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: 811-00121
Name of Registrant: | Vanguard Wellington Fund |
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: November 30
Date of reporting period: December 1, 2020—May 31, 2021
Item | 1: Reports to Shareholders |
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• | 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. |
• | 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. |
Six Months Ended May 31, 2021 | |||
Beginning Account Value 11/30/2020 | Ending Account Value 5/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Wellington Fund | |||
Investor Shares | $1,000.00 | $1,111.20 | $1.26 |
AdmiralTM Shares | 1,000.00 | 1,111.60 | 0.84 |
Based on Hypothetical 5% Yearly Return | |||
Wellington Fund | |||
Investor Shares | $1,000.00 | $1,023.74 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.13 | 0.81 |
Asset-Backed/Commercial Mortgage-Backed Securities | 1.0% |
Common Stocks | 67.9 |
Corporate Bonds | 20.2 |
Sovereign Bonds | 0.9 |
Taxable Municipal Bonds | 1.5 |
U.S. Government and Agency Obligations | 8.5 |
Shares | Market Value• ($000) | |||||
Common Stocks (66.1%) | ||||||
Communication Services (8.7%) | ||||||
* | Alphabet Inc. Class A | 2,477,606 | 5,839,346 | |||
* | Facebook Inc. Class A | 9,394,260 | 3,088,175 | |||
Comcast Corp. Class A | 26,048,272 | 1,493,608 | ||||
10,421,129 | ||||||
Consumer Discretionary (7.1%) | ||||||
McDonald's Corp. | 10,761,534 | 2,517,015 | ||||
Home Depot Inc. | 5,527,339 | 1,762,724 | ||||
* | Amazon.com Inc. | 506,350 | 1,632,001 | |||
TJX Cos. Inc. | 23,314,978 | 1,574,694 | ||||
Dollar General Corp. | 3,174,355 | 644,267 | ||||
* | Alibaba Group Holding Ltd. ADR | 1,591,371 | 340,490 | |||
8,471,191 | ||||||
Consumer Staples (4.4%) | ||||||
Procter & Gamble Co. | 12,747,024 | 1,718,936 | ||||
Sysco Corp. | 18,188,682 | 1,473,283 | ||||
Nestle SA (Registered) | 7,853,534 | 970,055 | ||||
Coca-Cola Co. | 14,179,440 | 783,981 | ||||
Diageo plc | 5,852,916 | 282,248 | ||||
5,228,503 | ||||||
Energy (1.6%) | ||||||
TOTAL SE | 30,787,880 | 1,435,970 | ||||
Royal Dutch Shell plc Class A | 24,192,588 | 466,816 | ||||
1,902,786 | ||||||
Financials (11.9%) | ||||||
Charles Schwab Corp. | 39,333,916 | 2,904,810 | ||||
JPMorgan Chase & Co. | 16,443,285 | 2,700,645 | ||||
Bank of America Corp. | 39,642,827 | 1,680,459 | ||||
BlackRock Inc. | 1,594,721 | 1,398,634 | ||||
American Express Co. | 8,159,183 | 1,306,530 | ||||
Progressive Corp. | 12,743,499 | 1,262,626 | ||||
Blackstone Group Inc. | 10,399,383 | 963,711 | ||||
Morgan Stanley | 6,931,239 | 630,396 | ||||
Prudential plc | 29,548,345 | 628,712 | ||||
S&P Global Inc. | 1,536,152 | 582,924 | ||||
Goldman Sachs Group Inc. | 249,756 | 92,914 | ||||
14,152,361 | ||||||
Health Care (10.0%) | ||||||
UnitedHealth Group Inc. | 4,056,706 | 1,671,038 |
Shares | Market Value• ($000) | |||||
Pfizer Inc. | 39,565,524 | 1,532,373 | ||||
HCA Healthcare Inc. | 6,502,341 | 1,396,638 | ||||
Becton Dickinson & Co. | 5,380,560 | 1,301,504 | ||||
Novartis AG (Registered) | 13,001,876 | 1,148,595 | ||||
Anthem Inc. | 2,687,343 | 1,070,154 | ||||
1 | AstraZeneca plc ADR | 16,403,053 | 931,201 | |||
Humana Inc. | 1,942,654 | 850,300 | ||||
Abbott Laboratories | 6,890,683 | 803,798 | ||||
Danaher Corp. | 2,459,918 | 630,083 | ||||
Baxter International Inc. | 7,340,325 | 602,787 | ||||
11,938,471 | ||||||
Industrials (6.6%) | ||||||
Raytheon Technologies Corp. | 12,288,875 | 1,090,146 | ||||
Union Pacific Corp. | 4,323,731 | 971,672 | ||||
Deere & Co. | 2,447,027 | 883,621 | ||||
Trane Technologies plc | 4,717,526 | 879,347 | ||||
Northrop Grumman Corp. | 2,368,844 | 866,689 | ||||
Fortive Corp. | 8,543,718 | 619,590 | ||||
Lockheed Martin Corp. | 1,567,069 | 598,934 | ||||
Johnson Controls International plc | 7,750,956 | 515,749 | ||||
Vinci SA | 3,826,958 | 435,022 | ||||
Schneider Electric SE | 2,454,417 | 390,644 | ||||
* | Airbus SE | 2,859,130 | 375,650 | |||
Illinois Tool Works Inc. | 1,240,536 | 287,507 | ||||
7,914,571 | ||||||
Information Technology (12.9%) | ||||||
Microsoft Corp. | 21,139,244 | 5,278,046 | ||||
Apple Inc. | 18,984,532 | 2,365,663 | ||||
Texas Instruments Inc. | 8,924,850 | 1,694,115 | ||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 14,132,416 | 1,658,580 | ||||
Global Payments Inc. | 6,360,787 | 1,232,148 | ||||
Accenture plc Class A | 2,201,185 | 621,086 | ||||
Lam Research Corp. | 913,681 | 593,756 | ||||
KLA Corp. | 1,605,364 | 508,724 | ||||
Cisco Systems Inc. | 9,441,744 | 499,468 | ||||
Fidelity National Information Services Inc. | 3,258,758 | 485,490 | ||||
* | salesforce.com Inc. | 2,026,586 | 482,530 | |||
15,419,606 | ||||||
Real Estate (0.9%) | ||||||
American Tower Corp. | 3,018,196 | 771,028 | ||||
VICI Properties Inc. | 8,225,068 | 256,047 | ||||
1,027,075 | ||||||
Utilities (2.0%) | ||||||
Exelon Corp. | 26,076,974 | 1,176,593 | ||||
Duke Energy Corp. | 11,614,498 | 1,164,005 | ||||
2,340,598 | ||||||
Total Common Stocks (Cost $43,113,807) | 78,816,291 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (8.2%) | ||||||
U.S. Government Securities (7.8%) | ||||||
United States Treasury Note/Bond | 0.125% | 10/31/22 | 205,000 | 205,064 | ||
United States Treasury Note/Bond | 0.125% | 11/30/22 | 180,000 | 180,056 | ||
United States Treasury Note/Bond | 0.125% | 2/28/23 | 194,000 | 194,000 | ||
United States Treasury Note/Bond | 0.125% | 3/31/23 | 528,000 | 527,918 | ||
United States Treasury Note/Bond | 2.500% | 3/31/23 | 89,000 | 92,852 | ||
United States Treasury Note/Bond | 0.125% | 4/30/23 | 513,000 | 512,920 | ||
United States Treasury Note/Bond | 0.125% | 5/15/23 | 164,470 | 164,419 | ||
United States Treasury Note/Bond | 2.625% | 6/30/23 | 119,090 | 125,231 | ||
United States Treasury Note/Bond | 2.750% | 7/31/23 | 104,000 | 109,817 | ||
United States Treasury Note/Bond | 0.125% | 1/15/24 | 116,810 | 116,481 | ||
United States Treasury Note/Bond | 0.125% | 2/15/24 | 117,355 | 117,025 | ||
United States Treasury Note/Bond | 0.250% | 3/15/24 | 157,000 | 157,024 | ||
United States Treasury Note/Bond | 1.750% | 6/30/24 | 336,990 | 351,786 | ||
United States Treasury Note/Bond | 2.000% | 2/15/25 | 341,260 | 360,349 | ||
United States Treasury Note/Bond | 1.125% | 2/28/25 | 198,905 | 203,536 | ||
United States Treasury Note/Bond | 0.250% | 5/31/25 | 820,000 | 810,006 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 245,975 | 242,439 | ||
United States Treasury Note/Bond | 2.000% | 8/15/25 | 61,860 | 65,475 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 125,010 | 123,037 | ||
United States Treasury Note/Bond | 0.375% | 11/30/25 | 208,000 | 205,140 | ||
�� | United States Treasury Note/Bond | 0.375% | 1/31/26 | 1,115,320 | 1,097,022 | |
United States Treasury Note/Bond | 0.750% | 3/31/26 | 107,000 | 106,900 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 89,000 | 88,861 | ||
United States Treasury Note/Bond | 1.625% | 5/15/26 | 78,110 | 81,271 | ||
United States Treasury Note/Bond | 2.000% | 11/15/26 | 30,000 | 31,730 | ||
United States Treasury Note/Bond | 2.250% | 11/15/27 | 383,050 | 409,564 | ||
United States Treasury Note/Bond | 0.625% | 5/15/30 | 278,950 | 257,724 | ||
United States Treasury Note/Bond | 0.875% | 11/15/30 | 192,925 | 181,138 | ||
United States Treasury Note/Bond | 1.125% | 2/15/31 | 327,350 | 313,438 | ||
United States Treasury Note/Bond | 1.625% | 5/15/31 | 41,500 | 41,584 | ||
United States Treasury Note/Bond | 1.125% | 8/15/40 | 206,405 | 171,348 | ||
United States Treasury Note/Bond | 1.875% | 2/15/41 | 613,155 | 580,677 | ||
2 | United States Treasury Note/Bond | 2.250% | 5/15/41 | 99,000 | 99,758 | |
United States Treasury Note/Bond | 2.875% | 5/15/49 | 395 | 444 | ||
3 | United States Treasury Note/Bond | 2.000% | 2/15/50 | 35,881 | 33,655 | |
United States Treasury Note/Bond | 1.250% | 5/15/50 | 75,565 | 58,646 | ||
United States Treasury Note/Bond | 1.375% | 8/15/50 | 83,270 | 66,772 | ||
United States Treasury Note/Bond | 1.625% | 11/15/50 | 298,010 | 254,985 | ||
United States Treasury Note/Bond | 1.875% | 2/15/51 | 398,170 | 362,397 | ||
United States Treasury Note/Bond | 2.375% | 5/15/51 | 200,000 | 204,125 | ||
9,306,614 | ||||||
Conventional Mortgage-Backed Securities (0.0%) | ||||||
4,5 | Fannie Mae Pool | 1.770% | 1/1/36 | 20,805 | 20,439 | |
4,5 | Fannie Mae Pool | 3.070% | 2/1/25 | 11,700 | 12,624 | |
4,5 | Freddie Mac Gold Pool | 3.000% | 5/1/22–9/1/22 | 3 | 3 | |
4 | Ginnie Mae I Pool | 7.000% | 11/15/31–11/15/33 | 1,277 | 1,455 | |
4,5 | UMBS Pool | 2.500% | 9/1/27–4/1/38 | 40,590 | 42,357 | |
4,5 | UMBS Pool | 3.000% | 8/1/42–11/1/46 | 371 | 392 | |
4,5 | UMBS Pool | 3.500% | 11/1/45–6/1/46 | 101 | 108 | |
77,378 | ||||||
Nonconventional Mortgage-Backed Securities (0.4%) | ||||||
4,5 | Fannie Mae REMICS | 1.500% | 8/25/41–11/25/42 | 18,190 | 18,367 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,5 | Fannie Mae REMICS | 1.700% | 6/25/43 | 3,183 | 3,224 | |
4,5 | Fannie Mae REMICS | 2.000% | 6/25/44 | 2,244 | 2,283 | |
4,5 | Fannie Mae REMICS | 3.000% | 2/25/49–9/25/57 | 77,966 | 80,859 | |
4,5 | Fannie Mae REMICS | 3.500% | 4/25/31–6/25/59 | 204,600 | 219,139 | |
4,5 | Fannie Mae REMICS | 4.000% | 5/25/31–7/25/53 | 13,571 | 14,531 | |
4,5 | Freddie Mac REMICS | 1.500% | 10/15/42 | 8,581 | 8,619 | |
4,5 | Freddie Mac REMICS | 1.750% | 3/15/41 | 10,035 | 10,208 | |
4,5 | Freddie Mac REMICS | 2.000% | 7/15/31 | 8,158 | 8,328 | |
4,5 | Freddie Mac REMICS | 3.000% | 12/15/39 | 1,399 | 1,407 | |
4,5 | Freddie Mac REMICS | 3.500% | 3/15/31 | 3,107 | 3,339 | |
4,5 | Freddie Mac REMICS | 4.000% | 12/15/30–4/15/31 | 62,443 | 67,378 | |
4 | Ginnie Mae REMICS | 1.700% | 10/20/45 | 4,872 | 4,911 | |
4 | Ginnie Mae REMICS | 1.800% | 5/20/41 | 3,584 | 3,587 | |
446,180 | ||||||
Total U.S. Government and Agency Obligations (Cost $9,858,547) | 9,830,172 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (1.0%) | ||||||
4,6 | Aaset Trust Series 2019-1 | 3.844% | 5/15/39 | 12,897 | 12,807 | |
4,6 | Affirm Asset Securitization Trust Series 2021-Z1 | 1.070% | 8/15/25 | 19,735 | 19,746 | |
4,6 | American Tower Trust | 3.070% | 3/15/23 | 43,000 | 43,317 | |
4,6 | Angel Oak Mortgage Trust Series 2019-5 | 2.593% | 10/25/49 | 7,031 | 7,067 | |
4,6 | Angel Oak Mortgage Trust Series 2019-6 | 2.620% | 11/25/59 | 17,752 | 18,019 | |
4,6 | Angel Oak Mortgage Trust I LLC Series 2019-2 | 3.628% | 3/25/49 | 3,413 | 3,469 | |
4,6 | Angel Oak Mortgage Trust I LLC Series 2019-4 | 2.993% | 7/26/49 | 12,977 | 13,110 | |
4,6,7 | Atlas Senior Loan Fund X Ltd. Series 2018-10A, 3M USD LIBOR + 1.090% | 1.274% | 1/15/31 | 7,799 | 7,802 | |
2,4,6,7,8 | Bain Capital Credit CLO Ltd. Series 2021-3A, 3M USD LIBOR + 1.160% | 1.291% | 7/24/34 | 11,155 | 11,155 | |
2,4,6,7,8 | Battalion CLO XX Ltd. Series 2021-20A, 3M USD LIBOR + 1.750% | 1.881% | 7/15/34 | 16,000 | 16,000 | |
2,4,6,7,8 | BlueMountain CLO XXXI Ltd. Series 2021-31A, 3M USD LIBOR + 1.150% | 1.281% | 4/19/34 | 30,000 | 30,000 | |
4,6 | Canadian Pacer Auto Receivables Trust Series 2018-2A | 3.270% | 12/19/22 | 1,545 | 1,556 | |
4,6 | Castlelake Aircraft Structured Trust Series 2019-1A | 3.967% | 4/15/39 | 24,938 | 24,995 | |
4,6 | CF Hippolyta LLC Series 2021-1A | 1.530% | 3/15/61 | 24,470 | 24,701 | |
4,6 | Chesapeake Funding II LLC Series 2018-3A | 3.390% | 1/15/31 | 14,307 | 14,554 | |
4,6 | Chesapeake Funding II LLC Series 2018-1A | 3.040% | 4/15/30 | 9,919 | 9,978 | |
2,4,6,7,8 | CIFC Funding 2021-III Ltd. Series 2021-3A, 3M USD LIBOR + 1.700% | 1.831% | 7/15/36 | 6,400 | 6,400 | |
4,6,7 | CIFC Funding Ltd. Series 2018-1A, 3M USD LIBOR + 1.000% | 1.190% | 4/18/31 | 12,000 | 11,944 | |
4,6 | Cloud Pass-Through Trust Series 2019-1A | 3.554% | 12/5/22 | 6,545 | 6,597 | |
4,6 | COLT Mortgage Loan Trust Series 2020-1 | 2.488% | 2/25/50 | 8,412 | 8,477 | |
4,6,7 | Columbia Cent CLO 27 Ltd. Series 2018-27A, 3M USD LIBOR + 1.150% | 1.326% | 10/25/28 | 16,664 | 16,665 | |
4 | COMM Mortgage Trust Series 2012-CR2 | 3.147% | 8/15/45 | 18,085 | 18,467 | |
4,6 | DB Master Finance LLC Series 2019-1A | 3.787% | 5/20/49 | 15,681 | 15,972 | |
4,6 | DB Master Finance LLC Series 2019-1A | 4.021% | 5/20/49 | 13,996 | 14,782 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,6 | Domino's Pizza Master Issuer LLC Series 2021-1A | 2.662% | 4/25/51 | 35,630 | 36,256 | |
4,6 | Domino's Pizza Master Issuer LLC Series 2021-1A | 3.151% | 4/25/51 | 29,160 | 30,144 | |
2,4,6,7 | Dryden Senior Loan Fund Series 2021-87A, 3M USD LIBOR + 1.100% | 1.231% | 5/20/34 | 36,675 | 36,675 | |
4,6 | Enterprise Fleet Financing LLC Series 2018-1 | 3.100% | 10/20/23 | 3,013 | 3,035 | |
4,6 | Enterprise Fleet Financing LLC Series 2018-3 | 3.380% | 5/20/24 | 4,371 | 4,397 | |
4,6 | Enterprise Fleet Financing LLC Series 2019-1 | 2.980% | 10/20/24 | 9,464 | 9,550 | |
4,6 | Enterprise Fleet Financing LLC Series 2019-2 | 2.290% | 2/20/25 | 18,307 | 18,577 | |
4,6 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 12,846 | 13,022 | |
4,5,7 | Fannie Mae Connecticut Avenue Securities Series 2016-C03, 1M USD LIBOR + 5.900% | 5.992% | 10/25/28 | 4,880 | 5,108 | |
4,5 | Freddie Mac Multifamily Structured Pass-Through Certificates Series K-1512 | 3.059% | 4/25/34 | 6,000 | 6,649 | |
4,5 | Freddie Mac Multifamily Structured Pass-Through Certificates Series K-1513 | 2.797% | 8/25/34 | 7,500 | 8,100 | |
4,6 | Horizon Aircraft Finance II Ltd. Series 2019-1 | 3.721% | 7/15/39 | 10,698 | 10,737 | |
4,6 | Horizon Aircraft Finance III Ltd. Series 2019-2 | 3.425% | 11/15/39 | 10,693 | 10,573 | |
4,6,7 | Life Mortgage Trust Series 2021-BMR, 1M USD LIBOR + 0.700% | 0.801% | 3/15/38 | 9,305 | 9,309 | |
4,6 | MACH 1 Cayman Ltd. Series 2019-1 | 3.474% | 10/15/39 | 10,814 | 10,936 | |
4,6,7 | Madison Park Funding XIII Ltd. Series 2014-13A, 3M USD LIBOR + 0.950% | 1.140% | 4/19/30 | ��33,570 | 33,482 | |
4,6,7 | Magnetite VII Ltd. Series 2012-7A, 3M USD LIBOR + 0.800% | 0.984% | 1/15/28 | 26,212 | 26,225 | |
4,6 | MAPS Ltd. Series 2019-1A | 4.458% | 3/15/44 | 5,999 | 6,036 | |
4,6,7 | Master Credit Card Trust II Series 2018-1A, 1M USD LIBOR + 0.490% | 0.587% | 7/21/24 | 36,370 | 36,438 | |
4,6 | Mercury Financial Credit Card Master Trust Series 2021-1A | 1.540% | 3/20/26 | 33,270 | 33,264 | |
2,4,6,7 | Oaktree CLO Ltd. Series 2021-1A, 3M USD LIBOR + 1.160% | 1.291% | 7/15/34 | 29,000 | 29,000 | |
4,6,7,8 | Octagon Investment Partners 51 Ltd. Series 2021-1A, 3M USD LIBOR + 1.150% | 1.285% | 7/20/34 | 30,000 | 30,000 | |
2,4,6,7 | OHA Credit Funding 3 Ltd. Series 2019-3A, 3M USD LIBOR + 1.140% | 1.271% | 7/2/35 | 43,800 | 43,800 | |
4,6 | OneMain Direct Auto Receivables Trust Series 2018-1A | 3.430% | 12/16/24 | 12,679 | 12,752 | |
4,6 | OneMain Financial Issuance Trust Series 2017-1A | 2.370% | 9/14/32 | 497 | 499 | |
4,6 | OneMain Financial Issuance Trust Series 2019-1A | 3.480% | 2/14/31 | 25,183 | 25,184 | |
4,6,7,8 | Regatta VI Funding Ltd. Series 2016-1A, 3M USD LIBOR + 1.160% | 1.295% | 4/20/34 | 22,000 | 22,000 | |
2,4,6,7,8 | Rockland Park CLO Ltd. Series 2021-1A, 3M USD LIBOR + 1.120% | 1.251% | 4/20/34 | 20,000 | 20,000 | |
2,4,6,7,8 | Rockland Park CLO Ltd. Series 2021-1A, 3M USD LIBOR + 1.650% | 1.781% | 4/20/34 | 9,970 | 9,970 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2,4,6,7,8 | RR 16 Ltd. Series 2021-16A, 3M USD LIBOR + 1.110% | 1.241% | 7/15/36 | 26,720 | 26,720 | |
2,4,6,7,8 | RR 16 Ltd. Series 2021-16A, 3M USD LIBOR + 1.650% | 1.781% | 7/15/36 | 15,540 | 15,540 | |
4,6 | Santander Retail Auto Lease Trust Series 2019-B | 2.300% | 1/20/23 | 12,145 | 12,276 | |
4 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 41,569 | 45,031 | |
4,6 | Securitized Term Auto Receivables Trust Series 2018-2A | 3.325% | 8/25/22 | 3,264 | 3,278 | |
4,6 | SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE | 4.144% | 1/5/43 | 27,300 | 26,219 | |
4,6 | SoFi Consumer Loan Program Trust Series 2019-1 | 3.240% | 2/25/28 | 266 | 266 | |
4,6 | SoFi Consumer Loan Program Trust Series 2020-1 | 2.020% | 1/25/29 | 7,782 | 7,843 | |
4,6 | Springleaf Funding Trust Series 2015-BA | 3.480% | 5/15/28 | 4,243 | 4,257 | |
4,6 | Start III Ltd. Series 2019-2 | 3.536% | 11/15/44 | 965 | 974 | |
4,6 | START Ireland Series 2019-1 | 4.089% | 3/15/44 | 12,376 | 12,506 | |
4,6,7 | Symphony CLO XIV Ltd. Series 2014-14A, 3M USD LIBOR + 0.950% | 1.136% | 7/14/26 | 25,368 | 25,340 | |
4,6 | Towd Point Mortgage Trust Series 2016-3 | 2.250% | 4/25/56 | 435 | 437 | |
4,6 | Vantage Data Centers Issuer LLC Series 2019-1A | 3.188% | 7/15/44 | 10,734 | 11,157 | |
4,6 | Vantage Data Centers LLC Series 2020-1A | 1.645% | 9/15/45 | 29,505 | 29,535 | |
4,6,7 | Venture 43 CLO Ltd. Series 2021-43A, 3M USD LIBOR + 1.240% | 1.381% | 4/15/34 | 9,500 | 9,488 | |
4,6,7 | Voya CLO Ltd. Series 2014-1A, 3M USD LIBOR + 0.990% | 1.180% | 4/18/31 | 20,525 | 20,519 | |
4,6,7 | Wellfleet CLO X Ltd. Series 2019-XA, 3M USD LIBOR + 1.750% | 1.924% | 7/20/32 | 10,000 | 9,961 | |
4,6 | Westlake Automobile Receivables Trust Series 2019-3A | 2.150% | 2/15/23 | 2,749 | 2,753 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,158,373) | 1,163,398 | |||||
Corporate Bonds (19.6%) | ||||||
Communications (1.6%) | ||||||
America Movil SAB de CV | 3.125% | 7/16/22 | 84,600 | 87,046 | ||
America Movil SAB de CV | 3.625% | 4/22/29 | 26,990 | 29,484 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 7,380 | 10,258 | ||
AT&T Inc. | 2.750% | 6/1/31 | 36,795 | 37,294 | ||
AT&T Inc. | 3.650% | 6/1/51 | 6,253 | 6,259 | ||
4,6 | AT&T Inc. | 3.500% | 9/15/53 | 33,515 | 31,942 | |
AT&T Inc. | 3.850% | 6/1/60 | 23,037 | 23,105 | ||
4,6 | British Telecommunications plc | 3.250% | 11/8/29 | 29,620 | 31,322 | |
2 | Charter Communications Operating LLC | 4.400% | 12/1/61 | 13,740 | 13,903 | |
Charter Communications Operating LLC | 2.800% | 4/1/31 | 7,150 | 7,133 | ||
Charter Communications Operating LLC | 2.300% | 2/1/32 | 7,150 | 6,727 | ||
Charter Communications Operating LLC | 5.375% | 5/1/47 | 3,455 | 4,025 | ||
Charter Communications Operating LLC | 5.125% | 7/1/49 | 2,904 | 3,317 | ||
Charter Communications Operating LLC | 4.800% | 3/1/50 | 3,777 | 4,152 | ||
Charter Communications Operating LLC | 3.700% | 4/1/51 | 17,760 | 16,723 | ||
Charter Communications Operating LLC | 3.850% | 4/1/61 | 16,610 | 15,320 | ||
Comcast Corp. | 3.600% | 3/1/24 | 50,730 | 55,113 | ||
Comcast Corp. | 3.375% | 2/15/25 | 2,540 | 2,771 | ||
Comcast Corp. | 4.250% | 1/15/33 | 42,890 | 50,141 | ||
Comcast Corp. | 4.200% | 8/15/34 | 26,890 | 31,258 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Comcast Corp. | 5.650% | 6/15/35 | 4,725 | 6,310 | ||
Comcast Corp. | 4.400% | 8/15/35 | 32,325 | 38,342 | ||
Comcast Corp. | 6.500% | 11/15/35 | 4,720 | 6,734 | ||
Comcast Corp. | 6.400% | 5/15/38 | 968 | 1,395 | ||
Comcast Corp. | 4.600% | 10/15/38 | 48,045 | 58,035 | ||
Comcast Corp. | 4.650% | 7/15/42 | 47,970 | 58,526 | ||
Comcast Corp. | 4.500% | 1/15/43 | 22,000 | 26,396 | ||
Comcast Corp. | 4.750% | 3/1/44 | 34,643 | 43,092 | ||
Comcast Corp. | 4.600% | 8/15/45 | 43,296 | 52,544 | ||
Comcast Corp. | 3.969% | 11/1/47 | 8,452 | 9,514 | ||
Comcast Corp. | 4.000% | 3/1/48 | 12,180 | 13,706 | ||
Comcast Corp. | 4.700% | 10/15/48 | 40,520 | 50,406 | ||
Comcast Corp. | 3.999% | 11/1/49 | 23,162 | 26,209 | ||
Comcast Corp. | 2.450% | 8/15/52 | 25,780 | 22,225 | ||
Comcast Corp. | 4.049% | 11/1/52 | 19,920 | 22,795 | ||
Comcast Corp. | 4.950% | 10/15/58 | 17,925 | 23,832 | ||
2,4,6 | Cox Communications Inc. | 2.600% | 6/15/31 | 17,795 | 17,778 | |
4,6 | Cox Communications Inc. | 3.250% | 12/15/22 | 27,995 | 29,245 | |
4,6 | Cox Communications Inc. | 2.950% | 6/30/23 | 5,870 | 6,151 | |
4,6 | Cox Communications Inc. | 3.150% | 8/15/24 | 7,268 | 7,807 | |
4,6 | Cox Communications Inc. | 4.800% | 2/1/35 | 30,000 | 35,387 | |
4,6 | Cox Communications Inc. | 6.450% | 12/1/36 | 5,850 | 7,776 | |
4,6 | Deutsche Telekom International Finance BV | 3.600% | 1/19/27 | 10,918 | 12,023 | |
4,6 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 21,754 | 25,049 | |
Discovery Communications LLC | 4.125% | 5/15/29 | 4,172 | 4,597 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 4,710 | 5,043 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 4,718 | 5,251 | ||
4,6 | Discovery Communications LLC | 4.000% | 9/15/55 | 16,442 | 16,390 | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 10,370 | 12,352 | ||
4,6 | NTT Finance Corp. | 1.162% | 4/3/26 | 44,235 | 44,123 | |
4,6 | NTT Finance Corp. | 2.065% | 4/3/31 | 9,445 | 9,407 | |
4,6 | Ooredoo International Finance Ltd. | 2.625% | 4/8/31 | 23,430 | 23,571 | |
Orange SA | 9.000% | 3/1/31 | 20,280 | 31,611 | ||
4,6 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 11,995 | 12,688 | |
4,6 | Sky Ltd. | 3.750% | 9/16/24 | 45,046 | 49,461 | |
4,6 | Sprint Spectrum Co. LLC | 4.738% | 3/20/25 | 46,090 | 49,443 | |
Telefonica Emisiones SA | 5.213% | 3/8/47 | 19,100 | 22,878 | ||
Telefonica Emisiones SA | 5.520% | 3/1/49 | 19,772 | 24,640 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,925 | 4,462 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 24,985 | 24,914 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 24,165 | 26,422 | ||
T-Mobile USA Inc. | 2.550% | 2/15/31 | 4,750 | 4,712 | ||
T-Mobile USA Inc. | 2.250% | 11/15/31 | 4,745 | 4,567 | ||
T-Mobile USA Inc. | 4.375% | 4/15/40 | 15,735 | 17,587 | ||
T-Mobile USA Inc. | 4.500% | 4/15/50 | 22,950 | 25,959 | ||
T-Mobile USA Inc. | 3.300% | 2/15/51 | 19,300 | 18,115 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 9,460 | 9,107 | ||
4 | TWDC Enterprises 18 Corp. | 4.125% | 6/1/44 | 6,280 | 7,291 | |
Verizon Communications Inc. | 2.987% | 10/30/56 | 9,247 | 8,279 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 23,335 | 26,863 | ||
Verizon Communications Inc. | 4.812% | 3/15/39 | 85,963 | 105,363 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 7,750 | 9,402 | ||
Verizon Communications Inc. | 4.862% | 8/21/46 | 20,077 | 24,947 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Verizon Communications Inc. | 5.012% | 4/15/49 | 2,301 | 2,918 | ||
Verizon Communications Inc. | 4.672% | 3/15/55 | 11,007 | 13,605 | ||
ViacomCBS Inc. | 3.700% | 6/1/28 | 15,190 | 16,656 | ||
Vodafone Group plc | 5.000% | 5/30/38 | 1,895 | 2,304 | ||
Vodafone Group plc | 5.250% | 5/30/48 | 45,220 | 57,295 | ||
Walt Disney Co. | 3.000% | 9/15/22 | 11,891 | 12,309 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 3,850 | 3,979 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 50,260 | 53,690 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 16,835 | 15,706 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 27,250 | 29,310 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 28,415 | 31,280 | ||
1,937,067 | ||||||
Consumer Discretionary (0.8%) | ||||||
Amazon.com Inc. | 2.800% | 8/22/24 | 14,010 | 14,997 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 37,370 | 47,254 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 22,605 | 29,505 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 41,385 | 50,147 | ||
4 | American Honda Finance Corp. | 2.000% | 3/24/28 | 19,250 | 19,588 | |
AutoZone Inc. | 3.700% | 4/15/22 | 46,136 | 47,094 | ||
4,6 | BMW US Capital LLC | 0.800% | 4/1/24 | 12,590 | 12,688 | |
4,6 | Daimler Finance North America LLC | 3.875% | 9/15/21 | 3,961 | 4,002 | |
4,6 | Daimler Finance North America LLC | 3.250% | 8/1/24 | 5,870 | 6,305 | |
4 | Duke University | 2.832% | 10/1/55 | 25,700 | 25,566 | |
4 | Emory University | 2.143% | 9/1/30 | 25,351 | 25,528 | |
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 57,810 | 62,587 | ||
4 | Georgetown University | 4.315% | 4/1/49 | 5,405 | 6,615 | |
4 | Georgetown University | 2.943% | 4/1/50 | 9,430 | 9,150 | |
Home Depot Inc. | 3.900% | 12/6/28 | 10,250 | 11,784 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 18,410 | 19,482 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 28,655 | 35,032 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 12,215 | 15,276 | ||
4,6 | Hyundai Capital America | 0.800% | 4/3/23 | 91,160 | 91,282 | |
4,6,7 | Hyundai Capital America, 3M USD LIBOR + 0.940% | 1.137% | 7/8/21 | 50,400 | 50,431 | |
4 | Johns Hopkins University | 4.083% | 7/1/53 | 7,805 | 9,560 | |
4 | Johns Hopkins University | 2.813% | 1/1/60 | 6,420 | 6,228 | |
Leland Stanford Junior University | 6.875% | 2/1/24 | 13,685 | 15,752 | ||
4 | Leland Stanford Junior University | 7.650% | 6/15/26 | 29,000 | 37,184 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 68,700 | 74,814 | ||
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 13,301 | 17,140 | ||
4 | McDonald's Corp. | 3.250% | 6/10/24 | 5,460 | 5,885 | |
4 | McDonald's Corp. | 4.875% | 12/9/45 | 9,940 | 12,372 | |
4 | McDonald's Corp. | 3.625% | 9/1/49 | 37,735 | 39,740 | |
4 | Northeastern University | 2.894% | 10/1/50 | 6,995 | 6,894 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 24,455 | 31,577 | ||
Starbucks Corp. | 4.500% | 11/15/48 | 51,181 | 60,705 | ||
4 | University of Chicago | 2.761% | 4/1/45 | 5,825 | 5,801 | |
VF Corp. | 2.800% | 4/23/27 | 17,615 | 18,821 | ||
VF Corp. | 2.950% | 4/23/30 | 37,015 | 38,734 | ||
965,520 | ||||||
Consumer Staples (0.9%) | ||||||
Altria Group Inc. | 5.800% | 2/14/39 | 26,150 | 31,617 | ||
Altria Group Inc. | 4.500% | 5/2/43 | 10,705 | 11,249 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 22,775 | 21,686 | ||
Anheuser-Busch Cos. LLC | 6.500% | 1/1/28 | 19,550 | 24,349 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Anheuser-Busch Cos. LLC | 4.700% | 2/1/36 | 35,700 | 42,508 | |
4 | Anheuser-Busch Cos. LLC | 4.900% | 2/1/46 | 61,085 | 73,577 | |
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 4,100 | 4,997 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 19,610 | 20,608 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 9,225 | 10,701 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 35,045 | 45,100 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 63,450 | 67,493 | ||
4,6 | Cargill Inc. | 6.875% | 5/1/28 | 19,355 | 24,760 | |
4,6 | Cargill Inc. | 2.125% | 4/23/30 | 5,265 | 5,249 | |
4,6 | Cargill Inc. | 4.760% | 11/23/45 | 28,190 | 35,624 | |
4,6 | CK Hutchison International 20 Ltd. | 3.375% | 5/8/50 | 22,015 | 22,695 | |
4,6 | Coca-Cola Europacific Partners plc | 0.800% | 5/3/24 | 32,165 | 32,200 | |
4 | Coca-Cola Europacific Partners plc | 4.500% | 9/1/21 | 8,430 | 8,430 | |
4 | Colgate-Palmolive Co. | 7.600% | 5/19/25 | 13,920 | 17,435 | |
Conagra Brands Inc. | 4.600% | 11/1/25 | 7,855 | 8,995 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 11,765 | 11,457 | ||
Conagra Brands Inc. | 5.300% | 11/1/38 | 6,410 | 7,936 | ||
Constellation Brands Inc. | 2.700% | 5/9/22 | 2,385 | 2,433 | ||
Constellation Brands Inc. | 3.750% | 5/1/50 | 2,415 | 2,558 | ||
4,6 | Danone SA | 2.947% | 11/2/26 | 30,550 | 32,901 | |
Diageo Capital plc | 2.625% | 4/29/23 | 48,310 | 50,241 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 20,000 | 20,481 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 5,830 | 5,770 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 1,845 | 1,817 | ||
Diageo Investment Corp. | 2.875% | 5/11/22 | 26,991 | 27,662 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 12,615 | 13,027 | ||
2 | Hormel Foods Corp. | 1.700% | 6/3/28 | 8,125 | 8,118 | |
4,6 | Imperial Brands Finance plc | 3.750% | 7/21/22 | 34,745 | 35,763 | |
Kroger Co. | 3.850% | 8/1/23 | 10,770 | 11,482 | ||
Kroger Co. | 4.000% | 2/1/24 | 22,290 | 24,150 | ||
McCormick & Co. Inc. | 2.500% | 4/15/30 | 3,205 | 3,252 | ||
Molson Coors Beverage Co. | 3.500% | 5/1/22 | 16,525 | 17,010 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 54,900 | 58,937 | ||
PepsiCo Inc. | 4.000% | 3/5/42 | 51,391 | 60,416 | ||
Philip Morris International Inc. | 2.500% | 8/22/22 | 21,645 | 22,251 | ||
Philip Morris International Inc. | 3.600% | 11/15/23 | 7,000 | 7,572 | ||
Philip Morris International Inc. | 3.375% | 8/11/25 | 14,440 | 15,788 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 6,185 | 7,521 | ||
4,6 | Sigma Alimentos SA de CV | 4.125% | 5/2/26 | 14,750 | 16,021 | |
Walmart Inc. | 3.550% | 6/26/25 | 56,910 | 63,137 | ||
Walmart Inc. | 3.625% | 12/15/47 | 14,215 | 16,083 | ||
1,053,057 | ||||||
Energy (0.9%) | ||||||
4,6 | BG Energy Capital plc | 4.000% | 10/15/21 | 5,000 | 5,068 | |
4 | BP Capital Markets America Inc. | 3.245% | 5/6/22 | 35,000 | 35,994 | |
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 7,780 | 7,477 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 11,870 | 10,619 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 30,385 | 28,110 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 22,000 | 22,703 | ||
BP Capital Markets plc | 3.994% | 9/26/23 | 16,185 | 17,537 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 38,938 | 42,415 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 50,285 | 55,360 | ||
Chevron Corp. | 3.191% | 6/24/23 | 25,330 | 26,656 | ||
Cimarex Energy Co. | 4.375% | 6/1/24 | 31,555 | 34,541 | ||
ConocoPhillips Co. | 4.950% | 3/15/26 | 4,385 | 5,116 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Energy Transfer LP | 5.250% | 4/15/29 | 40,000 | 46,617 | ||
Energy Transfer LP | 5.350% | 5/15/45 | 3,500 | 3,932 | ||
Energy Transfer LP | 5.300% | 4/15/47 | 5,745 | 6,407 | ||
Energy Transfer LP | 5.400% | 10/1/47 | 750 | 850 | ||
Enterprise Products Operating LLC | 4.250% | 2/15/48 | 26,420 | 29,023 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 5,935 | 6,008 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 11,910 | 12,380 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 8,115 | 8,844 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 36,735 | 38,886 | ||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 25,195 | 26,072 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 35,925 | 37,236 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 12,060 | 13,708 | ||
4,6 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 47,605 | 47,006 | |
4,6 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 23,800 | 23,624 | |
Plains All American Pipeline LP | 3.850% | 10/15/23 | 36,775 | 38,984 | ||
4,6 | Schlumberger Holdings Corp. | 3.900% | 5/17/28 | 31,025 | 34,213 | |
4,6 | Schlumberger Investment SA | 2.400% | 8/1/22 | 23,925 | 24,361 | |
Schlumberger Investment SA | 3.650% | 12/1/23 | 44,520 | 47,716 | ||
Shell International Finance BV | 3.250% | 5/11/25 | 11,051 | 12,069 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 43,465 | 50,882 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 12,990 | 17,727 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 96,700 | 115,498 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 20,700 | 26,658 | ||
Total Capital International SA | 2.700% | 1/25/23 | 36,510 | 37,977 | ||
Total Capital International SA | 3.750% | 4/10/24 | 41,500 | 45,419 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 47,256 | 54,663 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 7,125 | 8,098 | ||
1,106,454 | ||||||
Financials (7.4%) | ||||||
ACE Capital Trust II | 9.700% | 4/1/30 | 20,000 | 30,281 | ||
4,6 | AIA Group Ltd. | 3.600% | 4/9/29 | 50,475 | 55,343 | |
4,6 | AIA Group Ltd. | 3.375% | 4/7/30 | 12,460 | 13,470 | |
4 | American Express Credit Corp. | 2.700% | 3/3/22 | 54,990 | 55,916 | |
American International Group Inc. | 3.750% | 7/10/25 | 8,990 | 9,914 | ||
American International Group Inc. | 4.250% | 3/15/29 | 35,227 | 40,241 | ||
American International Group Inc. | 4.700% | 7/10/35 | 2,375 | 2,833 | ||
American International Group Inc. | 6.250% | 5/1/36 | 7,775 | 10,622 | ||
American International Group Inc. | 4.500% | 7/16/44 | 12,612 | 14,732 | ||
American International Group Inc. | 4.800% | 7/10/45 | 7,130 | 8,607 | ||
American International Group Inc. | 4.750% | 4/1/48 | 4,585 | 5,572 | ||
American International Group Inc. | 4.375% | 6/30/50 | 9,505 | 11,049 | ||
American International Group Inc. | 4.375% | 1/15/55 | 4,755 | 5,466 | ||
4,6 | Athene Global Funding | 1.000% | 4/16/24 | 22,095 | 22,205 | |
4,6 | Australia & New Zealand Banking Group Ltd. | 2.570% | 11/25/35 | 22,135 | 21,249 | |
Banco Santander SA | 3.125% | 2/23/23 | 28,400 | 29,660 | ||
Banco Santander SA | 3.848% | 4/12/23 | 16,400 | 17,408 | ||
Banco Santander SA | 1.849% | 3/25/26 | 32,200 | 32,699 | ||
Banco Santander SA | 2.749% | 12/3/30 | 15,600 | 15,276 | ||
4 | Bank of America Corp. | 3.300% | 1/11/23 | 7,905 | 8,286 | |
4 | Bank of America Corp. | 2.816% | 7/21/23 | 60,525 | 62,200 | |
4 | Bank of America Corp. | 4.125% | 1/22/24 | 16,100 | 17,635 | |
4 | Bank of America Corp. | 4.000% | 1/22/25 | 32,900 | 36,303 | |
4 | Bank of America Corp. | 3.500% | 4/19/26 | 10,000 | 11,077 | |
4 | Bank of America Corp. | 3.559% | 4/23/27 | 86,705 | 95,376 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Bank of America Corp. | 3.593% | 7/21/28 | 37,950 | 41,822 | |
4 | Bank of America Corp. | 3.419% | 12/20/28 | 8,681 | 9,489 | |
4 | Bank of America Corp. | 4.271% | 7/23/29 | 74,365 | 84,881 | |
4 | Bank of America Corp. | 3.974% | 2/7/30 | 120,185 | 135,013 | |
4 | Bank of America Corp. | 3.194% | 7/23/30 | 35,285 | 37,581 | |
4 | Bank of America Corp. | 2.496% | 2/13/31 | 50,870 | 51,284 | |
4 | Bank of America Corp. | 5.875% | 2/7/42 | 9,965 | 13,894 | |
4 | Bank of America Corp. | 5.000% | 1/21/44 | 39,433 | 50,231 | |
4 | Bank of America Corp. | 3.946% | 1/23/49 | 5,380 | 5,962 | |
4 | Bank of America Corp. | 4.330% | 3/15/50 | 78,120 | 92,021 | |
4,6 | Bank of Montreal | 2.500% | 1/11/22 | 60,000 | 60,838 | |
4 | Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 27,990 | 30,299 | |
Bank of Nova Scotia | 2.700% | 8/3/26 | 63,160 | 67,757 | ||
4 | Barclays plc | 3.932% | 5/7/25 | 55,605 | 60,290 | |
Barclays plc | 2.667% | 3/10/32 | 44,170 | 43,751 | ||
7 | Barclays plc, 3M USD LIBOR + 1.380% | 1.536% | 5/16/24 | 36,385 | 37,015 | |
4,6 | BNP Paribas SA | 2.871% | 4/19/32 | 23,435 | 23,713 | |
4,6 | BNP Paribas SA | 2.950% | 5/23/22 | 4,105 | 4,211 | |
4 | BNP Paribas SA | 3.250% | 3/3/23 | 7,620 | 8,025 | |
4,6 | BNP Paribas SA | 3.800% | 1/10/24 | 25,780 | 27,845 | |
4,6 | BNP Paribas SA | 3.375% | 1/9/25 | 60,670 | 65,544 | |
4,6 | BNP Paribas SA | 2.819% | 11/19/25 | 45,685 | 48,287 | |
4,6 | BNP Paribas SA | 1.323% | 1/13/27 | 18,995 | 18,785 | |
4,6 | BNP Paribas SA | 3.500% | 11/16/27 | 69,325 | 75,810 | |
4,6 | BPCE SA | 5.700% | 10/22/23 | 6,225 | 6,930 | |
BPCE SA | 4.000% | 4/15/24 | 30,615 | 33,547 | ||
4,6 | BPCE SA | 5.150% | 7/21/24 | 43,790 | 49,101 | |
4,6 | BPCE SA | 3.500% | 10/23/27 | 64,230 | 70,056 | |
4,6 | BPCE SA | 2.700% | 10/1/29 | 50,000 | 51,477 | |
4,6 | Brighthouse Financial Global Funding | 1.000% | 4/12/24 | 2,425 | 2,434 | |
4,6 | Brighthouse Financial Global Funding | 1.550% | 5/24/26 | 20,210 | 20,307 | |
7 | Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.720% | 0.910% | 6/16/22 | 57,780 | 58,190 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 55,460 | 60,354 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 24,185 | 26,098 | ||
Charles Schwab Corp. | 0.750% | 3/18/24 | 30,130 | 30,363 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 19,665 | 21,570 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 27,375 | 27,891 | ||
Chubb Corp. | 6.000% | 5/11/37 | 50,000 | 70,585 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 22,345 | 24,216 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 29,835 | 36,481 | ||
Citigroup Inc. | 4.500% | 1/14/22 | 33,920 | 34,814 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 32,820 | 33,019 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 14,550 | 16,372 | ||
4 | Citigroup Inc. | 3.520% | 10/27/28 | 72,550 | 79,696 | |
Citigroup Inc. | 6.625% | 6/15/32 | 45,000 | 60,834 | ||
4 | Citigroup Inc. | 3.878% | 1/24/39 | 37,030 | 41,128 | |
4 | Comerica Bank | 2.500% | 7/23/24 | 27,415 | 29,014 | |
4,6 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 74,015 | 72,899 | |
4,6 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 46,710 | 46,207 | |
4,6 | Credit Agricole SA | 3.750% | 4/24/23 | 31,675 | 33,672 | |
4,6 | Credit Agricole SA | 3.250% | 10/4/24 | 71,600 | 77,156 | |
Credit Suisse AG | 3.000% | 10/29/21 | 18,325 | 18,533 | ||
4 | Credit Suisse AG | 3.625% | 9/9/24 | 4,885 | 5,338 | |
4,6 | Credit Suisse Group AG | 3.091% | 5/14/32 | 30,370 | 30,842 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,6 | Credit Suisse Group AG | 3.574% | 1/9/23 | 20,675 | 21,045 | |
4,6 | Credit Suisse Group AG | 4.207% | 6/12/24 | 12,375 | 13,219 | |
Credit Suisse Group AG | 3.750% | 3/26/25 | 67,850 | 73,749 | ||
4,6 | Credit Suisse Group AG | 2.593% | 9/11/25 | 17,585 | 18,366 | |
4,6 | Credit Suisse Group AG | 3.869% | 1/12/29 | 10,980 | 11,952 | |
4,6,7 | Credit Suisse Group AG, 3M USD LIBOR + 1.240% | 1.424% | 6/12/24 | 25,015 | 25,376 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 55,260 | 57,623 | ||
4,6 | Danske Bank A/S | 5.000% | 1/12/22 | 21,605 | 22,183 | |
4,6 | Danske Bank A/S | 3.875% | 9/12/23 | 46,290 | 49,462 | |
4,6 | Danske Bank A/S | 5.375% | 1/12/24 | 28,240 | 31,495 | |
4,6 | Danske Bank A/S | 1.621% | 9/11/26 | 28,990 | 28,957 | |
4 | Deutsche Bank AG | 4.250% | 10/14/21 | 25,995 | 26,354 | |
4,6 | DNB Bank ASA | 1.535% | 5/25/27 | 44,030 | 44,221 | |
4,6 | DNB Boligkreditt A/S | 2.500% | 3/28/22 | 47,550 | 48,438 | |
4,6 | Equitable Financial Life Global Funding | 1.800% | 3/8/28 | 28,220 | 27,866 | |
4,6 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 10,395 | 10,503 | |
4,6 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 18,220 | 17,900 | |
6 | Farmers Exchange Capital | 7.050% | 7/15/28 | 25,000 | 30,583 | |
Fifth Third Bancorp | 2.550% | 5/5/27 | 19,150 | 20,190 | ||
6 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,935 | 6,494 | |
4,6 | GA Global Funding Trust | 1.000% | 4/8/24 | 21,750 | 21,850 | |
Global Payments Inc. | 2.900% | 5/15/30 | 14,680 | 15,060 | ||
Globe Life Inc. | 7.875% | 5/15/23 | 45,000 | 51,161 | ||
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 40,725 | 42,175 | ||
4 | Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 64,880 | 65,559 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 35,320 | 37,211 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 17,545 | 19,043 | ||
4 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 46,260 | 49,848 | |
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 17,980 | 19,937 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 71,545 | 71,579 | ||
4 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 15,055 | 16,658 | |
4 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 23,795 | 26,383 | |
4 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 67,740 | 76,933 | |
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 19,490 | 21,732 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 74,125 | 74,742 | ||
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 43,995 | 62,979 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 20,135 | 28,984 | ||
4 | Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 25,675 | 32,271 | |
4,6 | Guardian Life Global Funding | 1.250% | 5/13/26 | 6,735 | 6,731 | |
HSBC Holdings plc | 0.976% | 5/24/25 | 10,150 | 10,194 | ||
HSBC Holdings plc | 2.804% | 5/24/32 | 50,910 | 51,472 | ||
HSBC Holdings plc | 3.600% | 5/25/23 | 60,200 | 64,051 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 12,085 | 13,484 | ||
HSBC Holdings plc | 1.589% | 5/24/27 | 25,850 | 25,925 | ||
4 | HSBC Holdings plc | 4.041% | 3/13/28 | 21,805 | 24,240 | |
4 | HSBC Holdings plc | 4.583% | 6/19/29 | 40,480 | 46,307 | |
4 | HSBC Holdings plc | 2.357% | 8/18/31 | 54,320 | 53,315 | |
HSBC Holdings plc | 6.500% | 5/2/36 | 25,000 | 33,831 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 40,665 | 57,568 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 13,210 | 16,614 | ||
7 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 1.155% | 5/18/24 | 26,340 | 26,651 | |
HSBC USA Inc. | 3.500% | 6/23/24 | 28,025 | 30,454 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
ING Groep NV | 3.150% | 3/29/22 | 12,955 | 13,267 | ||
ING Groep NV | 3.950% | 3/29/27 | 44,565 | 50,148 | ||
ING Groep NV | 1.726% | 4/1/27 | 16,075 | 16,272 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 5,860 | 5,468 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 12,730 | 12,062 | ||
4,6 | JAB Holdings BV | 3.750% | 5/28/51 | 19,275 | 19,361 | |
4,6 | JAB Holdings BV | 2.200% | 11/23/30 | 9,385 | 8,968 | |
4,6 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 24,070 | 25,733 | |
6 | Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 18,890 | 25,002 | |
