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, 2021—May 31, 2022
Item 1: Reports to Shareholders
• | 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, 2022 | |||
Beginning Account Value 11/30/2021 | Ending Account Value 5/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Wellington Fund | |||
Investor Shares | $1,000.00 | $921.90 | $1.15 |
Admiral™ Shares | 1,000.00 | 922.30 | 0.77 |
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 | 0.9% |
Common Stocks | 65.7 |
Corporate Bonds | 21.5 |
Sovereign Bonds | 0.9 |
Taxable Municipal Bonds | 1.6 |
U.S. Government and Agency Obligations | 9.4 |
Shares | Market Value• ($000) | |||||
Common Stocks (65.2%) | ||||||
Communication Services (5.4%) | ||||||
* | Alphabet Inc. Class A | 1,502,251 | 3,417,982 | |||
* | Meta Platforms Inc. Class A | 9,179,877 | 1,777,591 | |||
Electronic Arts Inc. | 5,434,436 | 753,485 | ||||
5,949,058 | ||||||
Consumer Discretionary (7.0%) | ||||||
McDonald's Corp. | 8,109,515 | 2,045,301 | ||||
* | Amazon.com Inc. | 654,822 | 1,574,316 | |||
TJX Cos. Inc. | 16,894,789 | 1,074,002 | ||||
Home Depot Inc. | 3,404,489 | 1,030,709 | ||||
Starbucks Corp. | 12,197,918 | 957,536 | ||||
Dollar General Corp. | 1,616,468 | 356,172 | ||||
Lennar Corp. Class A | 3,394,227 | 272,387 | ||||
DR Horton Inc. | 2,568,433 | 193,018 | ||||
NIKE Inc. Class B | 1,376,530 | 163,601 | ||||
* | Coupang Inc. Class A | 9,961,421 | 134,579 | |||
��� | 7,801,621 | |||||
Consumer Staples (5.0%) | ||||||
Procter & Gamble Co. | 12,068,103 | 1,784,631 | ||||
Sysco Corp. | 17,660,754 | 1,486,682 | ||||
Coca-Cola Co. | 21,780,005 | 1,380,417 | ||||
Nestle SA (Registered) | 7,579,882 | 927,150 | ||||
5,578,880 | ||||||
Energy (3.2%) | ||||||
TotalEnergies SE | 35,131,153 | 2,079,171 | ||||
Shell plc | 45,441,991 | 1,343,802 | ||||
Shell plc (XLON) | 2,607,900 | 77,131 | ||||
3,500,104 | ||||||
Financials (8.6%) | ||||||
Charles Schwab Corp. | 36,562,829 | 2,563,054 | ||||
JPMorgan Chase & Co. | 11,417,140 | 1,509,688 | ||||
Progressive Corp. | 12,590,322 | 1,503,033 | ||||
American Express Co. | 5,163,839 | 871,759 | ||||
BlackRock Inc. | 1,111,822 | 743,898 | ||||
S&P Global Inc. | 1,866,217 | 652,206 | ||||
Morgan Stanley | 7,378,232 | 635,561 | ||||
Blackstone Inc. | 5,225,399 | 615,500 | ||||
Goldman Sachs Group Inc. | 1,264,367 | 413,258 | ||||
9,507,957 | ||||||
Health Care (10.7%) | ||||||
Pfizer Inc. | 36,069,966 | 1,913,151 |
Shares | Market Value• ($000) | |||||
UnitedHealth Group Inc. | 3,503,229 | 1,740,334 | ||||
HCA Healthcare Inc. | 6,518,038 | 1,371,395 | ||||
Humana Inc. | 2,844,528 | 1,292,070 | ||||
Anthem Inc. | 2,512,768 | 1,280,532 | ||||
Novartis AG (Registered) | 12,534,884 | 1,138,667 | ||||
Becton Dickinson & Co. | 3,918,835 | 1,002,438 | ||||
AstraZeneca plc ADR | 14,906,781 | 991,003 | ||||
Danaher Corp. | 2,330,693 | 614,883 | ||||
Baxter International Inc. | 6,741,499 | 512,691 | ||||
11,857,164 | ||||||
Industrials (6.1%) | ||||||
Raytheon Technologies Corp. | 11,531,884 | 1,096,913 | ||||
Johnson Controls International plc | 17,768,003 | 968,534 | ||||
Illinois Tool Works Inc. | 4,144,604 | 862,368 | ||||
Deere & Co. | 2,342,618 | 838,142 | ||||
Fortive Corp. | 11,663,565 | 720,458 | ||||
Northrop Grumman Corp. | 1,487,693 | 696,196 | ||||
Trane Technologies plc | 4,518,426 | 623,814 | ||||
Parker-Hannifin Corp. | 2,125,793 | 578,577 | ||||
Schneider Electric SE | 2,380,682 | 330,657 | ||||
6,715,659 | ||||||
Information Technology (13.8%) | ||||||
Microsoft Corp. | 19,519,555 | 5,306,781 | ||||
Apple Inc. | 17,973,393 | 2,675,160 | ||||
Texas Instruments Inc. | 8,843,714 | 1,563,215 | ||||
Mastercard Inc. Class A | 2,536,139 | 907,608 | ||||
Visa Inc. Class A | 4,076,840 | 864,983 | ||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 7,842,832 | 747,422 | ||||
Global Payments Inc. | 5,369,941 | 703,677 | ||||
Accenture plc Class A | 2,122,842 | 633,583 | ||||
* | Salesforce Inc. | 3,237,633 | 518,798 | |||
Fidelity National Information Services Inc. | 4,080,905 | 426,455 | ||||
Marvell Technology Inc. | 7,023,736 | 415,454 | ||||
KLA Corp. | 701,836 | 256,065 | ||||
Lam Research Corp. | 266,879 | 138,785 | ||||
* | Workday Inc. Class A | 718,163 | 112,249 | |||
15,270,235 | ||||||
Materials (0.8%) | ||||||
* | Glencore plc | 86,891,612 | 573,101 | |||
Anglo American plc | 6,650,035 | 327,605 | ||||
900,706 | ||||||
Real Estate (1.8%) | ||||||
American Tower Corp. | 2,549,462 | 652,994 | ||||
Welltower Inc. | 6,880,050 | 612,943 | ||||
Prologis Inc. | 3,666,816 | 467,446 | ||||
VICI Properties Inc. | 8,830,111 | 272,409 | ||||
2,005,792 | ||||||
Utilities (2.8%) | ||||||
Exelon Corp. | 27,638,744 | 1,358,444 | ||||
Duke Energy Corp. | 11,703,465 | 1,316,874 | ||||
Constellation Energy Corp. | 6,711,119 | 416,626 | ||||
3,091,944 | ||||||
Total Common Stocks (Cost $46,194,756) | 72,179,120 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (9.3%) | ||||||
U.S. Government Securities (8.2%) | ||||||
United States Treasury Note/Bond | 0.125% | 4/30/23 | 11,800 | 11,588 | ||
United States Treasury Note/Bond | 0.125% | 8/31/23 | 50,000 | 48,688 | ||
United States Treasury Note/Bond | 0.250% | 9/30/23 | 2,530 | 2,464 | ||
United States Treasury Note/Bond | 0.375% | 10/31/23 | 20,000 | 19,463 | ||
United States Treasury Note/Bond | 0.750% | 12/31/23 | 47,000 | 45,810 | ||
United States Treasury Note/Bond | 0.875% | 1/31/24 | 65,000 | 63,355 | ||
United States Treasury Note/Bond | 0.125% | 2/15/24 | 57,355 | 55,168 | ||
United States Treasury Note/Bond | 1.500% | 2/29/24 | 95,000 | 93,486 | ||
United States Treasury Note/Bond | 0.250% | 3/15/24 | 157,000 | 150,965 | ||
United States Treasury Note/Bond | 2.250% | 3/31/24 | 360,000 | 358,425 | ||
United States Treasury Note/Bond | 2.500% | 4/30/24 | 16,550 | 16,545 | ||
United States Treasury Note/Bond | 0.250% | 5/15/24 | 24,315 | 23,263 | ||
United States Treasury Note/Bond | 0.250% | 6/15/24 | 391,280 | 373,428 | ||
United States Treasury Note/Bond | 1.750% | 6/30/24 | 316,970 | 311,770 | ||
United States Treasury Note/Bond | 0.375% | 8/15/24 | 305,000 | 290,560 | ||
United States Treasury Note/Bond | 0.375% | 9/15/24 | 108,000 | 102,634 | ||
1 | United States Treasury Note/Bond | 0.625% | 10/15/24 | 610,000 | 581,883 | |
United States Treasury Note/Bond | 1.125% | 1/15/25 | 155,000 | 148,897 | ||
1 | United States Treasury Note/Bond | 2.000% | 2/15/25 | 190,065 | 186,620 | |
United States Treasury Note/Bond | 1.125% | 2/28/25 | 198,905 | 190,638 | ||
United States Treasury Note/Bond | 1.750% | 3/15/25 | 340,000 | 331,181 | ||
United States Treasury Note/Bond | 2.625% | 4/15/25 | 303,280 | 302,474 | ||
United States Treasury Note/Bond | 0.250% | 5/31/25 | 637,710 | 592,273 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 245,975 | 227,296 | ||
United States Treasury Note/Bond | 2.000% | 8/15/25 | 61,860 | 60,410 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 125,010 | 115,244 | ||
United States Treasury Note/Bond | 0.375% | 11/30/25 | 208,000 | 191,295 | ||
1,2 | United States Treasury Note/Bond | 0.375% | 1/31/26 | 660,750 | 605,102 | |
United States Treasury Note/Bond | 0.750% | 3/31/26 | 107,000 | 99,025 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 89,000 | 82,214 | ||
United States Treasury Note/Bond | 1.625% | 5/15/26 | 78,110 | 74,644 | ||
United States Treasury Note/Bond | 0.750% | 5/31/26 | 281,245 | 259,273 | ||
United States Treasury Note/Bond | 0.750% | 8/31/26 | 175,000 | 160,508 | ||
3 | United States Treasury Note/Bond | 0.875% | 9/30/26 | 254,100 | 233,851 | |
United States Treasury Note/Bond | 1.125% | 10/31/26 | 34,635 | 32,189 | ||
United States Treasury Note/Bond | 2.000% | 11/15/26 | 29,650 | 28,594 | ||
United States Treasury Note/Bond | 2.500% | 3/31/27 | 700,000 | 689,609 | ||
United States Treasury Note/Bond | 2.750% | 4/30/27 | 188,515 | 187,808 | ||
United States Treasury Note/Bond | 2.250% | 11/15/27 | 168,590 | 163,322 | ||
United States Treasury Note/Bond | 1.875% | �� 2/15/32 | 37,185 | 34,082 | ||
United States Treasury Note/Bond | 2.875% | 5/15/32 | 80,000 | �� 80,112 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 18,670 | 14,510 | ||
1 | United States Treasury Note/Bond | 2.000% | 11/15/41 | 1,086,635 | 882,551 | |
United States Treasury Note/Bond | 2.375% | 2/15/42 | 118,600 | 102,700 | ||
United States Treasury Note/Bond | 3.250% | 5/15/42 | 85,000 | 84,681 | ||
United States Treasury Note/Bond | 1.875% | 11/15/51 | 11,735 | 8,937 | ||
United States Treasury Note/Bond | 2.250% | 2/15/52 | 291,050 | 243,345 | ||
United States Treasury Note/Bond | 2.875% | 5/15/52 | 138,345 | 133,092 | ||
9,095,972 | ||||||
Conventional Mortgage-Backed Securities (0.9%) | ||||||
4,5 | Fannie Mae Pool | 1.770% | 1/1/36 | 20,371 | 17,024 | |
4 | Ginnie Mae I Pool | 7.000% | 11/15/31–11/15/33 | 1,018 | 1,094 | |
4,5,6 | UMBS Pool | 2.000% | 2/1/52–6/25/52 | 121 | 2,401 | |
4,5 | UMBS Pool | 2.500% | 9/1/27–4/1/38 | 28,936 | 27,275 | |
4,5,6 | UMBS Pool | 3.000% | 8/1/42–6/25/52 | 800,264 | 762,255 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,5,6 | UMBS Pool | 3.500% | 11/1/45–6/25/52 | 136,062 | 133,299 | |
4,5,6 | UMBS Pool | 4.000% | 6/25/52 | 67,000 | 66,979 | |
1,010,327 | ||||||
Nonconventional Mortgage-Backed Securities (0.2%) | ||||||
4,5 | Fannie Mae REMICS | 1.500% | 8/25/41–11/25/42 | 4,817 | 4,628 | |
4,5 | Fannie Mae REMICS | 1.700% | 6/25/43 | 1,994 | 1,950 | |
4,5 | Fannie Mae REMICS | 2.000% | 6/25/44 | 687 | 682 | |
4,5 | Fannie Mae REMICS | 2.500% | 8/25/46 | 10,652 | 9,147 | |
4,5 | Fannie Mae REMICS | 3.000% | 12/25/39–9/25/57 | 43,492 | 41,838 | |
4,5 | Fannie Mae REMICS | 3.500% | 4/25/31–11/25/57 | 72,766 | 72,740 | |
4,5 | Fannie Mae REMICS | 4.000% | 7/25/53 | 2,975 | 3,019 | |
4,5 | Freddie Mac REMICS | 1.500% | 10/15/42 | 6,074 | 5,645 | |
4,5 | Freddie Mac REMICS | 3.000% | 6/15/44–7/15/45 | 8,381 | 8,020 | |
4,5 | Freddie Mac REMICS | 3.500% | 3/15/31–12/15/46 | 14,235 | 14,193 | |
4,5 | Freddie Mac REMICS | 4.000% | 12/15/30–2/15/31 | 5,391 | 5,434 | |
4 | Ginnie Mae REMICS | 1.700% | 10/20/45 | 1,766 | 1,757 | |
169,053 | ||||||
Total U.S. Government and Agency Obligations (Cost $10,861,783) | 10,275,352 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (0.9%) | ||||||
4,7 | Aaset Trust Series 2019-1 | 3.844% | 5/15/39 | 10,734 | 6,594 | |
4,7 | Affirm Asset Securitization Trust Series 2021-B | 1.030% | 8/17/26 | 17,590 | 16,810 | |
4,7 | Affirm Asset Securitization Trust Series 2021-Z1 | 1.070% | 8/15/25 | 10,084 | 9,893 | |
4,7 | Affirm Asset Securitization Trust Series 2021-Z2 | 1.170% | 11/16/26 | 14,276 | 13,980 | |
4,7 | Aligned Data Centers Issuer LLC Series 2021-1A | 1.937% | 8/15/46 | 43,270 | 39,154 | |
4,7 | American Tower Trust | 3.070% | 3/15/23 | 43,000 | 42,645 | |
4,7 | Angel Oak Mortgage Trust Series 2019-5 | 2.593% | 10/25/49 | 2,624 | 2,588 | |
4,7 | Angel Oak Mortgage Trust Series 2019-6 | 2.620% | 11/25/59 | 5,828 | 5,833 | |
4,7 | Angel Oak Mortgage Trust Series 2021-6 | 1.458% | 9/25/66 | 26,212 | 23,897 | |
4,7 | Angel Oak Mortgage Trust I LLC Series 2019-2 | 3.628% | 3/25/49 | 538 | 538 | |
4,7 | Angel Oak Mortgage Trust I LLC Series 2019-4 | 2.993% | 7/26/49 | 2,320 | 2,326 | |
4,7,8 | BX Commercial Mortgage Trust Series 2021-VOLT, 1M USD LIBOR + 0.700% | 1.575% | 9/15/36 | 29,050 | 27,663 | |
4,7,8 | BX Trust Series 2021-ARIA, 1M USD LIBOR + 0.899% | 1.774% | 10/15/36 | 14,785 | 14,028 | |
4,7,8 | BXHPP Trust Series 2021-FILM, 1M USD LIBOR + 0.650% | 1.525% | 8/15/36 | 15,225 | 14,654 | |
4,7,8 | BXHPP Trust Series 2021-FILM, 1M USD LIBOR + 0.900% | 1.775% | 8/15/36 | 3,140 | 3,013 | |
4,7 | Castlelake Aircraft Structured Trust Series 2019-1A | 3.967% | 4/15/39 | 19,523 | 16,894 | |
4,7 | CF Hippolyta Issuer LLC Series 2021-1A | 1.530% | 3/15/61 | 23,601 | 21,252 | |
4,7 | Chesapeake Funding II LLC Series 2018-3A | 3.390% | 1/15/31 | 3,751 | 3,757 | |
4,7 | Cloud Pass-Through Trust Series 2019-1A | 3.554% | 12/5/22 | 146 | 146 | |
4 | COMM Mortgage Trust Series 2012-CR2 | 3.147% | 8/15/45 | 3,725 | 3,723 | |
4,7 | DB Master Finance LLC Series 2019-1A | 4.021% | 5/20/49 | 13,853 | 13,561 | |
4,7 | Domino's Pizza Master Issuer LLC Series 2021-1A | 2.662% | 4/25/51 | 34,779 | 31,163 | |
4,7 | Domino's Pizza Master Issuer LLC Series 2021-1A | 3.151% | 4/25/51 | 28,868 | 25,574 | |
4,7 | Enterprise Fleet Financing LLC Series 2019-2 | 2.290% | 2/20/25 | 5,410 | 5,415 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 4,773 | 4,769 | |
4,5,8 | Fannie Mae Connecticut Avenue Securities Series 2016-C03, 1M USD LIBOR + 5.900% | 6.906% | 10/25/28 | 3,438 | 3,577 | |
4,7 | FirstKey Homes Trust Series 2021-SFR1 | 1.538% | 8/17/38 | 64,677 | 58,448 | |
4,5 | Freddie Mac Multifamily Structured Pass-Through Certificates Series K-1512 | 3.059% | 4/25/34 | 6,000 | 5,621 | |
4,5 | Freddie Mac Multifamily Structured Pass-Through Certificates Series K-1513 | 2.797% | 8/25/34 | 7,500 | 6,827 | |
