Report 
 
      
Registrant:   Vanguard Montgomery Funds — List all N-SARs

Annual Report for the 2nd-half period ended at fiscal year end:  12/31/08

Were there any Answer File errors in the Filing?  None FoundNone Found by SEC InfoNot Checked by the FilerOne or more Found by SEC Info
Was the Answer File completed by the Registrant?  Yes

Is this an Amendment to a previous Report?  No
Is this a change to a previous Report?      No
 
Registrant 
 
 1.
SEC CIK:      1409957
SEC File #:   811-22114

Telephone #:  610-669-1000
 
 2.
Address:      100 Vanguard Blvd.
              Malvern, PA  19355
 
 3.
Is this the first Form N-SAR filed by the Registrant?  No
 
 4.
Is this the final Form N-SAR filed by the Registrant?  No
 
 
Funds/Series 
↑Top of Form N-SAR 
     
                                                                               
 7.
Is the Registrant a Funds/Series (multiple portfolios) company?  No
 
Investment Adviser 
 
 8.1
Name:         Axa Rosenberg Investment Management LLC
Role:         Adviser
SEC File #:   801-56080
Location:     Orinda, CA
 
 8.2
Name:         The Vanguard Group, Inc.
Role:         Adviser
SEC File #:   801-11953
Location:     Malvern, PA
 
Administrator 
 
10.1
Name:         The Vanguard Group, Inc.
SEC File #:   801-11953
Location:     Malvern, PA
 
Principal Underwriter 
 
11.1
Name:         Vanguard Marketing Corp.
SEC File #:   008-21570
Location:     Malvern, PA
 
Shareholder Servicing/Transfer Agent 
 
12.1
Name:         The Vanguard Group, Inc.
SEC File #:   084-00772
Location:     Malvern, PA
 
Independent Public Accountant 
 
13.1
Name:         Pricewaterhousecoopers LLP
Location:     Philadelphia, PA
 
Affiliated Broker/Dealer 
 
14.1
Name:         Vanguard Marketing Corp.
SEC File #:   008-21570
 
Custodian 
 
15.1
Name:         Brown Brothers Harriman & Co.
Role:         Custodian
Location:     Boston, MA

Type of custody:  Section 17(f)(1) — Bank
 
18.
Does the Registrant’s/Series’ Custodian(s) maintain some or all of the
Registrant’s/Series’ securities in a central depository or book-entry
system pursuant to Rule 17f-4?  Yes
 
Family of Investment Companies 
 
19.
Is the Registrant/Series part of a “family” of investment companies?  Yes

Total number of registered management investment companies, Series
and portfolios (excluding any Unit Investment Trusts) in the family:  155

The Identification Code of the family for Form N-SAR Filings:  VANGUARDGR
 
Brokerage Commissions Paid on Portfolio Transactions 
 
20.
The brokers who received the largest amount of gross brokerage
commissions during the period:
 
20.1
Broker:       Goldman, Sachs & Co.
IRS #:        13-5108880
Commissions paid ($000s):  73
 
20.2
Broker:       Credit Suisse Securities (USA) LLC
IRS #:        13-5659485
Commissions paid ($000s):  39
 
20.3
Broker:       Bny Brokerage Inc.
IRS #:        13-3747159
Commissions paid ($000s):  31
 
20.4
Broker:       Pulse Trading Inc.
IRS #:        04-3573598
Commissions paid ($000s):  16
 
20.5
Broker:       Liquidnet, Inc.
IRS #:        13-4095933
Commissions paid ($000s):  10
 
20.6
Broker:       Instinet LLC
Commissions paid ($000s):  6
 
20.7
Broker:       UBS Securities LLC
IRS #:        13-3873456
Commissions paid ($000s):  6
 
20.8
Broker:       State Street Corp.
IRS #:        04-2456637
Commissions paid ($000s):  6
 
20.9
Broker:       Weeden & Co., L.P.
IRS #:        13-3364318
Commissions paid ($000s):  4
 
20.10
Broker:       Itg, Inc.
IRS #:        95-4339369
Commissions paid ($000s):  4
 
21.
Total brokerage commissions paid by the Registrant during the period:
  Aggregate paid ($000s):  233
 
Portfolio Transactions with Entities Acting as Principals 
 
22.
The entities acting as principals with whom the Registrant did the
largest amount of portfolio transactions, based on total value of
principal, during the period:
 
22.1
Entity:       Vanguard Market Liquidity Fund
IRS #:        20-0961056
Registrant’s purchases ($000s):  198,263
Registrant’s sales ($000s):  187,024
 