2 | JPMorgan Chase & Co. | 2.069% | 6/1/29 | 42,085 | 42,247 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 27,610 | 29,177 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 39,000 | 42,513 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 13,870 | 15,428 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 29,835 | 33,848 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 13,420 | 15,432 | ||
4 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 64,735 | 74,951 | |
4 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 16,000 | 17,737 | |
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 58,675 | 59,247 | ||
4 | JPMorgan Chase & Co. | 3.109% | 4/22/41 | 19,440 | 19,538 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 96,000 | 130,739 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 18,035 | 24,100 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 16,100 | 21,951 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 15,000 | 19,106 | ||
4 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 159,600 | 178,918 | |
4 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 19,885 | 19,579 | |
4,6 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 3,160 | 3,393 | |
4,6 | Liberty Mutual Group Inc. | 4.569% | 2/1/29 | 11,170 | 12,937 | |
6 | Liberty Mutual Insurance Co. | 7.875% | 10/15/26 | 31,210 | 39,837 | |
4,6 | LSEGA Financing plc | 2.000% | 4/6/28 | 24,615 | 24,704 | |
4,6 | LSEGA Financing plc | 2.500% | 4/6/31 | 37,780 | 37,931 | |
4,6 | LSEGA Financing plc | 1.375% | 4/6/26 | 56,790 | 57,071 | |
4,6 | Macquarie Group Ltd. | 4.150% | 3/27/24 | 49,500 | 52,624 | |
4 | Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 24,685 | 26,464 | |
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 23,405 | 27,293 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 10,915 | 14,317 | ||
MetLife Inc. | 3.600% | 4/10/24 | 35,035 | 38,122 | ||
MetLife Inc. | 4.125% | 8/13/42 | 5,565 | 6,442 | ||
MetLife Inc. | 4.875% | 11/13/43 | 17,000 | 21,763 | ||
4,6 | Metropolitan Life Global Funding I | 2.650% | 4/8/22 | 13,770 | 14,059 | |
4,6 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 23,660 | 26,280 | |
4,6 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 21,455 | 23,292 | |
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 67,980 | 69,783 | ||
2 | Morgan Stanley | 0.790% | 5/30/25 | 42,545 | 42,576 | |
4 | Morgan Stanley | 3.875% | 4/29/24 | 97,010 | 105,929 | |
4 | Morgan Stanley | 3.700% | 10/23/24 | 29,050 | 31,924 | |
4 | Morgan Stanley | 2.720% | 7/22/25 | 53,860 | 57,121 | |
4 | Morgan Stanley | 4.000% | 7/23/25 | 29,455 | 32,958 | |
4 | Morgan Stanley | 3.125% | 7/27/26 | 11,435 | 12,444 | |
4 | Morgan Stanley | 6.250% | 8/9/26 | 20,000 | 24,774 | |
Morgan Stanley | 3.625% | 1/20/27 | 60,000 | 66,872 | ||
4 | Morgan Stanley | 3.772% | 1/24/29 | 56,905 | 63,362 | |
4 | Morgan Stanley | 2.699% | 1/22/31 | 74,290 | 76,676 | |
Morgan Stanley | 4.300% | 1/27/45 | 18,360 | 21,835 | ||
4,6 | National Australia Bank Ltd. | 2.990% | 5/21/31 | 43,770 | 43,981 | |
4,6 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 75,550 | 72,552 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,6 | Nationwide Building Society | 3.622% | 4/26/23 | 23,975 | 24,661 | |
4,6 | Nationwide Financial Services Inc. | 3.900% | 11/30/49 | 48,905 | 52,214 | |
4,6 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 38,985 | 41,882 | |
4,6 | NatWest Markets plc | 0.800% | 8/12/24 | 22,050 | 22,077 | |
4,6 | NBK SPC Ltd. | 2.750% | 5/30/22 | 56,530 | 57,678 | |
4,6 | New York Life Global Funding | 2.900% | 1/17/24 | 29,050 | 30,873 | |
4,6 | New York Life Insurance Co. | 5.875% | 5/15/33 | 55,395 | 71,855 | |
4,6 | New York Life Insurance Co. | 3.750% | 5/15/50 | 9,245 | 9,915 | |
4,6 | New York Life Insurance Co. | 4.450% | 5/15/69 | 15,270 | 18,480 | |
4,6 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 24,134 | 26,434 | |
4,6 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 9,324 | 9,678 | |
4,6 | Pacific Life Global Funding II | 1.375% | 4/14/26 | 27,085 | 27,240 | |
4,6 | Penske Truck Leasing Co. LP | 3.450% | 7/1/24 | 16,420 | 17,698 | |
4,6 | Penske Truck Leasing Co. LP | 2.700% | 11/1/24 | 10,220 | 10,813 | |
4,6 | Penske Truck Leasing Co. LP | 3.950% | 3/10/25 | 52,010 | 57,090 | |
4,6 | Penske Truck Leasing Co. LP | 4.450% | 1/29/26 | 16,450 | 18,592 | |
4 | PNC Bank NA | 3.300% | 10/30/24 | 18,195 | 19,853 | |
4 | PNC Bank NA | 4.200% | 11/1/25 | 16,650 | 18,937 | |
4 | PNC Bank NA | 3.100% | 10/25/27 | 41,975 | 46,047 | |
4 | PNC Bank NA | 3.250% | 1/22/28 | 60,465 | 66,276 | |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 41,565 | 45,428 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 54,405 | 56,453 | ||
4,6 | Principal Life Global Funding II | 2.500% | 9/16/29 | 25,000 | 25,665 | |
Prudential plc | 3.125% | 4/14/30 | 14,640 | 15,628 | ||
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 33,065 | 33,865 | ||
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 20,375 | 21,235 | ||
4,6 | Societe Generale SA | 3.250% | 1/12/22 | 38,635 | 39,318 | |
4,6 | Standard Chartered plc | 1.214% | 3/23/25 | 6,465 | 6,526 | |
4 | State Street Corp. | 2.653% | 5/15/23 | 30,770 | 31,473 | |
4,6 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 58,195 | 58,434 | |
4,6 | Teachers Insurance & Annuity Association of America | 4.900% | 9/15/44 | 24,830 | 30,897 | |
4,6 | Teachers Insurance & Annuity Association of America | 4.270% | 5/15/47 | 42,390 | 48,726 | |
Truist Bank | 2.625% | 1/15/22 | 16,800 | 17,021 | ||
4 | Truist Bank | 3.300% | 5/15/26 | 12,895 | 14,191 | |
4 | Truist Financial Corp. | 2.750% | 4/1/22 | 61,300 | 62,480 | |
4 | Truist Financial Corp. | 2.200% | 3/16/23 | 31,045 | 32,055 | |
4 | Truist Financial Corp. | 3.700% | 6/5/25 | 49,000 | 54,187 | |
4 | Truist Financial Corp. | 1.950% | 6/5/30 | 22,005 | 21,713 | |
2,4,6 | UBS AG | 1.250% | 6/1/26 | 36,125 | 36,107 | |
4,6 | UBS Group AG | 3.126% | 8/13/30 | 16,000 | 16,925 | |
4,6 | UBS Group AG | 2.095% | 2/11/32 | 23,650 | 22,720 | |
2,4,6 | UniCredit SpA | 1.982% | 6/3/27 | 35,165 | 35,178 | |
2,4,6 | UniCredit SpA | 3.127% | 6/3/32 | 38,145 | 38,038 | |
4 | US Bancorp | 3.700% | 1/30/24 | 52,500 | 56,923 | |
4 | Wells Fargo & Co. | 0.805% | 5/19/25 | 13,885 | 13,937 | |
4 | Wells Fargo & Co. | 3.500% | 3/8/22 | 10,720 | 10,991 | |
4 | Wells Fargo & Co. | 3.450% | 2/13/23 | 48,895 | 51,445 | |
Wells Fargo & Co. | 4.480% | 1/16/24 | 46,156 | 50,846 | ||
4 | Wells Fargo & Co. | 3.750% | 1/24/24 | 50,755 | 54,908 | |
4 | Wells Fargo & Co. | 3.550% | 9/29/25 | 32,170 | 35,498 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 39,405 | 42,663 | ||
4 | Wells Fargo & Co. | 3.196% | 6/17/27 | 60,555 | 65,796 | |
4 | Wells Fargo & Co. | 2.879% | 10/30/30 | 15,000 | 15,710 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Wells Fargo & Co. | 2.572% | 2/11/31 | 76,020 | 77,722 | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 68,281 | 90,400 | ||
4 | Wells Fargo & Co. | 4.650% | 11/4/44 | 10,315 | 12,229 | |
4 | Wells Fargo & Co. | 4.900% | 11/17/45 | 19,160 | 23,447 | |
4 | Wells Fargo & Co. | 4.400% | 6/14/46 | 73,300 | 85,035 | |
4 | Wells Fargo & Co. | 4.750% | 12/7/46 | 23,150 | 28,040 | |
8,876,064 | ||||||
Health Care (2.3%) | ||||||
AbbVie Inc. | 3.450% | 3/15/22 | 18,695 | 19,064 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 15,725 | 17,268 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 20,255 | 22,766 | ||
AbbVie Inc. | 4.850% | 6/15/44 | 18,000 | 22,082 | ||
AbbVie Inc. | 4.450% | 5/14/46 | 29,520 | 34,607 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 18,435 | 21,245 | ||
4 | Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 7,210 | 7,236 | |
4 | Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 8,980 | 8,885 | |
Aetna Inc. | 2.800% | 6/15/23 | 25,660 | 26,784 | ||
4,6 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,830 | 6,190 | |
4,6 | Alcon Finance Corp. | 2.600% | 5/27/30 | 4,690 | 4,743 | |
4,6 | Alcon Finance Corp. | 3.800% | 9/23/49 | 22,830 | 24,213 | |
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 56,400 | 56,582 | ||
Amgen Inc. | 2.770% | 9/1/53 | 14,741 | 13,294 | ||
Amgen Inc. | 2.300% | 2/25/31 | 43,075 | 42,976 | ||
Amgen Inc. | 3.150% | 2/21/40 | 29,570 | 29,903 | ||
Amgen Inc. | 5.150% | 11/15/41 | 10,583 | 13,560 | ||
Anthem Inc. | 3.300% | 1/15/23 | 42,468 | 44,477 | ||
Anthem Inc. | 3.650% | 12/1/27 | 26,975 | 30,071 | ||
Anthem Inc. | 4.101% | 3/1/28 | 40,910 | 46,368 | ||
Anthem Inc. | 2.550% | 3/15/31 | 35,565 | 36,162 | ||
Anthem Inc. | 4.650% | 8/15/44 | 2,876 | 3,470 | ||
4 | Ascension Health | 2.532% | 11/15/29 | 22,515 | 23,440 | |
4 | Ascension Health | 4.847% | 11/15/53 | 23,970 | 32,350 | |
AstraZeneca plc | 4.000% | 1/17/29 | 47,000 | 53,636 | ||
AstraZeneca plc | 6.450% | 9/15/37 | 23,385 | 34,073 | ||
4,6 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 46,665 | 52,288 | |
4,6 | Bayer US Finance LLC | 3.000% | 10/8/21 | 46,850 | 47,293 | |
4,6 | Bayer US Finance LLC | 3.375% | 10/8/24 | 33,220 | 35,892 | |
4 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 17,085 | 18,495 | |
4 | Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 11,305 | 11,084 | |
Boston Scientific Corp. | 4.000% | 3/1/29 | 6,810 | 7,668 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 4,553 | 4,739 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 7,534 | 7,900 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 31,020 | 34,385 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 17,720 | 20,827 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 7,347 | 9,152 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 20,963 | 25,257 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 11,865 | 10,807 | ||
4 | Children's Hospital Corp. | 2.585% | 2/1/50 | 5,460 | 4,971 | |
4 | Cigna Corp. | 3.250% | 4/15/25 | 31,655 | 34,289 | |
Cigna Corp. | 4.375% | 10/15/28 | 18,600 | 21,466 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 13,735 | 14,197 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 9,885 | 10,647 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 29,395 | 31,144 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 32,755 | 35,133 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 15,150 | 15,526 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | CommonSpirit Health | 4.350% | 11/1/42 | 23,365 | 26,582 | |
CommonSpirit Health | 4.187% | 10/1/49 | 34,985 | 38,410 | ||
4 | Cottage Health Obligated Group | 3.304% | 11/1/49 | 9,875 | 10,289 | |
CVS Health Corp. | 4.300% | 3/25/28 | 2,453 | 2,811 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 6,900 | 8,316 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 11,570 | 12,896 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 31,100 | 38,976 | ||
Dignity Health | 3.812% | 11/1/24 | 20,780 | 22,598 | ||
4,6 | EMD Finance LLC | 2.950% | 3/19/22 | 23,660 | 24,059 | |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 26,895 | 29,054 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 22,335 | 24,333 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 4,945 | 5,810 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 38,610 | 35,117 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 31,740 | 33,184 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 45,000 | 59,626 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 14,823 | 16,307 | ||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 14,250 | 18,751 | ||
4 | Mass General Brigham Inc. | 3.192% | 7/1/49 | 24,480 | 25,059 | |
4 | Mass General Brigham Inc. | 3.342% | 7/1/60 | 32,045 | 33,673 | |
Medtronic Inc. | 3.500% | 3/15/25 | 13,468 | 14,872 | ||
4 | Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 18,985 | 18,730 | |
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 12,320 | 15,049 | ||
4 | Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 10,630 | 12,983 | |
Merck & Co. Inc. | 2.750% | 2/10/25 | 47,090 | 50,430 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 49,240 | 54,755 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 22,090 | 26,301 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 52,385 | 61,574 | ||
4 | Mercy Health | 4.302% | 7/1/28 | 20,339 | 23,581 | |
Novartis Capital Corp. | 3.400% | 5/6/24 | 16,695 | 18,176 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 25,896 | 32,117 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 70,335 | 78,261 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 6,065 | 5,939 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 53,995 | 63,901 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 7,535 | 7,312 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 8,330 | 7,915 | ||
4 | Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 17,470 | 18,041 | |
4 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 11,805 | 13,488 | |
4,6 | Royalty Pharma plc | 3.300% | 9/2/40 | 14,550 | 14,121 | |
4,6 | Royalty Pharma plc | 3.550% | 9/2/50 | 44,555 | 42,875 | |
4 | Rush Obligated Group | 3.922% | 11/15/29 | 11,880 | 13,436 | |
4 | SSM Health Care Corp. | 3.823% | 6/1/27 | 34,910 | 39,341 | |
4 | Sutter Health | 2.294% | 8/15/30 | 18,345 | 18,295 | |
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 30,355 | 29,609 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 18,255 | 17,856 | ||
Toledo Hospital | 5.750% | 11/15/38 | 18,910 | 22,451 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 4,696 | 4,764 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 16,000 | 16,749 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 15,350 | 16,790 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 34,565 | 39,382 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 7,515 | 7,473 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 9,595 | 11,886 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 8,505 | 8,330 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 67,400 | 79,968 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 24,520 | 31,184 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 8,620 | 10,144 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 22,215 | 26,607 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 4,970 | 6,135 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 23,160 | 25,522 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 26,720 | 25,844 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 4,125 | 4,689 | ||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 13,830 | 13,686 | ||
Wyeth LLC | 5.950% | 4/1/37 | 25,000 | 34,965 | ||
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 29,000 | 33,425 | ||
2,713,408 | ||||||
Industrials (0.9%) | ||||||
4,6 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 11,010 | 12,201 | |
4,6 | BAE Systems plc | 3.400% | 4/15/30 | 7,335 | 7,863 | |
Boeing Co. | 1.433% | 2/4/24 | 37,830 | 37,950 | ||
Boeing Co. | 2.700% | 2/1/27 | 17,155 | 17,716 | ||
Boeing Co. | 8.625% | 11/15/31 | 9,460 | 13,768 | ||
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 7,595 | 7,710 | ||
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 21,397 | 22,308 | ||
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 20,891 | 22,369 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 6,000 | 7,381 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 13,365 | 15,553 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 2,715 | 3,134 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 9,950 | 9,871 | ||
Canadian National Railway Co. | 2.450% | 5/1/50 | 6,870 | 5,952 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 15,418 | 15,854 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 14,200 | 15,372 | ||
4 | Continental Airlines Pass-Through Trust Series 2007-1 | 5.983% | 4/19/22 | 11,292 | 11,576 | |
CSX Corp. | 4.300% | 3/1/48 | 16,150 | 18,797 | ||
CSX Corp. | 3.350% | 9/15/49 | 5,535 | 5,617 | ||
Deere & Co. | 7.125% | 3/3/31 | 17,500 | 25,113 | ||
4,6 | ERAC USA Finance LLC | 4.500% | 8/16/21 | 9,295 | 9,374 | |
4,6 | ERAC USA Finance LLC | 5.625% | 3/15/42 | 21,787 | 28,929 | |
4 | Federal Express Corp. 1998 Pass-Through Trust Series 1998 | 6.720% | 1/15/22 | 1,284 | 1,336 | |
FedEx Corp. | 4.100% | 2/1/45 | 4,455 | 4,918 | ||
FedEx Corp. | 4.550% | 4/1/46 | 6,073 | 7,109 | ||
FedEx Corp. | 4.050% | 2/15/48 | 1,705 | 1,884 | ||
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 52,955 | 57,018 | ||
4 | John Deere Capital Corp. | 3.450% | 3/13/25 | 43,145 | 47,447 | |
4 | Kansas City Southern | 4.950% | 8/15/45 | 16,985 | 20,959 | |
Lockheed Martin Corp. | 2.900% | 3/1/25 | 10,450 | 11,256 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 1,700 | 1,679 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 8,015 | 9,822 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 14,370 | 18,343 | ||
Lockheed Martin Corp. | 2.800% | 6/15/50 | 7,285 | 6,997 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 5,500 | 6,587 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 8,000 | 8,176 | ||
Otis Worldwide Corp. | 3.112% | 2/15/40 | 17,030 | 17,164 | ||
Otis Worldwide Corp. | 3.362% | 2/15/50 | 30,240 | 30,737 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 9,650 | 10,439 | ||
4 | Parker-Hannifin Corp. | 4.450% | 11/21/44 | 17,735 | 21,149 | |
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 16,675 | 19,010 | ||
Raytheon Technologies Corp. | 6.050% | 6/1/36 | 20,325 | 27,885 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 9,325 | 10,977 | ||
Raytheon Technologies Corp. | 4.500% | 6/1/42 | 8,727 | 10,494 | ||
Raytheon Technologies Corp. | 3.750% | 11/1/46 | 5,923 | 6,405 | ||
4,6 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 20,360 | 20,379 | |
4,6 | Siemens Financieringsmaatschappij NV | 2.150% | 3/11/31 | 35,655 | 35,376 | |
4,6 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 61,400 | 65,705 | |
4,6 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 34,365 | 42,346 | |
4 | Southwest Airlines Co. Pass-Through Trust Series 2007-1 | 6.150% | 8/1/22 | 5,158 | 5,285 | |
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 37,435 | 37,981 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 41,220 | 41,656 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 17,470 | 19,502 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 5,565 | 5,565 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 23,191 | 25,285 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 9,530 | 10,248 | ||
4,6 | Union Pacific Corp. | 2.973% | 9/16/62 | 22,015 | 19,885 | |
Union Pacific Corp. | 3.750% | 2/5/70 | 10,510 | 10,915 | ||
4 | United Airlines Pass-Through Trust Series 2018-1 | 4.600% | 3/1/26 | 6,036 | 6,121 | |
1,018,448 | ||||||
Materials (0.0%) | ||||||
International Paper Co. | 4.350% | 8/15/48 | 45,400 | 54,024 | ||
Real Estate (0.4%) | ||||||
American Tower Corp. | 5.000% | 2/15/24 | 2,770 | 3,089 | ||
American Tower Corp. | 4.400% | 2/15/26 | 7,315 | 8,267 | ||
American Tower Corp. | 3.800% | 8/15/29 | 33,804 | 37,215 | ||
Boston Properties LP | 3.125% | 9/1/23 | 13,275 | 13,938 | ||
Boston Properties LP | 3.800% | 2/1/24 | 1,750 | 1,882 | ||
Crown Castle International Corp. | 3.650% | 9/1/27 | 10,215 | 11,234 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,435 | 9,304 | ||
Crown Castle International Corp. | 2.100% | 4/1/31 | 71,340 | 68,078 | ||
Equinix Inc. | 3.000% | 7/15/50 | 34,420 | 31,620 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 31,475 | 32,959 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 12,940 | 13,877 | ||
4,6 | SBA Tower Trust | 1.631% | 11/15/26 | 19,150 | 19,193 | |
4,6 | SBA Tower Trust | 3.448% | 3/15/23 | 23,770 | 25,115 | |
4,6 | SBA Tower Trust | 2.836% | 1/15/25 | 25,075 | 26,287 | |
4,6 | SBA Tower Trust | 1.884% | 1/15/26 | 8,960 | 9,093 | |
4,6 | Scentre Group Trust 1 | 4.375% | 5/28/30 | 19,110 | 21,793 | |
Simon Property Group LP | 3.750% | 2/1/24 | 3,265 | 3,516 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 10,055 | 10,855 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 19,865 | 20,191 | ||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 5,900 | 6,376 | ||
VEREIT Operating Partnership LP | 2.200% | 6/15/28 | 24,400 | 24,555 | ||
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 16,610 | 16,939 | ||
415,376 | ||||||
Technology (1.8%) | ||||||
Apple Inc. | 3.000% | 2/9/24 | 22,535 | 24,045 | ||
Apple Inc. | 3.450% | 5/6/24 | 39,950 | 43,480 | ||
Apple Inc. | 2.850% | 5/11/24 | 44,990 | 48,057 | ||
Apple Inc. | 2.750% | 1/13/25 | 21,495 | 23,063 | ||
Apple Inc. | 3.250% | 2/23/26 | 37,631 | 41,407 | ||
Apple Inc. | 2.450% | 8/4/26 | 43,466 | 46,356 | ||
Apple Inc. | 3.350% | 2/9/27 | 55,925 | 62,133 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Apple Inc. | 3.200% | 5/11/27 | 39,185 | 43,294 | ||
Apple Inc. | 2.900% | 9/12/27 | 55,355 | 60,235 | ||
Apple Inc. | 3.850% | 5/4/43 | 17,000 | 19,381 | ||
Apple Inc. | 4.450% | 5/6/44 | 5,075 | 6,272 | ||
Apple Inc. | 3.850% | 8/4/46 | 36,890 | 42,120 | ||
Apple Inc. | 2.650% | 5/11/50 | 17,660 | 16,409 | ||
Apple Inc. | 2.550% | 8/20/60 | 48,290 | 42,497 | ||
Broadcom Corp. | 3.875% | 1/15/27 | 11,385 | 12,516 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 3,505 | 3,929 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 37,859 | 41,884 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 4,480 | 4,911 | ||
4,6 | Broadcom Inc. | 3.500% | 2/15/41 | 24,030 | 23,271 | |
4,6 | Broadcom Inc. | 3.750% | 2/15/51 | 11,745 | 11,442 | |
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,676 | 16,887 | ||
Fidelity National Information Services Inc. | 1.650% | 3/1/28 | 8,070 | 7,939 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 23,105 | 25,130 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,395 | 31,458 | ||
Intel Corp. | 4.100% | 5/19/46 | 51,605 | 59,707 | ||
International Business Machines Corp. | 3.375% | 8/1/23 | 60,000 | 63,964 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 35,000 | 37,924 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 86,100 | 92,321 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 155,985 | 171,705 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 103,700 | 114,382 | ||
International Business Machines Corp. | 5.875% | 11/29/32 | 20,240 | 27,408 | ||
International Business Machines Corp. | 2.850% | 5/15/40 | 11,490 | 11,167 | ||
International Business Machines Corp. | 2.950% | 5/15/50 | 4,545 | 4,309 | ||
Microsoft Corp. | 2.875% | 2/6/24 | 57,005 | 60,624 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 17,700 | 19,410 | ||
Microsoft Corp. | 3.500% | 2/12/35 | 23,520 | 26,563 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 31,097 | 34,834 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 122,844 | 114,628 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 123,829 | 124,267 | ||
Oracle Corp. | 2.500% | 5/15/22 | 46,930 | 47,759 | ||
Oracle Corp. | 2.950% | 11/15/24 | 79,830 | 85,404 | ||
Oracle Corp. | 2.950% | 5/15/25 | 13,635 | 14,581 | ||
Oracle Corp. | 1.650% | 3/25/26 | 48,245 | 48,924 | ||
Oracle Corp. | 3.250% | 11/15/27 | 111,485 | 121,305 | ||
Oracle Corp. | 4.000% | 11/15/47 | 32,175 | 33,680 | ||
Oracle Corp. | 3.950% | 3/25/51 | 12,525 | 13,030 | ||
Oracle Corp. | 3.850% | 4/1/60 | 18,200 | 18,291 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 27,474 | 26,714 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 29,475 | 29,705 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 41,155 | 38,490 | ||
QUALCOMM Inc. | 3.250% | 5/20/50 | 10,605 | 10,866 | ||
2,150,078 | ||||||
Utilities (2.6%) | ||||||
4 | AEP Texas Inc. | 4.150% | 5/1/49 | 5,065 | 5,680 | |
4 | AEP Texas Inc. | 3.450% | 1/15/50 | 16,810 | 16,830 | |
Alabama Power Co. | 5.700% | 2/15/33 | 15,000 | 19,355 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 24,430 | 27,003 | ||
4 | Alabama Power Co. | 4.300% | 7/15/48 | 28,015 | 33,754 | |
Ameren Illinois Co. | 3.800% | 5/15/28 | 22,215 | 24,864 | ||
Ameren Illinois Co. | 6.125% | 12/15/28 | 54,000 | 64,767 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 5,045 | 5,599 | ||
American Water Capital Corp. | 2.950% | 9/1/27 | 9,975 | 10,777 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,435 | 1,560 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 30,403 | 35,332 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 850 | 979 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 2,280 | 2,360 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 11,220 | 11,522 | ||
Baltimore Gas & Electric Co. | 2.900% | 6/15/50 | 6,549 | 6,254 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 41,185 | 56,405 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 830 | 1,121 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,715 | 13,672 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 15,865 | 18,737 | ||
4,6 | Boston Gas Co. | 3.150% | 8/1/27 | 5,385 | 5,787 | |
4,6 | Boston Gas Co. | 3.001% | 8/1/29 | 5,970 | 6,248 | |
4,6 | Brooklyn Union Gas Co. | 3.407% | 3/10/26 | 2,685 | 2,918 | |
4,6 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 61,265 | 68,741 | |
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 8,068 | 9,018 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 9,180 | 9,421 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 13,610 | 16,309 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,365 | 6,971 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 17,455 | 20,084 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 36,735 | 43,359 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 2,729 | 2,949 | ||
4 | Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,690 | 1,863 | |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 66,625 | 80,315 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 22,530 | 26,526 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 11,816 | 12,638 | ||
Dominion Energy Inc. | 2.715% | 8/15/21 | 15,805 | 15,882 | ||
4,6 | Dominion Energy Inc. | 2.450% | 1/15/23 | 111,320 | 114,872 | |
4 | Dominion Energy Inc. | 5.250% | 8/1/33 | 5,706 | 7,066 | |
4 | Dominion Energy Inc. | 4.600% | 3/15/49 | 27,385 | 33,182 | |
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 4,886 | 6,766 | ||
Dominion Energy South Carolina Inc. | 5.800% | 1/15/33 | 9,000 | 11,299 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,438 | 1,846 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 44,155 | 61,539 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 2,945 | 3,931 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 7,251 | 9,045 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 29,850 | 41,401 | ||
DTE Energy Co. | 3.800% | 3/15/27 | 9,550 | 10,690 | ||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,000 | 5,592 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 17,085 | 18,729 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 11,775 | 12,462 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 12,030 | 13,036 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 44,700 | 53,185 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 9,940 | 10,305 | ||
Duke Energy Florida LLC | 6.350% | 9/15/37 | 8,000 | 11,558 | ||
Duke Energy Florida LLC | 6.400% | 6/15/38 | 27,055 | 39,119 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 14,705 | 20,898 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 615 | 708 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 40,400 | 47,228 | ||
4,6 | East Ohio Gas Co. | 2.000% | 6/15/30 | 8,960 | 8,733 | |
4,6 | East Ohio Gas Co. | 3.000% | 6/15/50 | 13,050 | 12,468 | |
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 21,445 | 22,860 | ||
4 | Eastern Energy Gas Holdings LLC | 3.000% | 11/15/29 | 19,580 | 20,538 | |
Eastern Energy Gas Holdings LLC | 4.800% | 11/1/43 | 4,185 | 4,917 | ||
Eastern Energy Gas Holdings LLC | 4.600% | 12/15/44 | 24,863 | 28,799 | ||
Emera US Finance LP | 3.550% | 6/15/26 | 34,050 | 37,226 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 14,935 | 16,365 | ||
Evergy Inc. | 2.450% | 9/15/24 | 10,420 | 10,925 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 9,000 | 9,163 | ||
4 | Evergy Metro Inc. | 2.250% | 6/1/30 | 5,680 | 5,706 | |
Evergy Metro Inc. | 4.200% | 3/15/48 | 3,419 | 4,002 | ||
4 | Eversource Energy | 2.900% | 10/1/24 | 17,450 | 18,585 | |
4 | Eversource Energy | 3.150% | 1/15/25 | 5,025 | 5,385 | |
4 | Eversource Energy | 3.300% | 1/15/28 | 14,410 | 15,620 | |
Florida Power & Light Co. | 5.650% | 2/1/35 | 50,000 | 67,180 | ||
Florida Power & Light Co. | 4.950% | 6/1/35 | 10,000 | 12,865 | ||
Florida Power & Light Co. | 5.650% | 2/1/37 | 5,000 | 6,706 | ||
Florida Power & Light Co. | 5.950% | 2/1/38 | 39,215 | 54,787 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 4,000 | 5,583 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 17,370 | 19,571 | ||
��� | Fortis Inc. | 3.055% | 10/4/26 | 28,565 | 30,729 | |
Georgia Power Co. | 5.400% | 6/1/40 | 6,665 | 8,359 | ||
4 | Georgia Power Co. | 4.750% | 9/1/40 | 25,858 | 31,157 | |
Georgia Power Co. | 4.300% | 3/15/42 | 9,934 | 11,443 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 14,980 | 17,566 | ||
4,6 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 25,345 | 26,783 | |
4,6 | Massachusetts Electric Co. | 5.900% | 11/15/39 | 21,565 | 29,222 | |
4,6 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 6,572 | 7,285 | |
MidAmerican Energy Co. | 4.400% | 10/15/44 | 1,050 | 1,263 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 5,485 | 6,553 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 11,545 | 13,967 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 45,450 | 46,742 | ||
4,6 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 3,170 | 3,515 | |
4,6 | Monongahela Power Co. | 5.400% | 12/15/43 | 4,570 | 5,783 | |
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,255 | 16,170 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 40,345 | 43,052 | ||
4 | Nevada Power Co. | 3.125% | 8/1/50 | 17,790 | 17,697 | |
NextEra Energy Capital Holdings Inc. | 2.403% | 9/1/21 | 43,950 | 44,187 | ||
NextEra Energy Capital Holdings Inc. | 3.250% | 4/1/26 | 9,260 | 10,071 | ||
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 32,275 | 35,766 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 14,165 | 15,524 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 40,110 | 39,951 | ||
4,6 | Niagara Mohawk Power Corp. | 4.278% | 12/15/28 | 35,970 | 40,882 | |
4,6 | Niagara Mohawk Power Corp. | 3.025% | 6/27/50 | 14,840 | 13,964 | |
NiSource Inc. | 5.250% | 2/15/43 | 14,588 | 18,397 | ||
NiSource Inc. | 4.800% | 2/15/44 | 10,370 | 12,503 | ||
Northern States Power Co. | 6.250% | 6/1/36 | 50,000 | 70,588 | ||
4,6 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 36,565 | 46,170 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 6,075 | 7,860 | ||
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,825 | 1,987 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 19,060 | 20,172 | ||
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 5,640 | 6,868 | ||
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 17,220 | 20,983 | ||
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 2,675 | 3,280 | ||
PacifiCorp | 2.950% | 6/1/23 | 29,675 | 30,990 | ||
PacifiCorp | 2.700% | 9/15/30 | 5,025 | 5,202 | ||
PacifiCorp | 5.900% | 8/15/34 | 12,500 | 16,044 | ||
PacifiCorp | 6.250% | 10/15/37 | 36,635 | 51,331 | ||
PacifiCorp | 4.125% | 1/15/49 | 2,141 | 2,468 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PacifiCorp | 4.150% | 2/15/50 | 11,625 | 13,570 | ||
PacifiCorp | 3.300% | 3/15/51 | 11,806 | 12,028 | ||
Potomac Electric Power Co. | 3.050% | 4/1/22 | 3,765 | 3,855 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 25,000 | 36,274 | ||
San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 3,600 | 4,420 | ||
4 | San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 5,390 | 5,870 | |
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 5,940 | 6,957 | ||
4 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 10,255 | 9,992 | |
4 | SCE Recovery Funding LLC | 1.942% | 5/15/38 | 3,655 | 3,477 | |
4 | SCE Recovery Funding LLC | 2.510% | 11/15/43 | 3,310 | 3,071 | |
Sempra Energy | 2.875% | 10/1/22 | 27,530 | 28,251 | ||
Sempra Energy | 3.250% | 6/15/27 | 80,765 | 87,904 | ||
Sempra Energy | 6.000% | 10/15/39 | 14,800 | 20,086 | ||
4 | Sierra Pacific Power Co. | 3.375% | 8/15/23 | 34,040 | 36,003 | |
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 7,857 | 8,368 | ||
4 | Southern California Edison Co. | 2.400% | 2/1/22 | 4,295 | 4,339 | |
4 | Southern California Edison Co. | 3.700% | 8/1/25 | 3,315 | 3,633 | |
Southern California Edison Co. | 6.000% | 1/15/34 | 7,695 | 9,999 | ||
4 | Southern California Edison Co. | 5.550% | 1/15/37 | 50,475 | 61,173 | |
4 | Southern California Edison Co. | 5.950% | 2/1/38 | 40,000 | 51,394 | |
Southern California Edison Co. | 6.050% | 3/15/39 | 1,980 | 2,585 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 6,530 | 6,679 | ||
4 | Southern California Edison Co. | 4.125% | 3/1/48 | 11,495 | 11,924 | |
Southern California Edison Co. | 3.650% | 2/1/50 | 5,405 | 5,304 | ||
Southern Co. | 3.250% | 7/1/26 | 30,885 | 33,567 | ||
Southern Co. | 4.400% | 7/1/46 | 41,137 | 47,046 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 6,310 | 6,219 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 9,800 | 13,450 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 3,756 | 4,067 | ||
Union Electric Co. | 4.000% | 4/1/48 | 14,316 | 16,420 | ||
4 | Virginia Electric & Power Co. | 2.750% | 3/15/23 | 34,540 | 35,856 | |
4 | Virginia Electric & Power Co. | 3.500% | 3/15/27 | 16,025 | 17,806 | |
4 | Virginia Electric & Power Co. | 6.000% | 5/15/37 | 1,740 | 2,375 | |
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 17,280 | 23,093 | ||
Wisconsin Public Service Corp. | 6.080% | 12/1/28 | 45,000 | 56,168 | ||
3,133,738 | ||||||
Total Corporate Bonds (Cost $21,412,530) | 23,423,234 | |||||
Sovereign Bonds (0.9%) | ||||||
4,6 | Bermuda | 2.375% | 8/20/30 | 14,390 | 14,220 | |
4,6 | Bermuda | 3.375% | 8/20/50 | 6,835 | 6,720 | |
4,6 | Electricite de France SA | 4.875% | 9/21/38 | 69,680 | 83,493 | |
4,6 | Electricite de France SA | 4.950% | 10/13/45 | 15,100 | 18,826 | |
Equinor ASA | 2.450% | 1/17/23 | 15,017 | 15,551 | ||
Equinor ASA | 2.650% | 1/15/24 | 14,000 | 14,791 | ||
Equinor ASA | 3.700% | 3/1/24 | 25,320 | 27,491 | ||
Equinor ASA | 3.250% | 11/10/24 | 25,200 | 27,393 | ||
Equinor ASA | 2.875% | 4/6/25 | 4,775 | 5,128 | ||
Equinor ASA | 3.125% | 4/6/30 | 80,155 | 86,279 | ||
Equinor ASA | 2.375% | 5/22/30 | 7,585 | 7,726 | ||
4 | International Bank for Reconstruction & Development | 4.750% | 2/15/35 | 40,000 | 52,650 | |
4,6 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 30,195 | 31,405 | |
4 | Republic of Chile | 2.550% | 1/27/32 | 35,135 | 35,480 | |
Republic of Chile | 3.500% | 4/15/53 | 25,155 | 25,454 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Republic of Chile | 3.100% | 1/22/61 | 13,390 | 12,204 | |
4 | Republic of Colombia | 4.000% | 2/26/24 | 30,240 | 32,089 | |
4 | Republic of Panama | 2.252% | 9/29/32 | 56,345 | 54,169 | |
4 | Republic of Panama | 3.870% | 7/23/60 | 44,660 | 44,661 | |
4,6 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 28,670 | 30,906 | |
4,6 | Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 50,595 | 54,104 | |
4,6 | State Grid Overseas Investment 2016 Ltd. | 2.750% | �� 5/4/22 | 62,480 | 63,663 | |
4,6 | State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 28,630 | 31,567 | |
4,6 | State of Kuwait | 2.750% | 3/20/22 | 4,255 | 4,336 | |
4,6 | State of Qatar | 2.375% | 6/2/21 | 25,190 | 25,190 | |
4,6 | State of Qatar | 3.875% | 4/23/23 | 56,160 | 59,816 | |
4,6 | State of Qatar | 3.375% | 3/14/24 | 3,360 | 3,612 | |
4,6 | State of Qatar | 4.400% | 4/16/50 | 14,035 | 16,724 | |
4,6 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 45,150 | 46,623 | |
4,6 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 36,800 | 41,250 | |
4,6 | Temasek Financial I Ltd. | 2.250% | 4/6/51 | 39,210 | 36,301 | |
4,6 | Temasek Financial I Ltd. | 2.500% | 10/6/70 | 22,880 | 21,087 | |
Total Sovereign Bonds (Cost $972,538) | 1,030,909 | |||||
Taxable Municipal Bonds (1.4%) | ||||||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 2.574% | 4/1/31 | 14,455 | 15,308 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 6.263% | 4/1/49 | 1,965 | 3,118 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 7.043% | 4/1/50 | 26,165 | 44,477 | ||
Broward County FL Airport System Revenue | 3.477% | 10/1/43 | 10,370 | 10,706 | ||
California GO | 7.350% | 11/1/39 | 56,970 | 89,117 | ||
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 3,205 | 4,749 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 33,870 | 47,727 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 57,835 | 81,497 | ||
Chicago IL Transit Authority Sales Tax Receipts Revenue | 6.200% | 12/1/40 | 2,260 | 3,057 | ||
City of Riverside CA Pension Obligation Bonds | 3.857% | 6/1/45 | 8,775 | 9,381 | ||
Dallas/Fort Worth International Airport Revenue | 3.089% | 11/1/40 | 7,405 | 7,565 | ||
Florida State Board of Administration Finance Corp. Revenue | 1.705% | 7/1/27 | 29,555 | 29,939 | ||
Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 4.094% | 1/15/49 | 5,345 | 5,567 | ||
9 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 3.924% | 1/15/53 | 39,440 | 41,009 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 62,624 | 91,770 | ||
Georgia Water & Wastewater Revenue | 2.257% | 11/1/35 | 1,230 | 1,223 | ||
Grand Parkway Transportation Corp. Texas System Toll Revenue | 5.184% | 10/1/42 | 5,645 | 7,589 | ||
Grand Parkway Transportation Corp. Texas System Toll Revenue | 3.236% | 10/1/52 | 28,900 | 29,229 | ||
Great Lakes Michigan Water Authority Sewage Disposal System Revenue | 3.056% | 7/1/39 | 8,495 | 8,848 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Houston TX GO | 6.290% | 3/1/32 | 15,875 | 19,900 | ||
Illinois GO | 5.100% | 6/1/33 | 30,560 | 35,105 | ||
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 29,200 | 39,797 | ||
Jobs Ohio Beverage System Statewide Liquor Profits Revenue | 2.833% | 1/1/38 | 5,480 | 5,678 | ||
Kansas Development Finance Authority Revenue | 4.927% | 4/15/45 | 7,745 | 9,814 | ||
9 | Kansas Development Finance Authority Revenue (Employees Retirement System) | 5.501% | 5/1/34 | 50,000 | 63,711 | |
Louisville & Jefferson County KY Metropolitan Sewer District Sewer & Drainage System Revenue | 6.250% | 5/15/43 | 19,000 | 28,328 | ||
Maryland Transportation Authority Facilities Projects Revenue | 5.888% | 7/1/43 | 18,985 | 25,372 | ||
Massachusetts GO | 2.514% | 7/1/41 | 8,175 | 8,021 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 1.753% | 8/15/30 | 27,675 | 27,510 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.715% | ��8/15/39 | 22,105 | 30,661 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 3.395% | 10/15/40 | 16,745 | 17,762 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 2.950% | 5/15/43 | 21,350 | 21,659 | ||
Michigan Finance Authority Revenue (Trinity Health Credit Group) | 3.084% | 12/1/34 | 11,320 | 12,027 | ||
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 30,285 | 48,824 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.200% | 11/15/26 | 2,195 | 2,542 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.814% | 11/15/40 | 27,295 | 38,762 | ||
New York Metropolitan Transportation Authority Revenue (Climate Bond Certified) | 5.175% | 11/15/49 | 23,665 | 30,131 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 10,860 | 17,248 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 16,085 | 22,589 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.110% | 2/15/39 | 21,260 | 22,675 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.190% | 2/15/43 | 12,095 | 12,760 | ||
New York State Thruway Authority General Revenue | 2.900% | 1/1/35 | 16,730 | 17,544 | ||
New York State Thruway Authority General Revenue | 3.500% | 1/1/42 | 9,430 | 9,796 | ||
New York State Urban Development Corp. Revenue | 2.100% | 3/15/22 | 28,840 | 29,241 | ||
North Texas Tollway Authority System Revenue | 3.011% | 1/1/43 | 9,145 | 9,154 | ||
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 11,035 | 17,699 | ||
Oregon Department of Transportation Highway User Tax Revenue | 5.834% | 11/15/34 | 25,930 | 35,986 | ||
10 | Oregon GO | 3.424% | 3/1/60 | 28,000 | 28,523 | |
9 | Oregon School Boards Association GO | 5.528% | 6/30/28 | 50,000 | 59,282 | |
11 | Philadelphia PA Authority for Industrial Development Revenue | 6.550% | 10/15/28 | 66,810 | 84,556 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Port Authority of New York & New Jersey Revenue | 5.859% | 12/1/24 | 2,600 | 3,062 | ||