4,5 | Freddie Mac Multifamily Structured Pass-Through Certificates Series K-1521 | 2.184% | 8/25/36 | 17,705 | 14,704 | |
4,7 | Home Partners of America Trust Series 2021-2 | 1.901% | 12/17/26 | 35,421 | 32,024 | |
4,7 | Horizon Aircraft Finance II Ltd. Series 2019-1 | 3.721% | 7/15/39 | 9,895 | 8,805 | |
4,7 | Horizon Aircraft Finance III Ltd. Series 2019-2 | 3.425% | 11/15/39 | 10,165 | 8,744 | |
4,7,8 | Life Mortgage Trust Series 2021-BMR, 1M USD LIBOR + 0.700% | 1.575% | 3/15/38 | 9,147 | 8,758 | |
4,7 | MACH 1 Cayman Ltd. Series 2019-1 | 3.474% | 10/15/39 | 9,352 | 8,540 | |
4,7,8 | Madison Park Funding XIII Ltd. Series 2014-13A, 3M USD LIBOR + 0.950% | 1.994% | 4/19/30 | 32,746 | 32,445 | |
4,7,8 | Magnetite VII Ltd. Series 2012-7A, 3M USD LIBOR + 0.800% | 1.844% | 1/15/28 | 24,947 | 24,655 | |
4,7 | MAPS Ltd. Series 2019-1A | 4.458% | 3/15/44 | 4,128 | 3,687 | |
4,7 | Mercury Financial Credit Card Master Trust Series 2021-1A | 1.540% | 3/20/26 | 33,270 | 31,872 | |
4,7 | New Economy Assets Phase 1 Sponsor LLC Series 2021-1 | 1.910% | 10/20/61 | 100,980 | 90,046 | |
4,7 | New Economy Assets Phase 1 Sponsor LLC Series 2021-1 | 2.410% | 10/20/61 | 10,325 | 9,092 | |
4,7 | OneMain Direct Auto Receivables Trust Series 2021-1A | 0.870% | 7/14/28 | 30,280 | 28,621 | |
4 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 28,509 | 28,547 | |
4,7 | SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE | 4.144% | 1/5/43 | 27,300 | 23,262 | |
4,7 | SoFi Professional Loan Program Trust Series 2021-B | 1.140% | 2/15/47 | 17,433 | 15,917 | |
4,7 | START Ireland Series 2019-1 | 4.089% | 3/15/44 | 11,331 | 10,666 | |
4,7,8 | Symphony CLO XIV Ltd. Series 2014-14A, 3M USD LIBOR + 0.950% | 1.988% | 7/14/26 | 6,637 | 6,617 | |
4,7 | Taco Bell Funding LLC Series 2021-1A | 1.946% | 8/25/51 | 39,148 | 35,025 | |
4,7 | Taco Bell Funding LLC Series 2021-1A | 2.294% | 8/25/51 | 35,835 | 31,698 | |
4,7 | Vantage Data Centers Issuer LLC Series 2019-1A | 3.188% | 7/15/44 | 10,625 | 10,359 | |
4,7 | Vantage Data Centers Issuer LLC Series 2020-1A | 1.645% | 9/15/45 | 29,505 | 27,163 | |
4,7 | Vantage Data Centers Issuer LLC Series 2021-1A | 2.165% | 10/15/46 | 48,430 | 43,649 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,043,908) | 959,239 | |||||
Corporate Bonds (21.4%) | ||||||
Communications (1.5%) | ||||||
America Movil SAB de CV | 3.625% | 4/22/29 | 26,990 | 26,016 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 7,380 | 8,370 | ||
AT&T Inc. | 2.750% | 6/1/31 | 36,795 | 33,039 | ||
AT&T Inc. | 4.300% | 12/15/42 | 35,590 | 33,216 | ||
AT&T Inc. | 3.650% | 6/1/51 | 8,341 | 6,889 | ||
AT&T Inc. | 3.500% | 9/15/53 | 33,515 | 26,978 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
AT&T Inc. | 3.850% | 6/1/60 | 26,704 | 21,972 | ||
Charter Communications Operating LLC | 2.800% | 4/1/31 | 32,150 | 27,011 | ||
Charter Communications Operating LLC | 2.300% | 2/1/32 | 7,150 | 5,681 | ||
Charter Communications Operating LLC | 3.500% | 3/1/42 | 24,235 | 18,117 | ||
Charter Communications Operating LLC | 4.800% | 3/1/50 | 3,777 | 3,235 | ||
Charter Communications Operating LLC | 3.850% | 4/1/61 | 16,610 | 11,829 | ||
Comcast Corp. | 3.375% | 2/15/25 | 2,540 | 2,560 | ||
Comcast Corp. | 3.400% | 4/1/30 | 4,940 | 4,785 | ||
Comcast Corp. | 4.250% | 1/15/33 | 42,890 | 43,746 | ||
Comcast Corp. | 4.200% | 8/15/34 | 26,890 | 27,077 | ||
Comcast Corp. | 5.650% | 6/15/35 | 4,725 | 5,340 | ||
Comcast Corp. | 4.400% | 8/15/35 | 32,325 | 32,705 | ||
Comcast Corp. | 6.500% | 11/15/35 | 945 | 1,145 | ||
Comcast Corp. | 3.969% | 11/1/47 | 8,452 | 7,830 | ||
Comcast Corp. | 4.000% | 3/1/48 | 12,180 | 11,269 | ||
Comcast Corp. | 3.999% | 11/1/49 | 23,162 | 21,596 | ||
7 | Comcast Corp. | 2.887% | 11/1/51 | 56,240 | 42,883 | |
Comcast Corp. | 2.450% | 8/15/52 | 13,355 | 9,483 | ||
Comcast Corp. | 4.049% | 11/1/52 | 10,339 | 9,664 | ||
7 | Comcast Corp. | 2.937% | 11/1/56 | 210,578 | 156,976 | |
7 | Comcast Corp. | 2.987% | 11/1/63 | 95,407 | 69,163 | |
7 | Cox Communications Inc. | 3.150% | 8/15/24 | 2,503 | 2,482 | |
7 | Cox Communications Inc. | 2.600% | 6/15/31 | 17,795 | 15,351 | |
7 | Cox Communications Inc. | 4.800% | 2/1/35 | 30,000 | 29,550 | |
7 | Deutsche Telekom International Finance BV | 3.600% | 1/19/27 | 10,918 | 10,852 | |
7 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 21,754 | 22,064 | |
Discovery Communications LLC | 3.950% | 3/20/28 | 14,288 | 13,822 | ||
Discovery Communications LLC | 4.125% | 5/15/29 | 14,172 | 13,524 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 42,180 | 38,997 | ||
Discovery Communications LLC | 5.200% | 9/20/47 | 10,547 | 9,634 | ||
Discovery Communications LLC | 5.300% | 5/15/49 | 5,000 | 4,640 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 12,028 | 10,076 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 16,442 | 12,461 | ||
7 | Magallanes Inc. | 4.279% | 3/15/32 | 24,220 | �� 22,611 | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 6,331 | 6,188 | ||
7 | NTT Finance Corp. | 1.162% | 4/3/26 | 44,235 | 40,238 | |
7 | NTT Finance Corp. | 2.065% | 4/3/31 | 9,445 | 8,051 | |
7 | Ooredoo International Finance Ltd. | 2.625% | 4/8/31 | 23,430 | 20,783 | |
Orange SA | 9.000% | 3/1/31 | 20,280 | 27,022 | ||
Paramount Global | 3.700% | 6/1/28 | 15,190 | 14,648 | ||
7 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 11,995 | 12,078 | |
7 | Sky Ltd. | 3.750% | 9/16/24 | 45,046 | 45,501 | |
7 | Sprint Spectrum Co. LLC | 4.738% | 3/20/25 | 32,449 | 32,682 | |
Telefonica Emisiones SA | 5.213% | 3/8/47 | 19,100 | 17,981 | ||
Telefonica Emisiones SA | 5.520% | 3/1/49 | 19,772 | 19,555 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,925 | 4,092 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 24,985 | 22,314 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 64,875 | 62,402 | ||
T-Mobile USA Inc. | 2.550% | 2/15/31 | 19,715 | 17,109 | ||
T-Mobile USA Inc. | 2.250% | 11/15/31 | 4,745 | 3,947 | ||
T-Mobile USA Inc. | 4.375% | 4/15/40 | 15,735 | 14,781 | ||
T-Mobile USA Inc. | 4.500% | 4/15/50 | 22,950 | 21,408 | ||
T-Mobile USA Inc. | 3.300% | 2/15/51 | 19,300 | 14,943 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 9,460 | 7,319 | ||
TWDC Enterprises 18 Corp. | 4.375% | 8/16/41 | 26,724 | 26,109 | ||
4 | TWDC Enterprises 18 Corp. | 4.125% | 6/1/44 | 14,185 | 13,547 | |
Verizon Communications Inc. | 4.329% | 9/21/28 | 23,335 | 23,740 | ||
Verizon Communications Inc. | 2.355% | 3/15/32 | 20,056 | 17,268 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Verizon Communications Inc. | 4.812% | 3/15/39 | 85,963 | 89,284 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 7,750 | 7,756 | ||
Verizon Communications Inc. | 2.987% | 10/30/56 | 9,247 | 6,853 | ||
Walt Disney Co. | 3.000% | 9/15/22 | 11,891 | 11,928 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 11,330 | 10,266 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 50,260 | 44,821 | ||
Walt Disney Co. | 4.750% | 9/15/44 | 2,358 | 2,423 | ||
Walt Disney Co. | 4.750% | 11/15/46 | 14,000 | 14,313 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 16,835 | 12,714 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 27,250 | 23,956 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 28,415 | 25,103 | ||
1,617,762 | ||||||
Consumer Discretionary (1.0%) | ||||||
Amazon.com Inc. | 2.800% | 8/22/24 | 9,035 | 9,060 | ||
Amazon.com Inc. | 3.600% | 4/13/32 | 84,875 | 84,051 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 37,370 | 40,738 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 22,605 | 24,801 | ||
Amazon.com Inc. | 3.950% | 4/13/52 | 27,295 | 26,215 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 41,385 | 41,243 | ||
4 | American Honda Finance Corp. | 2.000% | 3/24/28 | 19,250 | 17,481 | |
7 | BMW US Capital LLC | 0.800% | 4/1/24 | 12,590 | 12,107 | |
7 | BMW US Capital LLC | 1.250% | 8/12/26 | 28,900 | 26,331 | |
4 | Duke University | 2.832% | 10/1/55 | 25,700 | 19,349 | |
4 | Emory University | 2.143% | 9/1/30 | 25,351 | 22,499 | |
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 57,810 | 58,317 | ||
4 | Georgetown University | 4.315% | 4/1/49 | 5,405 | 5,147 | |
4 | Georgetown University | 2.943% | 4/1/50 | 9,430 | 7,071 | |
Home Depot Inc. | 3.900% | 12/6/28 | 10,250 | 10,496 | ||
Home Depot Inc. | 2.700% | 4/15/30 | 7,480 | 6,958 | ||
Home Depot Inc. | 3.250% | 4/15/32 | 44,440 | 42,535 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 18,410 | 16,315 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 28,655 | 28,760 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 10,000 | 9,828 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 12,215 | 12,444 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 2,490 | 2,027 | ||
Home Depot Inc. | 2.375% | 3/15/51 | 2,495 | 1,779 | ||
Home Depot Inc. | 2.750% | 9/15/51 | 19,955 | 15,179 | ||
Home Depot Inc. | 3.625% | 4/15/52 | 25,570 | 22,798 | ||
7 | Hyundai Capital America | 0.800% | 4/3/23 | 91,160 | 89,384 | |
7 | Hyundai Capital America | 0.875% | 6/14/24 | 49,225 | 46,513 | |
7 | Hyundai Capital America | 1.650% | 9/17/26 | 36,480 | 32,710 | |
4 | Johns Hopkins University | 4.083% | 7/1/53 | 7,805 | 7,620 | |
4 | Johns Hopkins University | 2.813% | 1/1/60 | 6,420 | 4,760 | |
Leland Stanford Junior University | 6.875% | 2/1/24 | 13,685 | 14,564 | ||
4 | Leland Stanford Junior University | 7.650% | 6/15/26 | 29,000 | 33,327 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 68,700 | 66,962 | ||
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 13,301 | 15,056 | ||
Lowe's Cos. Inc. | 3.750% | 4/1/32 | 11,620 | 11,088 | ||
4 | McDonald's Corp. | 3.250% | 6/10/24 | 5,460 | 5,507 | |
4 | McDonald's Corp. | 4.875% | 7/15/40 | 10,000 | 10,165 | |
4 | McDonald's Corp. | 4.875% | 12/9/45 | 9,940 | 10,246 | |
4 | McDonald's Corp. | 3.625% | 9/1/49 | 37,735 | 32,559 | |
4 | Northeastern University | 2.894% | 10/1/50 | 6,995 | 5,319 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 24,455 | 25,174 | ||
Starbucks Corp. | 4.500% | 11/15/48 | 51,181 | 48,481 | ||
Thomas Jefferson University | 3.847% | 11/1/57 | 23,125 | 19,407 | ||
4 | University of Chicago | 2.761% | 4/1/45 | 5,825 | 4,854 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | University of Miami | 4.063% | 4/1/52 | 9,030 | 8,265 | |
VF Corp. | 2.800% | 4/23/27 | 17,615 | 16,881 | ||
VF Corp. | 2.950% | 4/23/30 | 37,015 | 33,612 | ||
1,105,983 | ||||||
Consumer Staples (0.6%) | ||||||
Altria Group Inc. | 5.800% | 2/14/39 | 18,665 | 18,459 | ||
Altria Group Inc. | 4.500% | 5/2/43 | 5,945 | 4,906 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 18,025 | 13,462 | ||
Anheuser-Busch Cos. LLC | 6.500% | 1/1/28 | 19,550 | 21,672 | ||
4 | Anheuser-Busch Cos. LLC | 4.700% | 2/1/36 | 35,700 | 36,072 | |
4 | Anheuser-Busch Cos. LLC | 4.900% | 2/1/46 | 33,400 | 33,348 | |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 19,610 | 16,900 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 35,045 | 36,766 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 63,450 | 59,895 | ||
7 | Cargill Inc. | 6.875% | 5/1/28 | 19,355 | 22,007 | |
7 | Cargill Inc. | 2.125% | 4/23/30 | 5,265 | 4,626 | |
7 | Cargill Inc. | 4.760% | 11/23/45 | 28,190 | 29,059 | |
7 | CK Hutchison International 20 Ltd. | 3.375% | 5/8/50 | 22,015 | 18,184 | |
7 | Coca-Cola Europacific Partners plc | 0.800% | 5/3/24 | 32,165 | 30,641 | |
4 | Colgate-Palmolive Co. | 7.600% | 5/19/25 | 13,920 | 15,556 | |
Conagra Brands Inc. | 4.600% | 11/1/25 | 7,855 | 8,013 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 11,765 | 10,132 | ||
Conagra Brands Inc. | 5.300% | 11/1/38 | 6,410 | 6,362 | ||
7 | Danone SA | 2.947% | 11/2/26 | 30,550 | 29,716 | |
Diageo Capital plc | 2.625% | 4/29/23 | 48,310 | 48,361 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 20,000 | 18,178 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 5,830 | 5,114 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 1,845 | 1,596 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 12,615 | 11,490 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 8,125 | 7,324 | ||
Kroger Co. | 3.850% | 8/1/23 | 10,770 | 10,881 | ||
Kroger Co. | 4.000% | 2/1/24 | 22,290 | 22,636 | ||
McCormick & Co. Inc. | 2.500% | 4/15/30 | 3,205 | 2,828 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 54,900 | 52,944 | ||
Philip Morris International Inc. | 2.500% | 8/22/22 | 21,645 | 21,713 | ||
Philip Morris International Inc. | 3.600% | 11/15/23 | 7,000 | 7,090 | ||
Philip Morris International Inc. | 3.375% | 8/11/25 | 14,440 | 14,455 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 6,185 | 5,844 | ||
7 | Sigma Alimentos SA de CV | 4.125% | 5/2/26 | 14,750 | 14,348 | |
660,578 | ||||||
Energy (1.1%) | ||||||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 7,780 | 6,613 | ||
BP Capital Markets America Inc. | 2.721% | 1/12/32 | 39,205 | 35,362 | ||