22.2
Entity:       Goldman, Sachs & Co.
IRS #:        13-5108880
Registrant’s purchases ($000s):  61,962
Registrant’s sales ($000s):  60,081
 
22.3
Entity:       Itg, Inc.
IRS #:        95-4339369
Registrant’s purchases ($000s):  30,260
Registrant’s sales ($000s):  30,683
 
22.4
Entity:       Morgan Stanley
IRS #:        13-2655998
Registrant’s purchases ($000s):  2,964
Registrant’s sales ($000s):  2,958
 
22.5
Entity:       Credit Suisse Securities (USA) LLC
IRS #:        13-5659485
Registrant’s purchases ($000s):  122
Registrant’s sales ($000s):  207
 
22.6
Entity:       Robbins & Henderson LLC
IRS #:        13-3839743
Registrant’s sales ($000s):  170
 
22.7
Entity:       Weeden & Co., L.P.
IRS #:        13-3364318
Registrant’s sales ($000s):  115
 
22.8
Entity:       United Rentals, Inc.
Registrant’s sales ($000s):  104
 
22.9
Entity:       BNP Paribas Securities Corp.
IRS #:        13-3235334
Registrant’s purchases ($000s):  100
 
22.10
Entity:       Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #:        13-5674085
Registrant’s sales ($000s):  81
 
23.
Total purchase/sale transactions by the Registrant during the period:
   Aggregate purchases ($000s):  293,679
   Aggregate sales ($000s):  281,535
 
Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers 
 
24.
At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities?  Yes

25.

The brokers or dealers, or their parents (issuers):
 
25.1
Name:         State Street Corp.
IRS #:        04-2456637
Type of security owned:  Equity
Value of securities owned at period end ($000s):  625
 
25.2
Name:         Morgan Stanley
IRS #:        13-2655998
Type of security owned:  Equity
Value of securities owned at period end ($000s):  127
 
25.3
Name:         (See a prior Form N-SAR for who was...)  Deleted
 
25.4
Name:         (See a prior Form N-SAR for who was...)  Deleted
 
25.5
Name:         (See a prior Form N-SAR for who was...)  Deleted
 
25.6
Name:         (See a prior Form N-SAR for who was...)  Deleted
 
Considerations which Affected the Participation of Brokers or Dealers 
 
26.
Considerations which affected the participation of brokers or dealers or
other entities in commissions or other compensation paid on portfolio
transactions of the Registrant:

Consideration?
Sales of the Registrant’s/Series’ shares ...............................  No
Receipt of investment research and statistical info ....................  Yes
Receipt of quotations for portfolio valuations .........................  No
Ability to execute portfolio transactions to obtain the best price
  and execution ........................................................  Yes
Receipt of telephone line and wire services ............................  No
Broker or Dealer which is an affiliated person .........................  No
An arrangement to return or credit part or all of commissions or
  profits thereon...
    To an Investment Adviser or Principal Underwriter, or to an
      affiliated person of either ......................................  No
    To the Registrant ..................................................  No
Other ..................................................................  No
 
Investment Company Type 
 
27.
Is the Registrant an “open-end” investment company?  Yes, Open-End
 
Sales and Repurchases 
 
28.
Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
 
1st Month of period:  ($000s)
    Total NAV of shares sold:
      New sales (including exchanges) ............................
 5,663
      Reinvestment of dividends and distributions ................
 –
      Other ......................................................
 –
    Total NAV of shares redeemed & repurchased (inc. exchanges) ..
 11,418
2nd Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
 4,575
      Reinvestment of dividends and distributions ................
 –
      Other ......................................................
 –
    Total NAV of shares redeemed & repurchased (inc. exchanges) ..
 5,061
3rd Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
 1,930
      Reinvestment of dividends and distributions ................
 4,618
      Other ......................................................
 –
    Total NAV of shares redeemed & repurchased (inc. exchanges) ..
 7,011
4th Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
 –
      Reinvestment of dividends and distributions ................
 –
      Other ......................................................
 –
    Total NAV of shares redeemed & repurchased (inc. exchanges) ..
 –
5th Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
 –
      Reinvestment of dividends and distributions ................
 –
      Other ......................................................
 –
    Total NAV of shares redeemed & repurchased (inc. exchanges) ..
 –
6th Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
 –
      Reinvestment of dividends and distributions ................
 –
      Other ......................................................
 –
    Total NAV of shares redeemed & repurchased (inc. exchanges) ..
 –

Total of all months:  ($000s)
    Total NAV of shares sold:
      New sales (including exchanges) ............................
 12,168
      Reinvestment of dividends and distributions ................
 4,618
      Other ......................................................
 –
    Total NAV of shares redeemed & repurchased (inc. exchanges) ..
 23,490