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 44,055 | 55,684 | ||
Port Authority of New York & New Jersey Revenue | 4.810% | 10/15/65 | 21,985 | 29,048 | ||
Riverside County CA Pension Obligation Bonds | 3.818% | 2/15/38 | 9,585 | 10,297 | ||
Rutgers State University New Jersey Revenue | 3.270% | 5/1/43 | 11,960 | 12,618 | ||
Sales Tax Securitization Corp. Illinois Revenue | 4.787% | 1/1/48 | 20,690 | 25,479 | ||
San Antonio TX Electric & Gas Systems Revenue | 2.905% | 2/1/48 | 8,220 | 8,223 | ||
Texas Transportation Commission GO | 2.562% | 4/1/42 | 7,310 | 7,262 | ||
Texas Transportation Commission State Highway Revenue | 4.000% | 10/1/33 | 12,640 | 15,320 | ||
University of California Regents Medical Center Pooled Revenue | 6.548% | 5/15/48 | 10,400 | 15,621 | ||
University of California Regents Medical Center Pooled Revenue | 6.583% | 5/15/49 | 15,150 | 22,798 | ||
University of California Regents Medical Center Pooled Revenue | 3.006% | 5/15/50 | 15,445 | 15,143 | ||
University of California Regents Medical Center Pooled Revenue | 3.256% | 5/15/60 | 26,520 | 27,279 | ||
University of California Revenue | 1.316% | 5/15/27 | 13,075 | 13,151 | ||
University of California Revenue | 1.614% | 5/15/30 | 16,140 | 15,674 | ||
University of California Revenue | 4.601% | 5/15/31 | 21,975 | 25,804 | ||
University of California Revenue | 4.765% | 5/15/44 | 5,980 | 6,432 | ||
University of California Revenue | 3.931% | 5/15/45 | 22,370 | 24,882 | ||
Utility Debt Securitization Authority NY Restructuring Bonds | 3.435% | 12/15/25 | 8,625 | 8,910 | ||
Total Taxable Municipal Bonds (Cost $1,464,727) | 1,707,220 | |||||
Shares | ||||||
Temporary Cash Investments (3.6%) | ||||||
Money Market Fund (0.6%) | ||||||
12,13 | Vanguard Market Liquidity Fund | 0.055% | 6,776,554 | 677,655 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (1.4%) | ||||||
Bank of America Securities, LLC (Dated 5/28/21 Repurchase Value $56,100,000 collateralized by Freddie Mac 2.150%, 7/13/40 with a value of $57,222,000) | 0.010% | 6/1/21 | 56,100 | 56,100 | ||
Citigroup Global Markets Inc. (Dated 5/28/21 Repurchase Value $149,100,000 collateralized by U.S. Treasury Note/Bond 1.625%-3.375%, 2/15/26-11/15/48 with a value of $152,082,000) | 0.005% | 6/1/21 | 149,100 | 149,100 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Credit Agricole Securities (USA) Inc. (Dated 5/28/21 Repurchase Value $213,900,000 collateralized by U.S. Treasury Note/Bond 1.375%, 8/15/50 with a value of $218,178,000) | 0.005% | 6/1/21 | 213,900 | 213,900 | ||
Deutsche Bank Securities, Inc. (Dated 5/28/21 Repurchase Value $175,100,000 collateralized by Fannie Mae 2.000%-2.500%, 4/1/51 with a value of $178,602,000) | 0.005% | 6/1/21 | 175,100 | 175,100 | ||
HSBC Bank USA (Dated 5/28/21 Repurchase Value $171,500,000 collateralized by Treasury Inflation Indexed Note/Bond 0.250%-0.875%, 1/15/25-2/15/47 and U.S. Treasury Note/Bond 0.125%-7.500%, 1/31/23-5/15/51 with a value of $174,930,000) | 0.005% | 6/1/21 | 171,500 | 171,500 | ||
HSBC Bank USA (Dated 5/28/21 Repurchase Value $92,000,000 collateralized by Freddie Mac 3.000%, 5/1/51 with a value of $93,840,000) | 0.005% | 6/1/21 | 92,000 | 92,000 | ||
Nomura International plc (Dated 5/28/21 Repurchase Value $730,100,000 collateralized by Treasury Inflation Indexed Note/Bond 2.125%-3.625%, 4/15/28-2/15/41, U.S. Treasury Bill 0.000%, 6/1/21-4/21/22 and U.S. Treasury Note/Bond 0.125%-6.500%, 11/15/21-5/15/51 with a value of $744,702,000) | 0.005% | 6/1/21 | 730,100 | 730,100 | ||
RBC Capital Markets LLC (Dated 5/28/21 Repurchase Value $77,500,000 collateralized by Fannie Mae 2.000%-4.000%, 8/1/47-5/1/51 and U.S. Treasury Note/Bond 1.500%-1.750%, 6/15/22-12/15/22 with a value of $79,050,000) | 0.005% | 6/1/21 | 77,500 | 77,500 | ||
TD Securities (USA) LLC (Dated 5/28/21 Repurchase Value $11,000,000 collateralized by U.S. Treasury Note/Bond 0.049%, 4/30/23 with a value of $11,220,000) | 0.005% | 6/1/21 | 11,000 | 11,000 | ||
Wells Fargo & Co. (Dated 5/28/21 Repurchase Value $29,800,000 collateralized by Fannie Mae 2.500%-3.500%, 3/1/43-6/1/51 with a value of $30,396,000) | 0.010% | 6/1/21 | 29,800 | 29,800 | ||
1,706,100 | ||||||
U.S. Government and Agency Obligations (1.6%) | ||||||
United States Treasury Bill | 0.015% | 6/24/21 | 750,000 | 749,995 | ||
United States Treasury Bill | 0.007% | 8/31/21 | 250,000 | 249,991 | ||
United States Treasury Bill | 0.040% | 9/23/21 | 500,000 | 499,977 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Bill | 0.009% | 10/7/21 | 200,000 | 199,982 | ||
United States Treasury Bill | 0.026% | 11/12/21 | 150,000 | 149,983 | ||
1,849,928 | ||||||
Total Temporary Cash Investments (Cost $4,233,654) | 4,233,683 | |||||
Total Investments (100.8%) (Cost $82,214,176) | 120,204,907 | |||||
Other Assets and Liabilities—Net (-0.8%) | (1,010,563) | |||||
Net Assets (100%) | 119,194,344 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $651,797,000. |
2 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of May 31, 2021. |
3 | Securities with a value of $5,501,000 have been segregated as initial margin for open futures contracts. |
4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
5 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
6 | 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 May 31, 2021, the aggregate value was $6,285,400,000, representing 5.3% of net assets. |
7 | Variable rate security; rate shown is effective rate at period end. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
8 | Security value determined using significant unobservable inputs. |
9 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
10 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
11 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
12 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
13 | Collateral of $677,512,000 was received for securities on loan. |
1M—1-month. | |
3M—3-month. | |
ADR—American Depositary Receipt. | |
GO—Government Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | September 2021 | 4,660 | 577,148 | 536 |
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | (3,664) | (483,419) | 21 |
557 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $81,536,523) | 119,527,252 |
Affiliated Issuers (Cost $677,653) | 677,655 |
Total Investments in Securities | 120,204,907 |
Investment in Vanguard | 4,163 |
Cash | 13,438 |
Foreign Currency, at Value (Cost $1,650) | 1,693 |
Receivables for Investment Securities Sold | 48,150 |
Receivables for Accrued Income | 375,128 |
Receivables for Capital Shares Issued | 38,513 |
Total Assets | 120,685,992 |
Liabilities | |
Payables for Investment Securities Purchased | 735,389 |
Collateral for Securities on Loan | 677,512 |
Payables for Capital Shares Redeemed | 54,796 |
Payables to Investment Advisor | 17,722 |
Payables to Vanguard | 5,773 |
Variation Margin Payable—Futures Contracts | 456 |
Total Liabilities | 1,491,648 |
Net Assets | 119,194,344 |
At May 31, 2021, net assets consisted of: | |
Paid-in Capital | 76,284,624 |
Total Distributable Earnings (Loss) | 42,909,720 |
Net Assets | 119,194,344 |
Investor Shares—Net Assets | |
Applicable to 340,565,261 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,324,634 |
Net Asset Value Per Share—Investor Shares | $47.93 |
Admiral Shares—Net Assets | |
Applicable to 1,242,707,987 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 102,869,710 |
Net Asset Value Per Share—Admiral Shares | $82.78 |
Six Months Ended May 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 714,242 |
Interest2 | 483,725 |
Securities Lending—Net | 411 |
Total Income | 1,198,378 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 43,871 |
Performance Adjustment | (10,659) |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 13,432 |
Management and Administrative—Admiral Shares | 47,534 |
Marketing and Distribution—Investor Shares | 480 |
Marketing and Distribution—Admiral Shares | 1,206 |
Custodian Fees | 164 |
Shareholders’ Reports—Investor Shares | 218 |
Shareholders’ Reports—Admiral Shares | 228 |
Trustees’ Fees and Expenses | 22 |
Total Expenses | 96,496 |
Net Investment Income | 1,101,882 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 4,520,103 |
Futures Contracts | 30,838 |
Forward Currency Contracts | 2,073 |
Foreign Currencies | (991) |
Realized Net Gain (Loss) | 4,552,023 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 6,458,284 |
Futures Contracts | 1,710 |
Foreign Currencies | 788 |
Change in Unrealized Appreciation (Depreciation) | 6,460,782 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,114,687 |
1 | Dividends are net of foreign withholding taxes of $24,438,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $0, ($45,000), and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,101,882 | 2,487,549 | |
Realized Net Gain (Loss) | 4,552,023 | 6,632,872 | |
Change in Unrealized Appreciation (Depreciation) | 6,460,782 | 1,219,484 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,114,687 | 10,339,905 | |
Distributions | |||
Investor Shares | (1,023,955) | (738,980) | |
Admiral Shares | (6,299,154) | (4,196,596) | |
Total Distributions | (7,323,109) | (4,935,576) | |
Capital Share Transactions | |||
Investor Shares | 45,821 | (2,344,969) | |
Admiral Shares | 2,712,553 | (2,092,620) | |
Net Increase (Decrease) from Capital Share Transactions | 2,758,374 | (4,437,589) | |
Total Increase (Decrease) | 7,549,952 | 966,740 | |
Net Assets | |||
Beginning of Period | 111,644,392 | 110,677,652 | |
End of Period | 119,194,344 | 111,644,392 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2021 | Year Ended November 30, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $46.10 | $43.72 | $41.86 | $43.45 | $39.23 | $39.00 |
Investment Operations | ||||||
Net Investment Income | .4271 | .9661 | 1.0981 | 1.0831 | 1.0211 | 1.017 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.429 | 3.345 | 4.269 | .100 | 4.965 | 1.616 |
Total from Investment Operations | 4.856 | 4.311 | 5.367 | 1.183 | 5.986 | 2.633 |
Distributions | ||||||
Dividends from Net Investment Income | (.445) | (1.004) | (1.099) | (1.086) | (1.030) | (1.014) |
Distributions from Realized Capital Gains | (2.581) | (.927) | (2.408) | (1.687) | (.736) | (1.389) |
Total Distributions | (3.026) | (1.931) | (3.507) | (2.773) | (1.766) | (2.403) |
Net Asset Value, End of Period | $47.93 | $46.10 | $43.72 | $41.86 | $43.45 | $39.23 |
Total Return2 | 11.12% | 10.41% | 14.22% | 2.80% | 15.72% | 7.18% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $16,325 | $15,635 | $17,209 | $16,438 | $18,422 | $18,967 |
Ratio of Total Expenses to Average Net Assets3 | 0.24% | 0.24% | 0.25% | 0.25% | 0.25% | 0.25% |
Ratio of Net Investment Income to Average Net Assets | 1.81% | 2.28% | 2.70% | 2.58% | 2.50% | 2.68% |
Portfolio Turnover Rate4 | 17% | 51% | 28% | 34% | 30% | 31% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
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 | Includes performance-based investment advisory fee increases (decreases) of (0.02%), (0.02%), (0.00%), (0.01%), (0.01%), and (0.01%). |
4 | Includes 0%, 3%, 1%, 2%, 4%, and 6%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2021 | Year Ended November 30, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $79.62 | $75.51 | $72.29 | $75.04 | $67.75 | $67.36 |
Investment Operations | ||||||
Net Investment Income | .7701 | 1.7201 | 1.9541 | 1.9291 | 1.8241 | 1.812 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.648 | 5.784 | 7.379 | .172 | 8.572 | 2.784 |
Total from Investment Operations | 8.418 | 7.504 | 9.333 | 2.101 | 10.396 | 4.596 |
Distributions | ||||||
Dividends from Net Investment Income | (.800) | (1.794) | (1.955) | (1.936) | (1.836) | (1.807) |
Distributions from Realized Capital Gains | (4.458) | (1.600) | (4.158) | (2.915) | (1.270) | (2.399) |
Total Distributions | (5.258) | (3.394) | (6.113) | (4.851) | (3.106) | (4.206) |
Net Asset Value, End of Period | $82.78 | $79.62 | $75.51 | $72.29 | $75.04 | $67.75 |
Total Return2 | 11.16% | 10.50% | 14.33% | 2.88% | 15.81% | 7.26% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $102,870 | $96,009 | $93,469 | $86,207 | $87,136 | $73,996 |
Ratio of Total Expenses to Average Net Assets3 | 0.16% | 0.16% | 0.17% | 0.17% | 0.17% | 0.16% |
Ratio of Net Investment Income to Average Net Assets | 1.89% | 2.35% | 2.78% | 2.66% | 2.58% | 2.77% |
Portfolio Turnover Rate4 | 17% | 51% | 28% | 34% | 30% | 31% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
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 | Includes performance-based investment advisory fee increases (decreases) of (0.02%), (0.02%), (0.00%), (0.01%), (0.01%), and (0.01%). |
4 | Includes 0%, 3%, 1%, 2%, 4%, and 6%, respectively, attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 72,682,579 | 6,133,712 | — | 78,816,291 |
U.S. Government and Agency Obligations | — | 9,830,172 | — | 9,830,172 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 975,613 | 187,785 | 1,163,398 |
Corporate Bonds | — | 23,423,234 | — | 23,423,234 |
Sovereign Bonds | — | 1,030,909 | — | 1,030,909 |
Taxable Municipal Bonds | — | 1,707,220 | — | 1,707,220 |
Temporary Cash Investments | 677,655 | 3,556,028 | — | 4,233,683 |
Total | 73,360,234 | 46,656,888 | 187,785 | 120,204,907 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 557 | — | — | 557 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Unrealized Appreciation—Futures Contracts1 | 557 | — | 557 |
Unrealized Appreciation—Forward Currency Contracts | — | — | — |
Total Assets | 557 | — | 557 |
Unrealized Depreciation—Forward Currency Contracts | — | — | — |
Total Liabilities | — | — | — |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Futures Contracts | 30,838 | — | 30,838 |
Forward Currency Contracts | — | 2,073 | 2,073 |
Realized Net Gain (Loss) on Derivatives | 30,838 | 2,073 | 32,911 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | 1,710 | — | 1,710 |
Forward Currency Contracts | — | — | — |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 1,710 | — | 1,710 |
Amount ($000) | |
Tax Cost | 82,256,646 |
Gross Unrealized Appreciation | 38,510,919 |
Gross Unrealized Depreciation | (562,101) |
Net Unrealized Appreciation (Depreciation) | 37,948,818 |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 831,290 | 18,117 | 1,570,553 | 37,036 | |
Issued in Lieu of Cash Distributions | 978,772 | 22,111 | 705,545 | 16,986 | |
Redeemed | (1,764,241) | (38,806) | (4,621,067) | (108,454) | |
Net Increase (Decrease)—Investor Shares | 45,821 | 1,422 | (2,344,969) | (54,432) | |
Admiral Shares | |||||
Issued | 3,851,593 | 48,780 | 7,817,857 | 105,629 | |
Issued in Lieu of Cash Distributions | 5,841,113 | 76,408 | 3,891,977 | 54,268 | |
Redeemed | (6,980,153) | (88,375) | (13,802,454) | (191,768) | |
Net Increase (Decrease)—Admiral Shares | 2,712,553 | 36,813 | (2,092,620) | (31,871) |
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Vanguard U.S. Liquidity Factor ETF |
Vanguard U.S. Minimum Volatility ETF |
Vanguard U.S. Momentum Factor ETF |
Vanguard U.S. Multifactor ETF |
Vanguard U.S. Quality Factor ETF |
Vanguard U.S. Value Factor ETF |
About Your Fund’s Expenses | 1 |
U.S. Liquidity Factor ETF | 3 |
U.S. Minimum Volatility ETF | 27 |
U.S. Momentum Factor ETF | 40 |
U.S. Multifactor ETF | 61 |
U.S. Quality Factor ETF | 82 |
U.S. Value Factor ETF | 107 |
Trustees Approve Advisory Arrangements | 134 |
Liquidity Risk Management | 136 |
• | 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. |
• | 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. |
Six Months Ended May 31, 2021 | |||
Beginning Account Value 11/30/2020 | Ending Account Value 5/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
U.S. Liquidity Factor ETF | $1,000.00 | $1,252.00 | $0.73 |
U.S. Minimum Volatility ETF | $1,000.00 | $1,122.00 | $0.69 |
U.S. Momentum Factor ETF | $1,000.00 | $1,217.10 | $0.72 |
U.S. Multifactor ETF | $1,000.00 | $1,289.70 | $1.03 |
U.S. Quality Factor ETF | $1,000.00 | $1,247.30 | $0.73 |
U.S. Value Factor ETF | $1,000.00 | $1,392.20 | $0.78 |
Based on Hypothetical 5% Yearly Return | |||
U.S. Liquidity Factor ETF | $1,000.00 | $1,024.28 | $0.66 |
U.S. Minimum Volatility ETF | $1,000.00 | $1,024.28 | $0.66 |
U.S. Momentum Factor ETF | $1,000.00 | $1,024.28 | $0.66 |
U.S. Multifactor ETF | $1,000.00 | $1,024.03 | $0.91 |
U.S. Quality Factor ETF | $1,000.00 | $1,024.28 | $0.66 |
U.S. Value Factor ETF | $1,000.00 | $1,024.28 | $0.66 |
Basic Materials | 4.9% |
Consumer Discretionary | 8.1 |
Consumer Staples | 4.5 |
Energy | 1.5 |
Financials | 24.9 |
Health Care | 18.8 |
Industrials | 22.8 |
Real Estate | 1.1 |
Technology | 9.8 |
Telecommunications | 2.3 |
Utilities | 1.3 |
Shares | Market Value• ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (4.9%) | |||
Dow Inc. | 3,945 | 270 | |
Air Products and Chemicals Inc. | 892 | 267 | |
Southern Copper Corp. | 2,145 | 150 | |
Balchem Corp. | 1,100 | 144 | |
Timken Co. | 1,335 | 118 | |
* | Novagold Resources Inc. | 11,230 | 115 |
Linde plc | 351 | 106 | |
Ecolab Inc. | 482 | 104 | |
* | RBC Bearings Inc. | 504 | 99 |
UFP Industries Inc. | 1,187 | 94 | |
Reliance Steel & Aluminum Co. | 526 | 88 | |
FutureFuel Corp. | 7,856 | 81 | |
Valvoline Inc. | 2,403 | 79 | |
Glatfelter Corp. | 4,839 | 71 | |
* | AdvanSix Inc. | 2,176 | 69 |
Scotts Miracle-Gro Co. | 242 | 53 | |
Haynes International Inc. | 1,502 | 52 | |
* | Kraton Corp. | 1,476 | 50 |
Tredegar Corp. | 3,291 | 50 | |
PQ Group Holdings Inc. | 2,994 | 49 | |
* | Energy Fuels Inc. | 7,440 | 48 |
Stepan Co. | 314 | 42 | |
Hawkins Inc. | 1,175 | 40 | |
Huntsman Corp. | 1,308 | 37 | |
* | Orion Engineered Carbons SA | 1,744 | 35 |
Minerals Technologies Inc. | 371 | 32 | |
* | Koppers Holdings Inc. | 883 | 31 |
Mueller Industries Inc. | 654 | 30 | |
Ashland Global Holdings Inc. | 287 | 27 | |
* | NN Inc. | 3,046 | 23 |
* | Clearwater Paper Corp. | 690 | 20 |
Avery Dennison Corp. | 80 | 18 | |
Chemours Co. | 372 | 13 | |
Verso Corp. Class A | 749 | 13 | |
* | Intrepid Potash Inc. | 408 | 12 |
* | Rayonier Advanced Materials Inc. | 1,131 | 9 |
2,539 |
Shares | Market Value• ($000) | ||
Consumer Discretionary (8.0%) | |||
* | Liberty Media Corp.- Liberty SiriusXM Class C | 3,676 | 160 |
Ross Stores Inc. | 1,097 | 139 | |
* | Golden Entertainment Inc. | 3,048 | 130 |
AMERCO | 212 | 122 | |
Haverty Furniture Cos. Inc. | 2,483 | 114 | |
* | frontdoor Inc. | 2,037 | 109 |
* | O'Reilly Automotive Inc. | 190 | 102 |
Pool Corp. | 212 | 93 | |
* | Vera Bradley Inc. | 8,103 | 93 |
Fox Corp. Class B | 2,371 | 86 | |
Choice Hotels International Inc. | 697 | 84 | |
Churchill Downs Inc. | 391 | 78 | |
* | Houghton Mifflin Harcourt Co. | 7,675 | 76 |
Johnson Outdoors Inc. Class A | 612 | 75 | |
* | PlayAGS Inc. | 6,745 | 69 |
News Corp. Class A | 2,466 | 67 | |
Travel + Leisure Co. | 1,024 | 67 | |
ViacomCBS Inc. Class A | 1,377 | 64 | |
Carriage Services Inc. Class A | 1,605 | 62 | |
Genuine Parts Co. | 465 | 61 | |
Movado Group Inc. | 2,212 | 61 | |
* | Boston Omaha Corp. Class A | 1,922 | 59 |
Acushnet Holdings Corp. | 1,095 | 58 | |
* | Century Casinos Inc. | 4,016 | 56 |
Kimball International Inc. Class B | 4,183 | 56 | |
Rollins Inc. | 1,641 | 56 | |
* | Liberty Media Corp.- Liberty Formula One Class C | 1,223 | 55 |
EW Scripps Co. Class A | 2,597 | 55 | |
Franchise Group Inc. | 1,456 | 54 | |
* | Lands' End Inc. | 2,011 | 52 |
* | Noodles & Co. Class A | 3,998 | 51 |
Penske Automotive Group Inc. | 577 | 49 | |
* | Grand Canyon Education Inc. | 529 | 48 |
* | Entercom Communications Corp. Class A | 11,066 | 48 |
* | American Public Education Inc. | 1,694 | 47 |
* | Chuy's Holdings Inc. | 1,141 | 47 |
Winmark Corp. | 237 | 46 | |
Gentex Corp. | 1,221 | 43 | |
* | Universal Electronics Inc. | 853 | 43 |
* | Accel Entertainment Inc. Class A | 3,265 | 43 |
* | Monarch Casino & Resort Inc. | 582 | 42 |
* | Bally's Corp. | 708 | 41 |
Autoliv Inc. | 372 | 39 | |
* | MarineMax Inc. | 756 | 39 |
* | Mesa Air Group Inc. | 4,027 | 39 |
Service Corp. International | 740 | 39 | |
Ethan Allen Interiors Inc. | 1,287 | 37 | |
* | Green Brick Partners Inc. | 1,545 | 36 |
* | Lindblad Expeditions Holdings Inc. | 2,135 | 36 |
Cato Corp. Class A | 2,280 | 35 | |
* | Tilly's Inc. Class A | 2,593 | 35 |
Leggett & Platt Inc. | 618 | 34 | |
Qurate Retail Inc. Series A | 2,498 | 34 | |
* | Fluent Inc. | 11,303 | 33 |
Shares | Market Value• ($000) | ||
National CineMedia Inc. | 6,773 | 33 | |
* | Carrols Restaurant Group Inc. | 5,330 | 32 |
* | Liberty TripAdvisor Holdings Inc. Class A | 6,765 | 32 |
* | Stoneridge Inc. | 1,063 | 32 |
* | Arlo Technologies Inc. | 4,582 | 31 |
* | Marcus Corp. | 1,445 | 31 |
* | Duluth Holdings Inc. Class B | 1,832 | 30 |
* | Motorcar Parts of America Inc. | 1,275 | 30 |
Wyndham Hotels & Resorts Inc. | 388 | 29 | |
* | Liberty Media Corp.- Liberty Braves Class C | 1,026 | 28 |
* | LiveXLive Media Inc. | 5,734 | 28 |
Systemax Inc. | 825 | 28 | |
* | Lovesac Co. | 315 | 26 |
Scholastic Corp. | 768 | 26 | |
PROG Holdings Inc. | 473 | 25 | |
Inter Parfums Inc. | 303 | 23 | |
* | Marriott Vacations Worldwide Corp. | 131 | 23 |
* | Fox Factory Holding Corp. | 143 | 22 |
* | National Vision Holdings Inc. | 439 | 22 |
* | Casper Sleep Inc. | 2,245 | 21 |
* | Floor & Decor Holdings Inc. Class A | 208 | 20 |
* | Helen of Troy Ltd. | 93 | 20 |
Del Taco Restaurants Inc. | 1,769 | 18 | |
* | El Pollo Loco Holdings Inc. | 1,004 | 17 |
HNI Corp. | 356 | 16 | |
* | Chico's FAS Inc. | 3,287 | 15 |
* | Quotient Technology Inc. | 1,268 | 15 |
* | Viad Corp. | 316 | 14 |
* | Clean Energy Fuels Corp. | 1,405 | 11 |
Estee Lauder Cos. Inc. Class A | 36 | 11 | |
* | SiteOne Landscape Supply Inc. | 62 | 11 |
Lennar Corp. Class B | 134 | 10 | |
* | Terminix Global Holdings Inc. | 209 | 10 |
4,137 | |||
Consumer Staples (4.5%) | |||
Sysco Corp. | 3,852 | 312 | |
Flowers Foods Inc. | 9,610 | 232 | |
Lancaster Colony Corp. | 1,115 | 208 | |
Colgate-Palmolive Co. | 2,328 | 195 | |
General Mills Inc. | 2,670 | 168 | |
* | Darling Ingredients Inc. | 2,443 | 167 |
Brown-Forman Corp. Class A | 2,026 | 152 | |
Philip Morris International Inc. | 1,549 | 149 | |
Kimberly-Clark Corp. | 643 | 84 | |
Constellation Brands Inc. Class A | 342 | 82 | |
* | Pilgrim's Pride Corp. | 3,426 | 82 |
Keurig Dr Pepper Inc. | 2,193 | 81 | |
Seaboard Corp. | 20 | 73 | |
Weis Markets Inc. | 1,325 | 68 | |
WD-40 Co. | 212 | 52 | |
Brown-Forman Corp. Class B | 596 | 48 | |
Andersons Inc. | 1,031 | 32 | |
Ingredion Inc. | 338 | 32 | |
* | Performance Food Group Co. | 542 | 27 |
ACCO Brands Corp. | 2,884 | 26 |
Shares | Market Value• ($000) | ||
* | Post Holdings Inc. | 201 | 23 |
SpartanNash Co. | 885 | 19 | |
Universal Corp. | 295 | 17 | |
2,329 | |||
Energy (1.5%) | |||
* | Liberty Oilfield Services Inc. Class A | 6,171 | 92 |
* | CONSOL Energy Inc. | 4,906 | 75 |
* | Contango Oil & Gas Co. | 13,940 | 61 |
* | Frank's International NV | 16,558 | 56 |
Berry Corp. | 7,669 | 49 | |
* | Oil States International Inc. | 7,322 | 47 |
* | RPC Inc. | 9,228 | 45 |
* | Bonanza Creek Energy Inc. | 1,004 | 43 |
SunCoke Energy Inc. | 5,664 | 43 | |
* | Talos Energy Inc. | 2,881 | 41 |
* | Matrix Service Co. | 3,595 | 39 |
* | Bristow Group Inc. | 1,435 | 39 |
* | Newpark Resources Inc. | 10,296 | 35 |
Archrock Inc. | 3,610 | 33 | |
* | KLX Energy Services Holdings Inc. | 2,307 | 28 |
Phillips 66 | 214 | 18 | |
* | Tidewater Inc. | 877 | 12 |
* | MRC Global Inc. | 1,054 | 11 |
* | Comstock Resources Inc. | 1,791 | 10 |
777 | |||
Financials (24.8%) | |||
Marsh & McLennan Cos. Inc. | 3,804 | 526 | |
Moody's Corp. | 1,453 | 487 | |
T Rowe Price Group Inc. | 2,154 | 412 | |
Progressive Corp. | 3,506 | 347 | |
Truist Financial Corp. | 5,435 | 336 | |
MSCI Inc. Class A | 674 | 316 | |
Allstate Corp. | 2,160 | 295 | |
Chubb Ltd. | 1,652 | 281 | |
Aon plc Class A | 1,033 | 262 | |
Travelers Cos. Inc. | 1,562 | 249 | |
Intercontinental Exchange Inc. | 2,188 | 247 | |
Bank of New York Mellon Corp. | 4,636 | 241 | |
U.S. Bancorp | 3,368 | 205 | |
BlackRock Inc. | 196 | 172 | |
PNC Financial Services Group Inc. | 860 | 167 | |
CME Group Inc. | 744 | 163 | |
United Bankshares Inc. | 3,846 | 158 | |
First Citizens BancShares Inc. Class A | 179 | 154 | |
Erie Indemnity Co. Class A | 699 | 141 | |
MetLife Inc. | 2,153 | 141 | |
Community Bank System Inc. | 1,696 | 138 | |
Kemper Corp. | 1,774 | 133 | |
RLI Corp. | 1,182 | 125 | |
East West Bancorp Inc. | 1,647 | 123 | |
Stifel Financial Corp. | 1,702 | 118 | |
American International Group Inc. | 2,223 | 117 | |
Glacier Bancorp Inc. | 1,958 | 114 | |
Brown & Brown Inc. | 2,150 | 113 | |
Pinnacle Financial Partners Inc. | 1,184 | 108 |
Shares | Market Value• ($000) | ||
S&P Global Inc. | 282 | 107 | |
Popular Inc. | 1,265 | 103 | |
Commerce Bancshares Inc. | 1,293 | 101 | |
First Financial Bankshares Inc. | 1,991 | 100 | |
B Riley Financial Inc. | 1,342 | 99 | |
Hanmi Financial Corp. | 4,715 | 99 | |
Selective Insurance Group Inc. | 1,297 | 98 | |
Berkshire Hills Bancorp Inc. | 3,500 | 97 | |
Morningstar Inc. | 400 | 94 | |
Primerica Inc. | 578 | 94 | |
United Fire Group Inc. | 3,062 | 94 | |
Prosperity Bancshares Inc. | 1,235 | 93 | |
Trustmark Corp. | 2,775 | 93 | |
Valley National Bancorp | 6,143 | 88 | |
ConnectOne Bancorp Inc. | 3,153 | 87 | |
Premier Financial Corp. | 2,847 | 87 | |
* | Alleghany Corp. | 118 | 85 |
Live Oak Bancshares Inc. | 1,410 | 85 | |
* | Customers Bancorp Inc. | 2,214 | 84 |
Hanover Insurance Group Inc. | 595 | 83 | |
Webster Financial Corp. | 1,458 | 83 | |
* | Enstar Group Ltd. | 323 | 82 |
Lazard Ltd. Class A | 1,680 | 79 | |
Old Republic International Corp. | 2,931 | 77 | |
First Bancorp. | 1,687 | 75 | |
South State Corp. | 842 | 75 | |
Heritage Commerce Corp. | 6,270 | 74 | |
TFS Financial Corp. | 3,337 | 74 | |
SLM Corp. | 3,571 | 72 | |
Provident Financial Services Inc. | 2,757 | 70 | |
Globe Life Inc. | 643 | 68 | |
Univest Financial Corp. | 2,347 | 68 | |
Synovus Financial Corp. | 1,373 | 67 | |
First Financial Bancorp | 2,517 | 64 | |
* | Triumph Bancorp Inc. | 759 | 64 |
First Commonwealth Financial Corp. | 4,155 | 63 | |
Washington Trust Bancorp Inc. | 1,133 | 62 | |
Hope Bancorp Inc. | 3,976 | 61 | |
* | Markel Corp. | 49 | 60 |
* | Arch Capital Group Ltd. | 1,493 | 60 |
Lakeland Bancorp Inc. | 3,113 | 59 | |
Northfield Bancorp Inc. | 3,466 | 59 | |
Janus Henderson Group plc | 1,538 | 59 | |
Western Alliance Bancorp | 576 | 58 | |
BOK Financial Corp. | 616 | 56 | |
* | Cannae Holdings Inc. | 1,542 | 55 |
First Foundation Inc. | 2,194 | 55 | |
Sculptor Capital Management Inc. Class A | 2,097 | 55 | |
Central Pacific Financial Corp. | 1,965 | 54 | |
* | StoneX Group Inc. | 800 | 54 |
* | Assetmark Financial Holdings Inc. | 1,983 | 52 |
HCI Group Inc. | 648 | 52 | |
First American Financial Corp. | 782 | 50 | |
1st Source Corp. | 1,009 | 50 | |
SEI Investments Co. | 771 | 49 |
Shares | Market Value• ($000) | ||
BancFirst Corp. | 691 | 48 | |
Interactive Brokers Group Inc. Class A | 711 | 48 | |
Cullen/Frost Bankers Inc. | 392 | 47 | |
Kinsale Capital Group Inc. | 280 | 47 | |
ServisFirst Bancshares Inc. | 678 | 47 | |
White Mountains Insurance Group Ltd. | 39 | 47 | |
* | Columbia Financial Inc. | 2,615 | 46 |
Loews Corp. | 785 | 46 | |
* | Bancorp Inc. | 1,876 | 45 |
Jefferies Financial Group Inc. | 1,387 | 45 | |
Stock Yards Bancorp Inc. | 821 | 44 | |
TriCo Bancshares | 922 | 44 | |
American National Group Inc. | 296 | 44 | |
Federal Agricultural Mortgage Corp. Class C | 425 | 43 | |
First Bancorp Inc. (XNMS) | 1,112 | 43 | |
Lakeland Financial Corp. | 693 | 43 | |
Equitable Holdings Inc. | 1,317 | 42 | |
TrustCo Bank Corp. NY | 1,061 | 42 | |
HomeStreet Inc. | 921 | 41 | |
Park National Corp. | 327 | 41 | |
Allegiance Bancshares Inc. | 976 | 40 | |
Tompkins Financial Corp. | 495 | 40 | |
Towne Bank | 1,210 | 39 | |
* | TriState Capital Holdings Inc. | 1,688 | 39 |
First Merchants Corp. | 824 | 38 | |
LPL Financial Holdings Inc. | 260 | 38 | |
Nelnet Inc. Class A | 505 | 38 | |
Cohen & Steers Inc. | 510 | 37 | |
FB Financial Corp. | 873 | 37 | |
MGIC Investment Corp. | 2,522 | 37 | |
NBT Bancorp Inc. | 940 | 37 | |
Preferred Bank | 537 | 37 | |
Southside Bancshares Inc. | 863 | 37 | |
Atlantic Union Bankshares Corp. | 887 | 36 | |
Banner Corp. | 621 | 36 | |
Dime Community Bancshares Inc. | 1,012 | 35 | |
American Financial Group Inc. | 253 | 34 | |
Curo Group Holdings Corp. | 2,029 | 34 | |
Brightsphere Investment Group Inc. | 1,508 | 34 | |
ProAssurance Corp. | 1,340 | 33 | |
Unum Group | 1,074 | 33 | |
City Holding Co. | 372 | 30 | |
First Busey Corp. | 1,136 | 30 | |
Northwest Bancshares Inc. | 2,089 | 30 | |
PJT Partners Inc. Class A | 405 | 30 | |
Bank of NT Butterfield & Son Ltd. | 766 | 29 | |
Heritage Financial Corp. | 941 | 27 | |
Sandy Spring Bancorp Inc. | 589 | 27 | |
* | Focus Financial Partners Inc. Class A | 491 | 25 |
* | Enova International Inc. | 639 | 24 |
Universal Insurance Holdings Inc. | 1,713 | 24 | |
Carlyle Group Inc. | 542 | 24 | |
National Bank Holdings Corp. Class A | 587 | 23 | |
Santander Consumer USA Holdings Inc. | 581 | 22 | |
Banc of California Inc. | 1,226 | 21 |
Shares | Market Value• ($000) | ||
Kearny Financial Corp. | 1,568 | 21 | |
* | Silvergate Capital Corp. Class A | 190 | 21 |
Greenhill & Co. Inc. | 1,125 | 20 | |
Hamilton Lane Inc. Class A | 225 | 20 | |
Enterprise Financial Services Corp. | 392 | 19 | |
Radian Group Inc. | 766 | 18 | |
Heartland Financial USA Inc. | 329 | 16 | |
Independent Bank Corp. (XNGS) | 201 | 16 | |
International Bancshares Corp. | 327 | 15 | |
Renasant Corp. | 338 | 15 | |
OFG Bancorp | 583 | 14 | |
WisdomTree Investments Inc. | 2,100 | 14 | |
* | EZCorp. Inc. Class A | 1,763 | 13 |
FNB Corp. | 945 | 13 | |
Assured Guaranty Ltd. | 275 | 13 | |
WesBanco Inc. | 302 | 12 | |
AMERISAFE Inc. | 162 | 11 | |
Flushing Financial Corp. | 468 | 11 | |
Essent Group Ltd. | 236 | 11 | |
*,1 | BM Technologies Inc. (Acquired 12/17/20, Cost $5) | 367 | 4 |
12,800 | |||
Health Care (18.7%) | |||
* | Edwards Lifesciences Corp. | 5,088 | 488 |
Agilent Technologies Inc. | 2,832 | 391 | |
Stryker Corp. | 1,476 | 377 | |
Zoetis Inc. | 2,099 | 371 | |
* | IDEXX Laboratories Inc. | 639 | 357 |
* | IQVIA Holdings Inc. | 1,486 | 357 |
HCA Healthcare Inc. | 1,650 | 354 | |
* | Centene Corp. | 3,534 | 260 |
Baxter International Inc. | 3,032 | 249 | |
Cigna Corp. | 603 | 156 | |
National HealthCare Corp. | 2,005 | 147 | |
* | Neogen Corp. | 1,490 | 137 |
* | Nektar Therapeutics Class A | 7,107 | 128 |
* | Prothena Corp. plc | 4,260 | 124 |
* | Avid Bioservices Inc. | 4,982 | 106 |
Bio-Techne Corp. | 243 | 101 | |
* | Integra LifeSciences Holdings Corp. | 1,373 | 95 |
* | Bridgebio Pharma Inc. | 1,505 | 89 |
* | ICU Medical Inc. | 427 | 89 |
* | Novocure Ltd. | 437 | 89 |
Bruker Corp. | 1,265 | 88 | |
* | Crinetics Pharmaceuticals Inc. | 4,995 | 88 |
* | Rubius Therapeutics Inc. | 3,568 | 87 |
* | AngioDynamics Inc. | 3,698 | 85 |
* | Repro-Med Systems Inc. | 19,589 | 84 |
* | Syneos Health Inc. | 941 | 83 |
Chemed Corp. | 168 | 82 | |
* | Veeva Systems Inc. Class A | 279 | 81 |
* | Catalent Inc. | 738 | 77 |
* | Magenta Therapeutics Inc. | 6,132 | 76 |
* | Phathom Pharmaceuticals Inc. | 2,143 | 76 |
* | Charles River Laboratories International Inc. | 221 | 75 |
* | Vertex Pharmaceuticals Inc. | 359 | 75 |
Shares | Market Value• ($000) | ||
* | Triple-S Management Corp. Class B | 2,861 | 72 |
* | BeyondSpring Inc. | 6,875 | 71 |
* | Globus Medical Inc. Class A | 952 | 69 |
* | FibroGen Inc. | 3,132 | 67 |
* | Boston Scientific Corp. | 1,560 | 66 |
* | Durect Corp. | 39,902 | 66 |
* | Morphic Holding Inc. | 1,333 | 66 |
* | Rocket Pharmaceuticals Inc. | 1,526 | 65 |
* | Affimed NV | 7,278 | 65 |
Computer Programs and Systems Inc. | 1,965 | 64 | |
Ensign Group Inc. | 771 | 64 | |
* | Ultragenyx Pharmaceutical Inc. | 629 | 64 |
* | Stoke Therapeutics Inc. | 1,595 | 63 |
* | Applied Therapeutics Inc. | 3,201 | 62 |
* | Hanger Inc. | 2,374 | 61 |
* | RadNet Inc. | 2,177 | 58 |
* | SI-BONE Inc. | 1,935 | 58 |
* | Adaptive Biotechnologies Corp. | 1,466 | 55 |
* | Joint Corp. | 774 | 55 |
* | ANI Pharmaceuticals Inc. | 1,594 | 55 |
* | Pulse Biosciences Inc. | 3,066 | 55 |
* | CorVel Corp. | 431 | 54 |
* | ModivCare Inc. | 369 | 54 |
* | HealthStream Inc. | 2,012 | 53 |
* | Surgery Partners Inc. | 867 | 51 |
* | Option Care Health Inc. | 2,757 | 51 |
* | PTC Therapeutics Inc. | 1,243 | 49 |
* | UNITY Biotechnology Inc. | 10,445 | 47 |
* | Arcutis Biotherapeutics Inc. | 1,740 | 46 |
* | Accelerate Diagnostics Inc. | 5,935 | 45 |
LeMaitre Vascular Inc. | 870 | 45 | |
* | Surmodics Inc. | 844 | 45 |
* | Insmed Inc. | 1,746 | 43 |
* | iCAD Inc. | 2,598 | 43 |
* | Alphatec Holdings Inc. | 2,905 | 42 |
* | NGM Biopharmaceuticals Inc. | 2,801 | 42 |
* | Alnylam Pharmaceuticals Inc. | 287 | 41 |
* | Blueprint Medicines Corp. | 445 | 41 |
* | Heska Corp. | 201 | 40 |
* | Atreca Inc. Class A | 4,408 | 40 |
Anthem Inc. | 98 | 39 | |
* | Voyager Therapeutics Inc. | 9,184 | 39 |
* | 89bio Inc. | 2,089 | 39 |
* | Denali Therapeutics Inc. | 600 | 38 |
* | MEI Pharma Inc. | 13,125 | 38 |
* | Quanterix Corp. | 740 | 38 |
* | Relmada Therapeutics Inc. | 1,095 | 38 |
* | Liquidia Corp. | 12,683 | 38 |
* | BioLife Solutions Inc. | 1,121 | 37 |
* | Invacare Corp. | 4,645 | 37 |
* | TransMedics Group Inc. | 1,440 | 37 |
* | Neoleukin Therapeutics Inc. | 3,691 | 37 |
* | Inovalon Holdings Inc. Class A | 1,135 | 36 |
Phibro Animal Health Corp. Class A | 1,278 | 36 | |
* | SpringWorks Therapeutics Inc. | 446 | 36 |
Shares | Market Value• ($000) | ||
* | Passage Bio Inc. | 2,723 | 36 |
* | Neubase Therapeutics Inc. | 6,982 | 36 |
* | Fortress Biotech Inc. | 8,817 | 35 |
* | Geron Corp. (XNGS) | 25,120 | 35 |
* | ORIC Pharmaceuticals Inc. | 1,512 | 35 |
* | Paratek Pharmaceuticals Inc. | 4,118 | 34 |
* | Replimune Group Inc. | 878 | 34 |
* | Aspira Women's Health Inc. | 6,178 | 34 |
* | Viemed Healthcare Inc. | 4,342 | 34 |
* | Molecular Templates Inc. | 3,735 | 33 |
* | Omnicell Inc. | 233 | 32 |
* | OrthoPediatrics Corp. | 564 | 32 |
* | Harpoon Therapeutics Inc. | 1,578 | 32 |
* | Rapt Therapeutics Inc. | 1,654 | 32 |
* | GlycoMimetics Inc. | 12,009 | 31 |
* | Akero Therapeutics Inc. | 1,130 | 30 |
* | MannKind Corp. | 6,682 | 29 |
* | UroGen Pharma Ltd. | 1,634 | 29 |
* | Antares Pharma Inc. | 7,030 | 28 |
Encompass Health Corp. | 328 | 28 | |
* | Sientra Inc. | 3,975 | 28 |
* | Natera Inc. | 287 | 27 |
* | Ideaya Biosciences Inc. | 1,279 | 26 |
* | Calithera Biosciences Inc. | 9,937 | 23 |
* | CytomX Therapeutics Inc. | 3,188 | 23 |
* | Ocular Therapeutix Inc. | 1,564 | 23 |
* | Quotient Ltd. | 5,580 | 23 |
* | Adamas Pharmaceuticals Inc. | 3,984 | 22 |
* | Cutera Inc. | 567 | 22 |
Hill-Rom Holdings Inc. | 199 | 22 | |
* | NeoGenomics Inc. | 527 | 22 |
* | Acadia Healthcare Co. Inc. | 331 | 21 |
* | AcelRx Pharmaceuticals Inc. | 14,365 | 20 |
* | Amicus Therapeutics Inc. | 2,010 | 19 |
Atrion Corp. | 31 | 19 | |
* | Avrobio Inc. | 2,043 | 18 |
* | Rigel Pharmaceuticals Inc. | 4,831 | 18 |
* | Y-mAbs Therapeutics Inc. | 499 | 18 |
* | Organogenesis Holdings Inc. Class A | 1,023 | 18 |
* | Arcus Biosciences Inc. | 697 | 17 |
* | CytoSorbents Corp. | 2,132 | 17 |
* | Checkpoint Therapeutics Inc. | 6,071 | 16 |
* | Lannett Co. Inc. | 3,775 | 16 |
* | XBiotech Inc. | 946 | 16 |
* | Pennant Group Inc. | 474 | 16 |
* | IntriCon Corp. | 684 | 15 |
* | Oncocyte Corp. | 3,366 | 15 |
*,2 | PDL BioPharma Inc. | 6,046 | 15 |
* | Accuray Inc. | 3,211 | 14 |
* | Amphastar Pharmaceuticals Inc. | 686 | 13 |
* | ViewRay Inc. | 2,229 | 13 |
* | Meridian Bioscience Inc. | 604 | 12 |
PerkinElmer Inc. | 80 | 12 | |
* | Kura Oncology Inc. | 496 | 11 |
Perrigo Co. plc | 242 | 11 |
Shares | Market Value• ($000) | ||
* | Spero Therapeutics Inc. | 752 | 11 |
* | Abeona Therapeutics Inc. | 5,966 | 10 |
* | LHC Group Inc. | 50 | 10 |
* | Black Diamond Therapeutics Inc. | 753 | 10 |
* | Keros Therapeutics Inc. | 187 | 10 |
* | Chimerix Inc. | 1,183 | 9 |
* | Chinook Therapeutics Inc. | 573 | 9 |
9,637 | |||
Industrials (22.7%) | |||
Illinois Tool Works Inc. | 2,899 | 672 | |
Capital One Financial Corp. | 2,580 | 415 | |
General Dynamics Corp. | 2,150 | 408 | |
Eaton Corp. plc | 2,587 | 376 | |
Emerson Electric Co. | 3,866 | 370 | |
Norfolk Southern Corp. | 888 | 249 | |
Sonoco Products Co. | 3,369 | 227 | |
Trane Technologies plc | 1,174 | 219 | |
Automatic Data Processing Inc. | 1,100 | 216 | |
Deere & Co. | 504 | 182 | |
Accenture plc Class A | 613 | 173 | |
CSX Corp. | 1,563 | 156 | |
Donaldson Co. Inc. | 2,461 | 152 | |
MSA Safety Inc. | 892 | 150 | |
AptarGroup Inc. | 989 | 146 | |
Johnson Controls International plc | 2,065 | 137 | |
Exponent Inc. | 1,492 | 136 | |
HEICO Corp. Class A | 1,011 | 134 | |
nVent Electric plc | 3,841 | 125 | |
Helios Technologies Inc. | 1,567 | 111 | |
* | Cornerstone Building Brands Inc. | 6,196 | 105 |
BWX Technologies Inc. | 1,649 | 103 | |
ArcBest Corp. | 1,252 | 97 | |
* | Donnelley Financial Solutions Inc. | 3,250 | 97 |
Lincoln Electric Holdings Inc. | 734 | 94 | |
TTEC Holdings Inc. | 869 | 94 | |
Nordson Corp. | 413 | 92 | |
L3Harris Technologies Inc. | 412 | 90 | |
Maximus Inc. | 973 | 90 | |
AGCO Corp. | 642 | 89 | |
Littelfuse Inc. | 335 | 88 | |
Resources Connection Inc. | 6,049 | 88 | |
* | ASGN Inc. | 842 | 87 |
* | Cross Country Healthcare Inc. | 5,521 | 86 |
John Bean Technologies Corp. | 599 | 86 | |
Graco Inc. | 1,127 | 85 | |
Ennis Inc. | 4,030 | 84 | |
Tetra Tech Inc. | 702 | 84 | |
Crane Co. | 859 | 82 | |
* | MYR Group Inc. | 929 | 81 |
* | AECOM | 1,224 | 80 |
* | Herc Holdings Inc. | 696 | 80 |
* | Paylocity Holding Corp. | 465 | 79 |
Regal Beloit Corp. | 558 | 79 | |
Northrop Grumman Corp. | 213 | 78 | |
* | Trimble Inc. | 989 | 77 |
Shares | Market Value• ($000) | ||
Genco Shipping & Trading Ltd. | 4,844 | 77 | |
* | Textainer Group Holdings Ltd. | 2,294 | 77 |
Curtiss-Wright Corp. | 607 | 76 | |
Apogee Enterprises Inc. | 1,969 | 75 | |
* | Blue Bird Corp. | 2,815 | 74 |
* | Covenant Logistics Group Inc. Class A | 3,304 | 74 |
EMCOR Group Inc. | 573 | 72 | |
MKS Instruments Inc. | 384 | 72 | |
* | Mercury Systems Inc. | 1,101 | 72 |
* | Gates Industrial Corp. plc | 3,945 | 72 |
EnerSys | 751 | 71 | |
* | Lydall Inc. | 1,887 | 69 |
* | REV Group Inc. | 3,693 | 69 |
Kronos Worldwide Inc. | 4,199 | 68 | |
* | Teledyne Technologies Inc. | 160 | 67 |
Hyster-Yale Materials Handling Inc. | 844 | 64 | |
* | ShotSpotter Inc. | 1,577 | 64 |
* | ACI Worldwide Inc. | 1,636 | 63 |
RPM International Inc. | 673 | 63 | |
Toro Co. | 544 | 60 | |
CSW Industrials Inc. | 484 | 59 | |
Chase Corp. | 560 | 59 | |
* | DXP Enterprises Inc. | 1,922 | 59 |
Simpson Manufacturing Co. Inc. | 521 | 59 | |
ITT Inc. | 616 | 58 | |
* | Modine Manufacturing Co. | 3,300 | 58 |
Valmont Industries Inc. | 232 | 58 | |
Rexnord Corp. | 1,142 | 57 | |
Cognex Corp. | 708 | 56 | |
* | AerCap Holdings NV | 923 | 54 |
* | Willdan Group Inc. | 1,465 | 53 |
Griffon Corp. | 1,977 | 52 | |
Myers Industries Inc. | 2,305 | 51 | |
* | Sterling Construction Co. Inc. | 2,270 | 51 |
* | Construction Partners Inc. Class A | 1,506 | 49 |
* | Napco Security Technologies Inc. | 1,494 | 49 |
Air Lease Corp. Class A | 1,004 | 47 | |
* | BlueLinx Holdings Inc. | 916 | 46 |
Columbus McKinnon Corp. | 888 | 45 | |
* | Thermon Group Holdings Inc. | 2,592 | 45 |
* | Great Lakes Dredge & Dock Corp. | 2,978 | 44 |
* | CBIZ Inc. | 1,309 | 43 |
Genpact Ltd. | 947 | 43 | |
Encore Wire Corp. | 510 | 42 | |
* | RR Donnelley & Sons Co. | 6,418 | 41 |
* | Sykes Enterprises Inc. | 967 | 41 |
Textron Inc. | 593 | 41 | |
* | International Money Express Inc. | 2,698 | 41 |
Franklin Electric Co. Inc. | 477 | 40 | |
Raven Industries Inc. | 900 | 40 | |
Xylem Inc. | 341 | 40 | |
* | FARO Technologies Inc. | 510 | 39 |
* | Astronics Corp. | 2,253 | 38 |
National Presto Industries Inc. | 376 | 38 | |
* | Sensata Technologies Holding plc | 634 | 38 |
Shares | Market Value• ($000) | ||
* | PAE Inc. | 4,655 | 38 |
CAI International Inc. | 873 | 37 | |
* | Ducommun Inc. | 688 | 37 |
EnPro Industries Inc. | 399 | 37 | |
Quanex Building Products Corp. | 1,398 | 37 | |
Wabash National Corp. | 2,315 | 37 | |
Primoris Services Corp. | 1,118 | 36 | |
* | Vectrus Inc. | 707 | 36 |
Astec Industries Inc. | 507 | 35 | |
Pentair plc | 503 | 35 | |
* | Axon Enterprise Inc. | 245 | 34 |
Marten Transport Ltd. | 1,974 | 34 | |
* | Gibraltar Industries Inc. | 411 | 33 |
Hubbell Inc. Class B | 175 | 33 | |
* | Manitowoc Co. Inc. | 1,277 | 33 |
ManpowerGroup Inc. | 273 | 33 | |
* | U.S. Xpress Enterprises Inc. Class A | 2,935 | 33 |
Kforce Inc. | 515 | 32 | |
International Seaways Inc. | 1,579 | 32 | |