BP Capital Markets America Inc. | 3.060% | 6/17/41 | 20,000 | 16,541 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 11,870 | 8,748 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 30,385 | 23,091 | ||
BP Capital Markets America Inc. | 3.001% | 3/17/52 | 68,790 | 52,768 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 12,750 | 10,156 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 22,000 | 22,047 | ||
BP Capital Markets plc | 3.994% | 9/26/23 | 16,185 | 16,464 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 38,938 | 39,618 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 50,285 | 50,750 | ||
7 | Coterra Energy Inc. | 4.375% | 6/1/24 | 31,555 | 31,929 | |
7 | Eastern Gas Transmission & Storage Inc. | 3.000% | 11/15/29 | 19,580 | 18,188 | |
7 | Eastern Gas Transmission & Storage Inc. | 4.800% | 11/1/43 | 4,185 | 4,030 | |
7 | Eastern Gas Transmission & Storage Inc. | 4.600% | 12/15/44 | 24,863 | 23,009 | |
7 | EIG Pearl Holdings Sarl | 3.545% | 8/31/36 | 43,005 | 38,146 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | EIG Pearl Holdings Sarl | 4.387% | 11/30/46 | 16,115 | 13,548 | |
Energy Transfer LP | 5.250% | 4/15/29 | 40,000 | 41,157 | ||
Energy Transfer LP | 5.350% | 5/15/45 | 3,500 | 3,210 | ||
Energy Transfer LP | 5.300% | 4/15/47 | 5,745 | 5,255 | ||
Energy Transfer LP | 5.400% | 10/1/47 | 750 | 693 | ||
Energy Transfer LP | 5.000% | 5/15/50 | 10,000 | 9,029 | ||
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 9,720 | 9,641 | ||
Enterprise Products Operating LLC | 4.250% | 2/15/48 | 26,420 | 23,826 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 5,935 | 4,917 | ||
Enterprise Products Operating LLC | 3.300% | 2/15/53 | 15,000 | 11,550 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 11,910 | 11,976 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 8,115 | 8,092 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 36,735 | 35,442 | ||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 25,195 | 23,289 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 35,925 | 33,421 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 12,060 | 11,689 | ||
7 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 45,742 | 40,035 | |
7 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 43,705 | 36,997 | |
Plains All American Pipeline LP | 3.850% | 10/15/23 | 36,775 | 36,930 | ||
7 | Schlumberger Holdings Corp. | 3.900% | 5/17/28 | 31,025 | 30,420 | |
Schlumberger Investment SA | 3.650% | 12/1/23 | 44,520 | 45,142 | ||
Shell International Finance BV | 3.250% | 5/11/25 | 11,051 | 11,126 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 43,465 | 43,224 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 12,990 | 14,618 | ||
Shell International Finance BV | 2.875% | 11/26/41 | 15,000 | 12,255 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 96,700 | 96,214 | ||
Shell International Finance BV | 4.000% | 5/10/46 | 10,000 | 9,420 | ||
Shell International Finance BV | 3.000% | 11/26/51 | 52,435 | 41,439 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 20,700 | 22,451 | ||
TotalEnergies Capital International SA | 2.700% | 1/25/23 | 36,510 | 36,616 | ||
TotalEnergies Capital International SA | 3.750% | 4/10/24 | 41,500 | 42,260 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 47,256 | 48,892 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 7,125 | 7,045 | ||
1,219,279 | ||||||
Financials (9.0%) | ||||||
ACE Capital Trust II | 9.700% | 4/1/30 | 20,000 | 26,475 | ||
AerCap Ireland Capital DAC | 3.000% | 10/29/28 | 15,230 | 13,347 | ||
AerCap Ireland Capital DAC | 3.400% | 10/29/33 | 9,080 | 7,559 | ||
AerCap Ireland Capital DAC | 3.850% | 10/29/41 | 7,230 | 5,644 | ||
7 | AIA Group Ltd. | 3.600% | 4/9/29 | 50,475 | 49,410 | |
7 | AIA Group Ltd. | 3.375% | 4/7/30 | 12,460 | 11,928 | |
American International Group Inc. | 6.250% | 5/1/36 | 7,775 | 9,083 | ||
American International Group Inc. | 4.800% | 7/10/45 | 7,130 | 7,069 | ||
American International Group Inc. | 4.750% | 4/1/48 | 21,995 | 22,328 | ||
American International Group Inc. | 4.375% | 6/30/50 | 12,500 | 12,044 | ||
Ameriprise Financial Inc. | 4.500% | 5/13/32 | 11,845 | 12,023 | ||
Aon Corp. | 2.850% | 5/28/27 | 18,870 | 18,047 | ||
7 | Athene Global Funding | 1.000% | 4/16/24 | 22,095 | 21,023 | |
7 | Athene Global Funding | 1.985% | 8/19/28 | 290 | 247 | |
7 | Athene Global Funding | 2.717% | 1/7/29 | 33,350 | 29,280 | |
7 | Australia & New Zealand Banking Group Ltd. | 2.570% | 11/25/35 | 22,135 | 18,206 | |
7 | Aviation Capital Group LLC | 1.950% | 9/20/26 | 14,298 | 12,517 | |
7 | Avolon Holdings Funding Ltd. | 2.528% | 11/18/27 | 10,000 | 8,658 | |
Banco Santander SA | 3.125% | 2/23/23 | 28,400 | 28,447 | ||
Banco Santander SA | 3.848% | 4/12/23 | 16,400 | 16,509 | ||
Banco Santander SA | 1.849% | 3/25/26 | 14,000 | 12,858 | ||
Banco Santander SA | 2.749% | 12/3/30 | 15,600 | 12,882 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Banco Santander SA | 2.958% | 3/25/31 | 10,000 | 8,697 | ||
4 | Bank of America Corp. | 4.000% | 1/22/25 | 32,900 | 33,135 | |
4 | Bank of America Corp. | 3.500% | 4/19/26 | 10,000 | 9,954 | |
4 | Bank of America Corp. | 3.559% | 4/23/27 | 86,705 | 85,138 | |
4 | Bank of America Corp. | 3.593% | 7/21/28 | 37,950 | 36,889 | |
4 | Bank of America Corp. | 3.419% | 12/20/28 | 8,681 | 8,309 | |
4 | Bank of America Corp. | 4.271% | 7/23/29 | 74,365 | 73,994 | |
4 | Bank of America Corp. | 3.974% | 2/7/30 | 120,185 | 117,290 | |
4 | Bank of America Corp. | 3.194% | 7/23/30 | 35,285 | 32,700 | |
4 | Bank of America Corp. | 2.496% | 2/13/31 | 50,870 | 44,643 | |
Bank of America Corp. | 2.572% | 10/20/32 | 17,275 | 14,842 | ||
Bank of America Corp. | 4.571% | 4/27/33 | 20,000 | 20,240 | ||
Bank of America Corp. | 3.846% | 3/8/37 | 53,115 | 48,052 | ||
4 | Bank of America Corp. | 5.875% | 2/7/42 | 9,965 | 11,435 | |
Bank of America Corp. | 3.311% | 4/22/42 | 55,635 | 46,538 | ||
4 | Bank of America Corp. | 5.000% | 1/21/44 | 39,433 | 40,828 | |
4 | Bank of America Corp. | 3.946% | 1/23/49 | 5,380 | 4,883 | |
4 | Bank of America Corp. | 4.330% | 3/15/50 | 78,120 | 74,585 | |
Bank of America Corp. | 2.972% | 7/21/52 | 65,950 | 49,709 | ||
4 | Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 27,990 | 27,918 | |
Bank of Nova Scotia | 2.700% | 8/3/26 | 63,160 | 60,467 | ||
Bank of Nova Scotia | 1.950% | 2/2/27 | 12,470 | 11,454 | ||
7 | Banque Federative du Credit Mutuel SA | 1.604% | 10/4/26 | 34,305 | 31,058 | |
4 | Barclays plc | 3.932% | 5/7/25 | 55,605 | 55,584 | |
4 | Barclays plc | 2.852% | 5/7/26 | 9,975 | 9,600 | |
Barclays plc | 2.279% | 11/24/27 | 14,930 | 13,549 | ||
Barclays plc | 2.667% | 3/10/32 | 44,170 | 37,276 | ||
Barclays plc | 2.894% | 11/24/32 | 43,865 | 37,043 | ||
Barclays plc | 3.330% | 11/24/42 | 37,170 | 28,952 | ||
8 | Barclays plc, 3M USD LIBOR + 1.380% | 2.791% | 5/16/24 | 36,385 | 36,546 | |
Berkshire Hathaway Finance Corp. | 2.875% | 3/15/32 | 9,700 | 8,968 | ||
BlackRock Inc. | 2.100% | 2/25/32 | 25,005 | 21,383 | ||
7 | Blackstone Holdings Finance Co. LLC | 2.550% | 3/30/32 | 19,130 | 16,507 | |
4 | BNP Paribas SA | 3.250% | 3/3/23 | 7,620 | 7,668 | |
7 | BNP Paribas SA | 3.800% | 1/10/24 | 25,780 | 25,880 | |
7 | BNP Paribas SA | 3.375% | 1/9/25 | 60,670 | 60,053 | |
7 | BNP Paribas SA | 2.819% | 11/19/25 | 45,685 | 44,196 | |
7 | BNP Paribas SA | 1.323% | 1/13/27 | 18,995 | 16,997 | |
7 | BNP Paribas SA | 3.500% | 11/16/27 | 69,325 | 66,242 | |
7 | BNP Paribas SA | 2.591% | 1/20/28 | 35,220 | 32,341 | |
7 | BNP Paribas SA | 2.159% | 9/15/29 | 31,165 | 26,861 | |
7 | BNP Paribas SA | 2.871% | 4/19/32 | 23,435 | 20,049 | |
7 | BPCE SA | 5.700% | 10/22/23 | 6,225 | 6,379 | |
BPCE SA | 4.000% | 4/15/24 | 30,615 | 30,983 | ||
7 | BPCE SA | 5.150% | 7/21/24 | 43,790 | 44,601 | |
7 | BPCE SA | 2.045% | 10/19/27 | 25,245 | 22,712 | |
7 | BPCE SA | 3.500% | 10/23/27 | 64,230 | 60,833 | |
7 | BPCE SA | 2.700% | 10/1/29 | 50,000 | 44,630 | |
7 | Brighthouse Financial Global Funding | 1.000% | 4/12/24 | 2,425 | 2,304 | |
7 | Brighthouse Financial Global Funding | 1.750% | 1/13/25 | 16,910 | 15,952 | |
7 | Brighthouse Financial Global Funding | 1.550% | 5/24/26 | 20,210 | 18,459 | |
7 | Brighthouse Financial Global Funding | 2.000% | 6/28/28 | 16,275 | 14,337 | |
7 | Canadian Imperial Bank of Commerce | 1.150% | 7/8/26 | 33,885 | 31,087 | |
8 | Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.720% | 1.605% | 6/16/22 | 57,780 | 57,791 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 55,460 | 55,870 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 24,185 | 23,912 | ||
Charles Schwab Corp. | 0.750% | 3/18/24 | 30,130 | 29,146 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Charles Schwab Corp. | 3.200% | 3/2/27 | 19,665 | 19,417 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 27,375 | 24,993 | ||
Charles Schwab Corp. | 2.900% | 3/3/32 | 47,215 | 42,857 | ||
Chubb Corp. | 6.000% | 5/11/37 | 50,000 | 60,791 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 22,345 | 22,536 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 29,835 | 29,348 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 32,820 | 31,181 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 66,630 | 60,011 | ||
4 | Citigroup Inc. | 3.070% | 2/24/28 | 65,000 | 61,999 | |
Citigroup Inc. | 4.125% | 7/25/28 | 14,550 | 14,324 | ||
4 | Citigroup Inc. | 3.520% | 10/27/28 | 72,550 | 69,889 | |
Citigroup Inc. | 6.625% | 6/15/32 | 45,000 | 50,987 | ||
Citigroup Inc. | 2.520% | 11/3/32 | 25,750 | 21,759 | ||
4 | Citigroup Inc. | 3.878% | 1/24/39 | 37,030 | 33,867 | |
Citigroup Inc. | 2.904% | 11/3/42 | 19,370 | 15,028 | ||
7 | CNO Global Funding | 1.650% | 1/6/25 | 8,725 | 8,282 | |
7 | CNO Global Funding | 2.650% | 1/6/29 | 12,585 | 11,273 | |
4 | Comerica Bank | 2.500% | 7/23/24 | 27,415 | 26,915 | |
7 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 74,015 | 62,108 | |
7 | Commonwealth Bank of Australia | 3.784% | 3/14/32 | 9,885 | 8,921 | |
7 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 46,710 | 41,948 | |
7 | Corebridge Financial Inc. | 3.900% | 4/5/32 | 32,260 | 30,749 | |
7 | Corebridge Financial Inc. | 4.350% | 4/5/42 | 2,760 | 2,523 | |
7 | Corebridge Financial Inc. | 4.400% | 4/5/52 | 27,235 | 24,462 | |
7 | Credit Agricole SA | 3.750% | 4/24/23 | 31,675 | 31,876 | |
7 | Credit Agricole SA | 3.250% | 10/4/24 | 71,600 | 71,007 | |
4 | Credit Suisse AG | 3.625% | 9/9/24 | 4,885 | 4,874 | |
7 | Credit Suisse Group AG | 4.207% | 6/12/24 | 12,375 | 12,410 | |
Credit Suisse Group AG | 3.750% | 3/26/25 | 67,850 | 67,098 | ||
7 | Credit Suisse Group AG | 2.593% | 9/11/25 | 17,585 | 16,822 | |
7 | Credit Suisse Group AG | 1.305% | 2/2/27 | 14,940 | 13,090 | |
7 | Credit Suisse Group AG | 3.869% | 1/12/29 | 10,980 | 10,285 | |
7 | Credit Suisse Group AG | 3.091% | 5/14/32 | 59,185 | 49,765 | |
7,8 | Credit Suisse Group AG, 3M USD LIBOR + 1.240% | 2.043% | 6/12/24 | 25,015 | 25,106 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 55,260 | 55,507 | ||
7 | Danske Bank A/S | 3.875% | 9/12/23 | 46,290 | 46,519 | |
7 | Danske Bank A/S | 5.375% | 1/12/24 | 28,240 | 28,873 | |
7 | Danske Bank A/S | 1.621% | 9/11/26 | 28,990 | 26,388 | |
7 | Danske Bank A/S | 1.549% | 9/10/27 | 55,460 | 49,292 | |
7 | DNB Bank ASA | 1.535% | 5/25/27 | 44,030 | 39,900 | |
7 | DNB Bank ASA | 1.605% | 3/30/28 | 45,870 | 40,629 | |
7 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 10,395 | 9,719 | |
7 | Equitable Financial Life Global Funding | 1.300% | 7/12/26 | 26,755 | 24,196 | |
7 | Equitable Financial Life Global Funding | 1.700% | 11/12/26 | 12,440 | 11,347 | |
7 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 18,220 | 16,102 | |
7 | Equitable Financial Life Global Funding | 1.800% | 3/8/28 | 28,220 | 25,031 | |
7 | Farmers Exchange Capital | 7.050% | 7/15/28 | 25,000 | 27,829 | |
Fifth Third Bancorp | 2.550% | 5/5/27 | 19,150 | 17,988 | ||
Fifth Third Bancorp | 4.055% | 4/25/28 | 11,040 | 10,962 | ||
Fifth Third Bancorp | 4.337% | 4/25/33 | 40,175 | 39,991 | ||
7 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,935 | 6,025 | |
7 | Five Corners Funding Trust II | 2.850% | 5/15/30 | 30,000 | 26,699 | |
7 | GA Global Funding Trust | 1.000% | 4/8/24 | 21,750 | 20,698 | |
Globe Life Inc. | 7.875% | 5/15/23 | 45,000 | 46,924 | ||
Globe Life Inc. | 4.800% | 6/15/32 | 4,155 | 4,213 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 35,320 | 35,624 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 17,545 | 17,582 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 46,260 | 45,847 | |
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 17,980 | 17,896 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 71,545 | 64,795 | ||
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 97,685 | 88,112 | ||
4 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 15,055 | 14,731 | |
4 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 23,795 | 23,219 | |
4 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 67,740 | 67,301 | |