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s):  0
 
Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance) 
 
29.
Was a front-end sales load deducted from any share sales during the
period?  No
 
34.
Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period?  No
 
37.
Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period?  Yes
 
38.
Total amount of redemption fees other than deferred or contingent
deferred sales loads collected from redemptions and repurchases of the
Registrant’s/Series’ shares during the period ($000s):  5
 
39.
Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period?  Yes
 
Payment Plan for the Distribution of Fund Shares 
 
40.
During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1?  No
 
Advisory Fee 
 
45.
Did the Registrant/Series have an advisory contract during the period?  Yes
 
46.
Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period?  Yes
 
47.
Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets?  No
 
49.
Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income?  No
 
50.
Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets?  No
 
51.
Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance?  Yes
 
52.
Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants?  No
 
53.
Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws?  No
 
54.
Indicated below are whether services were supplied or paid for wholly or
in substantial part by Investment Adviser(s) or Administrator(s) in
connection with the advisory or administrative contract(s) but for which
the Adviser(s) or Administrator(s) are not reimbursed by the Registrant:

Provided to the Registrant?
Occupancy and office rental ............................................  No
Clerical and bookkeeping services ......................................  No
Accounting services ....................................................  No
Services of independent auditors .......................................  No
Services of outside counsel ............................................  No
Registration and filing fees ...........................................  No
Stationery, supplies and printing ......................................  No
Salaries & compensation of Registrant’s interested Directors ...........  No
Salaries & compensation of Registrant’s disinterested Directors ........  No
Salaries & compensation of Registrant’s Officers who aren’t Directors ..  No
Reports to current shareholders ........................................  No
Determination of offering and redemption prices ........................  No
Trading department .....................................................  No
Prospectus preparation and printing for current shareholders ...........  No
Other ..................................................................  No
 
Miscellaneous Info 
 
55.
Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
    Overdrafts?  Yes
    Bank loans?  No
 
56.
During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies?  Yes
 
57.
Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend?  No
 
Classification and Asset Allocation 
 
58.
Is the Registrant/Series a Separate Account of an insurance company?  No
 
59.
Is the Registrant/Series a management investment company?  Yes
 
60.
Was the Registrant/Series a diversified investment company at any time
during the period?  Yes

Was the Registrant/Series a diversified investment company at the end of
the period?  Yes
 
61.
The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity:  $250,000
 
62.
Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities?  No
 
66.
Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities?  Yes

Which best describes its primary investment objective:

    Aggressive capital appreciation?  No
               Capital appreciation?  No
    Growth?                           Yes
    Growth and income?                No
               Income?                No
    Total return?                     No
 
67.
Is the Registrant/Series a “balanced” Fund?  No
 
68.
Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
    Engaged primarily in production or distribution of precious metals?  No
    Located primarily in countries other than the United States?  No
 
69.
Is the Registrant/Series an index Fund?  No
 
Investment Practices 
 
70.
Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity                                            Permitted Engaged In
Writing or investing in repurchase agreements?           Yes      No
Writing or investing in options on equities?             Yes      No
Writing or investing in options on debt securities?      No        –
Writing or investing in options on stock indices?        Yes      No
Writing or investing in interest rate futures?           No        –
Writing or investing in stock index futures?             Yes to both
Writing or investing in options on futures?              Yes      No
Writing or investing in options on stock index futures?  Yes      No
Writing or investing in other commodity futures?         No        –
Investments in restricted securities?                    Yes      No
Investments in shares of other investment companies?     Yes to both
Investments in securities of foreign issuers?            Yes      No
Currency exchange transactions?                          Yes      No
Loaning portfolio securities?                            Yes      No
Borrowing of money?                                      Yes      No
Purchases/sales by certain exempted affiliated persons?  Yes      No
Margin purchases?                                        No        –
Short selling?                                           Yes to both
 
Portfolio Turnover 
 
71.
Portfolio turnover rate for the period:
 
Purchases ($000s):  204,278
Sales ($000s):      133,694

Monthly average Value of portfolio ($000s):  83,106

Percent turnover (lesser of Purchases or Sales, divided by Value):  161%
 
Financial Info — Income and Expenses 
 
72.
The number of months covered by the values in Items 72 and 73:  9

Income  ($000s)
Net interest income ..............................................
 933
Net dividend income ..............................................
 1,318
Account maintenance fees .........................................
 –
Net other income .................................................
 –