Landstar System Inc. | 179 | 31 | |
* | TriMas Corp. | 958 | 31 |
Tennant Co. | 365 | 30 | |
AAON Inc. | 455 | 30 | |
* | BrightView Holdings Inc. | 1,648 | 29 |
Douglas Dynamics Inc. | 664 | 29 | |
* | Team Inc. | 3,353 | 29 |
Watsco Inc. | 96 | 28 | |
Carlisle Cos. Inc. | 139 | 27 | |
* | Echo Global Logistics Inc. | 798 | 27 |
* | Huron Consulting Group Inc. | 496 | 27 |
McGrath RentCorp. | 315 | 27 | |
Woodward Inc. | 213 | 27 | |
Kadant Inc. | 155 | 26 | |
Eagle Materials Inc. | 168 | 25 | |
ESCO Technologies Inc. | 268 | 25 | |
Standex International Corp. | 254 | 25 | |
* | Kelly Services Inc. Class A | 923 | 24 |
DuPont de Nemours Inc. | 275 | 23 | |
* | ExlService Holdings Inc. | 208 | 21 |
Sealed Air Corp. | 373 | 21 | |
* | Energy Recovery Inc. | 1,054 | 20 |
* | Forrester Research Inc. | 438 | 19 |
* | Franklin Covey Co. | 600 | 19 |
* | I3 Verticals Inc. Class A | 618 | 19 |
Acuity Brands Inc. | 96 | 18 | |
Heidrick & Struggles International Inc. | 409 | 18 | |
Powell Industries Inc. | 523 | 18 | |
* | Air Transport Services Group Inc. | 677 | 17 |
Luxfer Holdings plc | 736 | 17 | |
Insteel Industries Inc. | 471 | 16 | |
Flowserve Corp. | 363 | 15 | |
* | Veritiv Corp. | 251 | 15 |
Advanced Drainage Systems Inc. | 122 | 14 | |
Park Aerospace Corp. | 897 | 14 | |
Eneti Inc. | 691 | 14 |
Shares | Market Value• ($000) | ||
* | CIRCOR International Inc. | 355 | 13 |
Mueller Water Products Inc. Class A | 873 | 13 | |
Sherwin-Williams Co. | 45 | 13 | |
Armstrong World Industries Inc. | 117 | 12 | |
* | Itron Inc. | 121 | 12 |
* | Ranpak Holdings Corp. Class A | 534 | 12 |
* | TopBuild Corp. | 57 | 11 |
* | Orion Energy Systems Inc. | 1,769 | 11 |
Enerpac Tool Group Corp. Class A | 386 | 11 | |
Cummins Inc. | 40 | 10 | |
* | Acacia Research Corp. | 1,736 | 9 |
* | Daseke Inc. | 1,275 | 9 |
11,715 | |||
Real Estate (1.1%) | |||
* | CoStar Group Inc. | 163 | 139 |
* | Cushman & Wakefield plc | 4,727 | 90 |
Newmark Group Inc. Class A | 6,612 | 85 | |
St. Joe Co. | 1,732 | 81 | |
RMR Group Inc. Class A | 1,813 | 71 | |
* | CBRE Group Inc. Class A | 472 | 41 |
* | Marcus & Millichap Inc. | 624 | 25 |
* | Forestar Group Inc. | 936 | 22 |
554 | |||
Technology (9.7%) | |||
Amphenol Corp. Class A | 7,868 | 529 | |
Roper Technologies Inc. | 804 | 362 | |
* | Synopsys Inc. | 1,294 | 329 |
Cognizant Technology Solutions Corp. Class A | 3,673 | 263 | |
* | Cadence Design Systems Inc. | 1,936 | 246 |
* | Novanta Inc. | 1,095 | 152 |
Analog Devices Inc. | 851 | 140 | |
TE Connectivity Ltd. | 942 | 128 | |
Hackett Group Inc. | 5,670 | 101 | |
Dolby Laboratories Inc. Class A | 971 | 95 | |
Pegasystems Inc. | 792 | 94 | |
* | Silicon Laboratories Inc. | 682 | 93 |
* | Manhattan Associates Inc. | 663 | 90 |
* | Avid Technology Inc. | 2,893 | 89 |
National Instruments Corp. | 2,154 | 88 | |
* | Agilysys Inc. | 1,577 | 80 |
American Software Inc. Class A | 3,744 | 75 | |
* | ScanSource Inc. | 2,423 | 74 |
* | Cohu Inc. | 1,910 | 71 |
SYNNEX Corp. | 544 | 69 | |
* | EPAM Systems Inc. | 139 | 66 |
CMC Materials Inc. | 406 | 63 | |
* | Tucows Inc. Class A | 795 | 62 |
* | Envestnet Inc. | 850 | 61 |
QAD Inc. Class A | 852 | 61 | |
Monolithic Power Systems Inc. | 173 | 59 | |
* | PDF Solutions Inc. | 3,181 | 56 |
* | Intelligent Systems Corp. | 1,687 | 55 |
* | Digimarc Corp. | 1,542 | 54 |
CDK Global Inc. | 1,019 | 53 | |
* | Black Knight Inc. | 699 | 51 |
Shares | Market Value• ($000) | ||
PC Connection Inc. | 1,047 | 51 | |
* | Arrow Electronics Inc. | 417 | 50 |
* | NCR Corp. | 1,041 | 50 |
* | CACI International Inc. Class A | 187 | 48 |
* | Axcelis Technologies Inc. | 1,136 | 47 |
CTS Corp. | 1,216 | 47 | |
* | Ceridian HCM Holding Inc. | 524 | 47 |
* | CEVA Inc. | 1,006 | 45 |
* | Semtech Corp. | 706 | 45 |
* | A10 Networks Inc. | 4,542 | 44 |
* | OneSpan Inc. | 1,662 | 43 |
Amkor Technology Inc. | 1,973 | 42 | |
Power Integrations Inc. | 474 | 39 | |
Science Applications International Corp. | 434 | 39 | |
* | DSP Group Inc. | 2,253 | 35 |
Jabil Inc. | 623 | 35 | |
* | MaxLinear Inc. | 908 | 35 |
Brooks Automation Inc. | 333 | 34 | |
* | Veeco Instruments Inc. | 1,430 | 34 |
Advanced Energy Industries Inc. | 300 | 31 | |
Simulations Plus Inc. | 585 | 31 | |
KLA Corp. | 96 | 30 | |
* | Qualys Inc. | 292 | 28 |
* | comScore Inc. | 6,758 | 27 |
Entegris Inc. | 215 | 25 | |
* | Mitek Systems Inc. | 1,431 | 24 |
* | Photronics Inc. | 1,798 | 24 |
* | IPG Photonics Corp. | 108 | 23 |
Methode Electronics Inc. | 482 | 23 | |
Intuit Inc. | 50 | 22 | |
* | eGain Corp. | 2,080 | 21 |
* | nLight Inc. | 698 | 21 |
* | Verint Systems Inc. | 421 | 19 |
* | ePlus Inc. | 169 | 16 |
* | FormFactor Inc. | 445 | 16 |
* | Aspen Technology Inc. | 90 | 12 |
5,012 | |||
Telecommunications (2.4%) | |||
* | Liberty Broadband Corp. Class A | 1,230 | 199 |
ATN International Inc. | 2,699 | 128 | |
* | Consolidated Communications Holdings Inc. | 7,903 | 74 |
Loral Space & Communications Inc. | 1,783 | 68 | |
* | Iridium Communications Inc. | 1,719 | 66 |
* | Liberty Broadband Corp. Class C | 395 | 66 |
* | WideOpenWest Inc. | 3,888 | 65 |
* | Ribbon Communications Inc. | 7,867 | 59 |
* | Casa Systems Inc. | 6,186 | 54 |
* | Ooma Inc. | 2,583 | 50 |
Cable One Inc. | 26 | 47 | |
* | Liberty Latin America Ltd. Class A | 3,174 | 45 |
* | Harmonic Inc. | 6,088 | 42 |
ADTRAN Inc. | 2,093 | 41 | |
* | CalAmp Corp. | 2,805 | 39 |
* | Digi International Inc. | 1,993 | 38 |
* | Clearfield Inc. | 963 | 36 |
Shares | Market Value• ($000) | ||
Ubiquiti Inc. | 109 | 33 | |
* | U.S. Cellular Corp. | 669 | 25 |
Shenandoah Telecommunications Co. | 403 | 20 | |
* | Cambium Networks Corp. | 229 | 13 |
1,208 | |||
Utilities (1.3%) | |||
Waste Management Inc. | 3,653 | 514 | |
* | Stericycle Inc. | 1,042 | 82 |
* | Clean Harbors Inc. | 573 | 53 |
649 | |||
Total Common Stocks (Cost $37,901) | 51,357 | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
3 | Vanguard Market Liquidity Fund 0.055% (Cost $154) | 1,538 | 154 |
Total Investments (99.9%) (Cost $38,055) | 51,511 | ||
Other Assets and Liabilities— Net (0.1%) | 64 | ||
Net Assets (100%) | 51,575 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Restricted securities totaling $4,000, representing 0.0% of net assets. |
2 | Security value determined using significant unobservable inputs. |
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. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Micro E-mini S&P 500 Index | June 2021 | 7 | 147 | 1 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $37,901) | 51,357 |
Affiliated Issuers (Cost $154) | 154 |
Total Investments in Securities | 51,511 |
Investment in Vanguard | 2 |
Cash Collateral Pledged—Futures Contracts | 10 |
Receivables for Accrued Income | 65 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 51,588 |
Liabilities | |
Payables for Investment Securities Purchased | 11 |
Payables to Vanguard | 2 |
Total Liabilities | 13 |
Net Assets | 51,575 |
At May 31, 2021, net assets consisted of: | |
Paid-in Capital | 39,085 |
Total Distributable Earnings (Loss) | 12,490 |
Net Assets | 51,575 |
Net Assets | |
Applicable to 465,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 51,575 |
Net Asset Value Per Share | $110.91 |
Six Months Ended May 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 332 |
Interest1 | — |
Total Income | 332 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 27 |
Marketing and Distribution | — |
Custodian Fees | 4 |
Shareholders’ Reports | — |
Trustees’ Fees and Expenses | — |
Total Expenses | 31 |
Net Investment Income | 301 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 1,494 |
Futures Contracts | 28 |
Realized Net Gain (Loss) | 1,522 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 8,445 |
Futures Contracts | (11) |
Change in Unrealized Appreciation (Depreciation) | 8,434 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,257 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $337,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 301 | 688 | |
Realized Net Gain (Loss) | 1,522 | (1,914) | |
Change in Unrealized Appreciation (Depreciation) | 8,434 | 2,528 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,257 | 1,302 | |
Distributions | |||
Total Distributions | (370) | (690) | |
Capital Share Transactions | |||
Issued | 4,224 | 2,195 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (2,730) | (3,670) | |
Net Increase (Decrease) from Capital Share Transactions | 1,494 | (1,475) | |
Total Increase (Decrease) | 11,381 | (863) | |
Net Assets | |||
Beginning of Period | 40,194 | 41,057 | |
End of Period | 51,575 | 40,194 |
For a Share Outstanding Throughout Each Period | Six Months, Ended May 31, 2021 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $89.32 | $86.44 | $78.25 | $75.00 |
Investment Operations | ||||
Net Investment Income2 | .653 | 1.436 | 1.310 | 1.010 |
Net Realized and Unrealized Gain (Loss) on Investments | 21.743 | 2.882 | 8.047 | 2.834 |
Total from Investment Operations | 22.396 | 4.318 | 9.357 | 3.844 |
Distributions | ||||
Dividends from Net Investment Income | (.806) | (1.438) | (1.167) | (.594) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.806) | (1.438) | (1.167) | (.594) |
Net Asset Value, End of Period | $110.91 | $89.32 | $86.44 | $78.25 |
Total Return | 25.20% | 5.38% | 12.14% | 5.09% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $52 | $40 | $41 | $16 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.14%3 | 0.13%4,5 |
Ratio of Net Investment Income to Average Net Assets | 1.15% | 1.83% | 1.62% | 1.58%4 |
Portfolio Turnover Rate | 36%6 | 54%6 | 49% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.13%. |
4 | Annualized. |
5 | The ratio of total expenses to average net assets before an expense reduction of 0.02% was 0.15%. The fund incurred higher than anticipated expenses, in which Vanguard voluntarily agreed to assume payment of certain expenses. The fund is not obligated to repay this amount to Vanguard. |
6 | 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. |
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. |
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 and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 51,338 | 4 | 15 | 51,357 |
Temporary Cash Investments | 154 | — | — | 154 |
Total | 51,492 | 4 | 15 | 51,511 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1 | — | — | 1 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of May 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 38,055 |
Gross Unrealized Appreciation | 13,953 |
Gross Unrealized Depreciation | (496) |
Net Unrealized Appreciation (Depreciation) | 13,457 |
E. | During the six months ended May 31, 2021, the fund purchased $19,355,000 of investment securities and sold $17,855,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $1,081,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital shares issued and redeemed were: |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 40 | 25 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (25) | (50) | |
Net Increase (Decrease) in Shares Outstanding | 15 | (25) |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 2.5% |
Consumer Discretionary | 14.5 |
Consumer Staples | 7.1 |
Energy | 0.2 |
Financials | 8.4 |
Health Care | 17.4 |
Industrials | 11.5 |
Real Estate | 1.5 |
Technology | 20.2 |
Telecommunications | 8.2 |
Utilities | 8.5 |
Shares | Market Value• ($000) | ||
Common Stocks (99.3%) | |||
Basic Materials (2.4%) | |||
Newmont Corp. | 9,650 | 709 | |
Fastenal Co. | 4,610 | 245 | |
Royal Gold Inc. | 943 | 117 | |
Balchem Corp. | 835 | 109 | |
1,180 | |||
Consumer Discretionary (14.4%) | |||
Electronic Arts Inc. | 5,073 | 725 | |
Dollar General Corp. | 3,557 | 722 | |
Activision Blizzard Inc. | 7,202 | 700 | |
Walmart Inc. | 4,569 | 649 | |
* | Amazon.com Inc. | 201 | 648 |
Costco Wholesale Corp. | 1,648 | 623 | |
Service Corp. International | 10,758 | 570 | |
* | Dollar Tree Inc. | 5,698 | 556 |
* | Take-Two Interactive Software Inc. | 2,892 | 537 |
Domino's Pizza Inc. | 1,148 | 490 | |
* | Terminix Global Holdings Inc. | 8,240 | 407 |
Target Corp. | 1,000 | 227 | |
Murphy USA Inc. | 840 | 113 | |
6,967 | |||
Consumer Staples (7.1%) | |||
Procter & Gamble Co. | 4,930 | 665 | |
Flowers Foods Inc. | 26,353 | 635 | |
Hormel Foods Corp. | 13,038 | 633 | |
Colgate-Palmolive Co. | 5,013 | 420 | |
Hershey Co. | 1,789 | 310 | |
Church & Dwight Co. Inc. | 3,092 | 265 | |
John B Sanfilippo & Son Inc. | 1,824 | 170 | |
Weis Markets Inc. | 2,010 | 102 | |
Clorox Co. | 447 | 79 | |
Lancaster Colony Corp. | 403 | 75 | |
Tootsie Roll Industries Inc. | 1,850 | 58 | |
3,412 | |||
Energy (0.2%) | |||
* | Cheniere Energy Inc. | 1,037 | 88 |
Shares | Market Value• ($000) | ||
Financials (8.3%) | |||
Houlihan Lokey Inc. Class A | 8,842 | 662 | |
Marsh & McLennan Cos. Inc. | 4,549 | 629 | |
Broadridge Financial Solutions Inc. | 3,293 | 525 | |
CME Group Inc. | 1,969 | 431 | |
* | Columbia Financial Inc. | 22,922 | 407 |
Westamerica BanCorp. | 6,132 | 385 | |
Harbornone Bancorp Inc. | 13,293 | 198 | |
Erie Indemnity Co. Class A | 731 | 147 | |
Arthur J Gallagher & Co. | 966 | 142 | |
Waterstone Financial Inc. | 6,639 | 131 | |
Park National Corp. | 943 | 119 | |
Bank First Corp. | 1,277 | 91 | |
AMERISAFE Inc. | 1,238 | 81 | |
Eastern Bankshares Inc. | 1,937 | 43 | |
Intercontinental Exchange Inc. | 316 | 36 | |
Lakeland Financial Corp. | 210 | 13 | |
4,040 | |||
Health Care (17.3%) | |||
* | HealthStream Inc. | 27,812 | 728 |
Johnson & Johnson | 4,190 | 709 | |
Eli Lilly & Co. | 3,495 | 698 | |
Merck & Co. Inc. | 9,152 | 695 | |
Gilead Sciences Inc. | 10,356 | 685 | |
Amgen Inc. | 2,840 | 676 | |
Baxter International Inc. | 7,645 | 628 | |
Danaher Corp. | 2,286 | 586 | |
* | Regeneron Pharmaceuticals Inc. | 1,049 | 527 |
Cerner Corp. | 6,229 | 487 | |
* | Enanta Pharmaceuticals Inc. | 9,479 | 461 |
Pfizer Inc. | 11,173 | 433 | |
* | Veeva Systems Inc. Class A | 821 | 239 |
Bristol-Myers Squibb Co. | 3,218 | 211 | |
Becton Dickinson and Co. | 697 | 169 | |
Atrion Corp. | 249 | 155 | |
Zoetis Inc. | 505 | 89 | |
* | Seagen Inc. | 239 | 37 |
* | Amphastar Pharmaceuticals Inc. | 1,855 | 35 |
* | Corcept Therapeutics Inc. | 1,510 | 33 |
* | Vertex Pharmaceuticals Inc. | 126 | 26 |
* | Akero Therapeutics Inc. | 994 | 26 |
Viatris Inc. | 1,404 | 21 | |
8,354 | |||
Industrials (11.5%) | |||
Expeditors International of Washington Inc. | 6,580 | 827 | |
* | Navistar International Corp. | 16,287 | 720 |
Landstar System Inc. | 4,180 | 713 | |
Macquarie Infrastructure Corp. | 16,330 | 570 | |
Accenture plc Class A | 1,655 | 467 | |
Maximus Inc. | 4,429 | 410 | |
CH Robinson Worldwide Inc. | 3,777 | 366 | |
Jack Henry & Associates Inc. | 2,090 | 322 | |
Illinois Tool Works Inc. | 1,304 | 302 | |
Graco Inc. | 3,829 | 290 | |
Heartland Express Inc. | 14,417 | 262 |
Shares | Market Value• ($000) | ||
AptarGroup Inc. | 923 | 136 | |
Toro Co. | 1,115 | 124 | |
Lindsay Corp. | 205 | 34 | |
5,543 | |||
Real Estate (1.5%) | |||
Equity Commonwealth | 25,963 | 712 | |
Technology (20.0%) | |||
* | Alphabet Inc. Class A | 342 | 806 |
Oracle Corp. | 10,200 | 803 | |
Texas Instruments Inc. | 3,961 | 752 | |
* | Adobe Inc. | 1,486 | 750 |
Microsoft Corp. | 2,936 | 733 | |
Apple Inc. | 5,211 | 649 | |
* | Tyler Technologies Inc. | 1,598 | 644 |
* | Cadence Design Systems Inc. | 4,211 | 535 |
Citrix Systems Inc. | 4,317 | 496 | |
Shutterstock Inc. | 5,295 | 480 | |
* | Black Knight Inc. | 5,361 | 393 |
Intuit Inc. | 874 | 384 | |
* | Altair Engineering Inc. Class A | 5,606 | 378 |
* | Facebook Inc. Class A | 1,101 | 362 |
Amdocs Ltd. | 4,474 | 349 | |
* | Super Micro Computer Inc. | 10,011 | 348 |
* | Zscaler Inc. | 1,158 | 225 |
* | Slack Technologies Inc. Class A | 3,852 | 170 |
Analog Devices Inc. | 633 | 104 | |
Dolby Laboratories Inc. Class A | 901 | 88 | |
* | Cognyte Software Ltd. | 2,462 | 63 |
American Software Inc. Class A | 2,615 | 53 | |
* | EverQuote Inc. Class A | 1,544 | 49 |
NortonLifeLock Inc. | 1,710 | 47 | |
* | Vimeo Inc. | 547 | 23 |
* | Verint Systems Inc. | 242 | 11 |
* | MicroStrategy Inc. Class A | 10 | 5 |
9,700 | |||
Telecommunications (8.2%) | |||
Verizon Communications Inc. | 12,845 | 726 | |
Shenandoah Telecommunications Co. | 12,521 | 625 | |
AT&T Inc. | 15,176 | 447 | |
Cable One Inc. | 231 | 419 | |
* | Cincinnati Bell Inc. | 26,314 | 405 |
* | T-Mobile US Inc. | 2,828 | 400 |
* | Charter Communications Inc. Class A | 407 | 283 |
* | Liberty Broadband Corp. Class A | 1,379 | 223 |
Cisco Systems Inc. | 4,036 | 214 | |
* | Liberty Broadband Corp. Class C | 709 | 118 |
Spok Holdings Inc. | 5,350 | 62 | |
ATN International Inc. | 482 | 23 | |
Motorola Solutions Inc. | 85 | 17 | |
* | Anterix Inc. | 41 | 2 |
3,964 | |||
Utilities (8.4%) | |||
Republic Services Inc. Class A | 6,876 | 751 | |
WEC Energy Group Inc. | 7,825 | 735 |
Shares | Market Value• ($000) | ||
American Water Works Co. Inc. | 3,359 | 521 | |
Duke Energy Corp. | 5,117 | 513 | |
Waste Management Inc. | 1,842 | 259 | |
PNM Resources Inc. | 4,926 | 242 | |
*,1 | Cadiz Inc. | 14,137 | 194 |
American States Water Co. | 2,024 | 161 | |
CMS Energy Corp. | 2,497 | 157 | |
Eversource Energy | 1,412 | 114 | |
Xcel Energy Inc. | 1,602 | 113 | |
NextEra Energy Inc. | 1,452 | 106 | |
SJW Group | 1,412 | 91 | |
Ameren Corp. | 828 | 70 | |
Dominion Energy Inc. | 618 | 47 | |
4,074 | |||
Total Common Stocks (Cost $41,254) | 48,034 | ||
Temporary Cash Investments (0.9%) | |||
Money Market Fund (0.9%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.055% (Cost $452) | 4,518 | 452 |
Total Investments (100.2%) (Cost $41,706) | 48,486 | ||
Other Assets and Liabilities— Net (-0.2%) | (94) | ||
Net Assets (100%) | 48,392 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $160,000. |
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 | Collateral of $162,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | June 2021 | 1 | 210 | 12 |
Micro E-mini S&P 500 Index | June 2021 | 3 | 63 | 4 |
16 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $41,254) | 48,034 |
Affiliated Issuers (Cost $452) | 452 |
Total Investments in Securities | 48,486 |
Investment in Vanguard | 2 |
Cash Collateral Pledged—Futures Contracts | 24 |
Receivables for Investment Securities Sold | 2,381 |
Receivables for Accrued Income | 49 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 50,942 |
Liabilities | |
Due to Custodian | 3 |
Payables for Investment Securities Purchased | 2,382 |
Collateral for Securities on Loan | 162 |
Payables to Vanguard | 3 |
Total Liabilities | 2,550 |
Net Assets | 48,392 |
At May 31, 2021, net assets consisted of: | |
Paid-in Capital | 47,582 |
Total Distributable Earnings (Loss) | 810 |
Net Assets | 48,392 |
Net Assets | |
Applicable to 500,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 48,392 |
Net Asset Value Per Share | $96.78 |
Six Months Ended May 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 169 |
Interest1 | — |
Securities Lending—Net | — |
Total Income | 169 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 26 |
Marketing and Distribution | — |
Custodian Fees | 4 |
Shareholders’ Reports | 2 |
Trustees’ Fees and Expenses | — |
Total Expenses | 32 |
Net Investment Income | 137 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 5,302 |
Futures Contracts | 33 |
Realized Net Gain (Loss) | 5,335 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 462 |
Futures Contracts | 2 |
Change in Unrealized Appreciation (Depreciation) | 464 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,936 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $2,903,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 137 | 1,847 | |
Realized Net Gain (Loss) | 5,335 | (7,471) | |
Change in Unrealized Appreciation (Depreciation) | 464 | 688 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,936 | (4,936) | |
Distributions | |||
Total Distributions | (520) | (2,094) | |
Capital Share Transactions | |||
Issued | 1,451 | 29,188 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (15,077) | (56,656) | |
Net Increase (Decrease) from Capital Share Transactions | (13,626) | (27,468) | |
Total Increase (Decrease) | (8,210) | (34,498) | |
Net Assets | |||
Beginning of Period | 56,602 | 91,100 | |
End of Period | 48,392 | 56,602 |
For a Share Outstanding Throughout Each Period | Six Months, Ended May 31, 2021 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $87.08 | $91.10 | $81.69 | $75.00 |
Investment Operations | ||||
Net Investment Income2 | .250 | 1.779 | 2.632 | 1.887 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.302 | (3.776) | 8.996 | 5.677 |
Total from Investment Operations | 10.552 | (1.997) | 11.628 | 7.564 |
Distributions | ||||
Dividends from Net Investment Income | (.852) | (2.023) | (2.218) | (.874) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.852) | (2.023) | (2.218) | (.874) |
Net Asset Value, End of Period | $96.78 | $87.08 | $91.10 | $81.69 |
Total Return | 12.20% | -1.99% | 14.58% | 10.07% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $48 | $57 | $91 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 0.44% | 2.14% | 3.05% | 2.90%3 |
Portfolio Turnover Rate | 26%4 | 83%4 | 23% | 5% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
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. |
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. |
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 and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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. |
D. | As of May 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 41,706 |
Gross Unrealized Appreciation | 7,286 |
Gross Unrealized Depreciation | (490) |
Net Unrealized Appreciation (Depreciation) | 6,796 |
E. | During the six months ended May 31, 2021, the fund purchased $14,230,000 of investment securities and sold $27,918,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $15,054,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 15 | 350 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (165) | (700) | |
Net Increase (Decrease) in Shares Outstanding | (150) | (350) |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 5.1% |
Consumer Discretionary | 24.2 |
Consumer Staples | 1.6 |
Energy | 3.0 |
Financials | 18.9 |
Health Care | 13.1 |
Industrials | 18.9 |
Real Estate | 0.6 |
Technology | 13.1 |
Telecommunications | 1.4 |
Utilities | 0.1 |
Shares | Market Value• ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (5.0%) | |||
Freeport-McMoRan Inc. | 20,184 | 862 | |
Southern Copper Corp. | 5,507 | 384 | |
Westlake Chemical Corp. | 3,209 | 324 | |
Dow Inc. | 4,717 | 323 | |
Steel Dynamics Inc. | 4,762 | 297 | |
Worthington Industries Inc. | 3,417 | 227 | |
Timken Co. | 2,449 | 217 | |
Chemours Co. | 5,848 | 210 | |
* | Cleveland-Cliffs Inc. | 8,650 | 174 |
* | Amyris Inc. | 11,959 | 170 |
Nucor Corp. | 1,510 | 155 | |
Mosaic Co. | 4,143 | 150 | |
* | Energy Fuels Inc. | 21,320 | 138 |
Schnitzer Steel Industries Inc. Class A | 2,529 | 138 | |
Tronox Holdings plc Class A | 5,837 | 137 | |
Eastman Chemical Co. | 1,014 | 127 | |
Hecla Mining Co. | 12,911 | 116 | |
Olin Corp. | 2,241 | 110 | |
* | Intrepid Potash Inc. | 3,655 | 105 |
* | Uranium Energy Corp. | 33,250 | 104 |
* | TimkenSteel Corp. | 6,700 | 101 |
* | Rayonier Advanced Materials Inc. | 11,280 | 87 |
Trinseo SA | 1,317 | 85 | |
* | U.S. Silica Holdings Inc. | 8,080 | 83 |
Scotts Miracle-Gro Co. | 361 | 78 | |
U.S. Steel Corp. | 2,970 | 77 | |
Albemarle Corp. | 420 | 70 | |
Celanese Corp. Class A | 367 | 61 | |
* | Century Aluminum Co. | 4,383 | 60 |
* | Kraton Corp. | 1,741 | 59 |
* | Livent Corp. | 1,494 | 29 |
* | Coeur Mining Inc. | 1,975 | 21 |
5,279 | |||
Consumer Discretionary (24.1%) | |||
* | Tesla Inc. | 1,509 | 943 |
* | Ford Motor Co. | 64,359 | 935 |
Target Corp. | 3,870 | 878 | |
* | General Motors Co. | 13,747 | 815 |
Lowe's Cos. Inc. | 2,457 | 479 | |
* | Caesars Entertainment Inc. | 4,229 | 454 |
* | Capri Holdings Ltd. | 7,756 | 440 |
ViacomCBS Inc. Class B | 8,808 | 374 | |
* | Scientific Games Corp. Class A | 5,146 | 373 |
Estee Lauder Cos. Inc. Class A | 1,099 | 337 | |
Gap Inc. | 9,572 | 320 | |
Kohl's Corp. | 5,746 | 319 |
Shares | Market Value• ($000) | ||
* | L Brands Inc. | 4,496 | 314 |
AMERCO | 545 | 313 | |
News Corp. Class A | 11,488 | 310 | |
* | Discovery Inc. Class A | 9,630 | 309 |
Travel + Leisure Co. | 4,721 | 308 | |
RCI Hospitality Holdings Inc. | 3,578 | 277 | |
* | Tapestry Inc. | 5,809 | 261 |
* | Walt Disney Co. | 1,458 | 260 |
Activision Blizzard Inc. | 2,499 | 243 | |
* | Liquidity Services Inc. | 10,034 | 240 |
* | Golden Entertainment Inc. | 5,321 | 227 |
Lear Corp. | 1,122 | 217 | |
* | Uber Technologies Inc. | 4,254 | 216 |
* | Avis Budget Group Inc. | 2,401 | 211 |
* | Chico's FAS Inc. | 45,072 | 210 |
* | AutoNation Inc. | 1,974 | 202 |
* | Penn National Gaming Inc. | 2,469 | 202 |
* | Carvana Co. Class A | 756 | 200 |
* | RH | 310 | 199 |
Qurate Retail Inc. Series A | 14,530 | 198 | |
* | Lovesac Co. | 2,307 | 192 |
* | Crocs Inc. | 1,865 | 189 |
* | Etsy Inc. | 1,144 | 188 |
Williams-Sonoma Inc. | 1,067 | 181 | |
* | Signet Jewelers Ltd. | 2,889 | 175 |
* | Houghton Mifflin Harcourt Co. | 17,345 | 172 |
* | Macy's Inc. | 9,387 | 172 |
* | Discovery Inc. Class C | 5,681 | 171 |
* | Gannett Co. Inc. | 33,122 | 170 |
* | Citi Trends Inc. | 1,954 | 163 |
* | American Airlines Group Inc. | 6,696 | 162 |
eBay Inc. | 2,666 | 162 | |
MGM Resorts International | 3,756 | 161 | |
Dollar General Corp. | 758 | 154 | |
* | Fossil Group Inc. | 10,362 | 146 |
* | Bed Bath & Beyond Inc. | 4,988 | 140 |
Tempur Sealy International Inc. | 3,549 | 137 | |
* | Genesco Inc. | 2,481 | 136 |
* | Allegiant Travel Co. | 608 | 135 |
Dillard's Inc. Class A | 1,019 | 134 | |
* | SiteOne Landscape Supply Inc. | 779 | 134 |
Guess? Inc. | 4,497 | 132 | |
* | Container Store Group Inc. | 9,652 | 131 |
Lithia Motors Inc. Class A | 372 | 131 | |
* | BJ's Restaurants Inc. | 2,341 | 129 |
Caleres Inc. | 5,095 | 128 | |
* | Funko Inc. Class A | 4,863 | 128 |
Churchill Downs Inc. | 628 | 125 | |
* | Red Rock Resorts Inc. Class A | 2,787 | 125 |
Dick's Sporting Goods Inc. | 1,264 | 123 | |
Foot Locker Inc. | 1,943 | 123 | |
* | Trade Desk Inc. Class A | 209 | 123 |
* | Expedia Group Inc. | 690 | 122 |
* | YETI Holdings Inc. | 1,396 | 122 |
* | iHeartMedia Inc. Class A | 5,274 | 122 |
* | Chipotle Mexican Grill Inc. Class A | 88 | 121 |
* | Dave & Buster's Entertainment Inc. | 2,850 | 120 |
* | SeaWorld Entertainment Inc. | 2,208 | 120 |
* | XPEL Inc. | 1,462 | 120 |
* | G-III Apparel Group Ltd. | 3,582 | 118 |
Haverty Furniture Cos. Inc. | 2,503 | 115 | |
* | Hibbett Sports Inc. | 1,352 | 115 |
Kontoor Brands Inc. | 1,798 | 115 | |
* | Century Communities Inc. | 1,403 | 114 |
* | Deckers Outdoor Corp. | 339 | 114 |
* | Brinker International Inc. | 1,833 | 113 |
* | Spirit Airlines Inc. | 3,059 | 109 |
Shares | Market Value• ($000) | ||
American Eagle Outfitters Inc. | 3,052 | 108 | |
Toll Brothers Inc. | 1,661 | 108 | |
* | Purple Innovation Inc. Class A | 3,792 | 108 |
Thor Industries Inc. | 868 | 107 | |
* | Tupperware Brands Corp. | 4,161 | 107 |
* | VOXX International Corp. Class A | 7,072 | 106 |
Camping World Holdings Inc. Class A | 2,336 | 104 | |
* | Mattel Inc. | 4,924 | 104 |
* | Turtle Beach Corp. | 3,148 | 104 |
Dana Inc. | 3,801 | 103 | |
Movado Group Inc. | 3,707 | 103 | |
* | Clean Energy Fuels Corp. | 12,938 | 102 |
Harley-Davidson Inc. | 2,100 | 102 | |
* | Everi Holdings Inc. | 4,860 | 101 |
* | GoPro Inc. Class A | 8,873 | 100 |
* | Boyd Gaming Corp. | 1,522 | 98 |
* | MarineMax Inc. | 1,896 | 98 |
* | Abercrombie & Fitch Co. Class A | 2,267 | 97 |
* | Bally's Corp. | 1,669 | 97 |
* | OneWater Marine Inc. Class A | 1,926 | 95 |
* | Sleep Number Corp. | 846 | 94 |
* | Floor & Decor Holdings Inc. Class A | 939 | 92 |
* | Express Inc. | 21,103 | 91 |
* | Cheesecake Factory Inc. | 1,505 | 89 |
EW Scripps Co. Class A | 4,178 | 89 | |
Hanesbrands Inc. | 4,421 | 86 | |
* | Nautilus Inc. | 4,643 | 84 |
* | Monarch Casino & Resort Inc. | 1,159 | 83 |
Rush Enterprises Inc. Class A | 1,746 | 83 | |
* | Sonos Inc. | 2,232 | 83 |
* | Red Robin Gourmet Burgers Inc. | 2,288 | 82 |
* | Children's Place Inc. | 847 | 79 |
Newell Brands Inc. | 2,756 | 79 | |
* | Chuy's Holdings Inc. | 1,884 | 78 |
* | Lululemon Athletica Inc. | 242 | 78 |
* | Under Armour Inc. Class A | 3,440 | 78 |
* | PVH Corp. | 670 | 77 |
Sonic Automotive Inc. Class A | 1,604 | 77 | |
* | Southwest Airlines Co. | 1,245 | 77 |
Systemax Inc. | 2,251 | 77 | |
Big Lots Inc. | 1,236 | 75 | |
* | Coty Inc. Class A | 8,363 | 75 |
Buckle Inc. | 1,758 | 74 | |
* | Master Craft Boat Holdings Inc. | 2,682 | 74 |
* | Wayfair Inc. Class A | 240 | 74 |
* | TripAdvisor Inc. | 1,646 | 72 |
Ethan Allen Interiors Inc. | 2,379 | 69 | |
* | LGI Homes Inc. | 382 | 69 |
Pool Corp. | 158 | 69 | |
Winnebago Industries Inc. | 932 | 69 | |
Lennar Corp. Class A | 690 | 68 | |
* | Fox Factory Holding Corp. | 429 | 67 |
* | ODP Corp. | 1,537 | 67 |
* | M/I Homes Inc. | 931 | 66 |
* | Green Brick Partners Inc. | 2,760 | 64 |
* | Lions Gate Entertainment Corp. Class A | 3,243 | 63 |
* | National Vision Holdings Inc. | 1,271 | 63 |
* | Designer Brands Inc. Class A | 3,549 | 62 |
KB Home | 1,328 | 62 | |
* | Malibu Boats Inc. Class A | 792 | 62 |
* | Ruth's Hospitality Group Inc. | 2,574 | ���62 |
* | Quotient Technology Inc. | 5,171 | 61 |
* | Lakeland Industries Inc. | 2,374 | 60 |
* | Alaska Air Group Inc. | 854 | 59 |
* | Cars.com Inc. | 4,012 | 59 |
Franchise Group Inc. | 1,599 | 59 | |
* | Five Below Inc. | 304 | 56 |
Shares | Market Value• ($000) | ||
* | Boot Barn Holdings Inc. | 726 | 55 |
* | AMC Networks Inc. Class A | 1,023 | 55 |
Best Buy Co. Inc. | 458 | 53 | |
* | Lindblad Expeditions Holdings Inc. | 3,054 | 52 |
Nielsen Holdings plc | 1,860 | 51 | |
* | Duluth Holdings Inc. Class B | 3,103 | 50 |
Tractor Supply Co. | 275 | 50 | |
* | Adient plc | 975 | 49 |
* | Chegg Inc. | 628 | 48 |
* | Taylor Morrison Home Corp. Class A | 1,637 | 48 |
* | iRobot Corp. | 470 | 46 |
* | PlayAGS Inc. | 4,374 | 45 |
* | Cardlytics Inc. | 402 | 43 |
* | Conn's Inc. | 1,864 | 43 |
Group 1 Automotive Inc. | 272 | 43 | |
Papa John's International Inc. | 457 | 43 | |
* | Stamps.com Inc. | 229 | 43 |
* | Tri Pointe Homes Inc. | 1,786 | 43 |
* | CarParts.com Inc. | 2,554 | 42 |
* | Meritage Homes Corp. | 372 | 40 |
Rent-A-Center Inc. | 646 | 40 | |
Johnson Outdoors Inc. Class A | 316 | 39 | |
* | Lands' End Inc. | 1,541 | 39 |
* | Stitch Fix Inc. Class A | 732 | 39 |
Acushnet Holdings Corp. | 722 | 38 | |
* | Arlo Technologies Inc. | 5,645 | 38 |
Interpublic Group of Cos. Inc. | 1,091 | 37 | |
DR Horton Inc. | 375 | 36 | |
* | Lumber Liquidators Holdings Inc. | 1,543 | 35 |
Carriage Services Inc. Class A | 885 | 34 | |
* | Gentherm Inc. | 474 | 34 |
* | Mesa Air Group Inc. | 3,482 | 34 |
Callaway Golf Co. | 778 | 29 | |
* | Entercom Communications Corp. Class A | 6,574 | 29 |
* | Liberty TripAdvisor Holdings Inc. Class A | 5,657 | 27 |
* | 1-800-Flowers.com Inc. Class A | 855 | 26 |
Home Depot Inc. | 74 | 24 | |
* | Cooper-Standard Holdings Inc. | 732 | 22 |
* | JetBlue Airways Corp. | 1,108 | 22 |
* | Century Casinos Inc. | 1,379 | 19 |
25,187 | |||
Consumer Staples (1.6%) | |||
* | Celsius Holdings Inc. | 3,422 | 224 |
Bunge Ltd. | 2,325 | 202 | |
* | Darling Ingredients Inc. | 2,472 | 169 |
* | Freshpet Inc. | 882 | 156 |
Corteva Inc. | 3,217 | 146 | |
* | GrowGeneration Corp. | 3,289 | 146 |
* | Veru Inc. | 15,652 | 138 |
* | Boston Beer Co. Inc. Class A | 128 | 135 |
Medifast Inc. | 387 | 129 | |
* | United Natural Foods Inc. | 2,974 | 113 |
* | Hain Celestial Group Inc. | 1,177 | 48 |
Turning Point Brands Inc. | 865 | 37 | |
* | Simply Good Foods Co. | 953 | 33 |
Spectrum Brands Holdings Inc. | 232 | 21 | |
1,697 | |||
Energy (3.0%) | |||
Targa Resources Corp. | 10,783 | 419 | |
* | Plug Power Inc. | 10,512 | 323 |
* | Enphase Energy Inc. | 1,548 | 221 |
SM Energy Co. | 10,650 | 212 | |
* | SolarEdge Technologies Inc. | 802 | 207 |
* | FuelCell Energy Inc. | 20,001 | 196 |
Matador Resources Co. | 6,279 | 192 | |
Ovintiv Inc. (XNYS) | 6,789 | 181 |
Shares | Market Value• ($000) | ||
* | Antero Resources Corp. | 12,542 | 162 |
Patterson-UTI Energy Inc. | 19,390 | 162 | |
* | Transocean Ltd. | 39,170 | 148 |
* | Nabors Industries Ltd. | 1,517 | 142 |
* | CONSOL Energy Inc. | 8,720 | 134 |
* | SunPower Corp. | 3,432 | 80 |
* | Ameresco Inc. Class A | 1,382 | 74 |
* | Green Plains Inc. | 2,267 | 72 |
* | Renewable Energy Group Inc. | 815 | 50 |
* | Range Resources Corp. | 3,610 | 49 |
* | TPI Composites Inc. | 953 | 46 |
Antero Midstream Corp. | 2,869 | 28 | |
SunCoke Energy Inc. | 2,877 | 22 | |
Marathon Oil Corp. | 1,702 | 21 | |
Arcosa Inc. | 320 | 20 | |
3,161 | |||
Financials (18.8%) | |||
MetLife Inc. | 14,352 | 938 | |
Synovus Financial Corp. | 15,798 | 776 | |
Charles Schwab Corp. | 9,926 | 733 | |
U.S. Bancorp | 11,232 | 683 | |
Goldman Sachs Group Inc. | 1,788 | 665 | |
Ally Financial Inc. | 11,730 | 642 | |
Morgan Stanley | 6,927 | 630 | |
Webster Financial Corp. | 10,802 | 612 | |
Bank of America Corp. | 13,389 | 568 | |
Jefferies Financial Group Inc. | 17,650 | 567 | |
PNC Financial Services Group Inc. | 2,889 | 562 | |
Invesco Ltd. | 17,495 | 499 | |
Western Alliance Bancorp | 4,926 | 493 | |
Pinnacle Financial Partners Inc. | 5,162 | 469 | |
Equitable Holdings Inc. | 14,199 | 451 | |
Bank OZK | 10,343 | 442 | |
Comerica Inc. | 5,622 | 441 | |
Citizens Financial Group Inc. | 8,680 | 433 | |
Wells Fargo & Co. | 9,207 | 430 | |
JPMorgan Chase & Co. | 2,499 | 410 | |
* | Customers Bancorp Inc. | 10,508 | 398 |
Citigroup Inc. | 4,392 | 346 | |
* | SVB Financial Group | 579 | 337 |
* | Bancorp Inc. | 13,196 | 320 |
Live Oak Bancshares Inc. | 5,072 | 307 | |
MSCI Inc. Class A | 601 | 281 | |
BlackRock Inc. | 308 | 270 | |
Travelers Cos. Inc. | 1,630 | 260 | |
* | Triumph Bancorp Inc. | 2,948 | 247 |
* | Silvergate Capital Corp. Class A | 2,169 | 242 |
Signature Bank | 908 | 227 | |
Discover Financial Services | 1,681 | 197 | |
BankUnited Inc. | 4,081 | 195 | |
SLM Corp. | 9,496 | 192 | |
Affiliated Managers Group Inc. | 1,114 | 183 | |
First Citizens BancShares Inc. Class A | 213 | 183 | |
T Rowe Price Group Inc. | 953 | 182 | |
East West Bancorp Inc. | 2,315 | 173 | |
B Riley Financial Inc. | 2,306 | 170 | |
* | Mr Cooper Group Inc. | 4,914 | 170 |
* | Enova International Inc. | 4,413 | 167 |
American Financial Group Inc. | 1,232 | 164 | |
Chubb Ltd. | 950 | 161 | |
Walker & Dunlop Inc. | 1,575 | 160 | |
Fifth Third Bancorp | 3,682 | 155 | |
* | MoneyGram International Inc. | 14,353 | 141 |
Evercore Inc. Class A | 946 | 138 | |
OneMain Holdings Inc. | 2,309 | 134 | |
* | LendingClub Corp. | 8,432 | 129 |
Shares | Market Value• ($000) | ||
* | Texas Capital Bancshares Inc. | 1,832 | 126 |
Cowen Inc. Class A | 3,067 | 121 | |
Truist Financial Corp. | 1,874 | 116 | |
Virtus Investment Partners Inc. | 405 | 114 | |
Cohen & Steers Inc. | 1,486 | 109 | |
Meta Financial Group Inc. | 2,061 | 109 | |
Ares Management Corp. Class A | 1,631 | 90 | |
First Republic Bank | 465 | 89 | |
Brightsphere Investment Group Inc. | 3,894 | 87 | |
S&P Global Inc. | 223 | 85 | |
Berkshire Hills Bancorp Inc. | 2,926 | 81 | |
WisdomTree Investments Inc. | 11,127 | 75 | |
Arthur J Gallagher & Co. | 470 | 69 | |
Hanmi Financial Corp. | 3,277 | 69 | |
Morningstar Inc. | 260 | 61 | |
* | World Acceptance Corp. | 377 | 61 |
PennyMac Financial Services Inc. | 953 | 60 | |
Kinsale Capital Group Inc. | 332 | 55 | |
Goosehead Insurance Inc. Class A | 574 | 52 | |
Great Western Bancorp Inc. | 1,475 | 49 | |
Hamilton Lane Inc. Class A | 547 | 49 | |
Stifel Financial Corp. | 669 | 46 | |
Intercontinental Exchange Inc. | 390 | 44 | |
Flushing Financial Corp. | 1,665 | 39 | |
Brown & Brown Inc. | 624 | 33 | |
Regions Financial Corp. | 1,430 | 33 | |
Artisan Partners Asset Management Inc. Class A | 450 | 23 | |
Curo Group Holdings Corp. | 1,324 | 22 | |
19,640 | |||
Health Care (13.1%) | |||
* | Align Technology Inc. | 1,407 | 830 |
* | IDEXX Laboratories Inc. | 1,344 | 750 |
HCA Healthcare Inc. | 3,008 | 646 | |
Agilent Technologies Inc. | 2,571 | 355 | |
* | Moderna Inc. | 1,762 | 326 |
Danaher Corp. | 1,055 | 270 | |
* | STAAR Surgical Co. | 1,764 | 258 |
* | Horizon Therapeutics plc | 2,685 | 246 |
* | Intellia Therapeutics Inc. | 3,222 | 241 |
* | Surgery Partners Inc. | 4,082 | 239 |
* | Acadia Healthcare Co. Inc. | 3,249 | 209 |
* | Novavax Inc. | 1,356 | 200 |
* | Fate Therapeutics Inc. | 2,579 | 198 |
* | Cassava Sciences Inc. | 3,677 | 198 |
Select Medical Holdings Corp. | 4,837 | 194 | |
Owens & Minor Inc. | 4,259 | 190 | |
* | Avid Bioservices Inc. | 8,188 | 174 |
* | Inspire Medical Systems Inc. | 895 | 174 |
* | OptimizeRx Corp. | 3,314 | 163 |
* | Twist Bioscience Corp. | 1,465 | 157 |
* | Anavex Life Sciences Corp. | 12,290 | 153 |
* | DaVita Inc. | 1,263 | 152 |
* | PAVmed Inc. | 28,577 | 151 |
* | Joint Corp. | 2,112 | 150 |
* | TG Therapeutics Inc. | 4,153 | 145 |
* | Dermtech Inc. | 3,472 | 142 |
* | BioCryst Pharmaceuticals Inc. | 8,795 | 139 |
* | Rubius Therapeutics Inc. | 5,675 | 139 |
* | Community Health Systems Inc. | 9,636 | 138 |
* | MannKind Corp. | 30,111 | 133 |
* | Veeva Systems Inc. Class A | 458 | 133 |
* | Affimed NV | 14,574 | 129 |
* | Ultragenyx Pharmaceutical Inc. | 1,246 | 127 |
* | Intra-Cellular Therapies Inc. | 3,207 | 126 |
* | Pacific Biosciences of California Inc. | 4,673 | 126 |
* | ImmunityBio Inc. | 7,131 | 125 |
Shares | Market Value• ($000) | ||
* | Evolus Inc. | 11,414 | 124 |
* | Novocure Ltd. | 590 | 120 |
* | 10X Genomics Inc. Class A | 664 | 120 |
* | Organogenesis Holdings Inc. Class A | 6,757 | 120 |
* | Inovalon Holdings Inc. Class A | 3,786 | 119 |
* | Tenet Healthcare Corp. | 1,763 | 118 |
* | Morphic Holding Inc. | 2,363 | 117 |
* | Oncocyte Corp. | 25,963 | 115 |
* | Natera Inc. | 1,207 | 114 |
* | Fulgent Genetics Inc. | 1,545 | 114 |
* | Repligen Corp. | 599 | 109 |
* | Prothena Corp. plc | 3,683 | 107 |
* | Vericel Corp. | 1,854 | 105 |
* | Shockwave Medical Inc. | 572 | 103 |
Ensign Group Inc. | 1,223 | 102 | |
* | Ocular Therapeutix Inc. | 6,801 | 99 |
* | Rigel Pharmaceuticals Inc. | 25,468 | 95 |
* | Alphatec Holdings Inc. | 6,405 | 93 |
* | Omnicell Inc. | 664 | 92 |
* | TransMedics Group Inc. | 3,539 | 91 |
* | Insulet Corp. | 335 | 90 |
* | Catalent Inc. | 840 | 88 |
* | Castle Biosciences Inc. | 1,346 | 81 |
* | Revance Therapeutics Inc. | 2,644 | 78 |
* | AtriCure Inc. | 1,034 | 77 |
Eli Lilly & Co. | 348 | 70 | |
* | Amedisys Inc. | 265 | 68 |
* | LHC Group Inc. | 339 | 67 |
* | AngioDynamics Inc. | 2,819 | 65 |
* | Tandem Diabetes Care Inc. | 758 | 65 |
Bio-Techne Corp. | 153 | 63 | |
* | KalVista Pharmaceuticals Inc. | 2,281 | 62 |
* | R1 RCM Inc. | 2,692 | 62 |
* | RadNet Inc. | 2,353 | 62 |
* | SpringWorks Therapeutics Inc. | 751 | 61 |
* | Kodiak Sciences Inc. | 719 | 60 |
* | Masimo Corp. | 278 | 60 |
* | Replimune Group Inc. | 1,491 | 58 |
* | Avantor Inc. | 1,762 | 57 |
West Pharmaceutical Services Inc. | 161 | 56 | |
* | Arrowhead Pharmaceuticals Inc. | 751 | 55 |
* | Meridian Bioscience Inc. | 2,635 | 55 |
* | Pulse Biosciences Inc. | 3,039 | 55 |
* | Brookdale Senior Living Inc. | 8,080 | 54 |
* | Denali Therapeutics Inc. | 826 | 53 |
* | Evolent Health Inc. Class A | 2,650 | 52 |
* | NanoString Technologies Inc. | 928 | 52 |
* | Penumbra Inc. | 210 | 52 |
* | United Therapeutics Corp. | 278 | 52 |
* | Quanterix Corp. | 998 | 51 |
* | Ideaya Biosciences Inc. | 2,531 | 51 |
* | Charles River Laboratories International Inc. | 148 | 50 |
* | ImmunoGen Inc. | 8,007 | 49 |
*,1 | Retractable Technologies Inc. | 5,336 | 49 |
* | Medpace Holdings Inc. | 282 | 47 |
* | Acceleron Pharma Inc. | 344 | 45 |
* | Heska Corp. | 227 | 45 |
* | Veracyte Inc. | 1,154 | 45 |
* | Marinus Pharmaceuticals Inc. | 2,643 | 44 |
Zoetis Inc. | 231 | 41 | |
* | Krystal Biotech Inc. | 590 | 39 |
STERIS plc | 205 | 39 | |
* | Dynavax Technologies Corp. | 4,662 | 38 |
* | Sientra Inc. | 5,472 | 38 |
* | Halozyme Therapeutics Inc. | 893 | 37 |
Abbott Laboratories | 311 | 36 | |
* | Chimerix Inc. | 4,590 | 36 |
Shares | Market Value• ($000) | ||
* | Paratek Pharmaceuticals Inc. | 4,152 | 34 |
* | Rocket Pharmaceuticals Inc. | 801 | 34 |
* | Translate Bio Inc. | 1,912 | 34 |
* | IGM Biosciences Inc. | 462 | 34 |
* | NeoGenomics Inc. | 793 | 33 |
* | OPKO Health Inc. | 8,718 | 33 |
* | Karuna Therapeutics Inc. | 292 | 33 |
* | VBI Vaccines Inc. | 10,165 | 33 |
* | Addus HomeCare Corp. | 325 | 31 |
* | Protagonist Therapeutics Inc. | 843 | 30 |
Thermo Fisher Scientific Inc. | 63 | 30 | |
* | Option Care Health Inc. | 1,619 | 30 |