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 19,490 | 18,729 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 30,600 | 25,238 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 88,125 | 76,052 | ||
Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 67,160 | 56,449 | ||
Goldman Sachs Group Inc. | 2.650% | 10/21/32 | 14,050 | 12,075 | ||
Goldman Sachs Group Inc. | 3.102% | 2/24/33 | 38,620 | 34,614 | ||
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 43,995 | 51,935 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 20,135 | 23,782 | ||
4 | Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 25,675 | 25,876 | |
7 | Guardian Life Global Funding | 1.250% | 5/13/26 | 6,735 | 6,156 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 60,200 | 60,707 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 10,150 | 9,583 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 12,085 | 12,002 | ||
HSBC Holdings plc | 1.589% | 5/24/27 | 25,850 | 23,125 | ||
HSBC Holdings plc | 2.251% | 11/22/27 | 74,610 | 67,810 | ||
4 | HSBC Holdings plc | 4.041% | 3/13/28 | 21,805 | 21,311 | |
4 | HSBC Holdings plc | 4.583% | 6/19/29 | 40,480 | 40,080 | |
HSBC Holdings plc | 2.206% | 8/17/29 | 53,960 | 46,760 | ||
4 | HSBC Holdings plc | 2.357% | 8/18/31 | 54,320 | 45,456 | |
HSBC Holdings plc | 2.804% | 5/24/32 | 50,910 | 43,309 | ||
HSBC Holdings plc | 2.871% | 11/22/32 | 52,995 | 45,173 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 25,000 | 28,037 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 40,665 | 45,633 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 13,210 | 13,006 | ||
8 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 2.455% | 5/18/24 | 26,340 | 26,318 | |
HSBC USA Inc. | 3.500% | 6/23/24 | 28,025 | 28,124 | ||
Huntington National Bank | 4.552% | 5/17/28 | 11,240 | 11,440 | ||
ING Groep NV | 3.950% | 3/29/27 | 44,565 | 43,811 | ||
ING Groep NV | 1.726% | 4/1/27 | 16,075 | 14,555 | ||
Intercontinental Exchange Inc. | 4.350% | 6/15/29 | 12,295 | 12,439 | ||
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 26,030 | 21,131 | ||
Intercontinental Exchange Inc. | 4.600% | 3/15/33 | 38,595 | 39,470 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 5,860 | 4,518 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 55,205 | 41,925 | ||
Intercontinental Exchange Inc. | 4.950% | 6/15/52 | 74,200 | 76,528 | ||
7 | JAB Holdings BV | 2.200% | 11/23/30 | 9,385 | 7,693 | |
7 | JAB Holdings BV | 3.750% | 5/28/51 | 19,275 | 14,378 | |
7 | JAB Holdings BV | 4.500% | 4/8/52 | 31,940 | 26,349 | |
7 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 24,070 | 24,034 | |
7 | Jackson National Life Global Funding | 1.750% | 1/12/25 | 18,915 | 17,992 | |
7 | Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 18,890 | 21,894 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 15,450 | 15,558 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 39,000 | 39,700 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 13,870 | 14,119 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 29,835 | 30,084 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 13,420 | 13,583 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 42,085 | 37,310 | ||
4 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 64,735 | 65,186 | |
4 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 16,000 | 15,411 | |
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 58,675 | 51,086 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
JPMorgan Chase & Co. | 4.586% | 4/26/33 | 30,000 | 30,757 | ||
4 | JPMorgan Chase & Co. | 3.109% | 4/22/41 | 19,440 | 16,021 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 96,000 | 107,043 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 18,035 | 19,659 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 50,000 | 41,309 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 16,100 | 17,760 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 15,000 | 15,330 | ||
4 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 159,600 | 144,512 | |
4 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 19,885 | 15,564 | |
7 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 3,160 | 3,191 | |
7 | Liberty Mutual Group Inc. | 4.569% | 2/1/29 | 11,170 | 11,293 | |
7 | Liberty Mutual Insurance Co. | 7.875% | 10/15/26 | 31,210 | 35,778 | |
7 | LSEGA Financing plc | 1.375% | 4/6/26 | 56,790 | 51,684 | |
7 | LSEGA Financing plc | 2.000% | 4/6/28 | 24,615 | 21,958 | |
7 | LSEGA Financing plc | 2.500% | 4/6/31 | 37,780 | 33,125 | |
7 | Macquarie Group Ltd. | 4.150% | 3/27/24 | 49,500 | 49,829 | |
7 | Macquarie Group Ltd. | 1.935% | 4/14/28 | 42,835 | 37,634 | |
7 | Macquarie Group Ltd. | 2.871% | 1/14/33 | 59,895 | 50,151 | |
4 | Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 24,685 | 24,370 | |
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 23,405 | 23,808 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 10,915 | 11,327 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 20,255 | 15,167 | ||
7 | Massachusetts Mutual Life Insurance Co. | 3.200% | 12/1/61 | 30,000 | 21,558 | |
MetLife Inc. | 3.600% | 4/10/24 | 35,035 | 35,543 | ||
MetLife Inc. | 4.125% | 8/13/42 | 15,565 | 14,711 | ||
MetLife Inc. | 4.875% | 11/13/43 | 17,000 | 17,630 | ||
7 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 23,660 | 23,320 | |
7 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 21,455 | 20,616 | |
7 | Metropolitan Life Global Funding I | 2.400% | 1/11/32 | 50,825 | 44,153 | |
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 67,980 | 68,059 | ||
4 | Morgan Stanley | 3.875% | 4/29/24 | 97,010 | 98,955 | |
4 | Morgan Stanley | 3.700% | 10/23/24 | 29,050 | 29,462 | |
Morgan Stanley | 0.790% | 5/30/25 | 42,545 | 40,253 | ||
4 | Morgan Stanley | 2.720% | 7/22/25 | 53,860 | 52,814 | |
4 | Morgan Stanley | 4.000% | 7/23/25 | 29,455 | 29,830 | |
Morgan Stanley | 2.630% | 2/18/26 | 61,765 | 59,933 | ||
4 | Morgan Stanley | 3.125% | 7/27/26 | 11,435 | 11,179 | |
4 | Morgan Stanley | 6.250% | 8/9/26 | 20,000 | 21,780 | |
Morgan Stanley | 3.625% | 1/20/27 | 60,000 | 59,503 | ||
4 | Morgan Stanley | 3.772% | 1/24/29 | 56,905 | 55,579 | |
4 | Morgan Stanley | 2.699% | 1/22/31 | 74,290 | 66,663 | |
4 | Morgan Stanley | 1.928% | 4/28/32 | 50,000 | 41,228 | |
4 | Morgan Stanley | 2.239% | 7/21/32 | 81,175 | 68,592 | |
4 | Morgan Stanley | 2.511% | 10/20/32 | 36,580 | 31,468 | |
Morgan Stanley | 2.943% | 1/21/33 | 31,555 | 28,154 | ||
Morgan Stanley | 2.484% | 9/16/36 | 43,080 | 34,740 | ||
Morgan Stanley | 5.297% | 4/20/37 | 10,595 | 10,724 | ||
Morgan Stanley | 4.300% | 1/27/45 | 18,360 | 17,510 | ||
Nasdaq Inc. | 3.250% | 4/28/50 | 10,000 | 7,548 | ||
Nasdaq Inc. | 3.950% | 3/7/52 | 35,070 | 29,838 | ||
6 | National Australia Bank Ltd. | 3.905% | 6/9/27 | 26,550 | 26,550 | |
7 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 75,550 | 62,104 | |
7 | National Australia Bank Ltd. | 2.990% | 5/21/31 | 62,492 | 53,553 | |
7 | National Australia Bank Ltd. | 3.347% | 1/12/37 | 35,275 | 30,650 | |
7 | Nationwide Financial Services Inc. | 3.900% | 11/30/49 | 48,905 | 42,062 | |
7 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 41,675 | 36,679 | |
NatWest Group plc | 1.642% | 6/14/27 | 29,040 | 26,069 | ||
7 | NatWest Markets plc | 0.800% | 8/12/24 | 22,050 | 20,740 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | NBK SPC Ltd. | 1.625% | 9/15/27 | 67,900 | 61,096 | |
7 | New York Life Global Funding | 2.900% | 1/17/24 | 29,050 | 28,993 | |
7 | New York Life Insurance Co. | 5.875% | 5/15/33 | 55,395 | 62,576 | |
7 | New York Life Insurance Co. | 3.750% | 5/15/50 | 9,245 | 7,929 | |
7 | New York Life Insurance Co. | 4.450% | 5/15/69 | 15,270 | 13,738 | |
7 | Nordea Bank Abp | 1.500% | 9/30/26 | 65,800 | 59,481 | |
7 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 24,134 | 21,015 | |
7 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 9,324 | 7,413 | |
7 | Pacific Life Global Funding II | 1.375% | ��� 4/14/26 | 27,085 | 24,688 | |
7 | Penske Truck Leasing Co. LP | 3.450% | 7/1/24 | 16,420 | 16,314 | |
7 | Penske Truck Leasing Co. LP | 2.700% | 11/1/24 | 10,220 | 9,985 | |
7 | Penske Truck Leasing Co. LP | 3.950% | 3/10/25 | 52,010 | 52,053 | |
7 | Penske Truck Leasing Co. LP | 4.450% | 1/29/26 | 16,450 | 16,554 | |
4 | PNC Bank NA | 3.300% | 10/30/24 | 18,195 | 18,235 | |
4 | PNC Bank NA | 4.200% | 11/1/25 | 16,650 | 16,903 | |
4 | PNC Bank NA | 3.100% | 10/25/27 | 41,975 | 40,759 | |
4 | PNC Bank NA | 3.250% | 1/22/28 | 60,465 | 58,784 | |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 41,565 | 42,154 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 54,405 | 48,828 | ||
7 | Principal Life Global Funding II | 2.500% | 9/16/29 | 25,000 | 22,400 | |
Prudential plc | 3.125% | 4/14/30 | 14,640 | 13,597 | ||
7 | RGA Global Funding | 2.700% | 1/18/29 | 14,330 | 13,013 | |
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 20,375 | 20,408 | ||
7 | Standard Chartered plc | 1.214% | 3/23/25 | 6,465 | 6,157 | |
7 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 58,195 | 55,657 | |
7 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 62,395 | 56,645 | |
7 | Teachers Insurance & Annuity Association of America | 4.900% | 9/15/44 | 24,830 | 24,775 | |
7 | Teachers Insurance & Annuity Association of America | 4.270% | 5/15/47 | 42,390 | 39,450 | |
4 | Truist Bank | 3.300% | 5/15/26 | 12,895 | 12,688 | |
4 | Truist Financial Corp. | 2.200% | 3/16/23 | 31,045 | 31,037 | |
4 | Truist Financial Corp. | 3.700% | 6/5/25 | 49,000 | 49,377 | |
4 | Truist Financial Corp. | 1.950% | 6/5/30 | 22,005 | 18,883 | |
7 | UBS AG | 1.250% | 6/1/26 | 36,125 | 32,658 | |
7 | UBS Group AG | 1.494% | 8/10/27 | 40,005 | 35,677 | |
7 | UBS Group AG | 3.126% | 8/13/30 | 16,000 | 14,613 | |
7 | UBS Group AG | 2.095% | 2/11/32 | 23,650 | 19,510 | |
7 | UBS Group AG | 2.746% | 2/11/33 | 37,160 | 31,690 | |
7 | UBS Group AG | 3.179% | 2/11/43 | 36,770 | 29,161 | |
7 | UniCredit SpA | 1.982% | 6/3/27 | 35,165 | 31,159 | |
7 | UniCredit SpA | 3.127% | 6/3/32 | 38,145 | 31,559 | |
4 | US Bancorp | 3.700% | 1/30/24 | 52,500 | 53,353 | |
4 | US Bancorp | 2.677% | 1/27/33 | 65,020 | 57,807 | |
US Bancorp | 2.491% | 11/3/36 | 64,150 | 53,918 | ||
Wells Fargo & Co. | 4.480% | 1/16/24 | 46,156 | 47,229 | ||
4 | Wells Fargo & Co. | 3.750% | 1/24/24 | 50,755 | 51,450 | |
4 | Wells Fargo & Co. | 0.805% | 5/19/25 | 13,885 | 13,161 | |
4 | Wells Fargo & Co. | 3.550% | 9/29/25 | 32,170 | 32,288 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 39,405 | 38,264 | ||
4 | Wells Fargo & Co. | 3.196% | 6/17/27 | 60,555 | 58,618 | |
4 | Wells Fargo & Co. | 3.526% | 3/24/28 | 19,500 | 18,985 | |
4 | Wells Fargo & Co. | 2.879% | 10/30/30 | 15,000 | 13,666 | |
4 | Wells Fargo & Co. | 2.572% | 2/11/31 | 76,020 | 67,621 | |
4 | Wells Fargo & Co. | 3.350% | 3/2/33 | 7,970 | 7,355 | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 68,281 | 73,658 | ||
4 | Wells Fargo & Co. | 4.650% | 11/4/44 | 10,315 | 9,878 | |
4 | Wells Fargo & Co. | 4.900% | 11/17/45 | 19,160 | 18,991 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Wells Fargo & Co. | 4.400% | 6/14/46 | 73,300 | 68,705 | |
4 | Wells Fargo & Co. | 4.750% | 12/7/46 | 23,150 | 22,612 | |
4 | Wells Fargo & Co. | 4.611% | 4/25/53 | 79,025 | 77,916 | |
9,949,114 | ||||||
Health Care (2.5%) | ||||||
AbbVie Inc. | 3.800% | 3/15/25 | 15,725 | 15,909 | ||
AbbVie Inc. | 3.200% | 11/21/29 | 22,425 | 21,123 | ||
AbbVie Inc. | 4.300% | 5/14/36 | 5,120 | 5,023 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 20,255 | 18,875 | ||
AbbVie Inc. | 4.400% | 11/6/42 | 6,405 | 6,136 | ||
AbbVie Inc. | 4.850% | 6/15/44 | 18,000 | 18,126 | ||
AbbVie Inc. | 4.450% | 5/14/46 | 17,155 | 16,449 | ||
4 | AdventHealth Obligated Group | 2.795% | 11/15/51 | 30,030 | 21,934 | |
4 | Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 7,210 | 6,268 | |
4 | Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 8,980 | 7,009 | |
Aetna Inc. | 2.800% | 6/15/23 | 25,660 | 25,717 | ||
7 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,830 | 5,516 | |
7 | Alcon Finance Corp. | 2.600% | 5/27/30 | 4,690 | 4,092 | |
7 | Alcon Finance Corp. | 3.800% | 9/23/49 | 22,830 | 18,859 | |
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 56,400 | 55,591 | ||
Amgen Inc. | 2.300% | 2/25/31 | 43,075 | 37,871 | ||
Amgen Inc. | 3.350% | 2/22/32 | 5,840 | 5,514 | ||
Amgen Inc. | 3.150% | 2/21/40 | 16,740 | 13,852 | ||
Anthem Inc. | 3.300% | 1/15/23 | 42,468 | 42,669 | ||
Anthem Inc. | 3.650% | 12/1/27 | 26,975 | 26,841 | ||
Anthem Inc. | 4.101% | 3/1/28 | 40,910 | 41,438 | ||
Anthem Inc. | 2.550% | 3/15/31 | 35,565 | 31,624 | ||
Anthem Inc. | 4.650% | 8/15/44 | 2,876 | 2,848 | ||
4 | Ascension Health | 2.532% | 11/15/29 | 22,515 | 20,578 | |
4 | Ascension Health | 4.847% | 11/15/53 | 23,970 | 25,895 | |
AstraZeneca plc | 4.000% | 1/17/29 | 47,000 | 47,744 | ||
AstraZeneca plc | 6.450% | 9/15/37 | 23,385 | 29,435 | ||
