013
Information Technology 18.2% 18.2%
Financials 16.7% 17.4%
Health Care 13.8% 12.6%
Consumer Discretionary 12.1% 13.4%
Industrials 11.2% 11.7%
Energy 9.1% 9.3%
Consumer Staples 8.5% 8.6%
Materials 4.3% 3.8%
Utilities 3.4% 2.9%
Telecommunication Services 2.7% 2.1%
Other 0.0% 0.0%
0%
20%
Total 100.0% 100.0%

Sector categories are based on the Global Industry Classification Standard system.

Top 10 holdings as of 03/31/2014

 as of 03/31/2014
Rank Holding
1 Apple Inc.
2 Johnson & Johnson
3 General Electric Co.
4 Wells Fargo & Co.
5 Exxon Mobil Corp.
6 Pfizer Inc.
7 Bank of America Corp.
8 Verizon Communications Inc.
9 AT&T Inc.
10 International Business Machines Corp.
Top 10 equals 15.0% of net assets

Portfolio holdings may exclude any temporary cash investments and equity index products.

Holdings policy for this fund  

Fundamentals

Stockas of 03/31/2014 VSBPX Benchmark

Russell 3000 Index

Number of stocks 214 2,992
Median market cap $37.9 billion $46.1 billion
P/E ratio 17.6x 20.0x
P/B ratio 2.8x 2.6x
Turnover rate 63.5% Fiscal year end 9/2013 N/A

Risk and volatility as of 03/31/2014

as of 03/31/2014
  VSBPX Benchmark

Russell 3000 Index

R-squared N/A 0.99
Beta N/A 1.06
Alpha 0.09 N/A
Standard deviation 13.95% 13.04%
Sharpe ratio 1.20 1.12

Risk and volatility are based on the share class with the earliest inception date.

Risk measures are calculated from trailing 36-month fund returns relative to the associated benchmarks.

An investor in this fund could lose money over short or even extended periods. The main risk of investing in the fund is:

  • Stock market risk: The chance that stock prices overall will decline. Stock markets tend to move in cycles, with periods of rising stock prices and periods of falling stock prices.
  • Manager risk: The chance that poor security selection or focus on securities in a particular sector, category, or group of companies will cause the fund to underperform relevant benchmarks or other funds with a similar investment objective.



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