* | Axsome Therapeutics Inc. | 482 | 29 |
* | CareDx Inc. | 364 | 29 |
* | Cytokinetics Inc. | 1,349 | 29 |
* | Xeris Pharmaceuticals Inc. | 9,307 | 29 |
* | Turning Point Therapeutics Inc. | 422 | 28 |
* | ChromaDex Corp. | 2,952 | 25 |
* | Xencor Inc. | 631 | 24 |
* | Keros Therapeutics Inc. | 441 | 24 |
* | Bridgebio Pharma Inc. | 386 | 23 |
* | Mirati Therapeutics Inc. | 145 | 23 |
* | NGM Biopharmaceuticals Inc. | 1,403 | 21 |
* | Sutro Biopharma Inc. | 1,005 | 19 |
13,705 | |||
Industrials (18.8%) | |||
Capital One Financial Corp. | 7,081 | 1,139 | |
Deere & Co. | 2,751 | 993 | |
General Electric Co. | 65,912 | 927 | |
* | PayPal Holdings Inc. | 3,185 | 828 |
* | Square Inc. Class A | 3,646 | 811 |
FedEx Corp. | 2,502 | 788 | |
Johnson Controls International plc | 11,269 | 750 | |
DuPont de Nemours Inc. | 8,632 | 730 | |
Trane Technologies plc | 3,612 | 673 | |
Caterpillar Inc. | 2,788 | 672 | |
Eaton Corp. plc | 4,618 | 671 | |
Cummins Inc. | 1,789 | 460 | |
Eagle Materials Inc. | 3,132 | 460 | |
United Parcel Service Inc. Class B | 1,782 | 382 | |
* | Generac Holdings Inc. | 976 | 321 |
Pentair plc | 4,392 | 303 | |
Norfolk Southern Corp. | 858 | 241 | |
* | MasTec Inc. | 1,934 | 225 |
Quanta Services Inc. | 2,305 | 220 | |
* | Trex Co. Inc. | 2,209 | 215 |
* | Chart Industries Inc. | 1,395 | 204 |
Louisiana-Pacific Corp. | 2,976 | 200 | |
* | Veritiv Corp. | 3,105 | 191 |
EnPro Industries Inc. | 2,050 | 189 | |
Shyft Group Inc. | 4,459 | 174 | |
* | Howmet Aerospace Inc. | 4,874 | 173 |
AGCO Corp. | 1,230 | 170 | |
* | Herc Holdings Inc. | 1,452 | 167 |
Valmont Industries Inc. | 662 | 164 | |
* | Middleby Corp. | 959 | 158 |
* | XPO Logistics Inc. | 1,028 | 151 |
* | Donnelley Financial Solutions Inc. | 4,951 | 148 |
Fortune Brands Home & Security Inc. | 1,402 | 145 | |
Toro Co. | 1,173 | 130 | |
* | TopBuild Corp. | 646 | 128 |
Parker-Hannifin Corp. | 410 | 126 | |
MKS Instruments Inc. | 636 | 120 | |
* | MYR Group Inc. | 1,384 | 120 |
* | REV Group Inc. | 6,362 | 119 |
* | Bill.Com Holdings Inc. | 794 | 118 |
Shares | Market Value• ($000) | ||
Maxar Technologies Inc. | 3,736 | 116 | |
Terex Corp. | 2,216 | 116 | |
Greenbrier Cos. Inc. | 2,583 | 115 | |
* | Resideo Technologies Inc. | 3,773 | 113 |
Primoris Services Corp. | 3,513 | 112 | |
* | Modine Manufacturing Co. | 6,178 | 109 |
* | Textainer Group Holdings Ltd. | 3,245 | 109 |
* | Eagle Bulk Shipping Inc. | 2,304 | 109 |
* | Allegheny Technologies Inc. | 4,419 | 108 |
Old Dominion Freight Line Inc. | 387 | 103 | |
* | Bloom Energy Corp. Class A | 4,178 | 101 |
Quanex Building Products Corp. | 3,780 | 101 | |
Advanced Drainage Systems Inc. | 876 | 99 | |
Hillenbrand Inc. | 2,180 | 99 | |
* | Mohawk Industries Inc. | 464 | 98 |
Regal Beloit Corp. | 687 | 98 | |
Rexnord Corp. | 1,956 | 98 | |
* | Saia Inc. | 422 | 97 |
* | U.S. Concrete Inc. | 1,580 | 90 |
* | Atkore Inc. | 1,150 | 89 |
Costamare Inc. | 8,251 | 89 | |
ArcBest Corp. | 1,110 | 86 | |
* | CryoPort Inc. | 1,529 | 86 |
* | Conduent Inc. | 11,234 | 85 |
* | Cornerstone Building Brands Inc. | 5,027 | 85 |
* | Axon Enterprise Inc. | 580 | 82 |
* | Masonite International Corp. | 679 | 81 |
* | Lydall Inc. | 2,167 | 79 |
Mastercard Inc. Class A | 220 | 79 | |
* | NV5 Global Inc. | 852 | 78 |
* | Dycom Industries Inc. | 986 | 74 |
Ryder System Inc. | 907 | 74 | |
* | Energy Recovery Inc. | 3,671 | 70 |
* | Builders FirstSource Inc. | 1,504 | 67 |
*,2 | API Group Corp. | 3,186 | 67 |
Brunswick Corp. | 615 | 63 | |
Installed Building Products Inc. | 506 | 60 | |
* | WESCO International Inc. | 567 | 60 |
CSW Industrials Inc. | 483 | 59 | |
Altra Industrial Motion Corp. | 890 | 58 | |
Cintas Corp. | 162 | 57 | |
* | Paylocity Holding Corp. | 329 | 56 |
Acuity Brands Inc. | 293 | 54 | |
Genco Shipping & Trading Ltd. | 3,417 | 54 | |
* | Construction Partners Inc. Class A | 1,520 | 49 |
Patrick Industries Inc. | 576 | 49 | |
* | StoneCo. Ltd. Class A | 720 | 48 |
Franklin Electric Co. Inc. | 553 | 46 | |
* | United Rentals Inc. | 125 | 42 |
* | Ranpak Holdings Corp. Class A | 1,848 | 41 |
* | Titan Machinery Inc. | 1,309 | 40 |
* | Fair Isaac Corp. | 77 | 39 |
* | U.S. Xpress Enterprises Inc. Class A | 3,399 | 38 |
Astec Industries Inc. | 516 | 35 | |
Cognex Corp. | 441 | 35 | |
Exponent Inc. | 365 | 33 | |
* | AeroVironment Inc. | 294 | 32 |
* | WillScot Mobile Mini Holdings Corp. | 1,104 | 32 |
* | Triumph Group Inc. | 1,555 | 30 |
* | Tutor Perini Corp. | 1,945 | 30 |
* | Atlas Air Worldwide Holdings Inc. | 391 | 29 |
* | Teledyne Technologies Inc. | 70 | 29 |
* | Acacia Research Corp. | 5,224 | 28 |
Granite Construction Inc. | 685 | 28 | |
Tetra Tech Inc. | 237 | 28 | |
Triton International Ltd. | 498 | 27 | |
Jacobs Engineering Group Inc. | 182 | 26 |
Shares | Market Value• ($000) | ||
Badger Meter Inc. | 250 | 24 | |
Matson Inc. | 364 | 24 | |
CAI International Inc. | 544 | 23 | |
* | Zebra Technologies Corp. Class A | 46 | 23 |
* | Blue Bird Corp. | 834 | 22 |
* | Team Inc. | 2,299 | 20 |
* | Cross Country Healthcare Inc. | 1,233 | 19 |
19,656 | |||
Real Estate (0.6%) | |||
* | Zillow Group Inc. Class C | 1,662 | 195 |
* | Redfin Corp. | 2,145 | 127 |
* | eXp World Holdings Inc. | 2,585 | 83 |
* | CoStar Group Inc. | 76 | 65 |
* | Realogy Holdings Corp. | 3,130 | 56 |
Newmark Group Inc. Class A | 3,576 | 46 | |
St. Joe Co. | 453 | 21 | |
593 | |||
Technology (13.1%) | |||
NVIDIA Corp. | 1,368 | 889 | |
Apple Inc. | 6,560 | 817 | |
Applied Materials Inc. | 5,602 | 774 | |
* | Twitter Inc. | 13,203 | 766 |
Lam Research Corp. | 961 | 625 | |
* | Micron Technology Inc. | 6,575 | 553 |
KLA Corp. | 1,438 | 456 | |
* | Arrow Electronics Inc. | 2,900 | 349 |
* | Five9 Inc. | 1,926 | 341 |
Texas Instruments Inc. | 1,391 | 264 | |
Microsoft Corp. | 1,051 | 262 | |
Entegris Inc. | 2,146 | 246 | |
* | Alphabet Inc. Class C | 101 | 244 |
* | Digital Turbine Inc. | 3,674 | 243 |
* | Alphabet Inc. Class A | 95 | 224 |
SYNNEX Corp. | 1,557 | 197 | |
* | Cloudflare Inc. Class A | 2,275 | 187 |
* | IAC/Inter Active Corp. | 1,098 | 175 |
Oracle Corp. | 2,215 | 174 | |
* | Calix Inc. | 3,709 | 164 |
* | Crowdstrike Holdings Inc. Class A | 725 | 161 |
* | Ultra Clean Holdings Inc. | 2,829 | 159 |
* | DocuSign Inc. Class A | 775 | 156 |
* | Lattice Semiconductor Corp. | 2,797 | 148 |
* | Zscaler Inc. | 729 | 142 |
Teradyne Inc. | 1,050 | 139 | |
* | Upwork Inc. | 2,903 | 137 |
* | Zoom Video Communications Inc. Class A | 411 | 136 |
* | HubSpot Inc. | 257 | 130 |
QUALCOMM Inc. | 949 | 128 | |
* | Synaptics Inc. | 998 | 126 |
* | Avid Technology Inc. | 3,956 | 122 |
* | Coupa Software Inc. | 500 | 119 |
* | Eventbrite Inc. Class A | 5,763 | 117 |
* | MACOM Technology Solutions Holdings Inc. Class H | 1,981 | 117 |
* | Cadence Design Systems Inc. | 900 | 114 |
* | PAR Technology Corp. | 1,695 | 113 |
* | Globant SA | 514 | 112 |
* | II-VI Inc. | 1,639 | 110 |
* | Veritone Inc. | 5,736 | 110 |
* | RingCentral Inc. Class A | 405 | 106 |
Vertiv Holdings Co. Class A | 4,116 | 102 | |
* | Cree Inc. | 1,006 | 101 |
* | EPAM Systems Inc. | 204 | 97 |
* | Twilio Inc. Class A | 285 | 96 |
* | Avaya Holdings Corp. | 3,121 | 90 |
* | FormFactor Inc. | 2,563 | 90 |
* | Okta Inc. | 405 | 90 |
Shares | Market Value• ($000) | ||
* | Qorvo Inc. | 464 | 85 |
Pitney Bowes Inc. | 9,817 | 82 | |
* | MongoDB Inc. | 277 | 81 |
* | Paycom Software Inc. | 232 | 76 |
* | Groupon Inc. Class A | 1,603 | 76 |
* | Vimeo Inc. | 1,783 | 75 |
* | Atomera Inc. | 4,208 | 74 |
Broadcom Inc. | 154 | 73 | |
* | NCR Corp. | 1,521 | 73 |
* | Domo Inc. Class B | 1,070 | 71 |
Monolithic Power Systems Inc. | 203 | 70 | |
* | Pinterest Inc. Class A | 1,045 | 68 |
* | Manhattan Associates Inc. | 494 | 67 |
* | Unisys Corp. | 2,616 | 67 |
* | Cerence Inc. | 693 | 66 |
Skyworks Solutions Inc. | 361 | 61 | |
* | Sprout Social Inc. Class A | 859 | 60 |
* | Magnite Inc. | 1,986 | 59 |
* | Blackline Inc. | 545 | 57 |
* | Agilysys Inc. | 1,020 | 52 |
Brooks Automation Inc. | 509 | 52 | |
Shutterstock Inc. | 556 | 50 | |
* | TechTarget Inc. | 698 | 49 |
* | Advanced Micro Devices Inc. | 599 | 48 |
* | LivePerson Inc. | 820 | 45 |
* | Allscripts Healthcare Solutions Inc. | 2,518 | 44 |
* | CEVA Inc. | 965 | 43 |
* | Novanta Inc. | 310 | 43 |
* | Synopsys Inc. | 158 | 40 |
* | Ambarella Inc. | 398 | 40 |
* | MicroStrategy Inc. Class A | 82 | 39 |
* | SPS Commerce Inc. | 373 | 35 |
* | Diebold Nixdorf Inc. | 2,410 | 33 |
* | Everbridge Inc. | 271 | 32 |
* | Alarm.com Holdings Inc. | 364 | 30 |
Simulations Plus Inc. | 573 | 30 | |
* | Diodes Inc. | 388 | 29 |
HP Inc. | 957 | 28 | |
* | Varonis Systems Inc. Class B | 580 | 28 |
* | Bandwidth Inc. Class A | 222 | 26 |
* | Sailpoint Technologies Holdings Inc. | 551 | 26 |
* | 3D Systems Corp. | 876 | 26 |
* | Alpha & Omega Semiconductor Ltd. | 776 | 25 |
Power Integrations Inc. | 296 | 24 | |
* | Teradata Corp. | 473 | 23 |
* | Match Group Inc. | 158 | 23 |
* | Covetrus Inc. | 782 | 22 |
* | ServiceNow Inc. | 44 | 21 |
13,665 | |||
Telecommunications (1.4%) | |||
* | T-Mobile US Inc. | 1,841 | 260 |
* | Charter Communications Inc. Class A | 363 | 252 |
* | Cambium Networks Corp. | 3,064 | 177 |
* | Plantronics Inc. | 3,433 | 113 |
* | WideOpenWest Inc. | 6,240 | 104 |
* | Gogo Inc. | 7,347 | 100 |
Ubiquiti Inc. | 255 | 77 | |
Loral Space & Communications Inc. | 1,802 | 68 | |
* | Infinera Corp. | 5,907 | 57 |
Cable One Inc. | 27 | 49 | |
* | Roku Inc. | 137 | 47 |
* | Extreme Networks Inc. | 3,407 | 39 |
* | Casa Systems Inc. | 4,330 | 38 |
* | Akoustis Technologies Inc. | 3,039 | 29 |
ADTRAN Inc. | 1,176 | 23 |
Shares | Market Value• ($000) | ||
* | 8x8 Inc. | 874 | 21 |
1,454 | |||
Utilities (0.1%) | |||
* | Evoqua Water Technologies Corp. | 1,133 | ��� 35 |
* | Casella Waste Systems Inc. Class A | 362 | 25 |
* | Sunrun Inc. | 498 | 22 |
82 | |||
Total Common Stocks (Cost $78,078) | 104,119 | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.055% (Cost $415) | 4,145 | 415 |
Total Investments (100.0%) (Cost $78,493) | 104,534 | ||
Other Assets and Liabilities— Net (0.0%) | 26 | ||
Net Assets (100%) | 104,560 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $46,000. |
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 May 31, 2021, the aggregate value was $67,000, representing 0.1% 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 | Collateral of $51,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | June 2021 | 1 | 210 | 4 |
Micro E-mini S&P 500 Index | June 2021 | 5 | 105 | 7 |
11 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $78,078) | 104,119 |
Affiliated Issuers (Cost $415) | 415 |
Total Investments in Securities | 104,534 |
Investment in Vanguard | 4 |
Cash Collateral Pledged—Futures Contracts | 26 |
Receivables for Accrued Income | 76 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 104,640 |
Liabilities | |
Payables for Investment Securities Purchased | 24 |
Collateral for Securities on Loan | 51 |
Payables to Vanguard | 5 |
Total Liabilities | 80 |
Net Assets | 104,560 |
At May 31, 2021, net assets consisted of: | |
Paid-in Capital | 77,412 |
Total Distributable Earnings (Loss) | 27,148 |
Net Assets | 104,560 |
Net Assets | |
Applicable to 810,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 104,560 |
Net Asset Value Per Share | $129.09 |
Six Months Ended May 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 269 |
Interest1 | — |
Securities Lending—Net | 18 |
Total Income | 287 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 16 |
Management and Administrative | 33 |
Marketing and Distribution | — |
Custodian Fees | 6 |
Shareholders’ Reports | 2 |
Trustees’ Fees and Expenses | — |
Total Expenses | 57 |
Net Investment Income | 230 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 3,020 |
Futures Contracts | 55 |
Realized Net Gain (Loss) | 3,075 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 10,601 |
Futures Contracts | (5) |
Change in Unrealized Appreciation (Depreciation) | 10,596 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 13,901 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $1,445,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 230 | 278 | |
Realized Net Gain (Loss) | 3,075 | 4,610 | |
Change in Unrealized Appreciation (Depreciation) | 10,596 | 10,414 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 13,901 | 15,302 | |
Distributions | |||
Total Distributions | (194) | (299) | |
Capital Share Transactions | |||
Issued | 36,872 | 25,852 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (4,499) | (14,317) | |
Net Increase (Decrease) from Capital Share Transactions | 32,373 | 11,535 | |
Total Increase (Decrease) | 46,080 | 26,538 | |
Net Assets | |||
Beginning of Period | 58,480 | 31,942 | |
End of Period | 104,560 | 58,480 |
For a Share Outstanding Throughout Each Period | Six Months, Ended May 31, 2021 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $106.33 | $85.18 | $76.73 | $75.00 |
Investment Operations | ||||
Net Investment Income2 | .321 | .552 | .985 | .538 |
Net Realized and Unrealized Gain (Loss) on Investments | 22.738 | 21.279 | 8.336 | 1.489 |
Total from Investment Operations | 23.059 | 21.831 | 9.321 | 2.027 |
Distributions | ||||
Dividends from Net Investment Income | (.299) | (.681) | (.871) | (.297) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.299) | (.681) | (.871) | (.297) |
Net Asset Value, End of Period | $129.09 | $106.33 | $85.18 | $76.73 |
Total Return | 21.71% | 25.91% | 12.25% | 2.67% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $105 | $58 | $32 | $33 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 0.47% | 0.62% | 1.24% | 0.83%3 |
Portfolio Turnover Rate | 55%4 | 115%4 | 118% | 53% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
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. |
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. |
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 and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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. |
D. | As of May 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 78,493 |
Gross Unrealized Appreciation | 26,567 |
Gross Unrealized Depreciation | (515) |
Net Unrealized Appreciation (Depreciation) | 26,052 |
E. | During the six months ended May 31, 2021, the fund purchased $84,054,000 of investment securities and sold $51,743,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $4,499,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 295 | 325 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (35) | (150) | |
Net Increase (Decrease) in Shares Outstanding | 260 | 175 |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 5.1% |
Consumer Discretionary | 23.1 |
Consumer Staples | 3.9 |
Energy | 2.1 |
Financials | 26.6 |
Health Care | 6.6 |
Industrials | 19.5 |
Real Estate | 0.1 |
Technology | 12.0 |
Telecommunications | 1.0 |
Shares | Market Value• ($000) | ||
Common Stocks (99.7%) | |||
Basic Materials (5.1%) | |||
Freeport-McMoRan Inc. | 16,881 | 721 | |
Dow Inc. | 10,273 | 703 | |
Reliance Steel & Aluminum Co. | 2,456 | 413 | |
UFP Industries Inc. | 3,831 | 305 | |
Southern Copper Corp. | 4,184 | 292 | |
Boise Cascade Co. | 4,406 | 291 | |
Celanese Corp. Class A | 1,190 | 197 | |
Nucor Corp. | 1,746 | 179 | |
Timken Co. | 1,840 | 163 | |
International Paper Co. | 2,467 | 156 | |
GrafTech International Ltd. | 9,985 | 133 | |
FMC Corp. | 1,072 | 125 | |
Scotts Miracle-Gro Co. | 430 | 93 | |
Stepan Co. | 631 | 85 | |
Steel Dynamics Inc. | 1,349 | 84 | |
* | AdvanSix Inc. | 2,504 | 79 |
Commercial Metals Co. | 2,443 | 77 | |
Materion Corp. | 917 | 72 | |
LyondellBasell Industries NV Class A | 644 | 72 | |
Trinseo SA | 981 | 64 | |
Chemours Co. | 1,689 | 61 | |
Cabot Corp. | 908 | 58 | |
Fastenal Co. | 1,076 | 57 | |
Schnitzer Steel Industries Inc. Class A | 814 | 44 | |
Olin Corp. | 864 | 42 | |
Worthington Industries Inc. | 551 | 36 | |
Valvoline Inc. | 1,053 | 35 | |
Schweitzer-Mauduit International Inc. | 684 | 28 | |
4,665 | |||
Consumer Discretionary (23.0%) | |||
Target Corp. | 4,216 | 957 | |
Lowe's Cos. Inc. | 3,380 | 659 | |
* | General Motors Co. | 10,012 | 594 |
eBay Inc. | 8,591 | 523 | |
* | Hibbett Sports Inc. | 4,540 | 385 |
Williams-Sonoma Inc. | 1,980 | 336 | |
Rent-A-Center Inc. | 5,390 | 333 | |
* | Discovery Inc. Class A | 9,133 | 293 |
Shares | Market Value• ($000) | ||
* | L Brands Inc. | 3,940 | 275 |
* | Citi Trends Inc. | 3,210 | 268 |
Whirlpool Corp. | 1,106 | 262 | |
News Corp. Class A | 9,637 | 260 | |
Dillard's Inc. Class A | 1,888 | 249 | |
Estee Lauder Cos. Inc. Class A | 807 | 247 | |
* | AutoNation Inc. | 2,398 | 245 |
H&R Block Inc. | 9,633 | 239 | |
Hanesbrands Inc. | 12,094 | 236 | |
* | International Game Technology plc | 9,667 | 235 |
ViacomCBS Inc. Class B | 5,431 | 230 | |
* | Liquidity Services Inc. | 9,521 | 228 |
* | AMC Networks Inc. Class A | 4,225 | 227 |
* | Turtle Beach Corp. | 6,663 | 221 |
Lennar Corp. Class A | 2,193 | 217 | |
Lithia Motors Inc. Class A | 601 | 212 | |
* | Sleep Number Corp. | 1,903 | 212 |
Dick's Sporting Goods Inc. | 2,089 | 204 | |
* | Century Communities Inc. | 2,489 | 203 |
* | MarineMax Inc. | 3,796 | 195 |
Newell Brands Inc. | 6,680 | 192 | |
Interpublic Group of Cos. Inc. | 5,662 | 191 | |
* | Vera Bradley Inc. | 16,503 | 189 |
* | Discovery Inc. Class C | 6,126 | 184 |
* | Etsy Inc. | 1,115 | 184 |
Movado Group Inc. | 6,520 | 181 | |
* | Deckers Outdoor Corp. | 536 | 180 |
* | Tapestry Inc. | 4,008 | 180 |
Buckle Inc. | 4,154 | 175 | |
Nexstar Media Group Inc. Class A | 1,147 | 174 | |
* | PVH Corp. | 1,504 | 173 |
Gentex Corp. | 4,851 | 172 | |
PulteGroup Inc. | 2,974 | 172 | |
Lear Corp. | 884 | 171 | |
Activision Blizzard Inc. | 1,751 | 170 | |
Big Lots Inc. | 2,783 | 170 | |
Matthews International Corp. Class A | 4,351 | 170 | |
Fox Corp. Class A | 4,379 | 164 | |
Group 1 Automotive Inc. | 1,011 | 161 | |
Kontoor Brands Inc. | 2,515 | 161 | |
Foot Locker Inc. | 2,533 | 160 | |
Ethan Allen Interiors Inc. | 5,499 | 159 | |
Kohl's Corp. | 2,873 | 159 | |
Travel + Leisure Co. | 2,400 | 156 | |
Qurate Retail Inc. Series A | 11,360 | 155 | |
Polaris Inc. | 1,164 | 153 | |
Best Buy Co. Inc. | 1,289 | 150 | |
* | Lululemon Athletica Inc. | 453 | 146 |
* | XPEL Inc. | 1,784 | 146 |
* | Lakeland Industries Inc. | 5,773 | 146 |
* | Goodyear Tire & Rubber Co. | 7,278 | 144 |
Haverty Furniture Cos. Inc. | 3,121 | 143 | |
Sonic Automotive Inc. Class A | 2,970 | 143 | |
* | Malibu Boats Inc. Class A | 1,801 | 141 |
* | Funko Inc. Class A | 5,347 | 140 |
Shares | Market Value• ($000) | ||
* | Macy's Inc. | 7,677 | 140 |
Garmin Ltd. | 985 | 140 | |
* | Abercrombie & Fitch Co. Class A | 3,255 | 139 |
Johnson Outdoors Inc. Class A | 1,139 | 139 | |
* | Helen of Troy Ltd. | 655 | 138 |
* | Conn's Inc. | 5,895 | 137 |
* | ODP Corp. | 3,138 | 137 |
Nielsen Holdings plc | 5,009 | 136 | |
* | BJ's Wholesale Club Holdings Inc. | 2,904 | 130 |
* | GoPro Inc. Class A | 11,609 | 130 |
Dana Inc. | 4,754 | 129 | |
Shoe Carnival Inc. | 1,915 | 129 | |
* | Central Garden & Pet Co. Class A | 2,518 | 127 |
* | NVR Inc. | 26 | 127 |
News Corp. Class B | 4,900 | 126 | |
ViacomCBS Inc. Class A | 2,682 | 125 | |
HNI Corp. | 2,684 | 122 | |
* | RH | 191 | 122 |
* | Take-Two Interactive Software Inc. | 652 | 121 |
Harley-Davidson Inc. | 2,479 | 120 | |
* | Crocs Inc. | 1,180 | 119 |
* | Gentherm Inc. | 1,622 | 118 |
* | O'Reilly Automotive Inc. | 219 | 117 |
TEGNA Inc. | 6,059 | 117 | |
* | Asbury Automotive Group Inc. | 579 | 115 |
La-Z-Boy Inc. | 2,778 | 115 | |
Thor Industries Inc. | 933 | 115 | |
Tractor Supply Co. | 631 | 115 | |
* | Zumiez Inc. | 2,583 | 113 |
* | Master Craft Boat Holdings Inc. | 3,978 | 110 |
* | 1-800-Flowers.com Inc. Class A | 3,576 | 109 |
KB Home | 2,293 | 107 | |
* | Sonos Inc. | 2,853 | 106 |
* | Clean Energy Fuels Corp. | 13,136 | 104 |
Acushnet Holdings Corp. | 1,854 | 99 | |
* | Beazer Homes USA Inc. | 4,105 | 98 |
* | Duluth Holdings Inc. Class B | 6,042 | 97 |
Herman Miller Inc. | 1,939 | 93 | |
Rush Enterprises Inc. Class A | 1,894 | 91 | |
* | Mattel Inc. | 4,239 | 90 |
Penske Automotive Group Inc. | 1,051 | 90 | |
* | YETI Holdings Inc. | 976 | 85 |
Callaway Golf Co. | 2,252 | 83 | |
Walmart Inc. | 587 | 83 | |
* | LKQ Corp. | 1,603 | 82 |
Toll Brothers Inc. | 1,263 | 82 | |
* | Meritage Homes Corp. | 721 | 78 |
* | Under Armour Inc. Class A | 3,438 | 78 |
Gap Inc. | 2,270 | 76 | |
* | Universal Electronics Inc. | 1,446 | 72 |
* | Lumber Liquidators Holdings Inc. | 2,946 | 67 |
Advance Auto Parts Inc. | 342 | 65 | |
* | Sally Beauty Holdings Inc. | 2,694 | 59 |
* | Tri Pointe Homes Inc. | 2,423 | 58 |
PROG Holdings Inc. | 1,109 | 58 |
Shares | Market Value• ($000) | ||
* | iRobot Corp. | 562 | 55 |
* | Copart Inc. | 420 | 54 |
PriceSmart Inc. | 609 | 54 | |
* | American Axle & Manufacturing Holdings Inc. | 4,580 | 51 |
Genuine Parts Co. | 342 | 45 | |
MDC Holdings Inc. | 753 | 44 | |
Costco Wholesale Corp. | 106 | 40 | |
* | Lions Gate Entertainment Corp. Class A | 2,046 | 40 |
* | Boot Barn Holdings Inc. | 511 | 39 |
* | Lands' End Inc. | 1,495 | 38 |
* | Tesla Inc. | 59 | 37 |
* | Skyline Champion Corp. | 702 | 36 |
Murphy USA Inc. | 257 | 35 | |
BorgWarner Inc. | 618 | 32 | |
Systemax Inc. | 912 | 31 | |
Steven Madden Ltd. | 575 | 24 | |
* | Urban Outfitters Inc. | 472 | 18 |
Wolverine World Wide Inc. | 494 | 18 | |
Del Taco Restaurants Inc. | 1,193 | 12 | |
21,081 | |||
Consumer Staples (3.9%) | |||
Kroger Co. | 10,204 | 377 | |
Altria Group Inc. | 7,215 | 355 | |
Walgreens Boots Alliance Inc. | 6,716 | 354 | |
Philip Morris International Inc. | 3,537 | 341 | |
* | Monster Beverage Corp. | 2,054 | 194 |
McKesson Corp. | 892 | 172 | |
Ingles Markets Inc. Class A | 2,733 | 169 | |
J M Smucker Co. | 1,221 | 163 | |
Kraft Heinz Co. | 3,664 | 160 | |
* | Darling Ingredients Inc. | 2,099 | 144 |
* | Boston Beer Co. Inc. Class A | 134 | 142 |
CVS Health Corp. | 1,524 | 132 | |
AmerisourceBergen Corp. Class A | 1,105 | 127 | |
Lancaster Colony Corp. | 642 | 120 | |
* | Hain Celestial Group Inc. | 2,112 | 86 |
Casey's General Stores Inc. | 360 | 79 | |
Corteva Inc. | 1,678 | 76 | |
Edgewell Personal Care Co. | 1,688 | 76 | |
SpartanNash Co. | 3,492 | 73 | |
Ingredion Inc. | 699 | 66 | |
Medifast Inc. | 126 | 42 | |
Weis Markets Inc. | 788 | 40 | |
* | Molson Coors Beverage Co. Class B | 501 | 29 |
3,517 | |||
Energy (2.1%) | |||
EOG Resources Inc. | 3,165 | 254 | |
* | Bonanza Creek Energy Inc. | 4,378 | 188 |
Antero Midstream Corp. | 19,230 | 185 | |
Exxon Mobil Corp. | 3,156 | 184 | |
* | CONSOL Energy Inc. | 10,749 | 165 |
* | Renewable Energy Group Inc. | 2,470 | 151 |
* | Range Resources Corp. | 10,941 | 148 |
SunCoke Energy Inc. | 16,416 | 124 | |
* | W&T Offshore Inc. | 32,329 | 121 |
Shares | Market Value• ($000) | ||
Ovintiv Inc. (XNYS) | 4,266 | 114 | |
Arcosa Inc. | 1,492 | 95 | |
Continental Resources Inc. | 1,795 | 58 | |
* | CNX Resources Corp. | 2,585 | 35 |
Targa Resources Corp. | 770 | 30 | |
* | PDC Energy Inc. | 692 | 29 |
Archrock Inc. | 2,998 | 27 | |
* | Magnolia Oil & Gas Corp. Class A | 1,988 | 26 |
* | EQT Corp. | 844 | 18 |
1,952 | |||
Financials (26.6%) | |||
* | Berkshire Hathaway Inc. Class B | 3,573 | 1,034 |
Allstate Corp. | 6,855 | 936 | |
Goldman Sachs Group Inc. | 2,419 | 900 | |
MetLife Inc. | 13,185 | 862 | |
Bank of America Corp. | 19,337 | 820 | |
U.S. Bancorp | 12,845 | 781 | |
JPMorgan Chase & Co. | 4,600 | 756 | |
T Rowe Price Group Inc. | 3,668 | 702 | |
Popular Inc. | 5,101 | 416 | |
SLM Corp. | 20,233 | 410 | |
BlackRock Inc. | 442 | 388 | |
Ameriprise Financial Inc. | 1,460 | 379 | |
Associated Banc-Corp. | 14,988 | 345 | |
Citizens Financial Group Inc. | 6,610 | 330 | |
FNB Corp. | 24,427 | 328 | |
Jefferies Financial Group Inc. | 9,812 | 315 | |
Citigroup Inc. | 3,888 | 306 | |
CNO Financial Group Inc. | 10,999 | 292 | |
Simmons First National Corp. Class A | 9,399 | 287 | |
Old Republic International Corp. | 10,842 | 285 | |
Virtus Investment Partners Inc. | 1,009 | 284 | |
B Riley Financial Inc. | 3,742 | 276 | |
Aflac Inc. | 4,766 | 270 | |
First Citizens BancShares Inc. Class A | 311 | 268 | |
First Commonwealth Financial Corp. | 17,666 | 268 | |
BOK Financial Corp. | 2,821 | 257 | |
East West Bancorp Inc. | 3,419 | 256 | |
BankUnited Inc. | 5,298 | 253 | |
Stifel Financial Corp. | 3,576 | 248 | |
Equitable Holdings Inc. | 7,804 | 248 | |
Bank of NT Butterfield & Son Ltd. | 6,431 | 245 | |
Aon plc Class A | 952 | 241 | |
Nelnet Inc. Class A | 3,123 | 236 | |
Affiliated Managers Group Inc. | 1,426 | 234 | |
S&P Global Inc. | 614 | 233 | |
Comerica Inc. | 2,885 | 226 | |
Invesco Ltd. | 7,796 | 222 | |
Harbornone Bancorp Inc. | 14,765 | 219 | |
Walker & Dunlop Inc. | 2,110 | 214 | |
Hilltop Holdings Inc. | 5,706 | 212 | |
Investors Bancorp Inc. | 13,892 | 207 | |
HCI Group Inc. | 2,540 | 205 | |
Western Alliance Bancorp | 2,051 | 205 | |
HomeStreet Inc. | 4,482 | 202 |
Shares | Market Value• ($000) | ||
* | Enstar Group Ltd. | 757 | 192 |
Hope Bancorp Inc. | 12,426 | 190 | |
WSFS Financial Corp. | 3,567 | 190 | |
Evercore Inc. Class A | 1,288 | 188 | |
First Financial Bancorp | 7,395 | 188 | |
Sandy Spring Bancorp Inc. | 4,036 | 188 | |
Moody's Corp. | 558 | 187 | |
Eagle Bancorp Inc. | 3,243 | 185 | |
First Bancorp. | 4,176 | 185 | |
Hanmi Financial Corp. | 8,761 | 184 | |
PNC Financial Services Group Inc. | 946 | 184 | |
Fifth Third Bancorp | 4,335 | 183 | |
Primerica Inc. | 1,110 | 180 | |
Brookline Bancorp Inc. | 10,434 | 176 | |
Lazard Ltd. Class A | 3,736 | 176 | |
Raymond James Financial Inc. | 1,316 | 174 | |
Voya Financial Inc. | 2,513 | 165 | |
Oppenheimer Holdings Inc. Class A | 3,176 | 159 | |
Cincinnati Financial Corp. | 1,195 | 145 | |
Zions Bancorp NA | 2,504 | 145 | |
Home BancShares Inc. | 5,106 | 140 | |
Bank of New York Mellon Corp. | 2,658 | 138 | |
Fulton Financial Corp. | 7,952 | 138 | |
Great Western Bancorp Inc. | 3,555 | 119 | |
KeyCorp. | 5,149 | 119 | |
Preferred Bank | 1,721 | 118 | |
Renasant Corp. | 2,627 | 116 | |
UMB Financial Corp. | 1,198 | 116 | |
American National Group Inc. | 770 | 116 | |
First Bancorp. (XNYS) | 9,000 | 115 | |
OceanFirst Financial Corp. | 5,156 | 114 | |
Mercury General Corp. | 1,738 | 111 | |
Stewart Information Services Corp. | 1,831 | 110 | |
Lakeland Financial Corp. | 1,757 | 108 | |
TriCo Bancshares | 2,243 | 108 | |
Ameris Bancorp | 1,954 | 107 | |
First Interstate BancSystem Inc. Class A | 2,225 | 105 | |
Park National Corp. | 810 | 102 | |
* | SVB Financial Group | 166 | 97 |
Commerce Bancshares Inc. | 1,233 | 96 | |
ServisFirst Bancshares Inc. | 1,385 | 96 | |
Bank of Hawaii Corp. | 952 | 85 | |
First Busey Corp. | 3,133 | 84 | |
Morgan Stanley | 862 | 78 | |
OFG Bancorp | 3,238 | 78 | |
Globe Life Inc. | 728 | 77 | |
Washington Trust Bancorp Inc. | 1,326 | 73 | |
PacWest Bancorp | 1,545 | 70 | |
Travelers Cos. Inc. | 422 | 67 | |
Banner Corp. | 1,109 | 65 | |
Allegiance Bancshares Inc. | 1,534 | 62 | |
Franklin Resources Inc. | 1,822 | 62 | |
Bank OZK | 1,437 | 61 | |
Southside Bancshares Inc. | 1,414 | 61 | |
Virtu Financial Inc. Class A | 2,010 | 61 |
Shares | Market Value• ($000) | ||
Federal Agricultural Mortgage Corp. Class C | 595 | 60 | |
Cohen & Steers Inc. | 805 | 59 | |
WesBanco Inc. | 1,411 | 55 | |
BancFirst Corp. | 773 | 53 | |
State Street Corp. | 593 | 52 | |
Artisan Partners Asset Management Inc. Class A | 881 | 45 | |
International Bancshares Corp. | 934 | 43 | |
TrustCo Bank Corp. NY | 1,042 | 41 | |
Kearny Financial Corp. | 2,766 | 36 | |
Independent Bank Group Inc. | 443 | 35 | |
Hanover Insurance Group Inc. | 247 | 34 | |
LPL Financial Holdings Inc. | 228 | 34 | |
Employers Holdings Inc. | 773 | 33 | |
Umpqua Holdings Corp. | 1,745 | 33 | |
1st Source Corp. | 627 | 31 | |
City Holding Co. | 336 | 27 | |
Morningstar Inc. | 93 | 22 | |
Towne Bank | 699 | 22 | |
Assured Guaranty Ltd. | 446 | 21 | |
Wells Fargo & Co. | 391 | 18 | |
* | Axos Financial Inc. | 369 | 17 |
24,309 | |||
Health Care (6.6%) | |||
Anthem Inc. | 1,815 | 723 | |
HCA Healthcare Inc. | 2,982 | 641 | |
Cigna Corp. | 1,273 | 330 | |
* | Align Technology Inc. | 557 | 329 |
* | Moderna Inc. | 1,499 | 277 |
UnitedHealth Group Inc. | 621 | 256 | |
AbbVie Inc. | 1,927 | 218 | |
* | Sage Therapeutics Inc. | 3,091 | 215 |
* | United Therapeutics Corp. | 1,137 | 211 |
* | Tenet Healthcare Corp. | 3,042 | 204 |
* | Medpace Holdings Inc. | 1,157 | 193 |
* | Quidel Corp. | 1,540 | 182 |
* | Laboratory Corp. of America Holdings | 627 | 172 |
Eli Lilly & Co. | 747 | 149 | |
* | Molina Healthcare Inc. | 528 | 133 |
* | Corcept Therapeutics Inc. | 5,998 | 130 |
* | DaVita Inc. | 1,023 | 123 |
* | AngioDynamics Inc. | 5,236 | 121 |
Humana Inc. | 277 | 121 | |
West Pharmaceutical Services Inc. | 340 | 118 | |
Patterson Cos. Inc. | 3,258 | 106 | |
* | Masimo Corp. | 479 | 103 |
Cardinal Health Inc. | 1,818 | 102 | |
* | ModivCare Inc. | 681 | 100 |
* | Catalyst Pharmaceuticals Inc. | 16,308 | 90 |
Agilent Technologies Inc. | 643 | 89 | |
* | Meridian Bioscience Inc. | 4,150 | 86 |
* | Amedisys Inc. | 320 | 83 |
* | Triple-S Management Corp. Class B | 3,164 | 80 |
Computer Programs and Systems Inc. | 2,391 | 77 | |
*,1 | Retractable Technologies Inc. | 8,446 | 77 |
* | Jazz Pharmaceuticals plc | 254 | 45 |
Shares | Market Value• ($000) | ||
Quest Diagnostics Inc. | 312 | 41 | |
* | Amneal Pharmaceuticals Inc. | 7,082 | 40 |
Johnson & Johnson | 181 | 31 | |
Healthcare Services Group Inc. | 881 | 26 | |
* | Supernus Pharmaceuticals Inc. | 647 | 19 |
6,041 | |||
Industrials (19.4%) | |||
Cummins Inc. | 2,999 | 772 | |
3M Co. | 2,570 | 522 | |
Johnson Controls International plc | 7,560 | 503 | |
FedEx Corp. | 1,401 | 441 | |
Accenture plc Class A | 1,041 | 294 | |
Trane Technologies plc | 1,515 | 282 | |
Eaton Corp. plc | 1,889 | 274 | |
AGCO Corp. | 1,864 | 258 | |
Old Dominion Freight Line Inc. | 946 | 251 | |
* | Mohawk Industries Inc. | 1,133 | 239 |
Simpson Manufacturing Co. Inc. | 2,070 | 233 | |
Louisiana-Pacific Corp. | 3,458 | 232 | |
Deere & Co. | 637 | 230 | |
Kforce Inc. | 3,625 | 227 | |
* | Zebra Technologies Corp. Class A | 450 | 224 |
Fortune Brands Home & Security Inc. | 2,161 | 223 | |
DuPont de Nemours Inc. | 2,614 | 221 | |
* | TopBuild Corp. | 1,110 | 220 |
Brunswick Corp. | 2,142 | 219 | |
Caterpillar Inc. | 883 | 213 | |
Snap-on Inc. | 830 | 211 | |
Crown Holdings Inc. | 1,977 | 204 | |
Ryder System Inc. | 2,497 | 204 | |
Werner Enterprises Inc. | 4,189 | 201 | |
* | United Rentals Inc. | 588 | 196 |
Matson Inc. | 2,973 | 192 | |
* | Saia Inc. | 815 | 188 |
EMCOR Group Inc. | 1,481 | 187 | |
Emerson Electric Co. | 1,930 | 185 | |
Eagle Materials Inc. | 1,250 | 183 | |
ManpowerGroup Inc. | 1,487 | 180 | |
* | Generac Holdings Inc. | 543 | 178 |
* | Modine Manufacturing Co. | 9,894 | 174 |
Illinois Tool Works Inc. | 729 | 169 | |
MKS Instruments Inc. | 892 | 168 | |
* | Sykes Enterprises Inc. | 3,999 | 168 |
* | Trex Co. Inc. | 1,712 | 167 |
* | Textainer Group Holdings Ltd. | 4,907 | 165 |
Regal Beloit Corp. | 1,143 | 163 | |
Primoris Services Corp. | 5,052 | 161 | |
Dover Corp. | 1,065 | 160 | |
* | Great Lakes Dredge & Dock Corp. | 10,521 | 154 |
ITT Inc. | 1,641 | 154 | |
CSW Industrials Inc. | 1,256 | 153 | |
Westrock Co. | 2,602 | 152 | |
Owens Corning | 1,403 | 150 | |
Greenbrier Cos. Inc. | 3,353 | 149 | |
Quanex Building Products Corp. | 5,478 | 146 |
Shares | Market Value• ($000) | ||
United Parcel Service Inc. Class B | 643 | 138 | |
CAI International Inc. | 3,195 | 137 | |
Acuity Brands Inc. | 713 | 132 | |
Oshkosh Corp. | 985 | 129 | |
Pentair plc | 1,874 | 129 | |
Astec Industries Inc. | 1,864 | 128 | |
Argan Inc. | 2,585 | 127 | |
* | Covenant Logistics Group Inc. Class A | 5,632 | 127 |
Encore Wire Corp. | 1,528 | 126 | |
* | Hub Group Inc. Class A | 1,734 | 121 |
* | Gibraltar Industries Inc. | 1,513 | 120 |
Sherwin-Williams Co. | 425 | 120 | |
Columbus McKinnon Corp. | 2,331 | 118 | |
Myers Industries Inc. | 5,331 | 117 | |
* | TriNet Group Inc. | 1,536 | 116 |
* | Titan Machinery Inc. | 3,755 | 115 |
MSC Industrial Direct Co. Inc. Class A | 1,193 | 113 | |
* | MYR Group Inc. | 1,291 | 112 |
DHT Holdings Inc. | 17,418 | 111 | |
* | Kelly Services Inc. Class A | 4,303 | 110 |
Hyster-Yale Materials Handling Inc. | 1,424 | 108 | |
Landstar System Inc. | 634 | 108 | |
Rexnord Corp. | 2,149 | 107 | |
Watts Water Technologies Inc. Class A | 789 | 107 | |
*,2 | API Group Corp. | 5,075 | 107 |
* | FTI Consulting Inc. | 772 | 106 |
Franklin Electric Co. Inc. | 1,262 | 106 | |
Quanta Services Inc. | 1,116 | 106 | |
ArcBest Corp. | 1,308 | 102 | |
Schneider National Inc. Class B | 4,127 | 101 | |
* | Berry Global Group Inc. | 1,433 | 98 |
* | Keysight Technologies Inc. | 679 | 97 |
Hubbell Inc. Class B | 497 | 95 | |
JB Hunt Transport Services Inc. | 552 | 95 | |
Shyft Group Inc. | 2,427 | 95 | |
* | Construction Partners Inc. Class A | 2,884 | 93 |
Watsco Inc. | 312 | 91 | |
Crane Co. | 937 | 89 | |
* | MasTec Inc. | 763 | 89 |
WW Grainger Inc. | 191 | 88 | |
Triton International Ltd. | 1,587 | 86 | |
Federal Signal Corp. | 2,002 | 85 | |
* | Atlas Air Worldwide Holdings Inc. | 1,117 | 84 |
Deluxe Corp. | 1,795 | 82 | |
Resources Connection Inc. | 5,652 | 82 | |
* | XPO Logistics Inc. | 560 | 82 |
Robert Half International Inc. | 909 | 81 | |
* | Blue Bird Corp. | 2,841 | 74 |
* | Masonite International Corp. | 616 | 74 |
Costamare Inc. | 6,680 | 72 | |
Badger Meter Inc. | 746 | 71 | |
Kadant Inc. | 421 | 71 | |
AAON Inc. | 1,077 | 71 | |
EVERTEC Inc. | 1,604 | 70 | |
MSA Safety Inc. | 415 | 70 |
Shares | Market Value• ($000) | ||
Genco Shipping & Trading Ltd. | 4,354 | 69 | |
Advanced Drainage Systems Inc. | 585 | 66 | |
* | Sterling Construction Co. Inc. | 2,947 | 66 |
* | Beacon Roofing Supply Inc. | 1,136 | 64 |
Patrick Industries Inc. | 708 | 61 | |
Marten Transport Ltd. | 3,506 | 60 | |
McGrath RentCorp. | 692 | 59 | |
PACCAR Inc. | 533 | 49 | |
ABM Industries Inc. | 976 | 49 | |
* | Vectrus Inc. | 919 | 47 |
Standex International Corp. | 461 | 46 | |
Apogee Enterprises Inc. | 1,181 | 45 | |
Knight-Swift Transportation Holdings Inc. | 948 | 45 | |
* | Atkore Inc. | 559 | 43 |
Granite Construction Inc. | 1,071 | 43 | |
* | WESCO International Inc. | 391 | 42 |
Heidrick & Struggles International Inc. | 789 | 34 | |
ADT Inc. | 3,257 | 34 | |
Comfort Systems USA Inc. | 387 | 32 | |
Packaging Corp. of America | 214 | 32 | |
Exponent Inc. | 314 | 29 | |
* | TrueBlue Inc. | 1,083 | 29 |
Hillenbrand Inc. | 582 | 27 | |
Maximus Inc. | 291 | 27 | |
SPX FLOW Inc. | 337 | 23 | |
UniFirst Corp. | 104 | 23 | |
Valmont Industries Inc. | 88 | 22 | |
Insteel Industries Inc. | 571 | 20 | |
Installed Building Products Inc. | 165 | 20 | |
* | Vicor Corp. | 227 | 20 |
Kronos Worldwide Inc. | 1,139 | 18 | |
17,773 | |||
Real Estate (0.1%) | |||
* | CBRE Group Inc. Class A | 683 | 60 |
St. Joe Co. | 921 | 43 | |
103 | |||
Technology (12.0%) | |||
* | Micron Technology Inc. | 8,999 | 757 |
Applied Materials Inc. | 5,432 | 750 | |
KLA Corp. | 2,242 | 711 | |
Texas Instruments Inc. | 2,708 | 514 | |
HP Inc. | 16,026 | 469 | |
* | Alphabet Inc. Class C | 159 | 383 |
SYNNEX Corp. | 2,623 | 332 | |
Cognizant Technology Solutions Corp. Class A | 4,232 | 303 | |
Lam Research Corp. | 418 | 272 | |
Jabil Inc. | 4,461 | 252 | |
Apple Inc. | 1,872 | 233 | |
* | Verint Systems Inc. | 4,975 | 229 |
Teradyne Inc. | 1,716 | 227 | |
International Business Machines Corp. | 1,478 | 213 | |
* | Diodes Inc. | 2,622 | 198 |
Intel Corp. | 3,377 | 193 | |
* | SMART Global Holdings Inc. | 4,075 | 193 |
* | Arrow Electronics Inc. | 1,594 | 192 |
Shares | Market Value• ($000) | ||
NVIDIA Corp. | 293 | 190 | |
Advanced Energy Industries Inc. | 1,762 | 180 | |
* | Brightcove Inc. | 12,203 | 177 |
* | Facebook Inc. Class A | 520 | 171 |
* | Qorvo Inc. | 917 | 168 |
* | Synaptics Inc. | 1,324 | 167 |
* | Dell Technologies Inc. Class C | 1,663 | 164 |
Hewlett Packard Enterprise Co. | 10,041 | 160 | |
* | NCR Corp. | 3,184 | 154 |
* | Avid Technology Inc. | 4,830 | 149 |
Shutterstock Inc. | 1,645 | 149 | |
Dolby Laboratories Inc. Class A | 1,503 | 147 | |
Microsoft Corp. | 584 | 146 | |
NetApp Inc. | 1,769 | 137 | |
Vishay Intertechnology Inc. | 5,573 | 134 | |
* | Alphabet Inc. Class A | 56 | 132 |
* | Insight Enterprises Inc. | 1,265 | 132 |
* | Lattice Semiconductor Corp. | 2,449 | 130 |
* | Allscripts Healthcare Solutions Inc. | 7,363 | 128 |
Skyworks Solutions Inc. | 749 | 127 | |
* | TechTarget Inc. | 1,709 | 120 |
* | Onto Innovation Inc. | 1,675 | 120 |
* | Calix Inc. | 2,534 | 112 |
* | II-VI Inc. | 1,505 | 101 |
* | Photronics Inc. | 6,808 | 92 |
* | FormFactor Inc. | 2,541 | 90 |
* | ePlus Inc. | 831 | 79 |
* | Sanmina Corp. | 1,804 | 76 |
* | Agilysys Inc. | 1,457 | 74 |
Oracle Corp. | 900 | 71 | |
* | Mitek Systems Inc. | 3,936 | 67 |
* | F5 Networks Inc. | 342 | 63 |
* | Plexus Corp. | 624 | 62 |
* | Fabrinet | 672 | 60 |
* | Perficient Inc. | 827 | 59 |
* | IAC/Inter Active Corp. | 258 | 41 |
* | ScanSource Inc. | 1,113 | 34 |
Avnet Inc. | 755 | 33 | |
Vertiv Holdings Co. Class A | 1,033 | 26 | |
CDW Corp. | 130 | 22 | |
* | Cadence Design Systems Inc. | 173 | 22 |
Amkor Technology Inc. | 1,007 | 21 | |
* | Manhattan Associates Inc. | 154 | 21 |
Broadcom Inc. | 38 | 18 | |
* | Vimeo Inc. | 419 | 18 |
PC Connection Inc. | 106 | 5 | |
QUALCOMM Inc. | 7 | 1 | |
10,971 | |||
Telecommunications (0.9%) | |||
Cisco Systems Inc. | 5,646 | 299 | |
* | WideOpenWest Inc. | 11,384 | 190 |
Lumen Technologies Inc. | 12,753 | 176 | |
* | NETGEAR Inc. | 2,971 | 115 |
Shares | Market Value• ($000) | ||
* | Charter Communications Inc. Class A | 112 | 78 |
858 | |||
Total Common Stocks (Cost $67,937) | 91,270 | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.055% (Cost $214) | 2,143 | 215 |
Total Investments (99.9%) (Cost $68,151) | 91,485 | ||
Other Assets and Liabilities— Net (0.1%) | 50 | ||
Net Assets (100%) | 91,535 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $73,000. |
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 May 31, 2021, the aggregate value was $107,000, representing 0.1% 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 | Collateral of $80,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Micro E-mini S&P 500 Index | June 2021 | 10 | 210 | 11 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $67,937) | 91,270 |
Affiliated Issuers (Cost $214) | 215 |
Total Investments in Securities | 91,485 |
Investment in Vanguard | 3 |
Cash Collateral Pledged—Futures Contracts | 18 |
Receivables for Accrued Income | 142 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 91,648 |
Liabilities | |
Payables for Investment Securities Purchased | 26 |
Collateral for Securities on Loan | 80 |
Payables to Vanguard | 7 |
Total Liabilities | 113 |
Net Assets | 91,535 |
At May 31, 2021, net assets consisted of: | |
Paid-in Capital | 83,408 |
Total Distributable Earnings (Loss) | 8,127 |
Net Assets | 91,535 |
Net Assets | |
Applicable to 895,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 91,535 |
Net Asset Value Per Share | $102.27 |
Six Months Ended May 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 568 |
Interest1 | — |
Securities Lending—Net | 4 |
Total Income | 572 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 61 |
Marketing and Distribution | — |
Custodian Fees | 4 |
Shareholders’ Reports | 2 |
Trustees’ Fees and Expenses | — |
Total Expenses | 67 |
Net Investment Income | 505 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 2,991 |
Futures Contracts | 27 |
Realized Net Gain (Loss) | 3,018 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 14,698 |
Futures Contracts | 6 |
Change in Unrealized Appreciation (Depreciation) | 14,704 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 18,227 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $444,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 505 | 1,134 | |
Realized Net Gain (Loss) | 3,018 | (10,370) | |
Change in Unrealized Appreciation (Depreciation) | 14,704 | 1,583 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 18,227 | (7,653) | |
Distributions | |||
Total Distributions | (540) | (1,209) | |
Capital Share Transactions | |||
Issued | 13,978 | 12,089 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (2,076) | (30,826) | |
Net Increase (Decrease) from Capital Share Transactions | 11,902 | (18,737) | |
Total Increase (Decrease) | 29,589 | (27,599) | |
Net Assets | |||
Beginning of Period | 61,946 | 89,545 | |
End of Period | 91,535 | 61,946 |
For a Share Outstanding Throughout Each Period | Six Months, Ended May 31, 2021 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $79.93 | $79.60 | $76.07 | $75.00 |
Investment Operations | ||||
Net Investment Income2 | .633 | 1.191 | 1.340 | 1.007 |