Banner Health | 2.907% | 1/1/42 | 29,965 | 24,054 | ||
7 | Baxter International Inc. | 2.272% | 12/1/28 | 27,495 | 24,623 | |
7 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 46,665 | 47,190 | |
7 | Bayer US Finance LLC | 3.375% | 10/8/24 | 33,220 | 32,951 | |
4 | Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 13,585 | 10,106 | |
4 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 17,085 | 16,193 | |
4 | Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 11,305 | 9,432 | |
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 4,553 | 4,569 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 9,588 | 9,469 | ||
Bristol-Myers Squibb Co. | 2.950% | 3/15/32 | 3,970 | 3,742 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 17,720 | 17,471 | ||
Bristol-Myers Squibb Co. | 3.550% | 3/15/42 | 41,245 | 37,261 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 5,703 | 5,853 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 20,963 | 20,735 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 11,865 | 8,793 | ||
Bristol-Myers Squibb Co. | 3.700% | 3/15/52 | 17,175 | 15,566 | ||
4 | Cedars-Sinai Health System | 2.288% | 8/15/31 | 43,795 | 38,211 | |
4 | Children's Hospital Corp. | 2.585% | 2/1/50 | 5,460 | 3,854 | |
4 | Cigna Corp. | 3.250% | 4/15/25 | 31,655 | 31,522 | |
Cigna Corp. | 4.375% | 10/15/28 | 18,600 | 18,877 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 13,735 | 13,784 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 9,885 | 10,000 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 29,395 | 28,845 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 36,655 | 34,068 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 21,827 | 19,210 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | CommonSpirit Health | 4.350% | 11/1/42 | 30,380 | 27,502 | |
CommonSpirit Health | 4.187% | 10/1/49 | 54,248 | 46,765 | ||
CommonSpirit Health | 3.910% | 10/1/50 | 7,125 | 5,847 | ||
4 | Cottage Health Obligated Group | 3.304% | 11/1/49 | 9,875 | 8,087 | |
7 | CSL Finance plc | 4.250% | 4/27/32 | 22,790 | 22,802 | |
7 | CSL Finance plc | 4.750% | 4/27/52 | 3,605 | 3,584 | |
CVS Health Corp. | 4.300% | 3/25/28 | 953 | 965 | ||
CVS Health Corp. | 1.750% | 8/21/30 | 4,940 | 4,110 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 6,900 | 7,108 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 11,570 | 10,608 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 31,100 | 31,735 | ||
Dignity Health | 3.812% | 11/1/24 | 20,780 | 20,893 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 26,895 | 27,241 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 22,335 | 22,452 | ||
Gilead Sciences Inc. | 2.600% | 10/1/40 | 20,000 | 15,295 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 9,915 | 9,526 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 14,930 | 13,745 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 48,610 | 35,506 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 31,740 | 31,871 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 45,000 | 51,221 | ||
7 | HCA Inc. | 3.625% | 3/15/32 | 10,560 | 9,623 | |
7 | HCA Inc. | 4.375% | 3/15/42 | 4,620 | 4,053 | |
7 | HCA Inc. | 4.625% | 3/15/52 | 8,985 | 7,944 | |
4 | Indiana University Health Inc. Obligated Group | 2.852% | 11/1/51 | 12,370 | 9,224 | |
Inova Health System Foundation | 4.068% | 5/15/52 | 20,740 | 19,983 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 14,823 | 14,560 | ||
4 | Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 37,455 | 29,856 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 14,250 | 15,018 | ||
4 | Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 36,720 | 28,727 | |
4 | Mass General Brigham Inc. | 3.192% | 7/1/49 | 24,480 | 19,717 | |
4 | Mass General Brigham Inc. | 3.342% | 7/1/60 | 32,045 | 25,313 | |
Medtronic Inc. | 3.500% | 3/15/25 | 13,468 | 13,692 | ||
4 | Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 18,985 | 14,849 | |
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 12,320 | 11,829 | ||
4 | Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 10,630 | 10,221 | |
Merck & Co. Inc. | 3.400% | 3/7/29 | 49,240 | 48,710 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 22,090 | 21,946 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 52,385 | 50,847 | ||
4 | Mercy Health | 4.302% | 7/1/28 | 20,339 | 20,795 | |
Novartis Capital Corp. | 3.400% | 5/6/24 | 16,695 | 16,930 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 25,896 | 26,753 | ||
OhioHealth Corp. | 2.297% | 11/15/31 | 26,665 | 23,360 | ||
OhioHealth Corp. | 2.834% | 11/15/41 | 16,515 | 13,258 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 70,335 | 69,615 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 6,065 | 5,268 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 53,995 | 53,869 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 7,535 | 6,150 | ||
4 | Piedmont Healthcare Inc. | 2.044% | 1/1/32 | 8,825 | 7,422 | |
4 | Piedmont Healthcare Inc. | 2.719% | 1/1/42 | 8,830 | 6,702 | |
Piedmont Healthcare Inc. | 2.864% | 1/1/52 | 11,725 | 8,470 | ||
4 | Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 17,470 | 15,685 | |
4 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 11,805 | 10,590 | |
4 | Providence St. Joseph Health Obligated Group | 2.700% | 10/1/51 | 39,905 | 27,625 | |
7 | Roche Holdings Inc. | 2.607% | 12/13/51 | 8,330 | 6,361 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Royalty Pharma plc | 2.200% | 9/2/30 | 4,445 | 3,709 | ||
Royalty Pharma plc | 3.550% | 9/2/50 | 44,555 | 32,754 | ||
4 | Rush Obligated Group | 3.922% | 11/15/29 | 11,880 | 11,461 | |
4 | SSM Health Care Corp. | 3.823% | 6/1/27 | 34,910 | 34,919 | |
4 | Sutter Health | 2.294% | 8/15/30 | 18,345 | 15,807 | |
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 30,355 | 26,025 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 18,255 | 14,682 | ||
Thermo Fisher Scientific Inc. | 1.750% | 10/15/28 | 8,965 | 7,949 | ||
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 19,335 | 16,565 | ||
Toledo Hospital | 5.750% | 11/15/38 | 18,440 | 19,321 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 15,350 | 15,263 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 34,565 | 35,192 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 7,515 | 6,633 | ||
UnitedHealth Group Inc. | 2.300% | 5/15/31 | 14,960 | 13,325 | ||
UnitedHealth Group Inc. | 4.200% | 5/15/32 | 13,545 | 13,875 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 9,595 | 10,127 | ||
UnitedHealth Group Inc. | 3.500% | 8/15/39 | 7,480 | 6,782 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 8,505 | 6,955 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 67,400 | 66,251 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 24,520 | 25,798 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 8,620 | 8,398 | ||
UnitedHealth Group Inc. | 3.750% | 10/15/47 | 4,985 | 4,549 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 22,215 | 21,873 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 4,970 | 5,013 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 23,160 | 20,865 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 55,870 | 43,592 | ||
UnitedHealth Group Inc. | 3.250% | 5/15/51 | 40,050 | 33,527 | ||
UnitedHealth Group Inc. | 4.750% | 5/15/52 | 7,175 | 7,575 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 19,125 | 17,283 | ||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 33,830 | 25,995 | ||
Wyeth LLC | 5.950% | 4/1/37 | 25,000 | 30,116 | ||
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 29,000 | 30,755 | ||
2,764,077 | ||||||
Industrials (0.9%) | ||||||
7 | Ashtead Capital Inc. | 2.450% | 8/12/31 | 17,915 | 14,433 | |
7 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 11,010 | 10,925 | |
7 | BAE Systems plc | 3.400% | 4/15/30 | 7,335 | 6,857 | |
Boeing Co. | 1.433% | 2/4/24 | 15,490 | 14,929 | ||
Boeing Co. | 2.700% | 2/1/27 | 17,155 | 15,786 | ||
Boeing Co. | 3.625% | 2/1/31 | 24,800 | 22,309 | ||
Boeing Co. | 8.625% | 11/15/31 | 9,460 | 11,551 | ||
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 21,397 | 21,496 | ||
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 20,891 | 21,164 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 6,000 | 6,027 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 13,365 | 12,759 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 2,715 | 2,568 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 9,950 | 7,932 | ||
Burlington Northern Santa Fe LLC | 3.300% | 9/15/51 | 20,000 | 16,654 | ||
Burlington Northern Santa Fe LLC | 2.875% | 6/15/52 | 32,935 | 25,567 | ||
6 | Burlington Northern Santa Fe LLC | 4.450% | 1/15/53 | 6,765 | 6,728 | |
Canadian National Railway Co. | 2.450% | 5/1/50 | 6,870 | 4,852 | ||
Canadian Pacific Railway Co. | 2.450% | 12/2/31 | 8,735 | 7,709 | ||
Canadian Pacific Railway Co. | 3.100% | 12/2/51 | 31,340 | 24,601 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 15,418 | 13,650 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 14,200 | 14,405 | ||
CSX Corp. | 4.300% | 3/1/48 | 16,150 | 15,386 | ||
CSX Corp. | 3.350% | 9/15/49 | 5,535 | 4,530 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Daimler Trucks Finance North America LLC | 3.650% | 4/7/27 | 15,205 | 14,908 | |
Deere & Co. | 7.125% | 3/3/31 | 17,500 | 21,569 | ||
7 | ERAC USA Finance LLC | 5.625% | 3/15/42 | 21,787 | 22,833 | |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 52,955 | 53,568 | ||
4 | John Deere Capital Corp. | 3.450% | 3/13/25 | 43,145 | 43,762 | |
4 | Kansas City Southern | 4.950% | 8/15/45 | 16,985 | 16,877 | |
Lockheed Martin Corp. | 1.850% | 6/15/30 | 1,700 | 1,483 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 8,015 | 8,304 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 14,370 | 15,148 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 5,500 | 5,391 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 8,000 | 7,101 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 9,650 | 9,046 | ||
4 | Parker-Hannifin Corp. | 4.450% | 11/21/44 | 17,735 | 16,444 | |
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 16,675 | 16,980 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 9,325 | 9,252 | ||
Raytheon Technologies Corp. | 4.500% | 6/1/42 | 8,727 | 8,756 | ||
Raytheon Technologies Corp. | 3.750% | 11/1/46 | 5,923 | 5,259 | ||
7 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 61,400 | 61,490 | |
7 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 20,360 | 18,184 | |
7 | Siemens Financieringsmaatschappij NV | 2.150% | 3/11/31 | 35,655 | 31,050 | |
7 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 34,365 | 34,143 | |
4 | Southwest Airlines Co. Pass-Through Trust Series 2007-1 | 6.150% | 8/1/22 | 1,780 | 1,788 | |
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 37,435 | 33,360 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 41,220 | 35,888 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 17,470 | 17,317 | ||
Union Pacific Corp. | 2.800% | 2/14/32 | 4,025 | 3,677 | ||
Union Pacific Corp. | 3.375% | 2/14/42 | 18,180 | 15,849 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 5,565 | 4,609 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 38,061 | 34,395 | ||
Union Pacific Corp. | 3.500% | 2/14/53 | 65,235 | 56,439 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 29,365 | 25,984 | ||
Union Pacific Corp. | 2.973% | 9/16/62 | 22,015 | 16,124 | ||
Union Pacific Corp. | 3.750% | 2/5/70 | 10,510 | 8,781 | ||
4 | United Airlines Pass-Through Trust Class B Series 2018-1 | 4.600% | 3/1/26 | 5,294 | 4,950 | |
983,527 | ||||||
Real Estate (0.4%) | ||||||
American Tower Corp. | 5.000% | 2/15/24 | 2,770 | 2,847 | ||
American Tower Corp. | 4.400% | 2/15/26 | 7,315 | 7,421 | ||
American Tower Corp. | 3.800% | 8/15/29 | 33,804 | 31,961 | ||
Boston Properties LP | 3.125% | 9/1/23 | 13,275 | 13,280 | ||
Boston Properties LP | 3.800% | 2/1/24 | 1,750 | 1,763 | ||
Crown Castle International Corp. | 3.650% | 9/1/27 | 10,215 | 9,954 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,435 | 8,213 | ||
Crown Castle International Corp. | 2.100% | 4/1/31 | 71,340 | 58,737 | ||
CubeSmart LP | 2.250% | 12/15/28 | 12,135 | 10,667 | ||
Equinix Inc. | 3.000% | 7/15/50 | 34,420 | 24,816 | ||
Healthpeak Properties Inc. | 2.125% | 12/1/28 | 30,395 | 27,098 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 31,475 | 28,769 | ||
Realty Income Corp. | 3.400% | 1/15/28 | 5,900 | 5,715 | ||
Realty Income Corp. | 2.200% | 6/15/28 | 24,400 | 21,945 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 12,940 | 12,147 | ||
Realty Income Corp. | 2.850% | 12/15/32 | 16,610 | 14,896 | ||
7 | SBA Tower Trust | 3.448% | 3/15/23 | 23,770 | 23,773 | |
7 | SBA Tower Trust | 2.836% | 1/15/25 | 25,075 | 24,348 | |
7 | SBA Tower Trust | 1.884% | 1/15/26 | 8,960 | 8,349 | |
7 | SBA Tower Trust | 1.631% | 11/15/26 | 34,975 | 30,844 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | SBA Tower Trust | 1.840% | 4/15/27 | 54,190 | 47,658 | |