Expenses  ($000s)
Advisory fees ....................................................
 158
Administrator fees ...............................................
 21
Salaries and other compensation ..................................
 –
Shareholder Servicing Agent fees .................................
 –
Custodian fees ...................................................
 62
Postage ..........................................................
 –
Printing expenses ................................................
 3
Directors’ fees ..................................................
 –
Registration fees ................................................
 –
Taxes ............................................................
 –
Interest .........................................................
 –
Bookkeeping fees paid to anyone performing this service ..........
 –
Auditing fees ....................................................
 55
Legal fees .......................................................
 –
Marketing/distribution payments, incl. Rule 12b-1 plan payments ..
 12
Amortization of organization expenses ............................
 –
Shareholder meeting expenses .....................................
 –
Other expenses ...................................................
 1,143
Total expenses ...................................................
 1,454

Expense reimbursements ($000s):   0

Net investment income ($000s):    797

Realized capital gains ($000s):   33,800
Realized capital losses ($000s):  34,834

Net unrealized appreciation during the period ($000s):  0
Net unrealized depreciation during the period ($000s):  6,467

Total income dividends for which the record date passed during the
period ($000s):  819
Dividends for a second class of shares ($000s):  187

Total capital gains distributions for which the record date passed
during the period ($000s):  4,577
 
73.
Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income:    $0.1320
Dividends for a second class of shares:  $0.1380

Distribution of capital gains:  $0.0000
Other distributions:            $0.0000
 
Financial Info — Condensed Balance Sheet Data 
 
74.
Assets  ($000s)
Cash .............................................................
 66,778
Repurchase agreements ............................................
 –
Short-term debt securities, other than repurchase agreements .....
 100
Long-term debt securities, including convertible debt ............
 –
Preferred, conv. preferred and adjustable-rate preferred stock ...
 –
Common stock .....................................................
 84,448
Options on equities ..............................................
 –
Options on all futures ...........................................
 –
Other investments ................................................
 14,710
Receivables from portfolio instruments sold ......................
 3,511
Receivables from affiliated persons ..............................
 –
Other receivables ................................................
 1,570
All other assets .................................................
 –
Total assets .....................................................
 171,117

Liabilities  ($000s)
Payables for portfolio instruments purchased .....................
 4,649
Amounts owed to affiliated persons ...............................
 67
Senior long-term debt ............................................
 –
Other liabilities:
  Reverse repurchase agreements ..................................
 –
  Short sales ....................................................
 76,294
  Written options ................................................
 –
  All other liabilities ..........................................
 327

Equity  ($000s)
Senior equity ....................................................
 –
Net assets of common shareholders ................................
 89,780

Number of shares outstanding (000s):   6,613
Number of shares outstanding of a second class of shares (000s):  1,584

Net Asset Value (NAV) per share (to nearest cent):  $10.97
NAV per share of a second class of shares (to nearest cent):  $10.90

Total number of shareholder accounts:  179

Total value of assets in segregated accounts ($000s):  130,394
 
75.
Monthly average net assets during the period ($000s):  89,196
 
Additional Disclosures 
 
77.
Did the Registrant file any additional Exhibits with the filing of this
Report (listed here and filed either herewith — as one of the ‘EX-99.*’
↑Exhibits in this Filing — or separately and incorporated by reference)?  Yes

EX-99.77B:  Accountant’s Report re: Internal Controls?  Yes

EX-99.77Q1: Other Disclosure?  Yes

EX-99.77Q3: Other Info?  Yes
 
Subsidiaries 
 
78.
Does the Registrant have any wholly-owned investment company
subsidiaries whose operating and financial data are consolidated with
that of the Registrant in this Report?  No
 
Fidelity Bond in Effect at Fiscal Year End 
 
80.
Insurer:      Ici Mutual Insurance Co.
2nd Insurer:  N/A

Aggregate face amount of coverage for the Registrant/Series on all bonds
on which it is named as an insured ($000s):  400,000
 
81.
Is the bond part of a joint fidelity bond(s) shared with other
investment companies or other entities?  Yes

How many other investment companies or other entities are covered by the
bond (counting each Fund/Series as a separate investment company):  205
 
82.
Does the mandatory coverage of the fidelity bond have a deductible?  No
 
83.
Were any claims with respect to this Registrant/Series filed under the
bond during the period?  No
 
84.
Were any losses incurred with respect to this Registrant/Series that
could have been filed as a claim under the fidelity bond but were not?  No
 
85.
Are the Registrant’s/Series’ Officers and Directors covered as Officers
and Directors of the Registrant/Series under any errors and omissions
insurance policy owned by the Registrant/Series or anyone else?  Yes

Were any claims filed under such policy during the period with respect
to the Registrant/Series?  No
 
 Signature 
 
↑Top of Form N-SAR 
     
                                                                               
/s/      Charles Simpkins      
Name:   Charles Simpkins
Title:  Manager