Net Realized and Unrealized Gain (Loss) on Investments | 22.410 | .372 | 3.458 | .543 |
Total from Investment Operations | 23.043 | 1.563 | 4.798 | 1.550 |
Distributions | ||||
Dividends from Net Investment Income | (.703) | (1.233) | (1.268) | (.480) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.703) | (1.233) | (1.268) | (.480) |
Net Asset Value, End of Period | $102.27 | $79.93 | $79.60 | $76.07 |
Total Return | 28.97% | 2.35% | 6.46% | 2.03% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $92 | $62 | $90 | $76 |
Ratio of Total Expenses to Average Net Assets | 0.18% | 0.19%3 | 0.19%3 | 0.18%4 |
Ratio of Net Investment Income to Average Net Assets | 1.28% | 1.66% | 1.79% | 1.59%4 |
Portfolio Turnover Rate | 47%5 | 95%5 | 98% | 64% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.18%. |
4 | Annualized. |
5 | 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. |
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. |
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 and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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. |
D. | As of May 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 68,151 |
Gross Unrealized Appreciation | 23,605 |
Gross Unrealized Depreciation | (260) |
Net Unrealized Appreciation (Depreciation) | 23,345 |
E. | During the six months ended May 31, 2021, the fund purchased $48,465,000 of investment securities and sold $36,529,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $2,076,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 145 | 150 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (25) | (500) | |
Net Increase (Decrease) in Shares Outstanding | 120 | (350) |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 2.6% |
Consumer Discretionary | 22.4 |
Consumer Staples | 5.8 |
Energy | 0.8 |
Financials | 16.4 |
Health Care | 13.7 |
Industrials | 18.5 |
Real Estate | 0.8 |
Technology | 17.2 |
Telecommunications | 1.7 |
Utilities | 0.1 |
Shares | Market Value• ($000) | ||
Common Stocks (99.7%) | |||
Basic Materials (2.6%) | |||
* | Alcoa Corp. | 4,968 | 197 |
Fastenal Co. | 3,346 | 178 | |
Freeport-McMoRan Inc. | 3,443 | 147 | |
Reliance Steel & Aluminum Co. | 769 | 129 | |
Ecolab Inc. | 577 | 124 | |
Avery Dennison Corp. | 476 | 105 | |
Tredegar Corp. | 6,459 | 98 | |
UFP Industries Inc. | 1,152 | 92 | |
Gold Resource Corp. | 32,850 | 91 | |
* | Orion Engineered Carbons SA | 3,706 | 75 |
Materion Corp. | 875 | 69 | |
Boise Cascade Co. | 903 | 60 | |
Innospec Inc. | 583 | 59 | |
Mueller Industries Inc. | 1,218 | 57 | |
* | Clearwater Paper Corp. | 1,821 | 52 |
Verso Corp. Class A | 3,057 | 52 | |
Steel Dynamics Inc. | 773 | 48 | |
Commercial Metals Co. | 1,505 | 47 | |
Neenah Inc. | 851 | 45 | |
CF Industries Holdings Inc. | 824 | 44 | |
Worthington Industries Inc. | 618 | 41 | |
Sensient Technologies Corp. | 453 | 39 | |
* | Univar Solutions Inc. | 1,437 | 39 |
FMC Corp. | 323 | 38 | |
Stepan Co. | 285 | 38 | |
* | GCP Applied Technologies Inc. | 1,314 | 32 |
Compass Minerals International Inc. | 433 | 30 | |
Scotts Miracle-Gro Co. | 128 | 28 | |
* | Coeur Mining Inc. | 2,427 | 25 |
International Paper Co. | 390 | 25 | |
* | RBC Bearings Inc. | 126 | 25 |
2,129 | |||
Consumer Discretionary (22.3%) | |||
Target Corp. | 4,173 | 947 | |
Walmart Inc. | 5,538 | 787 | |
Costco Wholesale Corp. | 2,030 | 768 | |
* | O'Reilly Automotive Inc. | 1,336 | 715 |
Lowe's Cos. Inc. | 3,164 | 616 |
Shares | Market Value• ($000) | ||
Estee Lauder Cos. Inc. Class A | 1,792 | 549 | |
* | Lululemon Athletica Inc. | 1,303 | 421 |
Ross Stores Inc. | 3,144 | 397 | |
TJX Cos. Inc. | 5,291 | 357 | |
Activision Blizzard Inc. | 2,672 | 260 | |
Electronic Arts Inc. | 1,689 | 241 | |
eBay Inc. | 3,936 | 240 | |
* | Amazon.com Inc. | 72 | 232 |
Kontoor Brands Inc. | 3,285 | 210 | |
NIKE Inc. Class B | 1,524 | 208 | |
Polaris Inc. | 1,498 | 197 | |
* | YETI Holdings Inc. | 2,234 | 196 |
* | Lovesac Co. | 2,288 | 190 |
* | Deckers Outdoor Corp. | 550 | 185 |
Genuine Parts Co. | 1,387 | 182 | |
* | Ollie's Bargain Outlet Holdings Inc. | 2,101 | 182 |
Williams-Sonoma Inc. | 964 | 163 | |
PROG Holdings Inc. | 3,056 | 161 | |
Best Buy Co. Inc. | 1,374 | 160 | |
* | Children's Place Inc. | 1,708 | 159 |
* | Stamps.com Inc. | 845 | 159 |
Rollins Inc. | 4,609 | 157 | |
Carter's Inc. | 1,508 | 154 | |
VF Corp. | 1,932 | 154 | |
* | Etsy Inc. | 895 | 147 |
* | Nautilus Inc. | 8,103 | 146 |
* | Signet Jewelers Ltd. | 2,398 | 145 |
* | Booking Holdings Inc. | 61 | 144 |
* | Turtle Beach Corp. | 4,262 | 141 |
* | Citi Trends Inc. | 1,681 | 140 |
Tempur Sealy International Inc. | 3,506 | 135 | |
* | Sonos Inc. | 3,404 | 126 |
Garmin Ltd. | 885 | 126 | |
Dick's Sporting Goods Inc. | 1,253 | 122 | |
* | NVR Inc. | 25 | 122 |
* | Hibbett Sports Inc. | 1,385 | 117 |
* | Take-Two Interactive Software Inc. | 624 | 116 |
* | Lakeland Industries Inc. | 4,560 | 115 |
* | Abercrombie & Fitch Co. Class A | 2,672 | 114 |
* | Master Craft Boat Holdings Inc. | 4,112 | 114 |
* | Perdoceo Education Corp. | 9,073 | 111 |
Movado Group Inc. | 3,933 | 109 | |
Acushnet Holdings Corp. | 1,989 | 106 | |
Gentex Corp. | 2,978 | 106 | |
* | iRobot Corp. | 1,083 | 106 |
* | Liquidity Services Inc. | 4,416 | 106 |
Tractor Supply Co. | 582 | 106 | |
Hanesbrands Inc. | 5,303 | 104 | |
* | ODP Corp. | 2,374 | 104 |
Rent-A-Center Inc. | 1,661 | 103 | |
Pool Corp. | 231 | 101 | |
H&R Block Inc. | 4,013 | 100 | |
Johnson Outdoors Inc. Class A | 808 | 99 | |
Buckle Inc. | 2,223 | 94 | |
* | Ulta Beauty Inc. | 268 | 93 |
Shares | Market Value• ($000) | ||
* | Genesco Inc. | 1,668 | 92 |
* | AutoNation Inc. | 882 | 90 |
* | XPEL Inc. | 1,048 | 86 |
* | Mattel Inc. | 4,006 | 85 |
* | Asbury Automotive Group Inc. | 423 | 84 |
Columbia Sportswear Co. | 819 | 84 | |
News Corp. Class A | 3,071 | 83 | |
* | Skyline Champion Corp. | 1,633 | 83 |
Ethan Allen Interiors Inc. | 2,841 | 82 | |
* | Gentherm Inc. | 1,133 | 82 |
Whirlpool Corp. | 344 | 82 | |
* | GoPro Inc. Class A | 7,262 | 81 |
* | Under Armour Inc. Class A | 3,561 | 80 |
* | Selectquote Inc. | 3,927 | 80 |
Dillard's Inc. Class A | 595 | 78 | |
* | Lumber Liquidators Holdings Inc. | 3,417 | 78 |
Omnicom Group Inc. | 941 | 77 | |
Qurate Retail Inc. Series A | 5,658 | 77 | |
* | Helen of Troy Ltd. | 368 | 77 |
* | LKQ Corp. | 1,474 | 75 |
La-Z-Boy Inc. | 1,817 | 75 | |
* | Adtalem Global Education Inc. | 1,972 | 72 |
* | Macy's Inc. | 3,925 | 72 |
* | Malibu Boats Inc. Class A | 921 | 72 |
* | OneWater Marine Inc. Class A | 1,471 | 72 |
Matthews International Corp. Class A | 1,807 | 71 | |
* | Universal Electronics Inc. | 1,424 | 71 |
Advance Auto Parts Inc. | 368 | 70 | |
HNI Corp. | 1,537 | 70 | |
* | Discovery Inc. Class A | 2,161 | 69 |
* | MarineMax Inc. | 1,349 | 69 |
Big Lots Inc. | 1,119 | 68 | |
Foot Locker Inc. | 1,076 | 68 | |
Caleres Inc. | 2,617 | 66 | |
* | Cars.com Inc. | 4,423 | 65 |
John Wiley & Sons Inc. Class A | 1,003 | 64 | |
* | BJ's Wholesale Club Holdings Inc. | 1,397 | 63 |
New York Times Co. Class A | 1,450 | 62 | |
* | Tenneco Inc. Class A | 3,944 | 62 |
* | elf Beauty Inc. | 2,168 | 61 |
Haverty Furniture Cos. Inc. | 1,329 | 61 | |
* | Zumiez Inc. | 1,397 | 61 |
Standard Motor Products Inc. | 1,337 | 60 | |
* | Cavco Industries Inc. | 268 | 59 |
Group 1 Automotive Inc. | 373 | 59 | |
* | Dollar Tree Inc. | 595 | 58 |
* | 1-800-Flowers.com Inc. Class A | 1,893 | 58 |
* | Crocs Inc. | 566 | 57 |
* | Fossil Group Inc. | 3,984 | 56 |
Aaron's Co. Inc. | 1,530 | 55 | |
* | Container Store Group Inc. | 3,982 | 54 |
BorgWarner Inc. | 1,010 | 52 | |
* | Dorman Products Inc. | 510 | 52 |
Steven Madden Ltd. | 1,262 | 52 | |
Wolverine World Wide Inc. | 1,341 | 49 |
Shares | Market Value• ($000) | ||
World Wrestling Entertainment Inc. Class A | 869 | 49 | |
Shoe Carnival Inc. | 712 | 48 | |
Sonic Automotive Inc. Class A | 974 | 47 | |
* | American Axle & Manufacturing Holdings Inc. | 4,079 | 46 |
* | PVH Corp. | 402 | 46 |
* | Gannett Co. Inc. | 8,984 | 46 |
* | Funko Inc. Class A | 1,719 | 45 |
* | Sally Beauty Holdings Inc. | 2,069 | 45 |
* | Copart Inc. | 328 | 42 |
* | SiteOne Landscape Supply Inc. | 246 | 42 |
Inter Parfums Inc. | 527 | 40 | |
Interface Inc. Class A | 2,440 | 40 | |
Herman Miller Inc. | 794 | 38 | |
Camping World Holdings Inc. Class A | 823 | 37 | |
* | American Public Education Inc. | 1,283 | 36 |
* | Ralph Lauren Corp. Class A | 294 | 36 |
* | Vera Bradley Inc. | 3,165 | 36 |
Murphy USA Inc. | 263 | 35 | |
* | AMC Networks Inc. Class A | 658 | 35 |
Kimball International Inc. Class B | 2,514 | 33 | |
PriceSmart Inc. | 379 | 33 | |
* | Duluth Holdings Inc. Class B | 1,926 | 31 |
* | Grand Canyon Education Inc. | 325 | 30 |
Winnebago Industries Inc. | 402 | 30 | |
* | Purple Innovation Inc. Class A | 1,058 | 30 |
Kohl's Corp. | 530 | 29 | |
* | Stoneridge Inc. | 953 | 29 |
* | CarParts.com Inc. | 1,765 | 29 |
* | Copa Holdings SA Class A | 346 | 28 |
* | Fluent Inc. | 8,415 | 24 |
Oxford Industries Inc. | 239 | 23 | |
* | Visteon Corp. | 176 | 22 |
Rush Enterprises Inc. Class A | 370 | 18 | |
* | Coty Inc. Class A | 1,950 | 17 |
* | Lands' End Inc. | 668 | 17 |
* | Quotient Technology Inc. | 1,413 | 17 |
Yum China Holdings Inc. | 251 | 17 | |
Nielsen Holdings plc | 620 | 17 | |
Cato Corp. Class A | 1,032 | 16 | |
18,085 | |||
Consumer Staples (5.8%) | |||
Procter & Gamble Co. | 4,944 | 667 | |
Colgate-Palmolive Co. | 5,579 | 467 | |
* | Monster Beverage Corp. | 3,587 | 338 |
Sysco Corp. | 3,901 | 316 | |
Altria Group Inc. | 6,276 | 309 | |
Flowers Foods Inc. | 10,037 | 242 | |
Kroger Co. | 5,681 | 210 | |
John B Sanfilippo & Son Inc. | 1,730 | 161 | |
Medifast Inc. | 455 | 151 | |
* | USANA Health Sciences Inc. | 1,318 | 139 |
Ingles Markets Inc. Class A | 2,074 | 129 | |
Casey's General Stores Inc. | 561 | 124 | |
PetMed Express Inc. | 4,138 | 120 | |
National Beverage Corp. | 2,244 | 112 |
Shares | Market Value• ($000) | ||
* | Boston Beer Co. Inc. Class A | 101 | 107 |
* | United Natural Foods Inc. | 2,717 | 103 |
SpartanNash Co. | 4,760 | 100 | |
Nu Skin Enterprises Inc. Class A | 1,602 | 96 | |
Weis Markets Inc. | 1,840 | 94 | |
AmerisourceBergen Corp. Class A | 689 | 79 | |
Lancaster Colony Corp. | 349 | 65 | |
MGP Ingredients Inc. | 791 | 55 | |
WD-40 Co. | 214 | 52 | |
Brown-Forman Corp. Class B | 611 | 49 | |
Coca-Cola Consolidated Inc. | 121 | 49 | |
McKesson Corp. | 255 | 49 | |
* | Rite Aid Corp. | 2,703 | 49 |
J & J Snack Foods Corp. | 259 | 46 | |
Clorox Co. | 226 | 40 | |
* | Sprouts Farmers Market Inc. | 1,439 | 38 |
Spectrum Brands Holdings Inc. | 418 | 37 | |
Sanderson Farms Inc. | 198 | 32 | |
Calavo Growers Inc. | 396 | 28 | |
* | Hain Celestial Group Inc. | 661 | 27 |
Coca-Cola Europacific Partners plc | 366 | 22 | |
Church & Dwight Co. Inc. | 180 | 16 | |
* | Veru Inc. | 1,303 | 12 |
4,730 | |||
Energy (0.8%) | |||
* | ProPetro Holding Corp. | 8,832 | 88 |
* | Enphase Energy Inc. | 495 | 71 |
* | Liberty Oilfield Services Inc. Class A | 4,395 | 66 |
* | Renewable Energy Group Inc. | 912 | 56 |
* | NOW Inc. | 5,055 | 53 |
* | DMC Global Inc. | 854 | 45 |
* | MRC Global Inc. | 3,959 | 42 |
Cactus Inc. Class A | 1,102 | 39 | |
* | RPC Inc. | 7,961 | 39 |
* | Kosmos Energy Ltd. | 11,340 | 36 |
Solaris Oilfield Infrastructure Inc. Class A | 3,298 | 33 | |
World Fuel Services Corp. | 1,055 | 32 | |
* | Frank's International NV | 8,866 | 30 |
SunCoke Energy Inc. | 2,954 | 22 | |
652 | |||
Financials (16.3%) | |||
Aon plc Class A | 3,329 | 843 | |
Allstate Corp. | 4,645 | 635 | |
Moody's Corp. | 1,543 | 517 | |
S&P Global Inc. | 1,344 | 510 | |
* | Berkshire Hathaway Inc. Class B | 1,474 | 427 |
T Rowe Price Group Inc. | 1,277 | 244 | |
First Citizens BancShares Inc. Class A | 268 | 231 | |
SLM Corp. | 10,590 | 214 | |
Western Alliance Bancorp | 2,039 | 204 | |
* | Credit Acceptance Corp. | 435 | 195 |
Popular Inc. | 2,221 | 181 | |
Ameriprise Financial Inc. | 614 | 160 | |
Discover Financial Services | 1,365 | 160 | |
Assured Guaranty Ltd. | 3,368 | 160 |
Shares | Market Value• ($000) | ||
Brightsphere Investment Group Inc. | 7,162 | 159 | |
LPL Financial Holdings Inc. | 1,043 | 154 | |
* | SVB Financial Group | 262 | 153 |
Associated Banc-Corp. | 6,344 | 146 | |
Virtu Financial Inc. Class A | 4,658 | 142 | |
Affiliated Managers Group Inc. | 832 | 136 | |
First Merchants Corp. | 2,862 | 133 | |
Equitable Holdings Inc. | 4,100 | 130 | |
* | Triumph Bancorp Inc. | 1,530 | 128 |
Washington Trust Bancorp Inc. | 2,281 | 125 | |
Santander Consumer USA Holdings Inc. | 3,171 | 120 | |
* | World Acceptance Corp. | 746 | 120 |
East West Bancorp Inc. | 1,583 | 118 | |
Fulton Financial Corp. | 6,679 | 116 | |
Safety Insurance Group Inc. | 1,366 | 116 | |
TriCo Bancshares | 2,419 | 116 | |
PennyMac Financial Services Inc. | 1,816 | 114 | |
HomeStreet Inc. | 2,510 | 113 | |
Cboe Global Markets Inc. | 1,004 | 112 | |
* | Mr Cooper Group Inc. | 3,227 | 112 |
Ally Financial Inc. | 2,023 | 111 | |
WSFS Financial Corp. | 2,020 | 107 | |
Employers Holdings Inc. | 2,523 | 106 | |
* | Encore Capital Group Inc. | 2,299 | 106 |
First Commonwealth Financial Corp. | 6,924 | 105 | |
First Financial Bancorp | 4,110 | 105 | |
State Street Corp. | 1,181 | 103 | |
Veritex Holdings Inc. | 2,929 | 103 | |
JPMorgan Chase & Co. | 610 | 100 | |
Hilltop Holdings Inc. | 2,657 | 99 | |
First Busey Corp. | 3,547 | 95 | |
Northern Trust Corp. | 784 | 95 | |
Meta Financial Group Inc. | 1,748 | 93 | |
Primerica Inc. | 571 | 93 | |
OneMain Holdings Inc. | 1,585 | 92 | |
Park National Corp. | 712 | 90 | |
FactSet Research Systems Inc. | 267 | 89 | |
Hope Bancorp Inc. | 5,762 | 88 | |
Fifth Third Bancorp | 2,074 | 87 | |
Navient Corp. | 4,685 | 86 | |
Southside Bancshares Inc. | 2,011 | 86 | |
Synovus Financial Corp. | 1,686 | 83 | |
HCI Group Inc. | 1,010 | 81 | |
Investors Bancorp Inc. | 5,422 | 81 | |
Comerica Inc. | 1,018 | 80 | |
CNO Financial Group Inc. | 2,931 | 78 | |
First American Financial Corp. | 1,204 | 77 | |
PJT Partners Inc. Class A | 1,027 | 75 | |
Eagle Bancorp Inc. | 1,292 | 74 | |
Federated Hermes Inc. | 2,319 | 74 | |
Great Western Bancorp Inc. | 2,225 | 74 | |
Heritage Financial Corp. | 2,538 | 74 | |
* | Axos Financial Inc. | 1,550 | 73 |
B Riley Financial Inc. | 980 | 72 | |
Oppenheimer Holdings Inc. Class A | 1,436 | 72 |
Shares | Market Value• ($000) | ||
Ameris Bancorp | 1,287 | 71 | |
Cathay General Bancorp | 1,697 | 71 | |
First Foundation Inc. | 2,818 | 71 | |
First Hawaiian Inc. | 2,539 | 71 | |
Lazard Ltd. Class A | 1,494 | 70 | |
MGIC Investment Corp. | 4,665 | 69 | |
First Bancorp. | 1,539 | 68 | |
Curo Group Holdings Corp. | 4,038 | 67 | |
OFG Bancorp | 2,786 | 67 | |
BankUnited Inc. | 1,378 | 66 | |
Nelnet Inc. Class A | 862 | 65 | |
Washington Federal Inc. | 1,937 | 65 | |
Commerce Bancshares Inc. | 819 | 64 | |
UMB Financial Corp. | 650 | 63 | |
Walker & Dunlop Inc. | 620 | 63 | |
City Holding Co. | 767 | 62 | |
First Interstate BancSystem Inc. Class A | 1,326 | 62 | |
Mercury General Corp. | 963 | 61 | |
* | LendingClub Corp. | 3,810 | 58 |
Bank of NT Butterfield & Son Ltd. | 1,521 | 58 | |
* | Brighthouse Financial Inc. | 1,179 | 57 |
Federal Agricultural Mortgage Corp. Class C | 564 | 57 | |
SEI Investments Co. | 854 | 54 | |
MarketAxess Holdings Inc. | 114 | 53 | |
Radian Group Inc. | 2,227 | 52 | |
Raymond James Financial Inc. | 395 | 52 | |
Bank of New York Mellon Corp. | 961 | 50 | |
Artisan Partners Asset Management Inc. Class A | 949 | 48 | |
Erie Indemnity Co. Class A | 238 | 48 | |
Interactive Brokers Group Inc. Class A | 721 | 48 | |
Zions Bancorp NA | 823 | 48 | |
Atlantic Union Bankshares Corp. | 1,134 | 47 | |
Central Pacific Financial Corp. | 1,702 | 47 | |
M&T Bank Corp. | 295 | 47 | |
National Bank Holdings Corp. Class A | 1,182 | 47 | |
* | Customers Bancorp Inc. | 1,217 | 46 |
WisdomTree Investments Inc. | 6,777 | 45 | |
Renasant Corp. | 944 | 42 | |
* | Enova International Inc. | 1,087 | 41 |
Simmons First National Corp. Class A | 1,340 | 41 | |
Diamond Hill Investment Group Inc. | 226 | 40 | |
Hanmi Financial Corp. | 1,845 | 39 | |
Columbia Banking System Inc. | 855 | 37 | |
BancFirst Corp. | 505 | 35 | |
Cohen & Steers Inc. | 477 | 35 | |
Lakeland Financial Corp. | 529 | 33 | |
Greenhill & Co. Inc. | 1,665 | 29 | |
Home BancShares Inc. | 1,050 | 29 | |
TrustCo Bank Corp. NY | 738 | 29 | |
Independent Bank Group Inc. | 353 | 28 | |
Old National Bancorp | 1,462 | 28 | |
Morningstar Inc. | 114 | 27 | |
Cincinnati Financial Corp. | 216 | 26 | |
Independent Bank Corp. (XNGS) | 318 | 26 | |
KeyCorp. | 1,107 | 25 |
Shares | Market Value• ($000) | ||
* | Focus Financial Partners Inc. Class A | 471 | 24 |
Evercore Inc. Class A | 152 | 22 | |
Hanover Insurance Group Inc. | 157 | 22 | |
International Bancshares Corp. | 451 | 21 | |
Tompkins Financial Corp. | 242 | 20 | |
1st Source Corp. | 375 | 19 | |
*,1 | BM Technologies Inc. (Acquired 12/17/20, Cost $2) | 194 | 2 |
13,229 | |||
Health Care (13.7%) | |||
* | IDEXX Laboratories Inc. | 1,246 | 695 |
Gilead Sciences Inc. | 8,287 | 548 | |
* | Vertex Pharmaceuticals Inc. | 2,480 | 517 |
Anthem Inc. | 1,240 | 494 | |
Johnson & Johnson | 2,913 | 493 | |
* | Edwards Lifesciences Corp. | 4,698 | 451 |
Cerner Corp. | 5,147 | 403 | |
Humana Inc. | 881 | 386 | |
* | Veeva Systems Inc. Class A | 1,323 | 385 |
Eli Lilly & Co. | 1,832 | 366 | |
Agilent Technologies Inc. | 2,224 | 307 | |
Amgen Inc. | 1,139 | 271 | |
ResMed Inc. | 1,212 | 249 | |
* | Align Technology Inc. | 398 | 235 |
* | Incyte Corp. | 2,443 | 205 |
* | Quidel Corp. | 1,708 | 202 |
* | Sage Therapeutics Inc. | 2,842 | 198 |
* | Exelixis Inc. | 8,733 | 197 |
Abbott Laboratories | 1,638 | 191 | |
* | Intuitive Surgical Inc. | 226 | 190 |
Bruker Corp. | 2,468 | 171 | |
Owens & Minor Inc. | 3,707 | 166 | |
* | Molina Healthcare Inc. | 653 | 164 |
* | Moderna Inc. | 685 | 127 |
* | Catalyst Pharmaceuticals Inc. | 21,307 | 118 |
*,2 | Co-Diagnostics Inc. | 13,244 | 107 |
West Pharmaceutical Services Inc. | 306 | 106 | |
Healthcare Services Group Inc. | 3,358 | 101 | |
* | Ovid therapeutics Inc. | 24,177 | 100 |
Cardinal Health Inc. | 1,755 | 98 | |
* | CorVel Corp. | 747 | 93 |
* | STAAR Surgical Co. | 635 | 93 |
* | Masimo Corp. | 410 | 88 |
* | Surmodics Inc. | 1,666 | 88 |
* | Tivity Health Inc. | 3,325 | 87 |
* | Jazz Pharmaceuticals plc | 491 | 87 |
* | Fulgent Genetics Inc. | 1,157 | 86 |
* | Globus Medical Inc. Class A | 1,175 | 85 |
*,2 | Retractable Technologies Inc. | 8,965 | 82 |
* | Omnicell Inc. | 556 | 77 |
* | Corcept Therapeutics Inc. | 3,517 | 76 |
* | Viemed Healthcare Inc. | 9,470 | 74 |
Chemed Corp. | 149 | 73 | |
* | Amedisys Inc. | 280 | 72 |
* | ModivCare Inc. | 476 | 70 |
* | Myriad Genetics Inc. | 2,418 | 69 |
Shares | Market Value• ($000) | ||
Patterson Cos. Inc. | 1,952 | 64 | |
* | Collegium Pharmaceutical Inc. | 2,628 | 63 |
* | Vanda Pharmaceuticals Inc. | 3,539 | 63 |
Hill-Rom Holdings Inc. | 556 | 62 | |
* | BioDelivery Sciences International Inc. | 16,994 | 60 |
* | Meridian Bioscience Inc. | 2,751 | 57 |
* | Henry Schein Inc. | 745 | 57 |
* | Medpace Holdings Inc. | 331 | 55 |
* | Hologic Inc. | 828 | 52 |
* | ChromaDex Corp. | 6,104 | 51 |
* | Neogen Corp. | 504 | 47 |
* | Cutera Inc. | 1,197 | 46 |
* | DaVita Inc. | 380 | 46 |
* | LHC Group Inc. | 236 | 46 |
Computer Programs and Systems Inc. | 1,394 | 45 | |
Quest Diagnostics Inc. | 344 | 45 | |
* | AngioDynamics Inc. | 1,802 | 42 |
* | Zynex Inc. | 2,716 | 41 |
* | Seagen Inc. | 264 | 41 |
* | ABIOMED Inc. | 141 | 40 |
* | MEI Pharma Inc. | 14,011 | 40 |
UnitedHealth Group Inc. | 98 | 40 | |
* | Akebia Therapeutics Inc. | 10,727 | 38 |
DENTSPLY SIRONA Inc. | 552 | 37 | |
* | Eagle Pharmaceuticals Inc. | 846 | 34 |
* | Natus Medical Inc. | 1,270 | 34 |
Phibro Animal Health Corp. Class A | 1,151 | 32 | |
* | Biogen Inc. | 103 | 28 |
* | ICU Medical Inc. | 133 | 28 |
* | United Therapeutics Corp. | 138 | 26 |
* | Antares Pharma Inc. | 6,371 | 25 |
* | Amphastar Pharmaceuticals Inc. | 1,227 | 23 |
* | NextGen Healthcare Inc. | 1,422 | 23 |
* | Joint Corp. | 296 | 21 |
Bio-Techne Corp. | 46 | 19 | |
* | Amneal Pharmaceuticals Inc. | 2,832 | 16 |
* | Inogen Inc. | 241 | 15 |
* | Orthofix Medical Inc. | 374 | 15 |
11,058 | |||
Industrials (18.5%) | |||
Accenture plc Class A | 2,375 | 670 | |
Sherwin-Williams Co. | 2,070 | 587 | |
Cummins Inc. | 1,667 | 429 | |
3M Co. | 1,757 | 357 | |
Automatic Data Processing Inc. | 1,797 | 352 | |
Jack Henry & Associates Inc. | 1,758 | 271 | |
A O Smith Corp. | 3,738 | 266 | |
Paychex Inc. | 2,417 | 244 | |
Illinois Tool Works Inc. | 1,002 | 232 | |
Landstar System Inc. | 1,265 | 216 | |
Watsco Inc. | 666 | 194 | |
Louisiana-Pacific Corp. | 2,859 | 192 | |
Emerson Electric Co. | 1,992 | 191 | |
Robert Half International Inc. | 2,108 | 187 | |
Brunswick Corp. | 1,713 | 175 |
Shares | Market Value• ($000) | ||
AGCO Corp. | 1,222 | 169 | |
MSC Industrial Direct Co. Inc. Class A | 1,767 | 167 | |
John Bean Technologies Corp. | 1,127 | 162 | |
Old Dominion Freight Line Inc. | 611 | 162 | |
Donaldson Co. Inc. | 2,609 | 161 | |
Acuity Brands Inc. | 859 | 160 | |
Maximus Inc. | 1,648 | 153 | |
* | Donnelley Financial Solutions Inc. | 4,902 | 146 |
EMCOR Group Inc. | 1,109 | 140 | |
Ennis Inc. | 6,581 | 138 | |
Graco Inc. | 1,729 | 131 | |
Kforce Inc. | 2,050 | 129 | |
* | Zebra Technologies Corp. Class A | 253 | 126 |
* | Mettler-Toledo International Inc. | 96 | 125 |
Snap-on Inc. | 488 | 124 | |
Trane Technologies plc | 635 | 118 | |
* | Veritiv Corp. | 1,905 | 117 |
* | Generac Holdings Inc. | 342 | 112 |
ManpowerGroup Inc. | 924 | 112 | |
CSW Industrials Inc. | 901 | 110 | |
WW Grainger Inc. | 236 | 109 | |
* | Trex Co. Inc. | 1,122 | 109 |
Rockwell Automation Inc. | 404 | 107 | |
MSA Safety Inc. | 629 | 106 | |
Quanex Building Products Corp. | 3,978 | 106 | |
* | TriNet Group Inc. | 1,397 | 105 |
* | Fair Isaac Corp. | 206 | 104 |
Heartland Express Inc. | 5,758 | 104 | |
* | Keysight Technologies Inc. | 716 | 102 |
Simpson Manufacturing Co. Inc. | 911 | 102 | |
* | MYR Group Inc. | 1,166 | 101 |
* | Conduent Inc. | 13,050 | 99 |
Expeditors International of Washington Inc. | 783 | 98 | |
Lincoln Electric Holdings Inc. | 743 | 96 | |
Myers Industries Inc. | 4,350 | 96 | |
* | Mohawk Industries Inc. | 449 | 95 |
* | Franklin Covey Co. | 3,007 | 93 |
PPG Industries Inc. | 517 | 93 | |
American Express Co. | 572 | 92 | |
Cintas Corp. | 246 | 87 | |
Quanta Services Inc. | 918 | 87 | |
Nordson Corp. | 389 | 86 | |
Toro Co. | 774 | 86 | |
H&E Equipment Services Inc. | 2,256 | 84 | |
* | GMS Inc. | 1,804 | 83 |
Insperity Inc. | 897 | 83 | |
CH Robinson Worldwide Inc. | 841 | 82 | |
Exponent Inc. | 894 | 82 | |
JB Hunt Transport Services Inc. | 478 | 82 | |
Synchrony Financial | 1,725 | 82 | |
Booz Allen Hamilton Holding Corp. Class A | 925 | 79 | |
Cognex Corp. | 1,000 | 79 | |
Insteel Industries Inc. | 2,263 | 79 | |
Watts Water Technologies Inc. Class A | 584 | 79 | |
Franklin Electric Co. Inc. | 903 | 76 |
Shares | Market Value• ($000) | ||
Schneider National Inc. Class B | 3,100 | 76 | |
* | TrueBlue Inc. | 2,784 | 75 |
Valmont Industries Inc. | 302 | 75 | |
Xylem Inc. | 623 | 74 | |
Terex Corp. | 1,332 | 70 | |
Astec Industries Inc. | 1,007 | 69 | |
* | DXP Enterprises Inc. | 2,241 | 69 |
* | Lydall Inc. | 1,909 | 69 |
Badger Meter Inc. | 699 | 67 | |
Primoris Services Corp. | 2,107 | 67 | |
Werner Enterprises Inc. | 1,402 | 67 | |
Allegion plc | 477 | 67 | |
Kadant Inc. | 381 | 64 | |
UniFirst Corp. | 285 | 63 | |
Resources Connection Inc. | 4,193 | 61 | |
* | ShotSpotter Inc. | 1,500 | 61 |
* | Vicor Corp. | 672 | 61 |
AAON Inc. | 922 | 61 | |
* | Cross Country Healthcare Inc. | 3,748 | 59 |
* | TopBuild Corp. | 297 | 59 |
Hyster-Yale Materials Handling Inc. | 772 | 58 | |
* | FARO Technologies Inc. | 760 | 57 |
* | Paysign Inc. | 17,369 | 57 |
* | Howmet Aerospace Inc. | 1,609 | 57 |
Comfort Systems USA Inc. | 680 | 56 | |
Hubbell Inc. Class B | 295 | 56 | |
McGrath RentCorp. | 648 | 56 | |
Heidrick & Struggles International Inc. | 1,290 | 55 | |
Ryder System Inc. | 675 | 55 | |
* | Modine Manufacturing Co. | 3,057 | 54 |
* | Napco Security Technologies Inc. | 1,622 | 53 |
Flowserve Corp. | 1,222 | 52 | |
* | Waters Corp. | 162 | 52 |
ITT Inc. | 540 | 51 | |
Shyft Group Inc. | 1,306 | 51 | |
AZZ Inc. | 928 | 50 | |
* | Builders FirstSource Inc. | 1,117 | 50 |
* | FTI Consulting Inc. | 361 | 50 |
Apogee Enterprises Inc. | 1,294 | 49 | |
Dover Corp. | 326 | 49 | |
Applied Industrial Technologies Inc. | 493 | 48 | |
Deluxe Corp. | 1,065 | 48 | |
* | Dycom Industries Inc. | 640 | 48 |
* | Gibraltar Industries Inc. | 604 | 48 |
* | Sykes Enterprises Inc. | 1,153 | 48 |
Barrett Business Services Inc. | 621 | 46 | |
Brady Corp. Class A | 780 | 45 | |
* | Echo Global Logistics Inc. | 1,325 | 45 |
Helios Technologies Inc. | 631 | 45 | |
* | Kelly Services Inc. Class A | 1,756 | 45 |
*,2 | Alpha Pro Tech Ltd. | 5,437 | 45 |
AptarGroup Inc. | 297 | 44 | |
Wabash National Corp. | 2,760 | 44 | |
* | United Rentals Inc. | 126 | 42 |
ABM Industries Inc. | 835 | 42 |
Shares | Market Value• ($000) | ||
* | ASGN Inc. | 408 | 42 |
Argan Inc. | 827 | 41 | |
* | Hub Group Inc. Class A | 590 | 41 |
Packaging Corp. of America | 279 | 41 | |
* | Construction Partners Inc. Class A | 1,252 | 40 |
Columbus McKinnon Corp. | 777 | 39 | |
* | Cornerstone Building Brands Inc. | 2,164 | 37 |
IDEX Corp. | 166 | 37 | |
* | OSI Systems Inc. | 388 | 37 |
Powell Industries Inc. | 1,077 | 37 | |
Forward Air Corp. | 368 | 36 | |
* | O-I Glass Inc. | 1,929 | 36 |
Mastercard Inc. Class A | 97 | 35 | |
Raven Industries Inc. | 800 | 35 | |
Regal Beloit Corp. | 243 | 35 | |
Visa Inc. Class A | 152 | 35 | |
* | Axalta Coating Systems Ltd. | 1,095 | 35 |
Owens Corning | 322 | 34 | |
Advanced Drainage Systems Inc. | 289 | 33 | |
Littelfuse Inc. | 122 | 32 | |
Enerpac Tool Group Corp. Class A | 1,185 | 32 | |
* | Masonite International Corp. | 256 | 31 |
* | ExlService Holdings Inc. | 294 | 30 |
Fortune Brands Home & Security Inc. | 295 | 30 | |
* | Teledyne Technologies Inc. | 70 | 29 |
Albany International Corp. Class A | 317 | 28 | |
Marten Transport Ltd. | 1,582 | 27 | |
Crane Co. | 272 | 26 | |
* | JELD-WEN Holding Inc. | 910 | 25 |
Huntington Ingalls Industries Inc. | 110 | 24 | |
* | Great Lakes Dredge & Dock Corp. | 1,596 | 23 |
SPX FLOW Inc. | 334 | 23 | |
* | Cimpress plc | 231 | 23 |
* | Covenant Logistics Group Inc. Class A | 996 | 22 |
Oshkosh Corp. | 167 | 22 | |
Stanley Black & Decker Inc. | 100 | 22 | |
Installed Building Products Inc. | 178 | 21 | |
* | Astronics Corp. | 1,167 | 20 |
Federal Signal Corp. | 470 | 20 | |
* | AeroVironment Inc. | 174 | 19 |
Chase Corp. | 167 | 18 | |
* | Energy Recovery Inc. | 882 | 17 |
Tennant Co. | 205 | 17 | |
Cass Information Systems Inc. | 242 | 11 | |
* | Team Inc. | 1,005 | 9 |
* | Proto Labs Inc. | 88 | 8 |
DHT Holdings Inc. | 278 | 2 | |
14,960 | |||
Real Estate (0.8%) | |||
Simon Property Group Inc. | 1,913 | 246 | |
Newmark Group Inc. Class A | 8,765 | 113 | |
Iron Mountain Inc. | 1,920 | 83 | |
Lamar Advertising Co. Class A | 731 | 77 | |
Empire State Realty Trust Inc. Class A | 5,737 | 68 | |
* | CBRE Group Inc. Class A | 342 | 30 |
Shares | Market Value• ($000) | ||
Urban Edge Properties | 1,520 | 29 | |
RMR Group Inc. Class A | 404 | 16 | |
662 | |||
Technology (17.1%) | |||
Intel Corp. | 10,240 | 585 | |
Texas Instruments Inc. | 3,053 | 580 | |
* | Cadence Design Systems Inc. | 3,692 | 469 |
* | Adobe Inc. | 904 | 456 |
* | Advanced Micro Devices Inc. | 5,370 | 430 |
Applied Materials Inc. | 3,023 | 418 | |
* | Zoom Video Communications Inc. Class A | 1,252 | 415 |
KLA Corp. | 1,093 | 346 | |
* | Facebook Inc. Class A | 978 | 321 |
* | Fortinet Inc. | 1,436 | 314 |
Intuit Inc. | 539 | 237 | |
Apple Inc. | 1,888 | 235 | |
* | ServiceNow Inc. | 493 | 234 |
International Business Machines Corp. | 1,599 | 230 | |
Lam Research Corp. | 348 | 226 | |
* | Synopsys Inc. | 795 | 202 |
* | Manhattan Associates Inc. | 1,395 | 190 |
TE Connectivity Ltd. | 1,401 | 190 | |
* | CommVault Systems Inc. | 2,451 | 187 |
NVIDIA Corp. | 269 | 175 | |
* | Gartner Inc. | 721 | 167 |
* | EPAM Systems Inc. | 342 | 163 |
* | Elastic NV | 1,362 | 161 |
* | VMware Inc. Class A | 957 | 151 |
Teradyne Inc. | 1,129 | 149 | |
Shutterstock Inc. | 1,621 | 147 | |
Microsoft Corp. | 583 | 146 | |
* | Agilysys Inc. | 2,805 | 142 |
Cognizant Technology Solutions Corp. Class A | 1,980 | 142 | |
* | Atlassian Corp. plc Class A | 608 | 142 |
QUALCOMM Inc. | 1,041 | 140 | |
* | Cirrus Logic Inc. | 1,786 | 139 |
* | Cargurus Inc. | 4,808 | 136 |
Skyworks Solutions Inc. | 792 | 135 | |
* | Digital Turbine Inc. | 1,909 | 126 |
* | Crowdstrike Holdings Inc. Class A | 559 | 124 |
* | Yandex NV Class A | 1,833 | 124 |
* | A10 Networks Inc. | 12,014 | 117 |
* | Anaplan Inc. | 2,250 | 116 |
* | Teradata Corp. | 2,425 | 116 |
* | Intelligent Systems Corp. | 3,464 | 113 |
* | TrueCar Inc. | 18,254 | 108 |
Hackett Group Inc. | 5,652 | 101 | |
NetApp Inc. | 1,309 | 101 | |
* | Dropbox Inc. Class A | 3,570 | 98 |
* | Insight Enterprises Inc. | 924 | 97 |
Monolithic Power Systems Inc. | 280 | 96 | |
* | Paycom Software Inc. | 282 | 93 |
SYNNEX Corp. | 736 | 93 | |
* | Calix Inc. | 2,078 | 92 |
Dolby Laboratories Inc. Class A | 945 | 92 |
Shares | Market Value• ($000) | ||
* | eGain Corp. | 8,956 | 90 |
* | Appfolio Inc. Class A | 640 | 86 |
Advanced Energy Industries Inc. | 836 | 85 | |
* | Upwork Inc. | 1,808 | 85 |
* | Lattice Semiconductor Corp. | 1,569 | 83 |
* | Qualys Inc. | 846 | 82 |
* | Waitr Holdings Inc. | 40,644 | 82 |
* | Aspen Technology Inc. | 587 | 80 |
* | Avaya Holdings Corp. | 2,776 | 80 |
* | TechTarget Inc. | 1,101 | 77 |
* | ChannelAdvisor Corp. | 3,182 | 76 |
Universal Display Corp. | 324 | 70 | |
* | MicroStrategy Inc. Class A | 147 | 69 |
* | OneSpan Inc. | 2,480 | 65 |
* | Veritone Inc. | 3,388 | 65 |
Citrix Systems Inc. | 561 | 64 | |
* | Mitek Systems Inc. | 3,751 | 64 |
Vertiv Holdings Co. Class A | 2,560 | 64 | |
* | Brightcove Inc. | 4,353 | 63 |
* | CyberOptics Corp. | 2,106 | 63 |
* | F5 Networks Inc. | 334 | 62 |
* | IPG Photonics Corp. | 293 | 61 |
* | Arrow Electronics Inc. | 496 | 60 |
CDW Corp. | 352 | 58 | |
PC Connection Inc. | 1,141 | 56 | |
* | Yelp Inc. Class A | 1,390 | 56 |
Avnet Inc. | 1,253 | 55 | |
* | II-VI Inc. | 819 | 55 |
* | Box Inc. Class A | 2,280 | 53 |
Pitney Bowes Inc. | 6,288 | 53 | |
CMC Materials Inc. | 342 | 53 | |
* | SPS Commerce Inc. | 556 | 52 |
Simulations Plus Inc. | 987 | 52 | |
* | Concentrix Corp. | 331 | 51 |
American Software Inc. Class A | 2,467 | 50 | |
Jabil Inc. | 882 | 50 | |
* | Groupon Inc. Class A | 1,044 | 49 |
* | NeoPhotonics Corp. | 4,735 | 48 |
Power Integrations Inc. | 566 | 47 | |
* | Check Point Software Technologies Ltd. | 398 | 47 |
* | Synaptics Inc. | 363 | 46 |
* | ScanSource Inc. | 1,443 | 44 |
* | 3D Systems Corp. | 1,504 | 44 |
* | Rogers Corp. | 232 | 43 |
National Instruments Corp. | 999 | 41 | |
* | Tenable Holdings Inc. | 977 | 41 |
* | Alarm.com Holdings Inc. | 474 | 39 |
Brooks Automation Inc. | 378 | 39 | |
* | Diodes Inc. | 522 | 39 |
* | SMART Global Holdings Inc. | 799 | 38 |
* | Mimecast Ltd. | 764 | 38 |
* | ePlus Inc. | 390 | 37 |
QAD Inc. Class A | 445 | 32 | |
* | AXT Inc. | 2,839 | 29 |
* | Altair Engineering Inc. Class A | 422 | 28 |
Shares | Market Value• ($000) | ||
* | Axcelis Technologies Inc. | 675 | 28 |
* | Semtech Corp. | 447 | 28 |
* | GAN Ltd. | 1,645 | 28 |
Amkor Technology Inc. | 1,273 | 27 | |
* | Zix Corp. | 3,810 | 27 |
* | Perficient Inc. | 367 | 26 |
* | FormFactor Inc. | 714 | 25 |
* | Pinterest Inc. Class A | 385 | 25 |
* | Digimarc Corp. | 668 | 23 |
* | Nutanix Inc. Class A | 727 | 23 |
Vishay Intertechnology Inc. | 947 | 23 | |
* | Super Micro Computer Inc. | 668 | 23 |
Amdocs Ltd. | 275 | 21 | |
Seagate Technology Holdings plc | 204 | 20 | |
Methode Electronics Inc. | 396 | 19 | |
CSG Systems International Inc. | 357 | 16 | |
* | Qorvo Inc. | 90 | 16 |
* | Alpha & Omega Semiconductor Ltd. | 512 | 16 |
13,860 | |||
Telecommunications (1.7%) | |||
Cisco Systems Inc. | 9,544 | 505 | |
* | Cambium Networks Corp. | 1,828 | 106 |
Ubiquiti Inc. | 342 | 103 | |
* | Extreme Networks Inc. | 8,225 | 94 |
* | NETGEAR Inc. | 2,376 | 92 |
* | Ciena Corp. | 1,350 | 71 |
* | Arista Networks Inc. | 161 | 55 |
* | Comm Scope Holding Co. Inc. | 2,368 | 48 |
* | Consolidated Communications Holdings Inc. | 4,991 | 47 |
* | Viavi Solutions Inc. | 2,655 | 47 |
* | Ooma Inc. | 1,877 | 36 |
ADTRAN Inc. | 1,763 | 35 | |
* | Casa Systems Inc. | 3,520 | 31 |
* | Clearfield Inc. | 755 | 29 |
* | Vonage Holdings Corp. | 1,842 | 25 |
* | Lumentum Holdings Inc. | 139 | 11 |
* | Digi International Inc. | 284 | 5 |
1,340 | |||
Utilities (0.1%) | |||
* | Clean Harbors Inc. | 683 | 64 |
Total Common Stocks (Cost $56,432) | 80,769 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.5%) | |||
Money Market Fund (0.5%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.055% (Cost $447) | 4,468 | 447 |
Total Investments (100.2%) (Cost $56,879) | 81,216 | ||
Other Assets and Liabilities— Net (-0.2%) | (189) | ||
Net Assets (100%) | 81,027 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Restricted securities totaling $2,000, representing 0.0% of net assets. |
2 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $258,000. |
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 | Collateral of $284,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Micro E-mini S&P 500 Index | June 2021 | 11 | 231 | 12 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $56,432) | 80,769 |
Affiliated Issuers (Cost $447) | 447 |
Total Investments in Securities | 81,216 |
Investment in Vanguard | 3 |
Cash Collateral Pledged—Futures Contracts | 15 |
Receivables for Accrued Income | 89 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 81,323 |
Liabilities | |
Payables for Investment Securities Purchased | 8 |
Collateral for Securities on Loan | 284 |
Payables to Vanguard | 4 |
Total Liabilities | 296 |
Net Assets | 81,027 |
At May 31, 2021, net assets consisted of: | |
Paid-in Capital | 55,816 |
Total Distributable Earnings (Loss) | 25,211 |
Net Assets | 81,027 |
Net Assets | |
Applicable to 690,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 81,027 |
Net Asset Value Per Share | $117.43 |
Six Months Ended May 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 469 |
Interest1 | — |
Securities Lending—Net | 5 |
Total Income | 474 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 45 |
Marketing and Distribution | — |
Custodian Fees | — |
Shareholders’ Reports | 1 |
Trustees’ Fees and Expenses | — |
Total Expenses | 46 |
Net Investment Income | 428 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 2,265 |
Futures Contracts | 26 |
Realized Net Gain (Loss) | 2,291 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 11,905 |
Futures Contracts | 6 |
Change in Unrealized Appreciation (Depreciation) | 11,911 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,630 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $1,239,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 428 | 595 | |
Realized Net Gain (Loss) | 2,291 | (1,375) | |
Change in Unrealized Appreciation (Depreciation) | 11,911 | 10,696 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,630 | 9,916 | |
Distributions | |||
Total Distributions | (432) | (495) | |
Capital Share Transactions | |||
Issued | 15,233 | 26,166 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (2,908) | (2,136) | |
Net Increase (Decrease) from Capital Share Transactions | 12,325 | 24,030 | |
Total Increase (Decrease) | 26,523 | 33,451 | |
Net Assets | |||
Beginning of Period | 54,504 | 21,053 | |
End of Period | 81,027 | 54,504 |
For a Share Outstanding Throughout Each Period | Six Months, Ended May 31, 2021 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $94.79 | $84.21 | $78.58 | $75.00 |
Investment Operations | ||||
Net Investment Income2 | .661 | 1.291 | 1.199 | .899 |
Net Realized and Unrealized Gain (Loss) on Investments | 22.685 | 10.428 | 5.559 | 3.266 |
Total from Investment Operations | 23.346 | 11.719 | 6.758 | 4.165 |
Distributions | ||||
Dividends from Net Investment Income | (.706) | (1.139) | (1.128) | (.585) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.706) | (1.139) | (1.128) | (.585) |
Net Asset Value, End of Period | $117.43 | $94.79 | $84.21 | $78.58 |
Total Return | 24.73% | 14.29% | 8.75% | 5.52% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $81 | $55 | $21 | $18 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13%3,4 |
Ratio of Net Investment Income to Average Net Assets | 1.14% | 1.59% | 1.52% | 1.40%3 |
Portfolio Turnover Rate | 28%5 | 58% | 80% | 25% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
4 | The ratio of total expenses to average net assets before an expense reduction of 0.04% was 0.17%. The fund incurred higher than anticipated expenses, in which Vanguard voluntarily agreed to assume payment of certain expenses. The fund is not obligated to repay this amount to Vanguard. |
5 | 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. |
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. |
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 and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 80,767 | 2 | — | 80,769 |
Temporary Cash Investments | 447 | — | — | 447 |
Total | 81,214 | 2 | — | 81,216 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 12 | — | — | 12 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of May 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 56,879 |
Gross Unrealized Appreciation | 24,654 |
Gross Unrealized Depreciation | (305) |
Net Unrealized Appreciation (Depreciation) | 24,349 |
E. | During the six months ended May 31, 2021, the fund purchased $34,744,000 of investment securities and sold $22,418,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $2,908,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 140 | 350 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (25) | (25) | |
Net Increase (Decrease) in Shares Outstanding | 115 | 325 |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 5.2% |
Consumer Discretionary | 16.3 |
Consumer Staples | 6.2 |
Energy | 6.9 |
Financials | 25.6 |
Health Care | 10.3 |
Industrials | 15.2 |
Real Estate | 0.6 |
Technology | 8.1 |
Telecommunications | 4.1 |
Utilities | 1.5 |
Shares | Market Value• ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (5.1%) | |||
Newmont Corp. | 31,627 | 2,324 | |
Dow Inc. | 28,641 | 1,960 | |
Nucor Corp. | 11,716 | 1,201 | |
Reliance Steel & Aluminum Co. | 5,612 | 943 | |
Freeport-McMoRan Inc. | 20,493 | 876 | |
International Paper Co. | 12,577 | 794 | |
Mosaic Co. | 19,247 | 696 | |
Steel Dynamics Inc. | 10,391 | 649 | |
Eastman Chemical Co. | 4,860 | 610 | |
GrafTech International Ltd. | 40,242 | 534 | |
* | TimkenSteel Corp. | 31,323 | 475 |
Schnitzer Steel Industries Inc. Class A | 8,176 | 445 | |
Ashland Global Holdings Inc. | 4,644 | 440 | |
Tronox Holdings plc Class A | 18,729 | 440 | |
Valvoline Inc. | 13,254 | 437 | |
* | Clearwater Paper Corp. | 15,244 | 435 |
Chemours Co. | 11,679 | 420 | |
Glatfelter Corp. | 24,758 | 365 | |
Commercial Metals Co. | 11,160 | 351 | |
LyondellBasell Industries NV Class A | 2,915 | 328 | |
* | Univar Solutions Inc. | 11,767 | 319 |
Boise Cascade Co. | 4,700 | 310 | |
Timken Co. | 3,465 | 307 | |
FutureFuel Corp. | 28,071 | 288 | |
* | Koppers Holdings Inc. | 8,184 | 284 |
* | Rayonier Advanced Materials Inc. | 31,605 | 244 |
Huntsman Corp. | 8,088 | 230 | |
Westlake Chemical Corp. | 2,242 | 226 | |
* | AdvanSix Inc. | 7,003 | 222 |
CF Industries Holdings Inc. | 3,919 | 208 | |
U.S. Steel Corp. | 7,934 | 206 | |
Trinseo SA | 3,171 | 206 | |
Element Solutions Inc. | 8,395 | 196 | |
* | Kraton Corp. | 5,750 | 195 |
PQ Group Holdings Inc. | 10,448 | 171 | |
UFP Industries Inc. | 2,150 | 171 | |
Minerals Technologies Inc. | 1,905 | 166 | |
Neenah Inc. | 3,046 | 161 |
Shares | Market Value• ($000) | ||
Verso Corp. Class A | 8,063 | 137 | |
* | Orion Engineered Carbons SA | 6,390 | 129 |
Schweitzer-Mauduit International Inc. | 2,872 | 118 | |
Cabot Corp. | 1,545 | 98 | |
Worthington Industries Inc. | 1,424 | 95 | |
Celanese Corp. Class A | 544 | 90 | |
* | Ingevity Corp. | 975 | 80 |
Kaiser Aluminum Corp. | 598 | 77 | |
Olin Corp. | 1,211 | 59 | |
* | Intrepid Potash Inc. | 2,030 | 58 |
Albemarle Corp. | 301 | 50 | |
Avient Corp. | 893 | 46 | |
Gold Resource Corp. | 16,257 | 45 | |
Carpenter Technology Corp. | 624 | 30 | |
Haynes International Inc. | 451 | 16 | |
19,961 | |||
Consumer Discretionary (16.2%) | |||
* | Ford Motor Co. | 242,840 | 3,528 |