7 | SBA Tower Trust | 2.593% | 10/15/31 | 51,750 | 43,838 | |
7 | Scentre Group Trust 1 | 4.375% | 5/28/30 | 19,110 | 18,894 | |
Simon Property Group LP | 3.750% | 2/1/24 | 3,265 | 3,299 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 10,055 | 10,112 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 19,865 | 17,498 | ||
508,842 | ||||||
Technology (1.7%) | ||||||
Apple Inc. | 3.000% | 2/9/24 | 22,535 | 22,734 | ||
Apple Inc. | 3.450% | 5/6/24 | 39,950 | 40,602 | ||
Apple Inc. | 2.850% | 5/11/24 | 44,990 | 45,215 | ||
Apple Inc. | 3.250% | 2/23/26 | 37,631 | 37,933 | ||
Apple Inc. | 2.450% | 8/4/26 | 43,466 | 42,454 | ||
Apple Inc. | 3.350% | 2/9/27 | 55,925 | 56,427 | ||
Apple Inc. | 3.200% | 5/11/27 | 39,185 | 39,265 | ||
Apple Inc. | 2.900% | 9/12/27 | 55,355 | 54,426 | ||
Apple Inc. | 3.850% | 5/4/43 | 17,000 | 16,424 | ||
Apple Inc. | 4.450% | 5/6/44 | 5,075 | 5,310 | ||
Apple Inc. | 3.850% | 8/4/46 | 36,890 | 35,488 | ||
Apple Inc. | 2.650% | 5/11/50 | 17,660 | 13,811 | ||
Apple Inc. | 2.550% | 8/20/60 | 48,290 | 35,198 | ||
Broadcom Corp. | 3.875% | 1/15/27 | 11,385 | 11,197 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 37,859 | 36,989 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 24,480 | 23,332 | ||
7 | Broadcom Inc. | 2.600% | 2/15/33 | 4,375 | 3,530 | |
7 | Broadcom Inc. | 3.419% | 4/15/33 | 10,535 | 9,124 | |
7 | Broadcom Inc. | 3.500% | 2/15/41 | 34,030 | 27,116 | |
7 | Broadcom Inc. | 3.750% | 2/15/51 | 11,745 | 9,183 | |
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,676 | 15,299 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,395 | 29,550 | ||
Intel Corp. | 2.000% | 8/12/31 | 3,635 | 3,137 | ||
Intel Corp. | 4.100% | 5/19/46 | 51,605 | 49,385 | ||
Intel Corp. | 4.100% | 5/11/47 | 21,904 | 20,646 | ||
Intel Corp. | 3.734% | 12/8/47 | 8,096 | 7,257 | ||
Intel Corp. | 3.250% | 11/15/49 | 19,400 | 16,033 | ||
Intel Corp. | 3.050% | 8/12/51 | 43,925 | 34,712 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 35,000 | 35,501 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 86,100 | 86,292 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 155,985 | 155,075 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 103,700 | 100,176 | ||
International Business Machines Corp. | 5.875% | 11/29/32 | 20,240 | 22,944 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 17,700 | 17,841 | ||
Microsoft Corp. | 3.500% | 2/12/35 | 23,520 | 23,090 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 31,097 | 30,432 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 122,844 | 95,368 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 123,829 | 103,147 | ||
Oracle Corp. | 2.950% | 11/15/24 | 79,830 | 78,625 | ||
Oracle Corp. | 1.650% | 3/25/26 | 17,300 | 15,793 | ||
Oracle Corp. | 3.250% | 11/15/27 | 97,075 | 90,955 | ||
Oracle Corp. | 4.000% | 11/15/47 | 32,175 | 25,234 | ||
Oracle Corp. | 3.850% | 4/1/60 | 18,200 | 13,060 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 27,474 | 24,318 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 29,475 | 26,350 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 41,155 | 34,011 | ||
QUALCOMM Inc. | 4.250% | 5/20/32 | 8,865 | 9,193 | ||
QUALCOMM Inc. | 4.500% | 5/20/52 | 20,340 | 20,565 | ||
7 | S&P Global Inc. | 2.700% | 3/1/29 | 15,055 | 13,995 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | S&P Global Inc. | 2.900% | 3/1/32 | 7,355 | 6,722 | |
7 | S&P Global Inc. | 3.700% | 3/1/52 | 53,715 | 48,174 | |
Workday Inc. | 3.700% | 4/1/29 | 5,150 | 4,954 | ||
Workday Inc. | 3.800% | 4/1/32 | 21,755 | 20,532 | ||
1,844,124 | ||||||
Utilities (2.7%) | ||||||
4 | AEP Texas Inc. | 4.150% | 5/1/49 | 5,065 | 4,493 | |
4 | AEP Texas Inc. | 3.450% | 1/15/50 | 16,810 | 13,327 | |
Alabama Power Co. | 5.700% | 2/15/33 | 15,000 | 16,697 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 24,430 | 21,142 | ||
4 | Alabama Power Co. | 4.300% | 7/15/48 | 28,015 | 26,392 | |
Ameren Illinois Co. | 3.800% | 5/15/28 | 22,215 | 22,238 | ||
Ameren Illinois Co. | 6.125% | 12/15/28 | 54,000 | 57,483 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 5,045 | 4,459 | ||
American Water Capital Corp. | 2.950% | 9/1/27 | 9,975 | 9,578 | ||
American Water Capital Corp. | 4.450% | 6/1/32 | 22,115 | 22,699 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,435 | 1,250 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 30,403 | 28,361 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 850 | 782 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 2,280 | 1,895 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 11,220 | 8,619 | ||
Baltimore Gas & Electric Co. | 4.250% | 9/15/48 | 5,000 | 4,765 | ||
Baltimore Gas & Electric Co. | 2.900% | 6/15/50 | 6,549 | 5,016 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 41,185 | 47,568 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 830 | 943 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,715 | 11,130 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 15,865 | 14,971 | ||
7 | Berkshire Hathaway Energy Co. | 4.600% | 5/1/53 | 62,750 | 62,783 | |
7 | Boston Gas Co. | 3.150% | 8/1/27 | 5,385 | 5,100 | |
7 | Boston Gas Co. | 3.001% | 8/1/29 | 5,970 | 5,455 | |
7 | Boston Gas Co. | 3.757% | 3/16/32 | 4,225 | 3,998 | |
7 | Brooklyn Union Gas Co. | 3.407% | 3/10/26 | 2,685 | 2,623 | |
7 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 61,265 | 51,848 | |
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 8,068 | 8,046 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 9,180 | 8,365 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 13,610 | 12,986 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,365 | 5,629 | ||
4 | Commonwealth Edison Co. | 3.750% | 8/15/47 | 10,000 | 8,954 | |
Commonwealth Edison Co. | 4.000% | 3/1/48 | 17,455 | 16,575 | ||
4 | Commonwealth Edison Co. | 3.850% | 3/15/52 | 6,380 | 5,927 | |
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 36,735 | 34,839 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 2,729 | 2,388 | ||
4 | Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,690 | 1,544 | |
Consolidated Edison Co. of New York Inc. | 3.200% | 12/1/51 | 27,865 | 22,173 | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 66,625 | 64,256 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 29,019 | 27,185 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 11,816 | 11,934 | ||
7 | Dominion Energy Inc. | 2.450% | 1/15/23 | 111,320 | 111,118 | |
4 | Dominion Energy Inc. | 5.250% | 8/1/33 | 5,706 | 6,066 | |
4 | Dominion Energy Inc. | 4.600% | 3/15/49 | 27,385 | 26,448 | |
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 4,886 | 5,787 | ||
Dominion Energy South Carolina Inc. | 5.800% | 1/15/33 | 9,000 | 9,979 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,438 | 1,573 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 44,155 | 50,646 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 2,945 | 3,167 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 7,251 | 7,092 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 29,850 | 30,854 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,000 | 4,595 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 17,085 | 15,105 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 11,775 | 11,306 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 12,030 | 11,367 | ||
Duke Energy Corp. | 3.300% | 6/15/41 | 31,380 | 25,371 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 44,700 | 43,121 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 9,940 | 8,265 | ||
Duke Energy Corp. | 3.500% | 6/15/51 | 34,035 | 26,948 | ||
Duke Energy Florida LLC | 6.350% | 9/15/37 | 8,000 | 9,371 | ||
Duke Energy Florida LLC | 6.400% | 6/15/38 | 27,055 | 32,775 | ||
Duke Energy Progress LLC | 3.400% | 4/1/32 | 15,845 | 15,169 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 14,705 | 17,333 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 615 | 575 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 40,400 | 38,159 | ||
Duke Energy Progress LLC | 2.500% | 8/15/50 | 2,475 | 1,781 | ||
Duke Energy Progress LLC | 4.000% | 4/1/52 | 4,185 | 3,972 | ||
4 | Duke Energy Progress NC Storm Funding LLC | 2.387% | 7/1/37 | 34,870 | 32,421 | |
7 | East Ohio Gas Co. | 2.000% | 6/15/30 | 8,960 | 7,623 | |
7 | East Ohio Gas Co. | 3.000% | 6/15/50 | 13,050 | 9,795 | |
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 21,445 | 21,576 | ||
Emera US Finance LP | 3.550% | 6/15/26 | 34,050 | 33,289 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 14,935 | 14,441 | ||
Evergy Inc. | 2.450% | 9/15/24 | 10,420 | 10,161 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 9,000 | 7,224 | ||
4 | Evergy Metro Inc. | 2.250% | 6/1/30 | 5,680 | 5,000 | |
Evergy Metro Inc. | 4.200% | 3/15/48 | 3,419 | 3,155 | ||
4 | Eversource Energy | 2.900% | 10/1/24 | 17,450 | 17,349 | |
4 | Eversource Energy | 3.150% | 1/15/25 | 5,025 | 4,977 | |
4 | Eversource Energy | 3.300% | 1/15/28 | 14,410 | 13,856 | |
Eversource Energy | 3.375% | 3/1/32 | 5,495 | 5,051 | ||
7 | Exelon Corp. | 3.350% | 3/15/32 | 18,315 | 16,847 | |
Florida Power & Light Co. | 5.650% | 2/1/35 | 50,000 | 55,850 | ||
Florida Power & Light Co. | 4.950% | 6/1/35 | 10,000 | 10,665 | ||
Florida Power & Light Co. | 5.650% | 2/1/37 | 5,000 | 5,581 | ||
Florida Power & Light Co. | 5.950% | 2/1/38 | 39,215 | 45,398 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 4,000 | 4,581 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 17,370 | 15,845 | ||
Fortis Inc. | 3.055% | 10/4/26 | 28,565 | 27,536 | ||
Georgia Power Co. | 4.700% | 5/15/32 | 21,575 | 22,310 | ||
Georgia Power Co. | 5.400% | 6/1/40 | 6,665 | 6,625 | ||
4 | Georgia Power Co. | 4.750% | 9/1/40 | 34,703 | 32,972 | |
Georgia Power Co. | 4.300% | 3/15/42 | 9,934 | 9,088 | ||
Georgia Power Co. | 5.125% | 5/15/52 | 24,430 | 25,387 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 14,980 | 13,824 | ||
7 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 25,345 | 24,191 | |
7 | Massachusetts Electric Co. | 5.900% | 11/15/39 | 21,565 | 23,836 | |
7 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 6,572 | 6,566 | |
MidAmerican Energy Co. | 4.400% | 10/15/44 | 1,050 | 1,017 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 5,485 | 5,227 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 11,545 | 11,203 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 45,450 | 37,083 | ||
7 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 3,170 | 3,134 | |
7 | Monongahela Power Co. | 5.400% | 12/15/43 | 4,570 | 4,719 | |
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,255 | 15,271 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 40,345 | 39,888 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Nevada Power Co. | 3.125% | 8/1/50 | 17,790 | 13,754 | |
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 32,275 | 31,954 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 27,465 | 24,484 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 14,165 | 13,524 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 40,110 | 34,887 | ||
7 | Niagara Mohawk Power Corp. | 4.278% | 12/15/28 | 35,970 | 35,886 | |
7 | Niagara Mohawk Power Corp. | 3.025% | 6/27/50 | 14,840 | 10,536 | |
NiSource Inc. | 5.250% | 2/15/43 | 14,588 | 14,338 | ||
NiSource Inc. | 4.800% | 2/15/44 | 9,750 | 9,140 | ||
Northern States Power Co. | 2.250% | 4/1/31 | 4,940 | 4,366 | ||
Northern States Power Co. | 6.250% | 6/1/36 | 50,000 | 59,690 | ||
Northern States Power Co. | 4.500% | 6/1/52 | 4,320 | 4,505 | ||
7 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 36,565 | 40,128 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 6,075 | 6,607 | ||
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,825 | 1,643 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 19,060 | 16,045 | ||
7 | Oglethorpe Power Corp. | 4.500% | 4/1/47 | 4,095 | 3,733 | |
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 4,690 | 4,647 | ||
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 17,220 | 17,301 | ||
7 | Oncor Electric Delivery Co. LLC | 4.150% | 6/1/32 | 4,425 | 4,552 | |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 10,735 | 10,755 | ||
Oncor Electric Delivery Co. LLC | 2.700% | 11/15/51 | 23,120 | 17,467 | ||
7 | Oncor Electric Delivery Co. LLC | 4.600% | 6/1/52 | 26,115 | 27,293 | |
PacifiCorp | 2.950% | 6/1/23 | 29,675 | 29,715 | ||
PacifiCorp | 2.700% | 9/15/30 | 5,025 | 4,563 | ||
PacifiCorp | 5.900% | 8/15/34 | 12,500 | 13,284 | ||
PacifiCorp | 6.250% | 10/15/37 | 36,635 | 42,850 | ||
PacifiCorp | 4.125% | 1/15/49 | 3,611 | 3,374 | ||
PacifiCorp | 4.150% | 2/15/50 | 11,625 | 10,902 | ||
PacifiCorp | 3.300% | 3/15/51 | 11,806 | 9,701 | ||
PECO Energy Co. | 2.850% | 9/15/51 | 8,000 | 6,114 | ||
PECO Energy Co. | 4.600% | 5/15/52 | 12,845 | 13,419 | ||
4 | PG&E Energy Recovery Funding LLC | 2.280% | 1/15/36 | 3,775 | 3,188 | |
