Average net assets

 represent the total value of all the securities in its portfolio, less any liabilities, averaged over a period of time. This is similar to Net Asset Value, but not divided by the number of shares.

This parameter is useful, as it is the basis to derive several key metrics such as:
 * Capital gain "yield", expressed as capital gains / average net assets
 * Foreign tax credit estimate, expressed as foreign taxes paid / average net assets
 * Commission expense ratios, expressed as commissions / average net assets
 * Redemption to Average Net Asset (R/ANA)
 * Redemption to Sales (R/S) ratios

Average net assets is not available in the fund's annual report and must be derived by data mining various SEC filings. Average net assets are not available for ETF share classes of Vanguard index funds, and must be approximated by averaging the beginning net asset figure, mid year figure, and year end figure published in annual and semiannual reports.

EDGAR database
Average net assets are found in the Semi-Annual Report, which is available from the EDGAR database.
 * SEC form template: FORM N-SAR, Semi-Annual Report

The Vanguard FTSE All-World ex-US Small-Cap Index Fund tax distributions is used as a representative example.
 * Example filing: NSAR file for Vanguard International Funds 10/1/2010

The N-SAR form question with matching answer file is shown below.

7. A. Is Registrant a series or multiple portfolio company? (Y/N) ___[If answer is “N” (No), go to item 8.] B. How many separate series or portfolios did Registrant have at the end of the period? __ C. List the name of each series or portfolio and give a consecutive number to each series or portfolio starting with the number 1. USE THIS SAME NUMERICAL DESIGNATION FOR EACH SERIES OR PORTFOLIO...

007 A000000 Y 007 B000000 6 007 C010100 1 007 C020100 VANGUARD EUROPEAN STOCK INDEX FUND 007 C030100 N 007 C010200 2 007 C020200 VANGUARD PACIFIC STOCK INDEX FUND 007 C030200 N 007 C010300 3 007 C020300 VANGUARD EMERGING MARKETS STOCK INDEX FUND 007 C030300 N 007 C010400 4 007 C020400 VANGUARD FTSE ALL-WORLD EX-US INDEX FUND 007 C030400 N 007 C010500 5 007 C020500 VANGUARD TOTAL WORLD STOCK INDEX FUND 007 C030500 N 007 C010600 6 007 C020600 FTSE ALL-WORLD EX-US SMALL CAP INDEX FUND 007 C030600 N

75. Average net assets during the current reporting period ($000’s omitted). Answer only one: A. Daily average (for money market funds)___ $ __ B. Monthly average (for all other funds) ___ $ __

075 A000100       0 075 B000100 11476459 075 A000200       0 075 B000200 6157714 075 A000300       0 075 B000300 38729614 075 A000400       0 075 B000400 9008249 075 A000500       0 075 B000500  854086 075 A000600       0 075 B000600  559740 The data field columns align consistently throughout the report. Import the file into Excel, text to columns, filter using text, lookup and reference functions.

Question 7 says that Yes, there are multiple funds in this portfolio. There are 6, identified 1 through 6 as shown. Question 7 also clarifies that this numbering scheme is to be used consistently throughout the report.

The format is: QQQ qfffff nnnnnnn, where QQQ is the question number, q is the sub-question part, e.g. Q.q, ffff is the fund number as determined in Question 7, nnnnnnn is the value.

From above, the FTSE All-World Ex-US Small Cap Index Fund reported average net assets of $559,740,000 for the period ending October 31, 2010. (Shown in Table 3, "ETF-Mutual Fund ANA" tab.)