* | General Motors Co. | 53,292 | 3,161 |
* | L Brands Inc. | 16,309 | 1,140 |
H&R Block Inc. | 42,481 | 1,054 | |
Qurate Retail Inc. Series A | 75,009 | 1,022 | |
PulteGroup Inc. | 16,703 | 965 | |
Toll Brothers Inc. | 14,651 | 956 | |
Target Corp. | 4,138 | 939 | |
Lear Corp. | 4,657 | 901 | |
* | Discovery Inc. Class C | 29,809 | 896 |
Fox Corp. Class B | 23,936 | 868 | |
eBay Inc. | 14,197 | 864 | |
Lennar Corp. Class A | 8,695 | 861 | |
* | AutoNation Inc. | 7,564 | 773 |
* | Macy's Inc. | 41,994 | 768 |
Kohl's Corp. | 13,719 | 761 | |
Dollar General Corp. | 3,731 | 757 | |
* | Tenneco Inc. Class A | 48,122 | 755 |
* | Meritage Homes Corp. | 6,914 | 744 |
ViacomCBS Inc. Class B | 17,253 | 732 | |
BorgWarner Inc. | 14,220 | 729 | |
Foot Locker Inc. | 11,235 | 711 | |
Dick's Sporting Goods Inc. | 7,062 | 689 | |
KB Home | 14,669 | 687 | |
Walmart Inc. | 4,626 | 657 | |
Nexstar Media Group Inc. Class A | 4,289 | 652 | |
Whirlpool Corp. | 2,744 | 651 | |
* | PVH Corp. | 5,604 | 643 |
* | Century Communities Inc. | 7,678 | 625 |
Harley-Davidson Inc. | 12,737 | 617 | |
* | Discovery Inc. Class A | 18,918 | 607 |
* | Capri Holdings Ltd. | 10,367 | 588 |
Fox Corp. Class A | 15,690 | 586 | |
* | Fossil Group Inc. | 41,301 | 583 |
* | Conn's Inc. | 23,718 | 550 |
Gray Television Inc. | 22,874 | 532 | |
* | Tri Pointe Homes Inc. | 21,989 | 530 |
Standard Motor Products Inc. | 11,466 | 516 |
Shares | Market Value• ($000) | ||
* | Tupperware Brands Corp. | 19,698 | 505 |
* | LKQ Corp. | 9,827 | 501 |
* | Beazer Homes USA Inc. | 20,896 | 498 |
* | Mesa Air Group Inc. | 51,084 | 497 |
ViacomCBS Inc. Class A | 10,428 | 485 | |
* | M/I Homes Inc. | 6,609 | 466 |
* | KAR Auction Services Inc. | 25,870 | 464 |
* | Perdoceo Education Corp. | 37,955 | 463 |
Penske Automotive Group Inc. | 5,166 | 442 | |
* | Lakeland Industries Inc. | 17,466 | 441 |
* | Universal Electronics Inc. | 8,787 | 440 |
TEGNA Inc. | 22,529 | 437 | |
* | Signet Jewelers Ltd. | 7,194 | 436 |
* | ODP Corp. | 9,870 | 432 |
* | Genesco Inc. | 7,829 | 431 |
* | AutoZone Inc. | 300 | 422 |
* | Taylor Morrison Home Corp. Class A | 14,189 | 420 |
AMERCO | 729 | 419 | |
Big Lots Inc. | 6,654 | 406 | |
* | Container Store Group Inc. | 29,841 | 405 |
* | Zumiez Inc. | 9,149 | 401 |
Group 1 Automotive Inc. | 2,510 | 400 | |
Lithia Motors Inc. Class A | 1,115 | 392 | |
* | American Axle & Manufacturing Holdings Inc. | 34,953 | 391 |
* | Entercom Communications Corp. Class A | 88,886 | 387 |
Newell Brands Inc. | 13,313 | 382 | |
* | Brinker International Inc. | 6,172 | 379 |
* | Adtalem Global Education Inc. | 10,399 | 378 |
Rush Enterprises Inc. Class A | 7,866 | 376 | |
EW Scripps Co. Class A | 17,730 | 376 | |
* | SkyWest Inc. | 7,594 | 372 |
* | Nautilus Inc. | 20,159 | �� 363 |
Shoe Carnival Inc. | 5,383 | 363 | |
* | Goodyear Tire & Rubber Co. | 18,202 | 361 |
* | Hibbett Sports Inc. | 4,203 | 356 |
* | Sleep Number Corp. | 3,101 | 346 |
Sonic Automotive Inc. Class A | 7,154 | 345 | |
Strategic Education Inc. | 4,760 | 337 | |
Caleres Inc. | 13,330 | 334 | |
Nielsen Holdings plc | 12,115 | 330 | |
* | Knowles Corp. | 15,801 | 325 |
* | Cars.com Inc. | 22,205 | 324 |
* | MarineMax Inc. | 6,165 | 317 |
Ethan Allen Interiors Inc. | 10,935 | 316 | |
Dana Inc. | 11,276 | 306 | |
Movado Group Inc. | 11,011 | 305 | |
Interpublic Group of Cos. Inc. | 8,847 | 298 | |
* | AMC Networks Inc. Class A | 5,456 | 293 |
* | Vera Bradley Inc. | 24,014 | 276 |
PROG Holdings Inc. | 5,199 | 274 | |
Lennar Corp. Class B | 3,467 | 272 | |
Guess? Inc. | 9,099 | 267 | |
* | Adient plc | 5,327 | 267 |
Rent-A-Center Inc. | 4,295 | 265 | |
* | Turtle Beach Corp. | 8,011 | 265 |
Shares | Market Value• ($000) | ||
DR Horton Inc. | 2,657 | 253 | |
Murphy USA Inc. | 1,866 | 252 | |
* | Asbury Automotive Group Inc. | 1,249 | 248 |
* | Green Brick Partners Inc. | 10,554 | 246 |
Thor Industries Inc. | 1,944 | 239 | |
Carter's Inc. | 2,315 | 237 | |
* | G-III Apparel Group Ltd. | 6,738 | 223 |
Haverty Furniture Cos. Inc. | 4,864 | 223 | |
* | Lions Gate Entertainment Corp. Class B | 12,795 | 222 |
* | Avis Budget Group Inc. | 2,406 | 211 |
* | Dine Brands Global Inc. | 2,217 | 211 |
* | OneWater Marine Inc. Class A | 4,288 | 211 |
HNI Corp. | 4,381 | 200 | |
Matthews International Corp. Class A | 4,879 | 191 | |
Travel + Leisure Co. | 2,891 | 188 | |
Interface Inc. Class A | 11,398 | 186 | |
* | VOXX International Corp. Class A | 12,369 | 186 |
La-Z-Boy Inc. | 4,454 | 184 | |
* | Bed Bath & Beyond Inc. | 6,103 | 171 |
* | Abercrombie & Fitch Co. Class A | 3,967 | 169 |
* | WW International Inc. | 4,189 | 165 |
* | Lumber Liquidators Holdings Inc. | 7,158 | 163 |
Winnebago Industries Inc. | 2,189 | 162 | |
* | iHeartMedia Inc. Class A | 6,989 | 162 |
* | International Game Technology plc | 6,488 | 157 |
Best Buy Co. Inc. | 1,344 | 156 | |
* | 1-800-Flowers.com Inc. Class A | 5,126 | 156 |
Scholastic Corp. | 4,622 | 156 | |
Herman Miller Inc. | 3,194 | 153 | |
* | Carrols Restaurant Group Inc. | 24,962 | 148 |
* | NVR Inc. | 30 | 147 |
* | Tilly's Inc. Class A | 10,703 | 146 |
Leggett & Platt Inc. | 2,611 | 144 | |
Omnicom Group Inc. | 1,655 | 136 | |
Franchise Group Inc. | 3,671 | 136 | |
Del Taco Restaurants Inc. | 12,863 | 131 | |
* | Stride Inc. | 4,719 | 127 |
* | Designer Brands Inc. Class A | 7,194 | 126 |
* | Funko Inc. Class A | 4,513 | 118 |
* | Lions Gate Entertainment Corp. Class A | 5,848 | 114 |
* | Dollar Tree Inc. | 1,162 | 113 |
Buckle Inc. | 2,451 | 103 | |
Jack in the Box Inc. | 837 | 95 | |
Graham Holdings Co. Class B | 142 | 94 | |
* | Central Garden & Pet Co. Class A | 1,852 | 93 |
Polaris Inc. | 688 | 90 | |
MDC Holdings Inc. | 1,474 | 85 | |
* | Tapestry Inc. | 1,879 | 84 |
Carriage Services Inc. Class A | 1,943 | 75 | |
Advance Auto Parts Inc. | 363 | 69 | |
* | Citi Trends Inc. | 793 | 66 |
Gap Inc. | 1,937 | 65 | |
* | Motorcar Parts of America Inc. | 2,769 | 65 |
Hanesbrands Inc. | 3,253 | 64 | |
Aaron's Co. Inc. | 1,686 | 61 |
Shares | Market Value• ($000) | ||
* | Fluent Inc. | 20,922 | 60 |
Kimball International Inc. Class B | 3,698 | 49 | |
National CineMedia Inc. | 10,047 | 49 | |
Autoliv Inc. | 455 | 48 | |
Wolverine World Wide Inc. | 1,296 | 47 | |
* | American Public Education Inc. | 1,614 | 45 |
* | Grand Canyon Education Inc. | 493 | 45 |
* | Sally Beauty Holdings Inc. | 2,064 | 45 |
Steelcase Inc. Class A | 2,722 | 39 | |
* | Ralph Lauren Corp. Class A | 287 | 36 |
* | Laureate Education Inc. Class A | 2,344 | 34 |
* | Liberty Media Corp.- Liberty SiriusXM Class C | 421 | 18 |
Sinclair Broadcast Group Inc. Class A | 483 | 16 | |
* | Urban Outfitters Inc. | 411 | 16 |
63,270 | |||
Consumer Staples (6.2%) | |||
CVS Health Corp. | 34,950 | 3,021 | |
Walgreens Boots Alliance Inc. | 38,296 | 2,017 | |
General Mills Inc. | 22,890 | 1,439 | |
Philip Morris International Inc. | 14,611 | 1,409 | |
McKesson Corp. | 5,475 | 1,053 | |
* | Herbalife Nutrition Ltd. | 19,849 | 1,043 |
Tyson Foods Inc. Class A | 12,792 | 1,017 | |
* | Molson Coors Beverage Co. Class B | 15,977 | 932 |
J M Smucker Co. | 6,668 | 889 | |
Kroger Co. | 22,896 | 847 | |
Kraft Heinz Co. | 18,621 | 812 | |
Ingredion Inc. | 8,128 | 772 | |
AmerisourceBergen Corp. Class A | 6,366 | 730 | |
Conagra Brands Inc. | 16,583 | 632 | |
* | United Natural Foods Inc. | 12,144 | 461 |
ACCO Brands Corp. | 48,808 | 445 | |
Weis Markets Inc. | 8,146 | 414 | |
SpartanNash Co. | 19,653 | 412 | |
Fresh Del Monte Produce Inc. | 12,303 | 412 | |
Flowers Foods Inc. | 16,617 | 400 | |
Vector Group Ltd. | 26,685 | 367 | |
Universal Corp. | 6,523 | 365 | |
* | TreeHouse Foods Inc. | 7,484 | 364 |
Edgewell Personal Care Co. | 7,834 | 355 | |
Ingles Markets Inc. Class A | 5,311 | 329 | |
* | Darling Ingredients Inc. | 4,662 | 319 |
Keurig Dr Pepper Inc. | 7,662 | 283 | |
Altria Group Inc. | 5,541 | 273 | |
Constellation Brands Inc. Class A | 1,109 | 266 | |
Archer-Daniels-Midland Co. | 3,768 | 251 | |
* | U.S. Foods Holding Corp | 6,431 | 250 |
* | Pilgrim's Pride Corp. | 9,885 | 238 |
Andersons Inc. | 7,343 | 228 | |
Seaboard Corp. | 52 | 190 | |
* | Hostess Brands Inc. Class A | 10,865 | 170 |
B&G Foods Inc. | 5,099 | 156 | |
* | Rite Aid Corp. | 8,308 | 152 |
* | Sprouts Farmers Market Inc. | 5,476 | 146 |
Nu Skin Enterprises Inc. Class A | 1,960 | 118 |
Shares | Market Value• ($000) | ||
Corteva Inc. | 1,477 | 67 | |
Campbell Soup Co. | 1,125 | 55 | |
* | BellRing Brands Inc. Class A | 1,835 | 53 |
Bunge Ltd. | 32 | 3 | |
24,155 | |||
Energy (6.9%) | |||
Exxon Mobil Corp. | 26,517 | 1,548 | |
Kinder Morgan Inc. | 80,778 | 1,481 | |
ConocoPhillips | 26,523 | 1,478 | |
EOG Resources Inc. | 11,395 | 915 | |
APA Corp. | 41,943 | 872 | |
Equitrans Midstream Corp. | 98,678 | 813 | |
Diamondback Energy Inc. | 9,725 | 779 | |
SM Energy Co. | 36,966 | 736 | |
* | CONSOL Energy Inc. | 45,817 | 703 |
Ovintiv Inc. (XNYS) | 25,933 | 691 | |
* | Range Resources Corp. | 46,844 | 635 |
Cabot Oil & Gas Corp. | 36,561 | 600 | |
Schlumberger NV | 19,066 | 597 | |
* | W&T Offshore Inc. | 155,937 | 583 |
* | Antero Resources Corp. | 43,993 | 568 |
* | Bonanza Creek Energy Inc. | 12,885 | 554 |
Phillips 66 | 6,326 | 533 | |
* | Whiting Petroleum Corp. | 11,634 | 533 |
* | Comstock Resources Inc. | 93,640 | 527 |
* | EQT Corp. | 23,407 | 489 |
* | PDC Energy Inc. | 11,426 | 482 |
World Fuel Services Corp. | 15,349 | 472 | |
Continental Resources Inc. | 12,938 | 421 | |
Williams Cos. Inc. | 14,998 | 395 | |
* | CNX Resources Corp. | 28,401 | 387 |
Warrior Met Coal Inc. | 20,654 | 378 | |
SunCoke Energy Inc. | 49,241 | 371 | |
* | Bristow Group Inc. | 13,239 | 361 |
ONEOK Inc. | 6,619 | 349 | |
* | Renewable Energy Group Inc. | 5,717 | 349 |
Antero Midstream Corp. | 35,513 | 341 | |
Murphy Oil Corp. | 15,091 | 327 | |
Chevron Corp. | 3,113 | 323 | |
* | Peabody Energy Corp. | 47,174 | 313 |
Matador Resources Co. | 9,727 | 298 | |
* | Oil States International Inc. | 44,553 | 286 |
Valero Energy Corp. | 3,503 | 282 | |
Devon Energy Corp. | 10,215 | 271 | |
* | Southwestern Energy Co. | 51,713 | 267 |
Baker Hughes Co. Class A | 10,801 | 264 | |
HollyFrontier Corp. | 8,000 | 260 | |
* | Arch Resources Inc. | 4,494 | 256 |
* | Cheniere Energy Inc. | 2,995 | 254 |
Halliburton Co. | 10,144 | 228 | |
Targa Resources Corp. | 5,572 | 217 | |
* | Newpark Resources Inc. | 63,283 | 211 |
* | Talos Energy Inc. | 14,148 | 201 |
* | MRC Global Inc. | 17,691 | 190 |
* | Magnolia Oil & Gas Corp. Class A | 14,587 | 188 |
Shares | Market Value• ($000) | ||
* | NOV Inc. | 11,565 | 186 |
* | Transocean Ltd. | 47,584 | 180 |
Arcosa Inc. | 2,661 | 169 | |
* | Golar LNG Ltd. | 13,328 | 169 |
Archrock Inc. | 18,010 | 166 | |
* | REX American Resources Corp. | 1,610 | 155 |
Brigham Minerals Inc. Class A | 8,256 | 150 | |
* | Helix Energy Solutions Group Inc. | 28,471 | 149 |
* | Nabors Industries Ltd. | 1,500 | 140 |
* | First Solar Inc. | 1,763 | 134 |
Berry Corp. | 20,861 | 133 | |
* | ProPetro Holding Corp. | 10,245 | 102 |
CVR Energy Inc. | 4,823 | 100 | |
Patterson-UTI Energy Inc. | 10,571 | 88 | |
Pioneer Natural Resources Co. | 580 | 88 | |
Marathon Oil Corp. | 7,019 | 85 | |
Solaris Oilfield Infrastructure Inc. Class A | 6,580 | 66 | |
Helmerich & Payne Inc. | 1,620 | 46 | |
* | Green Plains Inc. | 507 | 16 |
* | Liberty Oilfield Services Inc. Class A | 1,039 | 16 |
26,915 | |||
Financials (25.6%) | |||
Citigroup Inc. | 34,763 | 2,736 | |
Allstate Corp. | 19,897 | 2,718 | |
MetLife Inc. | 36,186 | 2,365 | |
Goldman Sachs Group Inc. | 6,292 | 2,341 | |
Wells Fargo & Co. | 47,163 | 2,203 | |
Bank of New York Mellon Corp. | 41,418 | 2,157 | |
Truist Financial Corp. | 33,084 | 2,044 | |
Chubb Ltd. | 11,703 | 1,989 | |
Travelers Cos. Inc. | 12,435 | 1,986 | |
Morgan Stanley | 21,409 | 1,947 | |
Bank of America Corp. | 45,311 | 1,921 | |
PNC Financial Services Group Inc. | 8,346 | 1,625 | |
JPMorgan Chase & Co. | 9,836 | 1,615 | |
U.S. Bancorp | 26,251 | 1,596 | |
Progressive Corp. | 11,780 | 1,167 | |
* | Berkshire Hathaway Inc. Class B | 4,016 | 1,162 |
BlackRock Inc. | 1,246 | 1,093 | |
American International Group Inc. | 20,530 | 1,085 | |
Prosperity Bancshares Inc. | 13,184 | 992 | |
Aflac Inc. | 14,844 | 841 | |
Prudential Financial Inc. | 7,721 | 826 | |
Old National Bancorp | 42,884 | 817 | |
Unum Group | 25,237 | 782 | |
Popular Inc. | 9,503 | 776 | |
Citizens Financial Group Inc. | 14,905 | 744 | |
New York Community Bancorp Inc. (XNYS) | 61,431 | 735 | |
Ally Financial Inc. | 12,221 | 669 | |
Radian Group Inc. | 28,150 | 657 | |
Lincoln National Corp. | 9,394 | 656 | |
Jefferies Financial Group Inc. | 20,192 | 649 | |
Regions Financial Corp. | 27,738 | 649 | |
MGIC Investment Corp. | 42,762 | 629 | |
First Horizon Corp. | 32,711 | 624 |
Shares | Market Value• ($000) | ||
Everest Re Group Ltd. | 2,376 | 618 | |
First American Financial Corp. | 9,396 | 604 | |
Voya Financial Inc. | 9,168 | 601 | |
Essent Group Ltd. | 12,439 | 595 | |
Zions Bancorp NA | 10,213 | 591 | |
Equitable Holdings Inc. | 18,403 | 584 | |
Principal Financial Group Inc. | 8,923 | 583 | |
Raymond James Financial Inc. | 4,381 | 581 | |
First Busey Corp. | 21,277 | 570 | |
CNA Financial Corp. | 11,812 | 565 | |
SLM Corp. | 27,694 | 561 | |
Affiliated Managers Group Inc. | 3,406 | 559 | |
Invesco Ltd. | 19,563 | 558 | |
Fidelity National Financial Inc. | 11,602 | 545 | |
Hanmi Financial Corp. | 25,828 | 542 | |
Huntington Bancshares Inc. | 33,562 | 532 | |
Comerica Inc. | 6,751 | 530 | |
Bank OZK | 12,180 | 520 | |
* | Customers Bancorp Inc. | 13,706 | 519 |
PennyMac Financial Services Inc. | 8,288 | 519 | |
American Equity Investment Life Holding Co. | 16,858 | 514 | |
T Rowe Price Group Inc. | 2,686 | 514 | |
* | Mr Cooper Group Inc. | 14,791 | 512 |
Santander Consumer USA Holdings Inc. | 12,998 | 493 | |
RenaissanceRe Holdings Ltd. | 3,189 | 491 | |
Synovus Financial Corp. | 9,866 | 485 | |
Hancock Whitney Corp. | 9,774 | 484 | |
Axis Capital Holdings Ltd. | 8,877 | 476 | |
* | Brighthouse Financial Inc. | 9,583 | 466 |
Heartland Financial USA Inc. | 9,372 | 466 | |
Fifth Third Bancorp | 10,978 | 463 | |
Webster Financial Corp. | 8,144 | 462 | |
South State Corp. | 5,172 | 459 | |
First Midwest Bancorp Inc. | 21,706 | 454 | |
KeyCorp. | 19,603 | 452 | |
Franklin Resources Inc. | 13,187 | 451 | |
FNB Corp. | 33,463 | 449 | |
* | Arch Capital Group Ltd. | 11,262 | 449 |
Banner Corp. | 7,565 | 443 | |
Old Republic International Corp. | 16,864 | 443 | |
Valley National Bancorp | 30,793 | 441 | |
Universal Insurance Holdings Inc. | 30,929 | 436 | |
Premier Financial Corp. | 14,157 | 432 | |
* | Alleghany Corp. | 600 | 430 |
Reinsurance Group of America Inc. | 3,382 | 426 | |
Navient Corp. | 23,273 | 425 | |
* | SiriusPoint Ltd. | 40,185 | 423 |
* | Encore Capital Group Inc. | 9,119 | 422 |
OceanFirst Financial Corp. | 18,949 | 419 | |
Charles Schwab Corp. | 5,604 | 414 | |
Flushing Financial Corp. | 17,526 | 410 | |
Hope Bancorp Inc. | 26,623 | 407 | |
Stifel Financial Corp. | 5,860 | 406 | |
Nelnet Inc. Class A | 5,226 | 395 | |
State Street Corp. | 4,530 | 394 |
Shares | Market Value• ($000) | ||
* | Enstar Group Ltd. | 1,543 | 392 |
Horace Mann Educators Corp. | 9,817 | 391 | |
OFG Bancorp | 16,030 | 386 | |
First Citizens BancShares Inc. Class A | 435 | 374 | |
Hilltop Holdings Inc. | 9,957 | 370 | |
* | Enova International Inc. | 9,417 | 357 |
Intercontinental Exchange Inc. | 3,157 | 356 | |
Hartford Financial Services Group Inc. | 5,381 | 352 | |
* | NMI Holdings Inc. Class A | 14,331 | 347 |
United Bankshares Inc. | 8,421 | 347 | |
East West Bancorp Inc. | 4,605 | 344 | |
CNO Financial Group Inc. | 12,863 | 342 | |
Ameriprise Financial Inc. | 1,314 | 341 | |
ConnectOne Bancorp Inc. | 12,082 | 335 | |
* | Credit Acceptance Corp. | 745 | 333 |
M&T Bank Corp. | 2,051 | 330 | |
Kemper Corp. | 4,371 | 327 | |
Assurant Inc. | 2,015 | 325 | |
NBT Bancorp Inc. | 8,240 | 321 | |
Harbornone Bancorp Inc. | 21,218 | 315 | |
Cowen Inc. Class A | 7,952 | 313 | |
HomeStreet Inc. | 6,842 | 308 | |
Umpqua Holdings Corp. | 16,090 | 307 | |
Provident Financial Services Inc. | 12,066 | 305 | |
PacWest Bancorp | 6,739 | 304 | |
Eagle Bancorp Inc. | 5,306 | 303 | |
Fulton Financial Corp. | 17,433 | 302 | |
Park National Corp. | 2,390 | 302 | |
S&T Bancorp Inc. | 8,868 | 301 | |
Northern Trust Corp. | 2,474 | 300 | |
BOK Financial Corp. | 3,245 | 295 | |
OneMain Holdings Inc. | 5,065 | 293 | |
Lakeland Bancorp Inc. | 15,289 | 291 | |
* | StoneX Group Inc. | 4,267 | 289 |
* | Bancorp Inc. | 11,833 | 287 |
TrustCo Bank Corp. NY | 7,295 | 285 | |
Federal Agricultural Mortgage Corp. Class C | 2,800 | 284 | |
Cathay General Bancorp | 6,707 | 280 | |
First Bancorp. (XNYS) | 21,809 | 279 | |
Enterprise Financial Services Corp. | 5,555 | 274 | |
First Foundation Inc. | 10,742 | 270 | |
American Financial Group Inc. | 2,024 | 269 | |
1st Source Corp. | 5,391 | 267 | |
Investors Bancorp Inc. | 17,843 | 266 | |
Pinnacle Financial Partners Inc. | 2,916 | 265 | |
First Financial Bancorp | 10,321 | 263 | |
Globe Life Inc. | 2,489 | 262 | |
WesBanco Inc. | 6,723 | 262 | |
Allegiance Bancshares Inc. | 6,407 | 260 | |
Signature Bank | 1,036 | 259 | |
Southside Bancshares Inc. | 6,057 | 259 | |
Stewart Information Services Corp. | 4,177 | 252 | |
Simmons First National Corp. Class A | 8,237 | 251 | |
Associated Banc-Corp. | 10,890 | 250 | |
Wintrust Financial Corp. | 3,067 | 247 |
Shares | Market Value• ($000) | ||
Cullen/Frost Bankers Inc. | 2,024 | 244 | |
Heritage Financial Corp. | 8,353 | 242 | |
Northwest Bancshares Inc. | 16,991 | 241 | |
* | PRA Group Inc. | 6,136 | 239 |
Sandy Spring Bancorp Inc. | 5,152 | 239 | |
Independent Bank Group Inc. | 3,003 | 236 | |
First Bancorp. | 5,133 | 228 | |
First Merchants Corp. | 4,863 | 225 | |
Berkshire Hills Bancorp Inc. | 7,855 | 218 | |
Ameris Bancorp | 3,950 | 217 | |
National Bank Holdings Corp. Class A | 5,225 | 207 | |
BankUnited Inc. | 4,301 | 206 | |
Bank of NT Butterfield & Son Ltd. | 5,329 | 203 | |
Washington Trust Bancorp Inc. | 3,673 | 202 | |
Meta Financial Group Inc. | 3,693 | 196 | |
Argo Group International Holdings Ltd. | 3,653 | 196 | |
Northfield Bancorp Inc. | 11,515 | 195 | |
Central Pacific Financial Corp. | 6,980 | 193 | |
FB Financial Corp. | 4,574 | 191 | |
Assured Guaranty Ltd. | 4,001 | 191 | |
First Commonwealth Financial Corp. | 12,050 | 183 | |
Brookline Bancorp Inc. | 10,724 | 181 | |
United Community Banks Inc. | 5,226 | 181 | |
Atlantic Union Bankshares Corp. | 4,394 | 180 | |
Towne Bank | 5,630 | 180 | |
Western Alliance Bancorp | 1,800 | 180 | |
Dime Community Bancshares Inc. | 5,172 | 180 | |
* | Texas Capital Bancshares Inc. | 2,582 | 178 |
Discover Financial Services | 1,479 | 173 | |
Primerica Inc. | 1,059 | 172 | |
Federated Hermes Inc. | 5,215 | 166 | |
CVB Financial Corp. | 7,260 | 161 | |
Virtus Investment Partners Inc. | 569 | 160 | |
Hanover Insurance Group Inc. | 1,140 | 159 | |
Washington Federal Inc. | 4,748 | 158 | |
First Interstate BancSystem Inc. Class A | 3,339 | 157 | |
Trustmark Corp. | 4,624 | 155 | |
WSFS Financial Corp. | 2,884 | 153 | |
Banc of California Inc. | 8,665 | 152 | |
Pacific Premier Bancorp Inc. | 3,307 | 152 | |
* | Triumph Bancorp Inc. | 1,815 | 152 |
Veritex Holdings Inc. | 4,293 | 151 | |
Preferred Bank | 2,170 | 148 | |
Renasant Corp. | 3,143 | 139 | |
TriCo Bancshares | 2,892 | 139 | |
* | TriState Capital Holdings Inc. | 5,438 | 125 |
* | SVB Financial Group | 213 | 124 |
BancorpSouth Bank | 3,987 | 122 | |
Walker & Dunlop Inc. | 1,185 | 120 | |
* | World Acceptance Corp. | 750 | 120 |
Great Western Bancorp Inc. | 3,384 | 113 | |
BGC Partners Inc. Class A | 18,905 | 112 | |
Kearny Financial Corp. | 8,436 | 111 | |
Employers Holdings Inc. | 2,535 | 107 | |
* | Markel Corp. | 83 | 102 |
Shares | Market Value• ($000) | ||
Heritage Commerce Corp. | 8,545 | 101 | |
Tompkins Financial Corp. | 1,232 | 100 | |
Mercury General Corp. | 1,546 | 98 | |
First Hawaiian Inc. | 3,451 | 97 | |
* | EZCorp. Inc. Class A | 13,011 | 96 |
Safety Insurance Group Inc. | 1,056 | 90 | |
WisdomTree Investments Inc. | 12,174 | 82 | |
UMB Financial Corp. | 824 | 80 | |
Home BancShares Inc. | 2,765 | 76 | |
* | MoneyGram International Inc. | 7,680 | 75 |
Selective Insurance Group Inc. | 962 | 72 | |
* | Blucora Inc. | 3,823 | 66 |
Bank of Hawaii Corp. | 669 | 60 | |
BancFirst Corp. | 730 | 50 | |
Piper Sandler Cos. | 384 | 49 | |
FirstCash Inc. | 578 | 46 | |
* | Axos Financial Inc. | 945 | 45 |
Lazard Ltd. Class A | 858 | 40 | |
Columbia Banking System Inc. | 687 | 30 | |
*,1 | BM Technologies Inc. (Acquired 12/17/20, Cost $20) | 1,618 | 19 |
99,495 | |||
Health Care (10.3%) | |||
Bristol-Myers Squibb Co. | 46,829 | 3,078 | |
Gilead Sciences Inc. | 45,320 | 2,996 | |
* | Centene Corp. | 37,105 | 2,731 |
Cigna Corp. | 9,273 | 2,400 | |
Anthem Inc. | 5,932 | 2,362 | |
* | Biogen Inc. | 7,695 | 2,058 |
Pfizer Inc. | 51,450 | 1,993 | |
Becton Dickinson and Co. | 5,440 | 1,316 | |
HCA Healthcare Inc. | 5,660 | 1,216 | |
Humana Inc. | 2,534 | 1,109 | |
* | Regeneron Pharmaceuticals Inc. | 2,011 | 1,010 |
AbbVie Inc. | 8,854 | 1,002 | |
* | Emergent BioSolutions Inc. | 15,193 | 921 |
Merck & Co. Inc. | 11,974 | 909 | |
Universal Health Services Inc. Class B | 5,433 | 867 | |
Perrigo Co. plc | 18,241 | 842 | |
* | Jazz Pharmaceuticals plc | 4,185 | 745 |
Viatris Inc. | 47,589 | 725 | |
* | United Therapeutics Corp. | 3,788 | 704 |
* | Quidel Corp. | 5,749 | 679 |
* | Endo International plc | 112,070 | 658 |
Quest Diagnostics Inc. | 4,877 | 642 | |
* | Innoviva Inc. | 43,957 | 591 |
* | Laboratory Corp. of America Holdings | 2,091 | 574 |
* | Prestige Consumer Healthcare Inc. | 10,121 | 505 |
* | Vertex Pharmaceuticals Inc. | 2,252 | 470 |
Amgen Inc. | 1,940 | 462 | |
* | Triple-S Management Corp. Class B | 17,629 | 446 |
* | Fulgent Genetics Inc. | 5,943 | 440 |
PerkinElmer Inc. | 2,908 | 422 | |
* | Tenet Healthcare Corp. | 5,845 | 391 |
* | Hologic Inc. | 6,098 | 384 |
National HealthCare Corp. | 5,180 | 379 |
Shares | Market Value• ($000) | ||
* | Catalyst Pharmaceuticals Inc. | 51,202 | 283 |
* | Syneos Health Inc. | 2,955 | 260 |
* | ANI Pharmaceuticals Inc. | 7,315 | 251 |
Computer Programs and Systems Inc. | 7,479 | 242 | |
* | Lannett Co. Inc. | 55,316 | 238 |
*,2 | Co-Diagnostics Inc. | 29,366 | 237 |
* | Community Health Systems Inc. | 16,524 | 236 |
Owens & Minor Inc. | 5,238 | 234 | |
* | Acadia Healthcare Co. Inc. | 3,441 | 221 |
Select Medical Holdings Corp. | 5,033 | 202 | |
* | MEDNAX Inc. | 6,273 | 201 |
UnitedHealth Group Inc. | 486 | 200 | |
* | DaVita Inc. | 1,448 | 174 |
* | Eagle Pharmaceuticals Inc. | 4,200 | 166 |
Johnson & Johnson | 973 | 165 | |
* | Amneal Pharmaceuticals Inc. | 25,021 | 142 |
Cardinal Health Inc. | 2,350 | 132 | |
* | Supernus Pharmaceuticals Inc. | 3,822 | 114 |
Phibro Animal Health Corp. Class A | 3,535 | 100 | |
* | Ovid therapeutics Inc. | 21,146 | 88 |
* | BioDelivery Sciences International Inc. | 19,733 | 70 |
* | Brookdale Senior Living Inc. | 7,362 | 50 |
* | XBiotech Inc. | 1,895 | 33 |
40,066 | |||
Industrials (15.2%) | |||
Capital One Financial Corp. | 15,288 | 2,458 | |
DuPont de Nemours Inc. | 27,484 | 2,325 | |
FedEx Corp. | 6,982 | 2,198 | |
General Dynamics Corp. | 10,102 | 1,918 | |
Northrop Grumman Corp. | 4,475 | 1,637 | |
L3Harris Technologies Inc. | 7,336 | 1,600 | |
Cummins Inc. | 4,800 | 1,235 | |
Knight-Swift Transportation Holdings Inc. | 20,085 | 959 | |
Westrock Co. | 15,779 | 920 | |
Air Lease Corp. Class A | 19,529 | 919 | |
* | Berry Global Group Inc. | 12,732 | 868 |
Johnson Controls International plc | 12,195 | 811 | |
ManpowerGroup Inc. | 6,303 | 763 | |
* | Mohawk Industries Inc. | 3,294 | 694 |
Graphic Packaging Holding Co. | 37,704 | 667 | |
* | Textainer Group Holdings Ltd. | 18,888 | 636 |
* | Veritiv Corp. | 10,277 | 631 |
Owens Corning | 5,794 | 618 | |
* | Atlas Air Worldwide Holdings Inc. | 8,065 | 604 |
ArcBest Corp. | 7,647 | 595 | |
* | Kelly Services Inc. Class A | 22,527 | 578 |
Costamare Inc. | 53,604 | 575 | |
Frontline Ltd. | 66,836 | 569 | |
* | Fiserv Inc. | 4,808 | 554 |
Genco Shipping & Trading Ltd. | 34,372 | 543 | |
Acuity Brands Inc. | 2,884 | 536 | |
Raytheon Technologies Corp. | 5,900 | 523 | |
International Seaways Inc. | 26,004 | 521 | |
* | United Rentals Inc. | 1,505 | 503 |
DHT Holdings Inc. | 78,582 | 503 |
Shares | Market Value• ($000) | ||
PACCAR Inc. | 5,422 | 496 | |
* | Dorian LPG Ltd. | 34,353 | 488 |
MDU Resources Group Inc. | 13,985 | 471 | |
Alliance Data Systems Corp. | 3,855 | 467 | |
nVent Electric plc | 14,362 | 467 | |
Triton International Ltd. | 8,600 | 467 | |
Fidelity National Information Services Inc. | 3,110 | 463 | |
* | Titan Machinery Inc. | 15,098 | 463 |
Deere & Co. | 1,271 | 459 | |
* | Covenant Logistics Group Inc. Class A | 20,033 | 451 |
* | WESCO International Inc. | 4,236 | 451 |
Scorpio Tankers Inc. | 19,565 | 438 | |
Sonoco Products Co. | 6,402 | 432 | |
ADT Inc. | 41,669 | 431 | |
CAI International Inc. | 9,990 | 429 | |
Ryder System Inc. | 5,227 | 427 | |
*,2 | Alpha Pro Tech Ltd. | 51,673 | 426 |
* | REV Group Inc. | 22,537 | 422 |
* | Tutor Perini Corp. | 26,986 | 418 |
* | Herc Holdings Inc. | 3,615 | 416 |
* | Conduent Inc. | 53,719 | 407 |
* | Air Transport Services Group Inc. | 16,034 | 398 |
Synchrony Financial | 8,231 | 390 | |
* | U.S. Xpress Enterprises Inc. Class A | 34,669 | 390 |
Allison Transmission Holdings Inc. | 9,079 | 384 | |
Primoris Services Corp. | 11,898 | 378 | |
* | Modine Manufacturing Co. | 21,283 | 374 |
Schneider National Inc. Class B | 15,212 | 373 | |
Oshkosh Corp. | 2,799 | 368 | |
Quanta Services Inc. | 3,758 | 358 | |
3M Co. | 1,683 | 342 | |
Greenbrier Cos. Inc. | 7,655 | 340 | |
* | Sykes Enterprises Inc. | 8,102 | 340 |
* | DXP Enterprises Inc. | 10,944 | 338 |
Louisiana-Pacific Corp. | 4,951 | 333 | |
EMCOR Group Inc. | 2,566 | 324 | |
* | Eagle Bulk Shipping Inc. | 6,842 | 324 |
* | Sterling Construction Co. Inc. | 14,114 | 318 |
AGCO Corp. | 2,301 | 318 | |
EnerSys | 3,363 | 317 | |
Textron Inc. | 4,611 | 316 | |
Lockheed Martin Corp. | 825 | 315 | |
* | MasTec Inc. | 2,544 | 296 |
* | American Woodmark Corp. | 3,279 | 285 |
* | TrueBlue Inc. | 10,471 | 284 |
* | Vectrus Inc. | 5,397 | 275 |
Deluxe Corp. | 5,952 | 271 | |
* | MYR Group Inc. | 3,112 | 271 |
Griffon Corp. | 10,276 | 270 | |
* | BrightView Holdings Inc. | 14,789 | 257 |
Greif Inc. Class A | 4,088 | 252 | |
* | Manitowoc Co. Inc. | 9,601 | 248 |
* | Beacon Roofing Supply Inc. | 4,339 | 246 |
* | GMS Inc. | 5,374 | 246 |
* | AAR Corp. | 5,831 | 243 |
Shares | Market Value• ($000) | ||
Norfolk Southern Corp. | 853 | 240 | |
SFL Corp. Ltd. | 27,425 | 237 | |
* | Ducommun Inc. | 4,349 | 234 |
Nordic American Tankers Ltd. | 66,052 | 230 | |
Werner Enterprises Inc. | 4,782 | 229 | |
Heartland Express Inc. | 12,316 | 223 | |
* | Colfax Corp. | 5,017 | 222 |
Snap-on Inc. | 840 | 214 | |
Resources Connection Inc. | 14,348 | 209 | |
* | JELD-WEN Holding Inc. | 7,186 | 201 |
Ennis Inc. | 9,564 | 200 | |
* | FTI Consulting Inc. | 1,429 | 197 |
Matson Inc. | 2,990 | 193 | |
Westinghouse Air Brake Technologies Corp. | 2,318 | 192 | |
* | Resideo Technologies Inc. | 6,404 | 191 |
* | U.S. Concrete Inc. | 3,281 | 187 |
Regal Beloit Corp. | 1,301 | 185 | |
* | Cornerstone Building Brands Inc. | 10,617 | 180 |
American Express Co. | 1,115 | 179 | |
HB Fuller Co. | 2,547 | 176 | |
ABM Industries Inc. | 3,479 | 174 | |
General Electric Co. | 11,909 | 167 | |
* | ASGN Inc. | 1,601 | 165 |
Apogee Enterprises Inc. | 4,316 | 164 | |
* | Summit Materials Inc. Class A | 4,710 | 164 |
* | Meritor Inc. | 6,254 | 163 |
GATX Corp. | 1,621 | 160 | |
* | Hub Group Inc. Class A | 2,287 | 160 |
Brunswick Corp. | 1,559 | 159 | |
Huntington Ingalls Industries Inc. | 733 | 158 | |
*,3 | API Group Corp. | 7,325 | 155 |
Trinity Industries Inc. | 5,398 | 150 | |
* | Gates Industrial Corp. plc | 8,191 | 149 |
* | Fluor Corp. | 7,608 | 141 |
* | Donnelley Financial Solutions Inc. | 4,643 | 138 |
* | PGT Innovations Inc. | 5,705 | 138 |
Altra Industrial Motion Corp. | 2,083 | 137 | |
Carlisle Cos. Inc. | 703 | 135 | |
* | Great Lakes Dredge & Dock Corp. | 8,817 | 129 |
Packaging Corp. of America | 851 | 126 | |
* | Builders FirstSource Inc. | 2,793 | 124 |
Argan Inc. | 2,456 | 121 | |
* | Thermon Group Holdings Inc. | 6,936 | 121 |
* | Ardmore Shipping Corp. | 26,557 | 119 |
Sealed Air Corp. | 2,052 | 117 | |
Silgan Holdings Inc. | 2,747 | 116 | |
Heidrick & Struggles International Inc. | 2,647 | 114 | |
* | Kirby Corp. | 1,682 | 110 |
* | AECOM | 1,672 | 109 |
* | Blue Bird Corp. | 4,129 | 108 |
Marten Transport Ltd. | 6,030 | 103 | |
Hyster-Yale Materials Handling Inc. | 1,317 | 100 | |
* | Echo Global Logistics Inc. | 2,889 | 99 |
Emerson Electric Co. | 1,015 | 97 | |
Quanex Building Products Corp. | 3,654 | 97 |
Shares | Market Value• ($000) | ||
H&E Equipment Services Inc. | 2,383 | 89 | |
* | XPO Logistics Inc. | 597 | 88 |
MSC Industrial Direct Co. Inc. Class A | 891 | 84 | |
* | Atkore Inc. | 1,033 | 80 |
Otter Tail Corp. | 1,662 | 80 | |
* | Middleby Corp. | 477 | 78 |
KBR Inc. | 1,903 | 77 | |
Moog Inc. Class A | 727 | 66 | |
Curtiss-Wright Corp. | 500 | 63 | |
Powell Industries Inc. | 1,847 | 63 | |
* | Cimpress plc | 611 | 61 |
* | Axalta Coating Systems Ltd. | 1,752 | 57 |
Columbus McKinnon Corp. | 1,097 | 56 | |
* | Willdan Group Inc. | 1,531 | 56 |
Eagle Materials Inc. | 356 | 52 | |
Crane Co. | 525 | 50 | |
AZZ Inc. | 918 | 49 | |
* | Masonite International Corp. | 393 | 47 |
Stanley Black & Decker Inc. | 216 | 47 | |
ICF International Inc. | 523 | 46 | |
* | CBIZ Inc. | 1,331 | 44 |
Terex Corp. | 837 | 44 | |
Valmont Industries Inc. | 173 | 43 | |
CSX Corp. | 415 | 42 | |
Granite Construction Inc. | 1,030 | 42 | |
* | TriNet Group Inc. | 449 | 34 |
* | Allegheny Technologies Inc. | 1,349 | 33 |
Macquarie Infrastructure Corp. | 595 | 21 | |
Kronos Worldwide Inc. | 760 | 12 | |
Belden Inc. | 56 | 3 | |
59,045 | |||
Real Estate (0.6%) | |||
* | CoreCivic Inc. | 51,928 | 407 |
* | Realogy Holdings Corp. | 21,927 | 388 |
Newmark Group Inc. Class A | 24,223 | 313 | |
* | Jones Lang LaSalle Inc. | 1,434 | 290 |
VICI Properties Inc. | 5,572 | 173 | |
* | EPR Properties | 3,283 | 161 |
STORE Capital Corp. | 3,690 | 127 | |
Preferred Apartment Communities Inc. Class A | 12,851 | 126 | |
Brixmor Property Group Inc. | 5,357 | 122 | |
RE/MAX Holdings Inc. Class A | 2,480 | 87 | |
Sabra Health Care REIT Inc. | 4,912 | 86 | |
* | Cushman & Wakefield plc | 3,641 | 69 |
American Finance Trust Inc. | 6,945 | 63 | |
Industrial Logistics Properties Trust | 181 | 5 | |
2,417 | |||
Technology (8.0%) | |||
* | Micron Technology Inc. | 39,241 | 3,302 |
Intel Corp. | 47,610 | 2,719 | |
International Business Machines Corp. | 14,127 | 2,031 | |
Hewlett Packard Enterprise Co. | 100,383 | 1,602 | |
* | Arrow Electronics Inc. | 12,364 | 1,488 |
HP Inc. | 38,630 | 1,129 | |
SYNNEX Corp. | 8,169 | 1,034 |
Shares | Market Value• ($000) | ||
Cognizant Technology Solutions Corp. Class A | 14,301 | 1,023 | |
* | TTM Technologies Inc. | 58,846 | 892 |
* | DXC Technology Co. | 22,949 | 870 |
* | CACI International Inc. Class A | 3,056 | 779 |
Xerox Holdings Corp. | 32,621 | 765 | |
Avnet Inc. | 17,017 | 750 | |
Amkor Technology Inc. | 35,050 | 740 | |
Science Applications International Corp. | 7,575 | 681 | |
Jabil Inc. | 12,054 | 680 | |
Xperi Holding Corp. | 27,567 | 590 | |
Amdocs Ltd. | 7,473 | 584 | |
* | ScanSource Inc. | 17,347 | 530 |
Broadcom Inc. | 1,108 | 523 | |
* | Alpha & Omega Semiconductor Ltd. | 15,379 | 495 |
* | VirnetX Holding Corp. | 104,469 | 478 |
Ebix Inc. | 16,555 | 454 | |
* | Sanmina Corp. | 10,234 | 431 |
* | Dell Technologies Inc. Class C | 4,220 | 416 |
* | NCR Corp. | 8,271 | 399 |
* | Waitr Holdings Inc. | 194,183 | 394 |
* | Photronics Inc. | 27,688 | 375 |
Leidos Holdings Inc. | 3,223 | 331 | |
* | Concentrix Corp. | 2,151 | 329 |
* | II-VI Inc. | 4,788 | 323 |
NortonLifeLock Inc. | 11,270 | 312 | |
* | J2 Global Inc. | 2,485 | 309 |
* | Verint Systems Inc. | 6,260 | 289 |
* | Diebold Nixdorf Inc. | 20,778 | 281 |
* | Western Digital Corp. | 3,365 | 253 |
Methode Electronics Inc. | 5,207 | 252 | |
* | NetScout Systems Inc. | 8,521 | 251 |
Oracle Corp. | 3,069 | 242 | |
* | Insight Enterprises Inc. | 1,984 | 207 |
Applied Materials Inc. | 1,437 | 199 | |
* | Qorvo Inc. | 834 | 152 |
Benchmark Electronics Inc. | 4,795 | 148 | |
* | SMART Global Holdings Inc. | 2,929 | 139 |
CDK Global Inc. | 2,578 | 135 | |
Corning Inc. | 2,495 | 109 | |
NXP Semiconductors NV | 515 | 109 | |
* | Ultra Clean Holdings Inc. | 1,882 | 106 |
* | Flex Ltd. | 5,650 | 103 |
* | Allscripts Healthcare Solutions Inc. | 5,873 | 102 |
* | Unisys Corp. | 3,614 | 93 |
* | Super Micro Computer Inc. | 2,655 | 92 |
Vishay Intertechnology Inc. | 3,712 | 89 | |
* | Synaptics Inc. | 569 | 72 |
Seagate Technology Holdings plc | 552 | 53 | |
* | Yandex NV Class A | 760 | 51 |
* | Avaya Holdings Corp. | 1,123 | 32 |
31,317 | |||
Telecommunications (4.0%) | |||
Verizon Communications Inc. | 60,005 | 3,390 | |
AT&T Inc. | 113,829 | 3,350 | |
Comcast Corp. Class A | 34,934 | 2,003 |
Shares | Market Value• ($000) | ||
Cisco Systems Inc. | 16,651 | 881 | |
* | DISH Network Corp. Class A | 19,155 | 834 |
Lumen Technologies Inc. | 43,879 | 607 | |
* | Altice USA Inc. Class A | 16,494 | 595 |
* | U.S. Cellular Corp. | 15,644 | 590 |
* | Lumentum Holdings Inc. | 6,948 | 565 |
* | Plantronics Inc. | 11,481 | 377 |
Telephone and Data Systems Inc. | 13,924 | 358 | |
* | Comm Scope Holding Co. Inc. | 17,254 | 350 |
Juniper Networks Inc. | 13,057 | 344 | |
* | WideOpenWest Inc. | 18,405 | 307 |
* | Consolidated Communications Holdings Inc. | 30,147 | 282 |
* | NETGEAR Inc. | 6,503 | 253 |
* | Liberty Latin America Ltd. Class A | 12,886 | 184 |
* | Liberty Global plc Class C | 4,099 | 112 |
* | Ribbon Communications Inc. | 14,397 | 107 |
ATN International Inc. | 1,870 | 88 | |
Comtech Telecommunications Corp. | 3,459 | 87 | |
* | EchoStar Corp. Class A | 705 | 19 |
15,683 | |||
Utilities (1.5%) | |||
Spire Inc. | 7,714 | 553 | |
UGI Corp. | 10,586 | 487 | |
Public Service Enterprise Group Inc. | 6,827 | 424 | |
Southern Co. | 5,595 | 358 | |
ALLETE Inc. | 4,649 | 320 | |
Hawaiian Electric Industries Inc. | 6,917 | 298 | |
National Fuel Gas Co. | 5,553 | 288 | |
Avangrid Inc. | 4,992 | 263 | |
NorthWestern Corp. | 4,158 | 263 | |
American Electric Power Co. Inc. | 3,042 | 262 | |
Sempra Energy | 1,815 | 246 | |
Southwest Gas Holdings Inc. | 3,292 | 217 | |
Black Hills Corp. | 3,251 | 214 | |
Evergy Inc. | 3,427 | 212 | |
Edison International | 3,472 | 194 | |
Exelon Corp. | 3,980 | 180 | |
FirstEnergy Corp. | 3,839 | 145 | |
AES Corp. | 4,257 | 108 | |
Unitil Corp. | 1,893 | 104 | |
IDACORP Inc. | 853 | 83 | |
Avista Corp. | 1,716 | 78 | |
NiSource Inc. | 3,046 | 78 | |
CenterPoint Energy Inc. | 2,891 | 73 | |
PPL Corp. | 2,157 | 63 | |
New Jersey Resources Corp. | 1,160 | 50 | |
Duke Energy Corp. | 460 | 46 | |
* | Harsco Corp. | 1,861 | 42 |
Chesapeake Utilities Corp. | 303 | 35 | |
Northwest Natural Holding Co. | 550 | 29 | |
DTE Energy Co. | 120 | 17 | |
5,730 | |||
Total Common Stocks (Cost $302,025) | 388,054 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
4,5 | Vanguard Market Liquidity Fund, 0.055% (Cost $1,350) | 13,500 | 1,350 |
Total Investments (100.0%) (Cost $303,375) | 389,404 | ||
Other Assets and Liabilities— Net (0.0%) | 65 | ||
Net Assets (100%) | 389,469 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Restricted securities totaling $19,000, representing 0.0% of net assets. |
2 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $457,000. |
3 | 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 May 31, 2021, the aggregate value was $155,000, representing 0.0% of net assets. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $500,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | June 2021 | 5 | 1,051 | 34 |
Micro E-mini S&P 500 Index | June 2021 | 6 | 126 | 8 |
42 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $302,025) | 388,054 |
Affiliated Issuers (Cost $1,350) | 1,350 |
Total Investments in Securities | 389,404 |
Investment in Vanguard | 12 |
Cash Collateral Pledged—Futures Contracts | 68 |
Receivables for Accrued Income | 634 |
Receivables for Capital Shares Issued | 5,108 |
Variation Margin Receivable—Futures Contracts | 10 |
Total Assets | 395,236 |
Liabilities | |
Due to Custodian | 7 |
Payables for Investment Securities Purchased | 5,238 |
Collateral for Securities on Loan | 500 |
Payables to Vanguard | 22 |
Total Liabilities | 5,767 |
Net Assets | 389,469 |
At May 31, 2021, net assets consisted of: | |
Paid-in Capital | 308,429 |
Total Distributable Earnings (Loss) | 81,040 |
Net Assets | 389,469 |
Net Assets | |
Applicable to 3,820,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 389,469 |
Net Asset Value Per Share | $101.96 |
Six Months Ended May 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,535 |
Interest1 | — |
Securities Lending—Net | 5 |
Total Income | 2,540 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 111 |
Management and Administrative | 40 |
Marketing and Distribution | 5 |
Custodian Fees | 2 |
Shareholders’ Reports | 2 |
Trustees’ Fees and Expenses | — |
Total Expenses | 160 |
Net Investment Income | 2,380 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 3,982 |
Futures Contracts | 68 |
Realized Net Gain (Loss) | 4,050 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 67,586 |
Futures Contracts | 29 |
Change in Unrealized Appreciation (Depreciation) | 67,615 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 74,045 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $1,412,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 2,380 | 2,769 | |
Realized Net Gain (Loss) | 4,050 | (5,254) | |
Change in Unrealized Appreciation (Depreciation) | 67,615 | 17,857 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 74,045 | 15,372 | |
Distributions | |||
Total Distributions | (1,964) | (2,473) | |
Capital Share Transactions | |||
Issued | 188,363 | 63,070 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (4,101) | (24,015) | |
Net Increase (Decrease) from Capital Share Transactions | 184,262 | 39,055 | |
Total Increase (Decrease) | 256,343 | 51,954 | |
Net Assets | |||
Beginning of Period | 133,126 | 81,172 | |
End of Period | 389,469 | 133,126 |
For a Share Outstanding Throughout Each Period | Six Months, Ended May 31, 2021 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $73.96 | $75.51 | $74.35 | $75.00 |
Investment Operations | ||||
Net Investment Income2 | .877 | 1.689 | 1.671 | 1.276 |
Net Realized and Unrealized Gain (Loss) on Investments | 27.945 | (1.634) | 1.053 | (1.295) |
Total from Investment Operations | 28.822 | .055 | 2.724 | (.019) |
Distributions | ||||
Dividends from Net Investment Income | (.822) | (1.605) | (1.564) | (.631) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.822) | (1.605) | (1.564) | (.631) |
Net Asset Value, End of Period | $101.96 | $73.96 | $75.51 | $74.35 |
Total Return | 39.22% | 0.70% | 3.83% | -0.08% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $389 | $133 | $81 | $37 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.14%3 | 0.14%3 | 0.13%4 |
Ratio of Net Investment Income to Average Net Assets | 1.86% | 2.68% | 2.32% | 2.05%4 |
Portfolio Turnover Rate | 12%5 | 52%5 | 73% | 16% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.13%. |
4 | Annualized. |
5 | 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. |
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. |
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 and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 388,035 | 19 | — | 388,054 |
Temporary Cash Investments | 1,350 | — | — | 1,350 |
Total | 389,385 | 19 | — | 389,404 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 42 | — | — | 42 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of May 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 303,417 |
Gross Unrealized Appreciation | 87,748 |
Gross Unrealized Depreciation | (1,719) |
Net Unrealized Appreciation (Depreciation) | 86,029 |
E. | During the six months ended May 31, 2021, the fund purchased $218,038,000 of investment securities and sold $34,203,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $4,094,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 2,070 | 1,150 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (50) | (425) | |
Net Increase (Decrease) in Shares Outstanding | 2,020 | 725 |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2021, that would require recognition or disclosure in these financial statements. |
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All rights reserved.