4 | PG&E Energy Recovery Funding LLC | 2.822% | 7/15/46 | 16,989 | 13,579 | |
Piedmont Natural Gas Co. Inc. | 5.050% | 5/15/52 | 9,130 | 9,309 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 25,000 | 30,042 | ||
San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 3,600 | 3,945 | ||
4 | San Diego Gas & Electric Co. | 1.700% | 10/1/30 | 4,940 | 4,157 | |
4 | San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 5,390 | 4,758 | |
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 5,940 | 5,651 | ||
4 | San Diego Gas & Electric Co. | 2.950% | 8/15/51 | 714 | 561 | |
San Diego Gas & Electric Co. | 3.700% | 3/15/52 | 29,320 | 26,077 | ||
4 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 9,377 | 8,251 | |
4 | SCE Recovery Funding LLC | 1.942% | 5/15/38 | 3,655 | 2,944 | |
4 | SCE Recovery Funding LLC | 2.510% | 11/15/43 | 3,310 | 2,975 | |
Sempra Energy | 3.250% | 6/15/27 | 80,765 | 78,279 | ||
Sempra Energy | 3.700% | 4/1/29 | 2,295 | 2,214 | ||
Sempra Energy | 6.000% | 10/15/39 | 14,800 | 16,572 | ||
4 | Sierra Pacific Power Co. | 3.375% | 8/15/23 | 34,040 | 34,168 | |
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 7,857 | 7,588 | ||
4 | Southern California Edison Co. | 3.700% | 8/1/25 | 3,315 | 3,307 | |
Southern California Edison Co. | 6.000% | 1/15/34 | 7,695 | 8,436 | ||
4 | Southern California Edison Co. | 5.550% | 1/15/37 | 50,475 | 52,030 | |
4 | Southern California Edison Co. | 5.950% | 2/1/38 | 40,000 | 43,268 | |
Southern California Edison Co. | 6.050% | 3/15/39 | 1,980 | 2,146 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 6,530 | 5,577 | ||
4 | Southern California Edison Co. | 4.125% | 3/1/48 | 11,495 | 9,861 | |
Southern California Edison Co. | 3.650% | 2/1/50 | 5,405 | 4,335 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Southern Co. | 3.250% | 7/1/26 | 30,885 | 30,182 | ||
Southern Co. | 4.400% | 7/1/46 | 41,137 | 38,160 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 6,310 | 5,239 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 9,800 | 11,035 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 3,756 | 3,266 | ||
Union Electric Co. | 4.000% | 4/1/48 | 14,316 | 13,065 | ||
Union Electric Co. | 3.900% | 4/1/52 | 8,575 | 7,913 | ||
4 | Virginia Electric & Power Co. | 2.750% | 3/15/23 | 34,540 | 34,609 | |
4 | Virginia Electric & Power Co. | 3.500% | 3/15/27 | 16,025 | 15,927 | |
4 | Virginia Electric & Power Co. | 6.000% | 5/15/37 | 1,740 | 1,990 | |
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 17,280 | 19,101 | ||
Wisconsin Public Service Corp. | 6.080% | 12/1/28 | 45,000 | 49,910 | ||
3,009,693 | ||||||
Total Corporate Bonds (Cost $25,295,989) | 23,662,979 | |||||
Sovereign Bonds (0.9%) | ||||||
4,7 | Bermuda | 2.375% | 8/20/30 | 17,415 | 15,301 | |
4,7 | Bermuda | 3.375% | 8/20/50 | 6,835 | 5,410 | |
4,7 | Corp. Nacional del Cobre de Chile | 3.700% | 1/30/50 | 20,705 | 16,785 | |
4,7 | Electricite de France SA | 4.875% | 9/21/38 | 69,680 | 63,965 | |
4,7 | Electricite de France SA | 4.950% | 10/13/45 | 15,100 | 13,551 | |
Equinor ASA | 2.450% | 1/17/23 | 15,017 | 15,056 | ||
Equinor ASA | 2.650% | 1/15/24 | 14,000 | 14,031 | ||
Equinor ASA | 3.700% | 3/1/24 | 25,320 | 25,670 | ||
Equinor ASA | 3.250% | 11/10/24 | 25,200 | 25,329 | ||
Equinor ASA | 2.875% | 4/6/25 | 4,775 | 4,754 | ||
Equinor ASA | 3.125% | 4/6/30 | 80,155 | 76,769 | ||
Equinor ASA | 2.375% | 5/22/30 | 7,585 | 6,851 | ||
4 | International Bank for Reconstruction & Development | 4.750% | 2/15/35 | 40,000 | 46,064 | |
4,7 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 30,195 | 30,240 | |
4,7 | NBN Co. Ltd. | 1.625% | 1/8/27 | 26,265 | 23,628 | |
4,7 | NBN Co. Ltd. | 2.625% | 5/5/31 | 29,355 | 25,534 | |
4,7 | NBN Co. Ltd. | 2.500% | 1/8/32 | 77,087 | 65,603 | |
4,7 | Qatar Energy | 2.250% | 7/12/31 | 31,765 | 28,200 | |
4,7 | Qatar Energy | 3.125% | 7/12/41 | 23,200 | 19,524 | |
4 | Republic of Chile | 2.550% | 1/27/32 | 18,800 | 16,623 | |
4 | Republic of Chile | 2.550% | 7/27/33 | 36,780 | 31,362 | |
4 | Republic of Chile | 3.500% | 1/31/34 | 20,300 | 18,806 | |
Republic of Chile | 3.500% | 4/15/53 | 20,175 | 16,332 | ||
4 | Republic of Chile | 3.100% | 1/22/61 | 13,390 | 9,754 | |
4 | Republic of Colombia | 4.000% | 2/26/24 | 30,240 | 30,134 | |
4 | Republic of Panama | 2.252% | 9/29/32 | 32,430 | 26,638 | |
4 | Republic of Panama | 3.870% | 7/23/60 | 30,160 | 23,094 | |
4,7 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 28,670 | 28,103 | |
4,7 | State of Qatar | 3.875% | 4/23/23 | 56,160 | 56,760 | |
4,7 | State of Qatar | 3.375% | 3/14/24 | 3,360 | 3,381 | |
4,7 | State of Qatar | 4.400% | 4/16/50 | 14,035 | 14,240 | |
4,7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 45,150 | 45,100 | |
4,7 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 36,800 | 37,427 | |
4,7 | Temasek Financial I Ltd. | 2.375% | 8/2/41 | 46,170 | 36,759 | |
4,7 | Temasek Financial I Ltd. | 2.250% | 4/6/51 | 39,210 | 28,390 | |
4,7 | Temasek Financial I Ltd. | 2.500% | 10/6/70 | 22,880 | 15,799 | |
4 | United Mexican States | 3.500% | 2/12/34 | 20,325 | 17,902 | |
4 | United Mexican States | 4.400% | 2/12/52 | 35,725 | 29,530 | |
Total Sovereign Bonds (Cost $1,107,482) | 1,008,399 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Taxable Municipal Bonds (1.6%) | ||||||
Alabama Federal Aid Highway Finance Authority Special Obligation Revenue | 2.650% | 9/1/37 | 4,935 | 4,091 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 2.574% | 4/1/31 | 14,455 | 13,311 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 6.263% | 4/1/49 | 1,965 | 2,546 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 7.043% | 4/1/50 | 26,165 | 35,161 | ||
Broward County FL Airport System Revenue | 3.477% | 10/1/43 | 10,370 | 8,875 | ||
California GO | 7.350% | 11/1/39 | 56,970 | 75,379 | ||
California Health Facilities Financing Authority Revenue | 4.190% | 6/1/37 | 6,410 | 6,135 | ||
California Health Facilities Financing Authority Revenue | 4.353% | 6/1/41 | 15,060 | 14,176 | ||
California State University Systemwide Revenue | 2.719% | 11/1/52 | 12,090 | 9,443 | ||
California State University Systemwide Revenue | 2.939% | 11/1/52 | 15,225 | 12,007 | ||
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 3,205 | 3,968 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 33,870 | 41,003 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 57,835 | 70,015 | ||
Chicago IL Transit Authority Sales Tax Receipts Revenue | 6.200% | 12/1/40 | 2,260 | 2,623 | ||
City of Riverside CA Pension Obligation Bonds | 3.857% | 6/1/45 | 8,775 | 7,941 | ||
Dallas-Fort Worth TX International Airport Revenue | 3.089% | 11/1/40 | 7,405 | 6,289 | ||
Dallas-Fort Worth TX International Airport Revenue | 2.843% | 11/1/46 | 18,860 | 14,920 | ||
Dallas-Fort Worth TX International Airport Revenue | 4.087% | 11/1/51 | 2,695 | 2,592 | ||
Dallas-Fort Worth TX International Airport Revenue | 4.507% | 11/1/51 | 18,580 | 17,793 | ||
Florida State Board of Administration Finance Corp. Revenue | 1.705% | 7/1/27 | 29,555 | 26,742 | ||
Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 4.094% | 1/15/49 | 5,345 | 4,677 | ||
9 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 3.924% | 1/15/53 | 39,440 | 32,770 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 69,852 | 82,218 | ||
Golden State Tobacco Securitization Corp. California Revenue | 2.746% | 6/1/34 | 2,430 | 2,107 | ||
Golden State Tobacco Securitization Corp. California Revenue | 3.293% | 6/1/42 | 4,645 | 3,761 | ||
Golden State Tobacco Securitization Corp. California Revenue | 3.000% | 6/1/46 | 11,430 | 10,096 | ||
Grand Parkway Transportation Corp. Texas System Toll Revenue | 5.184% | 10/1/42 | 5,645 | 6,286 | ||
Grand Parkway Transportation Corp. Texas System Toll Revenue | 3.236% | 10/1/52 | 28,900 | 22,988 | ||
Great Lakes Michigan Water Authority Sewage Disposal System Revenue | 3.056% | 7/1/39 | 8,495 | 7,151 | ||
Houston TX GO | 6.290% | 3/1/32 | 14,840 | 16,584 | ||
Illinois GO | 5.100% | 6/1/33 | 144,875 | 147,675 | ||
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 29,200 | 34,270 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Jobs Ohio Beverage System Statewide Liquor Profits Revenue | 2.833% | 1/1/38 | 5,480 | 4,683 | ||
Kansas Development Finance Authority Revenue | 4.927% | 4/15/45 | 7,745 | 8,212 | ||
10 | Kansas Development Finance Authority Revenue | 2.774% | 5/1/51 | 15,140 | 11,818 | |
9 | Kansas Development Finance Authority Revenue (Employees Retirement System) | 5.501% | 5/1/34 | 50,000 | 54,707 | |
Louisville & Jefferson County KY Metropolitan Sewer District Sewer & Drainage System Revenue | 6.250% | 5/15/43 | 19,000 | 23,252 | ||
Maryland Transportation Authority Facilities Projects Revenue | 5.888% | 7/1/43 | 18,985 | 22,148 | ||
Massachusetts GO | 2.514% | 7/1/41 | 8,175 | 6,447 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 1.753% | 8/15/30 | 27,675 | 24,159 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.715% | 8/15/39 | 22,105 | 25,522 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 3.395% | 10/15/40 | 16,745 | 14,065 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 2.950% | 5/15/43 | 21,350 | 16,910 | ||
Massachusetts Water Resources Authority Revenue | 2.823% | 8/1/41 | 24,550 | 20,377 | ||
Michigan Finance Authority Revenue (Trinity Health Credit Group) | 3.084% | 12/1/34 | 11,320 | 10,200 | ||
Minnesota GO | 4.048% | 4/1/52 | 27,160 | 26,889 | ||
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 30,285 | 40,603 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.200% | 11/15/26 | 2,195 | 2,316 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.814% | 11/15/40 | 27,295 | 32,810 | ||
New York Metropolitan Transportation Authority Revenue (Climate Bond Certified) | 5.175% | 11/15/49 | 23,665 | 24,286 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 10,860 | 14,471 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 16,085 | 18,666 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.110% | 2/15/39 | 21,260 | 18,258 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.190% | 2/15/43 | 12,095 | 10,000 | ||
New York State Thruway Authority General Revenue | 2.900% | 1/1/35 | 16,730 | 14,664 | ||
New York State Thruway Authority General Revenue | 3.500% | 1/1/42 | 9,430 | 8,066 | ||
North Texas Tollway Authority System Revenue | 3.011% | 1/1/43 | 9,145 | 7,263 | ||
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 11,035 | 14,803 | ||
Oregon Department of Transportation Highway User Tax Revenue | 5.834% | 11/15/34 | 25,930 | 30,003 | ||
10 | Oregon GO | 3.424% | 3/1/60 | 28,000 | 23,107 | |
9 | Oregon School Boards Association GO | 5.528% | 6/30/28 | 50,000 | 53,243 | |
11 | Philadelphia PA Authority for Industrial Development Revenue | 6.550% | 10/15/28 | 66,810 | 76,859 | |
Port Authority of New York & New Jersey Revenue | 5.859% | 12/1/24 | 2,600 | 2,752 | ||
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 44,055 | 43,833 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Port Authority of New York & New Jersey Revenue | 4.810% | 10/15/65 | 21,985 | 22,846 | ||
Riverside County CA Pension Obligation Bonds | 3.818% | 2/15/38 | 9,585 | 9,170 | ||
Rutgers State University New Jersey Revenue | 3.270% | 5/1/43 | 11,960 | 9,886 | ||
Sales Tax Securitization Corp. Illinois Revenue | 3.238% | 1/1/42 | 34,905 | 29,388 | ||
Sales Tax Securitization Corp. Illinois Revenue | 4.787% | 1/1/48 | 20,690 | 20,408 | ||
San Antonio TX Electric & Gas Systems Revenue | 2.905% | 2/1/48 | 8,220 | 6,350 | ||
Texas Transportation Commission GO | 2.562% | 4/1/42 | 7,310 | 5,957 | ||
Texas Transportation Commission State Highway Revenue | 4.000% | 10/1/33 | 12,640 | 12,740 | ||
University of California Regents Medical Center Pooled Revenue | 4.132% | 5/15/32 | 17,265 | 17,209 | ||
University of California Regents Medical Center Pooled Revenue | 6.548% | 5/15/48 | 9,465 | 11,781 | ||
University of California Regents Medical Center Pooled Revenue | 6.583% | 5/15/49 | 15,150 | 18,853 | ||
University of California Regents Medical Center Pooled Revenue | 3.006% | 5/15/50 | 15,445 | 11,601 | ||
University of California Regents Medical Center Pooled Revenue | 4.563% | 5/15/53 | 46,830 | 46,356 | ||
University of California Regents Medical Center Pooled Revenue | 3.256% | 5/15/60 | 26,520 | 19,746 | ||
University of California Revenue | 1.316% | 5/15/27 | 13,075 | 11,821 | ||
University of California Revenue | 1.614% | 5/15/30 | 16,140 | 13,639 | ||
University of California Revenue | 4.601% | 5/15/31 | 21,975 | 22,717 | ||
University of California Revenue | 4.765% | 5/15/44 | 5,980 | 6,103 | ||
University of California Revenue | 3.931% | 5/15/45 | 22,370 | 21,177 | ||
University of Michigan | 3.504% | 4/1/52 | 7,445 | 6,810 | ||
Utility Debt Securitization Authority NY Restructuring Bonds | 3.435% | 12/15/25 | 5,427 | 5,433 | ||
Total Taxable Municipal Bonds (Cost $1,850,053) | 1,780,976 | |||||
Shares | ||||||
Temporary Cash Investments (0.7%) | ||||||