Vanguard Marketing Corporation, Distributor.
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About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangement | 25 |
Liquidity Risk Management | 27 |
• | 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. |
• | 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. |
Six Months Ended May 31, 2021 | |||
U.S. Multifactor Fund | Beginning Account Value 11/30/2020 | Ending Account Value 5/31/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,293.50 | $1.03 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.03 | 0.91 |
Basic Materials | 4.4% |
Consumer Discretionary | 23.4 |
Consumer Staples | 3.4 |
Energy | 2.7 |
Financials | 25.8 |
Health Care | 7.5 |
Industrials | 19.5 |
Real Estate | 0.1 |
Technology | 12.4 |
Telecommunications | 0.8 |
Utilities | 0.0 |
Shares | Market Value• ($000) | ||
Common Stocks (98.7%) | |||
Basic Materials (4.3%) | |||
Freeport-McMoRan Inc. | 8,157 | 348 | |
Dow Inc. | 3,942 | 270 | |
Southern Copper Corp. | 1,727 | 120 | |
UFP Industries Inc. | 1,477 | 117 | |
Reliance Steel & Aluminum Co. | 596 | 100 | |
Nucor Corp. | 769 | 79 | |
Commercial Metals Co. | 2,470 | 78 | |
Timken Co. | 823 | 73 | |
Boise Cascade Co. | 954 | 63 | |
GrafTech International Ltd. | 4,133 | 55 | |
Steel Dynamics Inc. | 856 | 53 | |
Stepan Co. | 347 | 47 | |
LyondellBasell Industries NV Class A | 371 | 42 | |
International Paper Co. | 635 | 40 | |
Schweitzer-Mauduit International Inc. | 886 | 36 | |
Schnitzer Steel Industries Inc. Class A | 633 | 34 | |
Scotts Miracle-Gro Co. | 156 | 34 | |
* | AdvanSix Inc. | 1,006 | 32 |
Tredegar Corp. | 2,074 | 32 | |
Worthington Industries Inc. | 462 | 31 | |
Trinseo SA | 471 | 31 | |
Fastenal Co. | 556 | 29 | |
Eastman Chemical Co. | 216 | 27 | |
Chemours Co. | 699 | 25 | |
Element Solutions Inc. | 783 | 18 | |
CF Industries Holdings Inc. | 313 | 17 | |
Innospec Inc. | 115 | 12 | |
Valvoline Inc. | 306 | 10 | |
1,853 | |||
Consumer Discretionary (23.1%) | |||
Target Corp. | 1,958 | 444 | |
Lowe's Cos. Inc. | 1,602 | 312 | |
eBay Inc. | 4,973 | 303 | |
* | Ford Motor Co. | 16,800 | 244 |
* | General Motors Co. | 4,102 | 243 |
Walmart Inc. | 1,563 | 222 | |
* | L Brands Inc. | 3,010 | 210 |
* | AutoNation Inc. | 1,554 | 159 |
Shares | Market Value• ($000) | ||
Estee Lauder Cos. Inc. Class A | 506 | 155 | |
Ethan Allen Interiors Inc. | 5,142 | 148 | |
* | Deckers Outdoor Corp. | 412 | 138 |
Lennar Corp. Class A | 1,353 | 134 | |
Dick's Sporting Goods Inc. | 1,339 | 131 | |
Williams-Sonoma Inc. | 760 | 129 | |
Rent-A-Center Inc. | 1,955 | 121 | |
* | Hibbett Sports Inc. | 1,401 | 119 |
* | Sleep Number Corp. | 1,051 | 117 |
Acushnet Holdings Corp. | 2,169 | 115 | |
Haverty Furniture Cos. Inc. | 2,447 | 112 | |
Foot Locker Inc. | 1,754 | 111 | |
Matthews International Corp. Class A | 2,826 | 110 | |
* | Discovery Inc. Class A | 3,323 | 107 |
Qurate Retail Inc. Series A | 7,760 | 106 | |
* | Tapestry Inc. | 2,270 | 102 |
PulteGroup Inc. | 1,747 | 101 | |
Hanesbrands Inc. | 4,845 | 95 | |
Movado Group Inc. | 3,434 | 95 | |
* | Macy's Inc. | 5,125 | 94 |
* | Century Communities Inc. | 1,137 | 93 |
Best Buy Co. Inc. | 760 | 88 | |
Travel + Leisure Co. | 1,347 | 88 | |
Group 1 Automotive Inc. | 537 | 86 | |
Johnson Outdoors Inc. Class A | 700 | 86 | |
Shoe Carnival Inc. | 1,277 | 86 | |
Buckle Inc. | 2,019 | 85 | |
* | Citi Trends Inc. | 1,024 | 85 |
Whirlpool Corp. | 346 | 82 | |
Kohl's Corp. | 1,393 | 77 | |
News Corp. Class A | 2,856 | 77 | |
* | MarineMax Inc. | 1,486 | 76 |
* | American Axle & Manufacturing Holdings Inc. | 6,696 | 75 |
* | Discovery Inc. Class C | 2,460 | 74 |
* | Funko Inc. Class A | 2,820 | 74 |
Gentex Corp. | 2,058 | 73 | |
Thor Industries Inc. | 592 | 73 | |
AMERCO | 126 | 72 | |
* | AMC Networks Inc. Class A | 1,344 | 72 |
Gap Inc. | 2,115 | 71 | |
* | ODP Corp. | 1,619 | 71 |
* | Abercrombie & Fitch Co. Class A | 1,633 | 70 |
Dillard's Inc. Class A | 533 | 70 | |
* | Lakeland Industries Inc. | 2,794 | 70 |
Sonic Automotive Inc. Class A | 1,427 | 69 | |
Big Lots Inc. | 1,117 | 68 | |
Lithia Motors Inc. Class A | 191 | 67 | |
Newell Brands Inc. | 2,291 | 66 | |
ViacomCBS Inc. Class A | 1,411 | 66 | |
* | Sonos Inc. | 1,748 | 65 |
* | NVR Inc. | 13 | 64 |
* | International Game Technology plc | 2,619 | 64 |
* | Conn's Inc. | 2,724 | 63 |
HNI Corp. | 1,379 | 63 | |
Kontoor Brands Inc. | 979 | 63 |
Shares | Market Value• ($000) | ||
* | Malibu Boats Inc. Class A | 802 | 63 |
* | Liquidity Services Inc. | 2,609 | 62 |
* | Mattel Inc. | 2,868 | 61 |
EW Scripps Co. Class A | 2,859 | 61 | |
* | Gentherm Inc. | 825 | 60 |
* | RH | 94 | 60 |
* | Goodyear Tire & Rubber Co. | 2,987 | 59 |
* | Turtle Beach Corp. | 1,771 | 59 |
* | VOXX International Corp. Class A | 3,828 | 58 |
* | XPEL Inc. | 707 | 58 |
* | Crocs Inc. | 567 | 57 |
* | Asbury Automotive Group Inc. | 275 | 55 |
* | Meritage Homes Corp. | 512 | 55 |
ViacomCBS Inc. Class B | 1,293 | 55 | |
DR Horton Inc. | 571 | 54 | |
Penske Automotive Group Inc. | 629 | 54 | |
* | Vera Bradley Inc. | 4,658 | 53 |
Interpublic Group of Cos. Inc. | 1,537 | 52 | |
* | BJ's Wholesale Club Holdings Inc. | ���1,143 | 51 |
Dana Inc. | 1,894 | 51 | |
* | Etsy Inc. | 312 | 51 |
* | O'Reilly Automotive Inc. | 95 | 51 |
* | PVH Corp. | 447 | 51 |
Polaris Inc. | 387 | 51 | |
* | Tri Pointe Homes Inc. | 2,047 | 49 |
* | Beazer Homes USA Inc. | 1,972 | 47 |
* | Master Craft Boat Holdings Inc. | 1,709 | 47 |
Nexstar Media Group Inc. Class A | 312 | 47 | |
Standard Motor Products Inc. | 1,037 | 47 | |
Tractor Supply Co. | 260 | 47 | |
* | GoPro Inc. Class A | 4,069 | 46 |
* | LKQ Corp. | 910 | 46 |
Rush Enterprises Inc. Class A | 954 | 46 | |
Fox Corp. Class B | 1,250 | 45 | |
* | Zumiez Inc. | 1,019 | 45 |
* | 1-800-Flowers.com Inc. Class A | 1,457 | 44 |
Murphy USA Inc. | 305 | 41 | |
* | Stamps.com Inc. | 219 | 41 |
Activision Blizzard Inc. | 415 | 40 | |
* | YETI Holdings Inc. | 423 | 37 |
BorgWarner Inc. | 703 | 36 | |
Toll Brothers Inc. | 553 | 36 | |
* | Duluth Holdings Inc. Class B | 2,149 | 35 |
Fox Corp. Class A | 876 | 33 | |
* | Central Garden & Pet Co. Class A | 615 | 31 |
KB Home | 664 | 31 | |
* | Lands' End Inc. | 1,161 | 30 |
* | Universal Electronics Inc. | 591 | 30 |
Nielsen Holdings plc | 1,095 | 30 | |
* | American Public Education Inc. | 1,048 | 29 |
News Corp. Class B | 1,114 | 29 | |
Garmin Ltd. | 205 | 29 | |
* | Helen of Troy Ltd. | 132 | 28 |
* | Purple Innovation Inc. Class A | 972 | 28 |
H&R Block Inc. | 1,102 | 27 |
Shares | Market Value• ($000) | ||
* | iRobot Corp. | 272 | 27 |
* | Lumber Liquidators Holdings Inc. | 1,167 | 27 |
* | Sally Beauty Holdings Inc. | 1,214 | 26 |
Winnebago Industries Inc. | 322 | 24 | |
* | Lions Gate Entertainment Corp. Class A | 1,159 | 23 |
New York Times Co. Class A | 511 | 22 | |
* | Green Brick Partners Inc. | 897 | 21 |
American Eagle Outfitters Inc. | 559 | 20 | |
* | Clean Energy Fuels Corp. | 2,556 | 20 |
Del Taco Restaurants Inc. | 1,922 | 20 | |
* | Tesla Inc. | 32 | 20 |
Aaron's Co. Inc. | 530 | 19 | |
PriceSmart Inc. | 190 | 17 | |
* | Taylor Morrison Home Corp. Class A | 471 | 14 |
* | Dorman Products Inc. | 128 | 13 |
Steven Madden Ltd. | 312 | 13 | |
Herman Miller Inc. | 260 | 12 | |
Pool Corp. | 28 | 12 | |
* | LGI Homes Inc. | 52 | 9 |
* | Urban Outfitters Inc. | 203 | 8 |
9,955 | |||
Consumer Staples (3.4%) | |||
Altria Group Inc. | 3,070 | 151 | |
Walgreens Boots Alliance Inc. | 2,646 | 139 | |
Philip Morris International Inc. | 1,427 | 138 | |
Kraft Heinz Co. | 2,206 | 96 | |
Ingles Markets Inc. Class A | 1,468 | 91 | |
Weis Markets Inc. | 1,751 | 89 | |
McKesson Corp. | 445 | 86 | |
Casey's General Stores Inc. | 332 | 73 | |
Kroger Co. | 1,771 | 66 | |
AmerisourceBergen Corp. Class A | 534 | 61 | |
Corteva Inc. | 1,191 | 54 | |
* | Boston Beer Co. Inc. Class A | 46 | 49 |
Vector Group Ltd. | 3,335 | 46 | |
* | Hain Celestial Group Inc. | 982 | 40 |
CVS Health Corp. | 372 | 32 | |
Edgewell Personal Care Co. | 591 | 27 | |
SpartanNash Co. | 1,256 | 26 | |
ACCO Brands Corp. | 2,714 | 25 | |
Medifast Inc. | 62 | 21 | |
PetMed Express Inc. | 738 | 21 | |
* | Monster Beverage Corp. | 206 | 19 |
National Beverage Corp. | 382 | 19 | |
* | Sprouts Farmers Market Inc. | 725 | 19 |
J M Smucker Co. | 135 | 18 | |
* | Darling Ingredients Inc. | 197 | 14 |
Fresh Del Monte Produce Inc. | 432 | 14 | |
Ingredion Inc. | 53 | 5 | |
1,439 | |||
Energy (2.7%) | |||
Ovintiv Inc. (XNYS) | 4,236 | 113 | |
Patterson-UTI Energy Inc. | 10,156 | 85 | |
* | Bonanza Creek Energy Inc. | 1,887 | 81 |
EOG Resources Inc. | 1,010 | 81 |
Shares | Market Value• ($000) | ||
* | Renewable Energy Group Inc. | 1,299 | 79 |
* | CONSOL Energy Inc. | 5,089 | 78 |
Antero Midstream Corp. | 7,959 | 76 | |
Diamondback Energy Inc. | 918 | 74 | |
Arcosa Inc. | 1,126 | 72 | |
SunCoke Energy Inc. | 9,260 | 70 | |
Marathon Oil Corp. | 5,522 | 67 | |
* | W&T Offshore Inc. | 13,888 | 52 |
Archrock Inc. | 4,703 | 43 | |
Pioneer Natural Resources Co. | 251 | 38 | |
* | Green Plains Inc. | 1,122 | 36 |
* | PDC Energy Inc. | 738 | 31 |
Halliburton Co. | 1,189 | 27 | |
* | CNX Resources Corp. | 1,373 | 19 |
World Fuel Services Corp. | 455 | 14 | |
* | Frank's International NV | 3,413 | 11 |
1,147 | |||
Financials (25.5%) | |||
Allstate Corp. | 3,158 | 431 | |
* | Berkshire Hathaway Inc. Class B | 1,470 | 425 |
Goldman Sachs Group Inc. | 1,112 | 414 | |
MetLife Inc. | 6,029 | 394 | |
PNC Financial Services Group Inc. | 1,747 | 340 | |
U.S. Bancorp | 5,094 | 310 | |
T Rowe Price Group Inc. | 1,567 | 300 | |
JPMorgan Chase & Co. | 1,744 | 286 | |
Bank of America Corp. | 6,425 | 272 | |
Popular Inc. | 2,480 | 202 | |
Jefferies Financial Group Inc. | 6,188 | 199 | |
SLM Corp. | 9,725 | 197 | |
Hilltop Holdings Inc. | 4,882 | 181 | |
Harbornone Bancorp Inc. | 11,630 | 173 | |
Citizens Financial Group Inc. | 3,356 | 167 | |
First Bancorp. (XNYS) | 12,671 | 162 | |
Primerica Inc. | 894 | 145 | |
CNO Financial Group Inc. | 5,402 | 143 | |
Ameriprise Financial Inc. | 519 | 135 | |
Oppenheimer Holdings Inc. Class A | 2,643 | 132 | |
Virtus Investment Partners Inc. | 464 | 131 | |
Affiliated Managers Group Inc. | 783 | 128 | |
* | SVB Financial Group | 219 | 128 |
B Riley Financial Inc. | 1,612 | 119 | |
First Citizens BancShares Inc. Class A | 137 | 118 | |
HomeStreet Inc. | 2,579 | 116 | |
BlackRock Inc. | 125 | 110 | |
Bank of New York Mellon Corp. | 2,065 | 108 | |
Progressive Corp. | 1,082 | 107 | |
BankUnited Inc. | 2,224 | 106 | |
Aon plc Class A | 415 | 105 | |
Zions Bancorp NA | 1,738 | 101 | |
Walker & Dunlop Inc. | 986 | 100 | |
East West Bancorp Inc. | 1,303 | 97 | |
Travelers Cos. Inc. | 583 | 93 | |
Associated Banc-Corp. | 4,006 | 92 | |
Fifth Third Bancorp | 2,124 | 90 |
Shares | Market Value• ($000) | ||
Simmons First National Corp. Class A | 2,872 | 88 | |
Stifel Financial Corp. | 1,260 | 87 | |
Citigroup Inc. | 1,077 | 85 | |
Old Republic International Corp. | 3,219 | 85 | |
Equitable Holdings Inc. | 2,592 | 82 | |
Nelnet Inc. Class A | 1,054 | 80 | |
* | Triumph Bancorp Inc. | 953 | 80 |
Aflac Inc. | 1,349 | 76 | |
KeyCorp. | 3,173 | 73 | |
* | Axos Financial Inc. | 1,472 | 70 |
Cincinnati Financial Corp. | 571 | 70 | |
Evercore Inc. Class A | 477 | 70 | |
Great Western Bancorp Inc. | 2,082 | 70 | |
Morningstar Inc. | 294 | 69 | |
LPL Financial Holdings Inc. | 460 | 68 | |
Trustmark Corp. | 2,035 | 68 | |
Invesco Ltd. | 2,357 | 67 | |
Federated Hermes Inc. | 2,007 | 64 | |
Park National Corp. | 505 | 64 | |
Voya Financial Inc. | 958 | 63 | |
Bank of NT Butterfield & Son Ltd. | 1,620 | 62 | |
* | Enstar Group Ltd. | 242 | 61 |
First Financial Bancorp | 2,249 | 57 | |
Hanmi Financial Corp. | 2,664 | 56 | |
Hanover Insurance Group Inc. | 398 | 56 | |
Mercury General Corp. | 885 | 56 | |
WSFS Financial Corp. | 1,043 | 56 | |
Comerica Inc. | 696 | 55 | |
First Commonwealth Financial Corp. | 3,659 | 55 | |
Fulton Financial Corp. | 3,152 | 55 | |
Bank OZK | 1,265 | 54 | |
Hope Bancorp Inc. | 3,542 | 54 | |
Northern Trust Corp. | 449 | 54 | |
Eagle Bancorp Inc. | 925 | 53 | |
Home BancShares Inc. | 1,919 | 53 | |
Preferred Bank | 779 | 53 | |
UMB Financial Corp. | 552 | 53 | |
BOK Financial Corp. | 567 | 52 | |
Investors Bancorp Inc. | 3,417 | 51 | |
PacWest Bancorp | 1,117 | 50 | |
Washington Trust Bancorp Inc. | 910 | 50 | |
BancFirst Corp. | 696 | 48 | |
Allegiance Bancshares Inc. | 1,156 | 47 | |
FNB Corp. | 3,519 | 47 | |
Federal Agricultural Mortgage Corp. Class C | 461 | 47 | |
Renasant Corp. | 1,053 | 47 | |
Morgan Stanley | 506 | 46 | |
Raymond James Financial Inc. | 345 | 46 | |
International Bancshares Corp. | 949 | 44 | |
First Foundation Inc. | 1,687 | 42 | |
Truist Financial Corp. | 686 | 42 | |
Towne Bank | 1,210 | 39 | |
Washington Federal Inc. | 1,157 | 39 | |
First Bancorp. | 856 | 38 | |
Ameris Bancorp | 670 | 37 |
Shares | Market Value• ($000) | ||
Regions Financial Corp. | 1,600 | 37 | |
City Holding Co. | 430 | 35 | |
Employers Holdings Inc. | 840 | 35 | |
NBT Bancorp Inc. | 908 | 35 | |
M&T Bank Corp. | 213 | 34 | |
Brookline Bancorp Inc. | 1,887 | 32 | |
ServisFirst Bancshares Inc. | 465 | 32 | |
First Interstate BancSystem Inc. Class A | 658 | 31 | |
Huntington Bancshares Inc. | 1,751 | 28 | |
Signature Bank | 112 | 28 | |
TrustCo Bank Corp. NY | 713 | 28 | |
Sandy Spring Bancorp Inc. | 582 | 27 | |
Artisan Partners Asset Management Inc. Class A | 500 | 26 | |
OFG Bancorp | 1,084 | 26 | |
Old National Bancorp | 1,380 | 26 | |
Pinnacle Financial Partners Inc. | 282 | 26 | |
Lazard Ltd. Class A | 558 | 26 | |
First Merchants Corp. | 535 | 25 | |
National Bank Holdings Corp. Class A | 623 | 25 | |
Southside Bancshares Inc. | 584 | 25 | |
TriCo Bancshares | 521 | 25 | |
Virtu Financial Inc. Class A | 837 | 25 | |
Atlantic Union Bankshares Corp. | 587 | 24 | |
Lakeland Financial Corp. | 396 | 24 | |
Columbia Banking System Inc. | 532 | 23 | |
Heritage Financial Corp. | 790 | 23 | |
Diamond Hill Investment Group Inc. | 121 | 21 | |
First Hawaiian Inc. | 698 | 20 | |
Central Pacific Financial Corp. | 662 | 18 | |
Cathay General Bancorp | 410 | 17 | |
Tompkins Financial Corp. | 210 | 17 | |
Universal Insurance Holdings Inc. | 1,177 | 17 | |
Banner Corp. | 262 | 15 | |
* | Credit Acceptance Corp. | 31 | 14 |
PennyMac Financial Services Inc. | 219 | 14 | |
First Busey Corp. | 460 | 12 | |
Bank of Hawaii Corp. | 96 | 9 | |
Wells Fargo & Co. | 180 | 8 | |
11,004 | |||
Health Care (7.4%) | |||
Anthem Inc. | 1,048 | 417 | |
HCA Healthcare Inc. | 1,132 | 243 | |
AbbVie Inc. | 1,522 | 172 | |
Agilent Technologies Inc. | 1,203 | 166 | |
* | Align Technology Inc. | 265 | 156 |
Humana Inc. | 282 | 123 | |
Bristol-Myers Squibb Co. | 1,742 | 114 | |
Cigna Corp. | 440 | 114 | |
* | United Therapeutics Corp. | 593 | 110 |
UnitedHealth Group Inc. | 247 | 102 | |
Abbott Laboratories | 819 | 96 | |
* | Medpace Holdings Inc. | 521 | 87 |
* | Molina Healthcare Inc. | 334 | 84 |
* | Biogen Inc. | 285 | 76 |
* | Jazz Pharmaceuticals plc | 357 | 64 |
Shares | Market Value• ($000) | ||
* | Tenet Healthcare Corp. | 864 | 58 |
* | Corcept Therapeutics Inc. | 2,644 | 57 |
* | ModivCare Inc. | 378 | 56 |
* | DaVita Inc. | 460 | 55 |
* | Moderna Inc. | 291 | 54 |
* | Joint Corp. | 727 | 52 |
Patterson Cos. Inc. | 1,486 | 48 | |
* | Henry Schein Inc. | 612 | 47 |
Eli Lilly & Co. | 223 | 45 | |
* | LHC Group Inc. | 224 | 44 |
Cardinal Health Inc. | 722 | 40 | |
Cerner Corp. | 473 | 37 | |
* | Meridian Bioscience Inc. | 1,798 | 37 |
* | Triple-S Management Corp. Class B | 1,439 | 36 |
Computer Programs and Systems Inc. | 1,054 | 34 | |
* | Quidel Corp. | 284 | 34 |
West Pharmaceutical Services Inc. | 96 | 33 | |
* | Hologic Inc. | 468 | 30 |
* | Amedisys Inc. | 109 | 28 |
Ensign Group Inc. | 315 | 26 | |
* | Community Health Systems Inc. | 1,723 | 25 |
Quest Diagnostics Inc. | 185 | 24 | |
* | Emergent BioSolutions Inc. | 371 | 23 |
* | Catalyst Pharmaceuticals Inc. | 4,000 | 22 |
Healthcare Services Group Inc. | 687 | 21 | |
* | Laboratory Corp. of America Holdings | 75 | 21 |
* | IDEXX Laboratories Inc. | 36 | 20 |
* | Acadia Healthcare Co. Inc. | 259 | 17 |
* | Sage Therapeutics Inc. | 251 | 17 |
* | STAAR Surgical Co. | 90 | 13 |
*,1 | Retractable Technologies Inc. | 1,395 | 13 |
* | Amneal Pharmaceuticals Inc. | 1,944 | 11 |
* | Translate Bio Inc. | 234 | 4 |
3,206 | |||
Industrials (19.2%) | |||
Cummins Inc. | 947 | 244 | |
United Parcel Service Inc. Class B | 1,130 | 242 | |
Johnson Controls International plc | 3,415 | 227 | |
3M Co. | 1,108 | 225 | |
FedEx Corp. | 646 | 203 | |
Accenture plc Class A | 718 | 203 | |
Trane Technologies plc | 1,001 | 187 | |
Louisiana-Pacific Corp. | 2,499 | 168 | |
* | Zebra Technologies Corp. Class A | 298 | 148 |
AGCO Corp. | 1,036 | 143 | |
Deere & Co. | 388 | 140 | |
Brunswick Corp. | 1,359 | 139 | |
Eaton Corp. plc | 870 | 126 | |
DuPont de Nemours Inc. | 1,466 | 124 | |
MSC Industrial Direct Co. Inc. Class A | 1,248 | 118 | |
Caterpillar Inc. | 445 | 107 | |
* | Mohawk Industries Inc. | 477 | 100 |
ManpowerGroup Inc. | 780 | 94 | |
Emerson Electric Co. | 959 | 92 | |
Sherwin-Williams Co. | 315 | 89 |
Shares | Market Value• ($000) | ||
Snap-on Inc. | 334 | 85 | |
Schneider National Inc. Class B | 3,374 | 83 | |
Crown Holdings Inc. | 796 | 82 | |
* | Trex Co. Inc. | 840 | 82 |
* | MasTec Inc. | 681 | 79 |
* | MYR Group Inc. | 896 | 78 |
* | Saia Inc. | 334 | 77 |
Quanta Services Inc. | 782 | 75 | |
Marten Transport Ltd. | 4,313 | 74 | |
Fortune Brands Home & Security Inc. | 710 | 73 | |
* | Hub Group Inc. Class A | 1,044 | 73 |
Owens Corning | 649 | 69 | |
* | Generac Holdings Inc. | 206 | 68 |
Badger Meter Inc. | 703 | 67 | |
* | Covenant Logistics Group Inc. Class A | 2,974 | 67 |
EMCOR Group Inc. | 529 | 67 | |
* | Modine Manufacturing Co. | 3,810 | 67 |
McGrath RentCorp. | 742 | 64 | |
Kforce Inc. | 1,003 | 63 | |
* | United Rentals Inc. | 189 | 63 |
Genco Shipping & Trading Ltd. | 3,904 | 62 | |
* | Textainer Group Holdings Ltd. | 1,852 | 62 |
ITT Inc. | 645 | 61 | |
Quanex Building Products Corp. | 2,298 | 61 | |
Regal Beloit Corp. | 431 | 61 | |
Encore Wire Corp. | 715 | 59 | |
Ryder System Inc. | 726 | 59 | |
CSW Industrials Inc. | 478 | 58 | |
Knight-Swift Transportation Holdings Inc. | 1,207 | 58 | |
Old Dominion Freight Line Inc. | 220 | 58 | |
Simpson Manufacturing Co. Inc. | 508 | 57 | |
ArcBest Corp. | 725 | 56 | |
* | TopBuild Corp. | 284 | 56 |
Triton International Ltd. | 1,023 | 55 | |
Oshkosh Corp. | 414 | 54 | |
DHT Holdings Inc. | 8,410 | 54 | |
Acuity Brands Inc. | 288 | 53 | |
Advanced Drainage Systems Inc. | 457 | 52 | |
Rexnord Corp. | 1,036 | 52 | |
Watts Water Technologies Inc. Class A | 380 | 52 | |
* | Beacon Roofing Supply Inc. | 902 | 51 |
Granite Construction Inc. | 1,257 | 51 | |
Hubbell Inc. Class B | 270 | 51 | |
Landstar System Inc. | 301 | 51 | |
Primoris Services Corp. | 1,589 | 51 | |
Astec Industries Inc. | 727 | 50 | |
CAI International Inc. | 1,149 | 49 | |
Kronos Worldwide Inc. | 2,989 | 49 | |
Norfolk Southern Corp. | 174 | 49 | |
Ennis Inc. | 2,172 | 46 | |
JB Hunt Transport Services Inc. | 271 | 46 | |
Hyster-Yale Materials Handling Inc. | 614 | 46 | |
* | TriNet Group Inc. | 608 | 46 |
Heidrick & Struggles International Inc. | 1,041 | 45 | |
* | Masonite International Corp. | 380 | 45 |
Shares | Market Value• ($000) | ||
Westrock Co. | 766 | 45 | |
Columbus McKinnon Corp. | 875 | 44 | |
* | Titan Machinery Inc. | 1,423 | 44 |
Franklin Electric Co. Inc. | 516 | 43 | |
WW Grainger Inc. | 94 | 43 | |
Greenbrier Cos. Inc. | 970 | 43 | |
Crane Co. | 439 | 42 | |
Matson Inc. | 651 | 42 | |
* | XPO Logistics Inc. | 284 | 42 |
*,2 | API Group Corp. | 1,965 | 42 |
Apogee Enterprises Inc. | 1,051 | 40 | |
Packaging Corp. of America | 264 | 39 | |
* | Sterling Construction Co. Inc. | 1,731 | 39 |
Argan Inc. | 782 | 38 | |
Watsco Inc. | 132 | 38 | |
Werner Enterprises Inc. | 789 | 38 | |
* | Middleby Corp. | 227 | 37 |
Kadant Inc. | 215 | 36 | |
* | Berry Global Group Inc. | 510 | 35 |
Deluxe Corp. | 758 | 35 | |
John Bean Technologies Corp. | 235 | 34 | |
MKS Instruments Inc. | 170 | 32 | |
* | Sykes Enterprises Inc. | 753 | 32 |
* | Cross Country Healthcare Inc. | 1,962 | 31 |
* | Echo Global Logistics Inc. | 895 | 31 |
Graphic Packaging Holding Co. | 1,693 | 30 | |
Insteel Industries Inc. | 847 | 30 | |
Shyft Group Inc. | 771 | 30 | |
AZZ Inc. | 540 | 29 | |
* | Gibraltar Industries Inc. | 369 | 29 |
Valmont Industries Inc. | 115 | 29 | |
nVent Electric plc | 876 | 29 | |
* | Kelly Services Inc. Class A | 1,085 | 28 |
Costamare Inc. | 2,586 | 28 | |
AAON Inc. | 424 | 28 | |
Myers Industries Inc. | 1,162 | 26 | |
Textron Inc. | 373 | 26 | |
* | Atlas Air Worldwide Holdings Inc. | 335 | 25 |
* | Construction Partners Inc. Class A | 762 | 25 |
Eagle Materials Inc. | 169 | 25 | |
Hillenbrand Inc. | 555 | 25 | |
* | REV Group Inc. | 1,362 | 25 |
Robert Half International Inc. | 266 | 24 | |
* | SPX Corp. | 386 | 24 |
* | TrueBlue Inc. | 869 | 24 |
Greif Inc. Class A | 380 | 23 | |
Patrick Industries Inc. | 264 | 23 | |
* | ASGN Inc. | 214 | 22 |
* | Blue Bird Corp. | 804 | 21 |
UniFirst Corp. | 97 | 21 | |
ADT Inc. | 2,004 | 21 | |
* | FTI Consulting Inc. | 146 | 20 |
ABM Industries Inc. | 403 | 20 | |
SPX FLOW Inc. | 283 | 19 | |
Sonoco Products Co. | 276 | 19 |
Shares | Market Value• ($000) | ||
Federal Signal Corp. | 394 | 17 | |
RPM International Inc. | 180 | 17 | |
Resources Connection Inc. | 1,178 | 17 | |
Wabash National Corp. | 1,076 | 17 | |
* | American Woodmark Corp. | 176 | 15 |
International Seaways Inc. | 688 | 14 | |
Heartland Express Inc. | 741 | 13 | |
* | Atkore Inc. | 151 | 12 |
Comfort Systems USA Inc. | 150 | 12 | |
* | Dorian LPG Ltd. | 625 | 9 |
8,297 | |||
Real Estate (0.1%) | |||
St. Joe Co. | 779 | 36 | |
Iron Mountain Inc. | 199 | 9 | |
45 | |||
Technology (12.2%) | |||
* | Micron Technology Inc. | 3,888 | 327 |
Applied Materials Inc. | 2,120 | 293 | |
* | Alphabet Inc. Class C | 111 | 268 |
KLA Corp. | 696 | 221 | |
Broadcom Inc. | 461 | 218 | |
Intel Corp. | 3,590 | 205 | |
Texas Instruments Inc. | 1,056 | 200 | |
Cognizant Technology Solutions Corp. Class A | 2,578 | 185 | |
HP Inc. | 6,255 | 183 | |
QUALCOMM Inc. | 1,117 | 150 | |
Teradyne Inc. | 1,042 | 138 | |
* | Cadence Design Systems Inc. | 990 | 126 |
* | Qorvo Inc. | 674 | 123 |
Lam Research Corp. | 183 | 119 | |
Apple Inc. | 856 | 107 | |
SYNNEX Corp. | 807 | 102 | |
* | Facebook Inc. Class A | 279 | 92 |
* | Arrow Electronics Inc. | 739 | 89 |
International Business Machines Corp. | 622 | 89 | |
* | Diodes Inc. | 1,133 | 86 |
Oracle Corp. | 1,053 | 83 | |
Jabil Inc. | 1,428 | 81 | |
Seagate Technology Holdings plc | 700 | 67 | |
* | Lattice Semiconductor Corp. | 1,238 | 66 |
Skyworks Solutions Inc. | 377 | 64 | |
Vishay Intertechnology Inc. | 2,536 | 61 | |
* | Avid Technology Inc. | 1,947 | 60 |
* | TechTarget Inc. | 839 | 59 |
* | Pinterest Inc. Class A | 840 | 55 |
* | Alphabet Inc. Class A | 23 | 54 |
* | Verint Systems Inc. | 1,020 | 47 |
TE Connectivity Ltd. | 342 | 46 | |
* | Super Micro Computer Inc. | 1,278 | 44 |
* | Calix Inc. | 979 | 43 |
* | FormFactor Inc. | 1,207 | 43 |
* | Dell Technologies Inc. Class C | 423 | 42 |
Dolby Laboratories Inc. Class A | 434 | 42 | |
* | Insight Enterprises Inc. | 397 | 41 |
* | Allscripts Healthcare Solutions Inc. | 2,309 | 40 |
Shares | Market Value• ($000) | ||
NetApp Inc. | 510 | 39 | |
* | II-VI Inc. | 560 | 38 |
Hackett Group Inc. | 2,074 | 37 | |
* | Teradata Corp. | 771 | 37 |
Methode Electronics Inc. | 734 | 36 | |
Shutterstock Inc. | 392 | 36 | |
* | Mitek Systems Inc. | 1,974 | 33 |
* | Sanmina Corp. | 735 | 31 |
* | Synaptics Inc. | 241 | 30 |
Vertiv Holdings Co. Class A | 1,209 | 30 | |
* | J2 Global Inc. | 224 | 28 |
* | SMART Global Holdings Inc. | 596 | 28 |
* | Ultra Clean Holdings Inc. | 474 | 27 |
* | Axcelis Technologies Inc. | 630 | 26 |
* | ePlus Inc. | 279 | 26 |
* | Manhattan Associates Inc. | 192 | 26 |
* | NetScout Systems Inc. | 875 | 26 |
Avnet Inc. | 578 | 25 | |
* | Plexus Corp. | 250 | 25 |
Advanced Energy Industries Inc. | 238 | 24 | |
Hewlett Packard Enterprise Co. | 1,530 | 24 | |
* | Rambus Inc. | 1,178 | 23 |
* | IAC/Inter Active Corp. | 144 | 23 |
* | NCR Corp. | 425 | 21 |
* | TrueCar Inc. | 3,568 | 21 |
* | F5 Networks Inc. | 104 | 19 |
* | Concentrix Corp. | 126 | 19 |
* | Brightcove Inc. | 1,270 | 18 |
Corning Inc. | 380 | 17 | |
Microsoft Corp. | 68 | 17 | |
* | SPS Commerce Inc. | 186 | 17 |
* | Fabrinet | 188 | 17 |
* | Agilysys Inc. | 321 | 16 |
* | Unisys Corp. | 411 | 11 |
* | A10 Networks Inc. | 984 | 10 |
* | Vimeo Inc. | 234 | 10 |
* | OneSpan Inc. | 326 | 9 |
5,259 | |||
Telecommunications (0.8%) | |||
Cisco Systems Inc. | 2,342 | 124 | |
* | WideOpenWest Inc. | 4,695 | 78 |
Lumen Technologies Inc. | 4,507 | 62 | |
* | Lumentum Holdings Inc. | 525 | 43 |
* | NETGEAR Inc. | 870 | 34 |
* | Ciena Corp. | 195 | 10 |
351 | |||
Utilities (0.0%) | |||
* | Evoqua Water Technologies Corp. | 428 | 13 |
Total Common Stocks (Cost $32,486) | 42,569 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (1.3%) | |||
Money Market Fund (1.3%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.055% (Cost $571) | 5,709 | 571 |
Total Investments (100.0%) (Cost $33,057) | 43,140 | ||
Other Assets and Liabilities— Net (0.0%) | (1) | ||
Net Assets (100%) | 43,139 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $12,000. |
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 May 31, 2021, the aggregate value was $42,000, representing 0.1% 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 | Collateral of $13,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Micro E-mini S&P 500 Index | June 2021 | 27 | 567 | 4 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $32,486) | 42,569 |
Affiliated Issuers (Cost $571) | 571 |
Total Investments in Securities | 43,140 |
Investment in Vanguard | 1 |
Cash Collateral Pledged—Futures Contracts | 38 |
Receivables for Accrued Income | 61 |
Receivables for Capital Shares Issued | 182 |
Total Assets | 43,422 |
Liabilities | |
Due to Custodian | 9 |
Payables for Investment Securities Purchased | 235 |
Collateral for Securities on Loan | 13 |
Payables for Capital Shares Redeemed | 21 |
Payables to Vanguard | 3 |
Variation Margin Payable—Futures Contracts | 2 |
Total Liabilities | 283 |
Net Assets | 43,139 |
At May 31, 2021, net assets consisted of: | |
Paid-in Capital | 36,491 |
Total Distributable Earnings (Loss) | 6,648 |
Net Assets | 43,139 |
Net Assets | |
Applicable to 1,319,156 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 43,139 |
Net Asset Value Per Share | $32.70 |
Six Months Ended May 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 246 |
Interest1 | — |
Securities Lending—Net | 2 |
Total Income | 248 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 26 |
Marketing and Distribution | — |
Custodian Fees | 2 |
Shareholders’ Reports | 1 |
Trustees’ Fees and Expenses | — |
Total Expenses | 29 |
Net Investment Income | 219 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 1,902 |
Futures Contracts | 62 |
Realized Net Gain (Loss) | 1,964 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 5,797 |
Futures Contracts | 2 |
Change in Unrealized Appreciation (Depreciation) | 5,799 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,982 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were each less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 219 | 434 | |
Realized Net Gain (Loss) | 1,964 | (2,761) | |
Change in Unrealized Appreciation (Depreciation) | 5,799 | 1,336 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,982 | (991) | |
Distributions | |||
Total Distributions | (220) | (472) | |
Capital Share Transactions | |||
Issued | 16,351 | 11,365 | |
Issued in Lieu of Cash Distributions | 179 | 380 | |
Redeemed | (7,341) | (17,034) | |
Net Increase (Decrease) from Capital Share Transactions | 9,189 | (5,289) | |
Total Increase (Decrease) | 16,951 | (6,752) | |
Net Assets | |||
Beginning of Period | 26,188 | 32,940 | |
End of Period | 43,139 | 26,188 |
For a Share Outstanding Throughout Each Period | Six Months, Ended May 31, 2021 | Year Ended November 30, | February 15, 20181 to November 30, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $25.47 | $25.70 | $24.53 | $25.00 |
Investment Operations | ||||
Net Investment Income2 | .197 | .382 | .425 | .333 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.243 | (.214) | 1.143 | (.598) |
Total from Investment Operations | 7.440 | .168 | 1.568 | (.265) |
Distributions | ||||
Dividends from Net Investment Income | (.210) | (.398) | (.398) | (.205) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.210) | (.398) | (.398) | (.205) |
Net Asset Value, End of Period | $32.70 | $25.47 | $25.70 | $24.53 |
Total Return3 | 29.35% | 0.97% | 6.54% | -1.11% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $43 | $26 | $33 | $36 |
Ratio of Total Expenses to Average Net Assets | 0.18% | 0.18% | 0.18% | 0.18%4 |
Ratio of Net Investment Income to Average Net Assets | 1.25% | 1.66% | 1.76% | 1.64%4 |
Portfolio Turnover Rate | 35% | 74% | 96% | 58% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction or account service fees. |
4 | Annualized. |
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. |
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 and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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. |
D. | As of May 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 33,057 |
Gross Unrealized Appreciation | 10,269 |
Gross Unrealized Depreciation | (182) |
Net Unrealized Appreciation (Depreciation) | 10,087 |
E. | During the six months ended May 31, 2021, the fund purchased $20,286,000 of investment securities and sold $11,356,000 of investment securities, other than temporary cash investments. |
F. | Capital shares issued and redeemed were: |
Six Months Ended May 31, 2021 | Year Ended November 30, 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 535 | 524 | |
Issued in Lieu of Cash Distributions | 6 | 18 | |
Redeemed | (250) | (795) | |
Net Increase (Decrease) in Shares Outstanding | 291 | (253) |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2021, that would require recognition or disclosure in these financial statements. |
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All rights reserved.
Vanguard Marketing Corporation, Distributor.
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
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. In 2020, a third-party service provider began performing certain administrative and accounting services for Vanguard Wellington Fund, Vanguard U.S. Multifactor Fund, Vanguard U.S. Liquidity Factor ETF, Vanguard U.S. Minimum Volatility ETF, Vanguard U.S. Momentum Factor ETF, Vanguard U.S. Multifactor ETF, Vanguard U.S. Quality Factor ETF, and Vanguard U.S. Value Factor ETF. There were no other significant changes in the 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: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Not applicable. | |
(a)(2) | Certifications filed herewith. | |
(b) | Certifications filed herewith. |
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 WELLINGTON FUND | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: July 16, 2021
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 WELLINGTON FUND | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: July 16, 2021
VANGUARD WELLINGTON FUND | ||
BY: | /s/ JOHN BENDL* | |
JOHN BENDL | ||
CHIEF FINANCIAL OFFICER |
Date: July 16, 2021
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on December 18, 2020 (see File Number 33-64845), Incorporated by Reference