Money Market Fund (0.0%) | ||||||
12 | Vanguard Market Liquidity Fund | 0.854% | 1,438 | 144 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (0.3%) | ||||||
Bank of America Securities, LLC (Dated 5/31/22, Repurchase Value $3,900,000, collateralized by Fannie Mae 2.000%, 2/1/51, with a value of $3,978,000) | 0.800% | 6/1/22 | 3,900 | 3,900 | ||
Citigroup Global Markets Inc. (Dated 5/31/22, Repurchase Value $3,800,000, collateralized by U.S. Treasury Bill 0.000%, 10/13/22–11/10/22, with a value of $3,877,000) | 0.800% | 6/1/22 | 3,800 | 3,800 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Credit Agricole Securities (USA) Inc. (Dated 5/31/22, Repurchase Value $34,101,000, collateralized by U.S. Treasury Note/Bond 3.000%–3.750%, 11/15/43–2/15/49, with a value of $34,782,000) | 0.780% | 6/1/22 | 34,100 | 34,100 | ||
Deutsche Bank Securities, Inc. (Dated 5/31/22, Repurchase Value $21,000,000, collateralized by Fannie Mae 2.500%, 7/1/50–9/1/50, with a value of $21,420,000) | 0.790% | 6/1/22 | 21,000 | 21,000 | ||
HSBC Bank USA (Dated 5/31/22, Repurchase Value $55,901,000, collateralized by U.S. Treasury Note/Bond 1.875%–2.750%, 9/30/22–4/15/25, with a value of $57,018,000) | 0.790% | 6/1/22 | 55,900 | 55,900 | ||
HSBC Bank USA (Dated 5/31/22, Repurchase Value $3,400,000, collateralized by Fannie Mae 3.500%, 6/1/52, with a value of $3,468,000) | 0.800% | 6/1/22 | 3,400 | 3,400 | ||
Nomura International plc (Dated 5/31/22, Repurchase Value $69,201,000, collateralized by Treasury Inflation Indexed Note/Bond 0.750%, 7/15/28, and U.S. Treasury Note/Bond 0.125%–3.000%, 10/31/22–11/15/49, with a value of $70,584,000) | 0.770% | 6/1/22 | 69,200 | 69,200 | ||
RBC Capital Markets LLC (Dated 5/31/22, Repurchase Value $2,700,000, collateralized by U.S. Treasury Note/Bond 0.500%, 10/31/27, with a value of $2,754,000) | 0.800% | 6/1/22 | 2,700 | 2,700 | ||
Societe Generale (Dated 5/31/22, Repurchase Value $107,102,000, collateralized by Fannie Mae 2.000%–3.500%, 6/1/50–6/1/52, Freddie Mac 2.053%–5.548%, 11/1/30–8/1/47, Ginnie Mae 1.875%–3.500%, 6/20/26–2/20/52, U.S. Treasury Bill 0.000%, 6/7/22–11/17/22, and U.S. Treasury Note/Bond 2.000%–3.250%, 2/15/27–2/15/50, with a value of $109,242,000) | 0.785% | 6/1/22 | 107,100 | 107,100 | ||
TD Securities (USA) LLC (Dated 5/31/22, Repurchase Value $2,100,000, collateralized by Ginnie Mae 2.500%, 7/20/51, with a value of $2,142,000) | 0.780% | 6/1/22 | 2,100 | 2,100 | ||
303,200 | ||||||
U.S. Government and Agency Obligations (0.4%) | ||||||
United States Treasury Bill | 0.480% | 6/14/22 | 175,000 | 174,965 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Bill | 0.551% | 6/30/22 | 200,000 | 199,890 | ||
United States Treasury Bill | 0.686% | 12/29/22 | 120,000 | 118,878 | ||
493,733 | ||||||
Total Temporary Cash Investments (Cost $797,744) | 797,077 | |||||
Total Investments (100.0%) (Cost $87,151,715) | 110,663,142 | |||||
Other Assets and Liabilities—Net (0.0%) | (8,605) | |||||
Net Assets (100%) | 110,654,537 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Securities with a value of $4,327,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
2 | Securities with a value of $24,298,000 have been segregated as initial margin for open centrally cleared swap contracts. |
3 | Securities with a value of $5,973,000 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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of May 31, 2022. |
7 | 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, 2022, the aggregate value was $6,940,020,000, representing 6.3% of net assets. |
8 | 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. |
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. |
1M—1-month. | |
3M—3-month. | |
ADR—American Depositary Receipt. | |
GO—General Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
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 2022 | 6,785 | 766,387 | (1,174) |
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2022 | (1,071) | (226,090) | 185 |
(989) |
Centrally Cleared Credit Default Swaps | ||||||
Reference Entity | Termination Date | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Unrealized Appreciation (depreciation) ($000) | |
Credit Protection Sold | ||||||
CDX-NA-IG-S38-V1 | 06/20/27 | USD | 831,705 | 1.000 | 9,402 | 1,940 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $87,151,573) | 110,662,998 |
Affiliated Issuers (Cost $142) | 144 |
Total Investments in Securities | 110,663,142 |
Investment in Vanguard | 3,960 |
Cash | 1,180 |
Foreign Currency, at Value (Cost $11,660) | 11,645 |
Receivables for Investment Securities Sold | 871,287 |
Receivables for Accrued Income | 385,576 |
Receivables for Capital Shares Issued | 23,022 |
Total Assets | 111,959,812 |
Liabilities | |
Payables for Investment Securities Purchased | 1,237,674 |
Payables for Capital Shares Redeemed | 43,131 |
Payables to Investment Advisor | 17,950 |
Payables to Vanguard | 5,229 |
Variation Margin Payable—Futures Contracts | 1,022 |
Variation Margin Payable—Centrally Cleared Swap Contracts | 269 |
Total Liabilities | 1,305,275 |
Net Assets | 110,654,537 |
Statement of Assets and Liabilities (continued) | |
At May 31, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 81,282,262 |
Total Distributable Earnings (Loss) | 29,372,275 |
Net Assets | 110,654,537 |
Investor Shares—Net Assets | |
Applicable to 317,790,255 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 13,639,918 |
Net Asset Value Per Share—Investor Shares | $42.92 |
Admiral Shares—Net Assets | |
Applicable to 1,308,872,509 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 97,014,619 |
Net Asset Value Per Share—Admiral Shares | $74.12 |
Six Months Ended May 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 651,590 |
Interest2 | 554,094 |
Securities Lending—Net | 11 |
Total Income | 1,205,695 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 45,408 |
Performance Adjustment | (9,227) |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 12,496 |
Management and Administrative—Admiral Shares | 49,684 |
Marketing and Distribution—Investor Shares | 539 |
Marketing and Distribution—Admiral Shares | 1,614 |
Custodian Fees | 170 |
Shareholders’ Reports—Investor Shares | 169 |
Shareholders’ Reports—Admiral Shares | 159 |
Trustees’ Fees and Expenses | 29 |
Other Expenses | 9 |
Total Expenses | 101,050 |
Expenses Paid Indirectly | (35) |
Net Expenses | 101,015 |
Net Investment Income | 1,104,680 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 5,577,807 |
Futures Contracts | (116,428) |
Swap Contracts | 4,155 |
Foreign Currencies | 2,887 |
Realized Net Gain (Loss) | 5,468,421 |
Statement of Operations (continued) | |
Six Months Ended May 31, 2022 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (15,998,052) |
Futures Contracts | (12,445) |
Swap Contracts | 1,940 |
Foreign Currencies | (4,522) |
Change in Unrealized Appreciation (Depreciation) | (16,013,079) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (9,439,978) |
1 | Dividends are net of foreign withholding taxes of $8,197,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $0, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,104,680 | 2,092,722 | |
Realized Net Gain (Loss) | 5,468,421 | 8,514,232 | |
Change in Unrealized Appreciation (Depreciation) | (16,013,079) | 7,990,979 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (9,439,978) | 18,597,933 | |
Distributions | |||
Investor Shares | (1,151,784) | (1,149,407) | |
Admiral Shares | (8,102,313) | (7,140,083) | |
Total Distributions | (9,254,097) | (8,289,490) | |
Capital Share Transactions | |||
Investor Shares | 506,720 | (1,554,501) | |
Admiral Shares | 4,986,373 | 3,457,185 | |
Net Increase (Decrease) from Capital Share Transactions | 5,493,093 | 1,902,684 | |
Total Increase (Decrease) | (13,200,982) | 12,211,127 | |
Net Assets | |||
Beginning of Period | 123,855,519 | 111,644,392 | |
End of Period | 110,654,537 | 123,855,519 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2022 | Year Ended November 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $50.15 | $46.10 | $43.72 | $41.86 | $43.45 | $39.23 |
Investment Operations | ||||||
Net Investment Income1 | .412 | .811 | .966 | 1.098 | 1.083 | 1.021 |
Net Realized and Unrealized Gain (Loss) on Investments | (3.918) | 6.638 | 3.345 | 4.269 | .100 | 4.965 |
Total from Investment Operations | (3.506) | 7.449 | 4.311 | 5.367 | 1.183 | 5.986 |
Distributions | ||||||
Dividends from Net Investment Income | (.416) | (.818) | (1.004) | (1.099) | (1.086) | (1.030) |
Distributions from Realized Capital Gains | (3.308) | (2.581) | (.927) | (2.408) | (1.687) | (.736) |
Total Distributions | (3.724) | (3.399) | (1.931) | (3.507) | (2.773) | (1.766) |
Net Asset Value, End of Period | $42.92 | $50.15 | $46.10 | $43.72 | $41.86 | $43.45 |
Total Return2 | -7.81% | 17.16% | 10.41% | 14.22% | 2.80% | 15.72% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $13,640 | $15,469 | $15,635 | $17,209 | $16,438 | $18,422 |
Ratio of Total Expenses to Average Net Assets3 | 0.24%4 | 0.24% | 0.24% | 0.25% | 0.25% | 0.25% |
Ratio of Net Investment Income to Average Net Assets | 1.78% | 1.70% | 2.28% | 2.70% | 2.58% | 2.50% |
Portfolio Turnover Rate5 | 20% | 35% | 51% | 28% | 34% | 30% |
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%), (0.02%), (0.00%), (0.01%), and (0.01%). |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset and broker commission abatement arrangements was 0.24%. |
5 | Includes 3%, 2%, 3%, 1%, 2%, and 4%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2022 | Year Ended November 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $86.61 | $79.62 | $75.51 | $72.29 | $75.04 | $67.75 |
Investment Operations | ||||||
Net Investment Income1 | .742 | 1.464 | 1.720 | 1.954 | 1.929 | 1.824 |
Net Realized and Unrealized Gain (Loss) on Investments | (6.766) | 11.461 | 5.784 | 7.379 | .172 | 8.572 |
Total from Investment Operations | (6.024) | 12.925 | 7.504 | 9.333 | 2.101 | 10.396 |
Distributions | ||||||
Dividends from Net Investment Income | (.752) | (1.477) | (1.794) | (1.955) | (1.936) | (1.836) |
Distributions from Realized Capital Gains | (5.714) | (4.458) | (1.600) | (4.158) | (2.915) | (1.270) |
Total Distributions | (6.466) | (5.935) | (3.394) | (6.113) | (4.851) | (3.106) |
Net Asset Value, End of Period | $74.12 | $86.61 | $79.62 | $75.51 | $72.29 | $75.04 |
Total Return2 | -7.77% | 17.25% | 10.50% | 14.33% | 2.88% | 15.81% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $97,015 | $108,386 | $96,009 | $93,469 | $86,207 | $87,136 |
Ratio of Total Expenses to Average Net Assets3 | 0.16%4 | 0.16% | 0.16% | 0.17% | 0.17% | 0.17% |
Ratio of Net Investment Income to Average Net Assets | 1.86% | 1.77% | 2.35% | 2.78% | 2.66% | 2.58% |
Portfolio Turnover Rate5 | 20% | 35% | 51% | 28% | 34% | 30% |
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%), (0.02%), (0.00%), (0.01%), and (0.01%). |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset and broker commission abatement arrangements was 0.16%. |
5 | Includes 3%, 2%, 3%, 1%, 2%, and 4%, respectively, attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 65,381,836 | 6,797,284 | — | 72,179,120 |
U.S. Government and Agency Obligations | — | 10,275,352 | — | 10,275,352 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 959,239 | — | 959,239 |
Corporate Bonds | — | 23,662,979 | — | 23,662,979 |
Sovereign Bonds | — | 1,008,399 | — | 1,008,399 |
Taxable Municipal Bonds | — | 1,780,976 | — | 1,780,976 |
Temporary Cash Investments | 144 | 796,933 | — | 797,077 |
Total | 65,381,980 | 45,281,162 | — | 110,663,142 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 185 | — | — | 185 |
Swap Contracts | 1,9401 | — | — | 1,940 |
Total | 2,125 | — | — | 2,125 |
Liabilities | ||||
Futures Contracts1 | 1,174 | — | — | 1,174 |
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) | Credit Contracts ($000) | Total ($000) |
Unrealized Appreciation—Futures Contracts1 | 185 | — | 185 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | — | 1,940 | 1,940 |
Total Assets | 185 | 1,940 | 2,125 |
Unrealized Depreciation—Futures Contracts1 | 1,174 | — | 1,174 |
Total Liabilities | 1,174 | — | 1,174 |
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) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (116,428) | — | (116,428) |
Swap Contracts | — | 4,155 | 4,155 |
Realized Net Gain (Loss) on Derivatives | (116,428) | 4,155 | (112,273) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (12,445) | — | (12,445) |
Swap Contracts | — | 1,940 | 1,940 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (12,445) | 1,940 | (10,505) |
Amount ($000) | |
Tax Cost | 87,175,270 |
Gross Unrealized Appreciation | 28,764,428 |
Gross Unrealized Depreciation | (5,275,605) |
Net Unrealized Appreciation (Depreciation) | 23,488,823 |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 811,808 | 17,535 | 1,621,764 | 34,004 | |
Issued in Lieu of Cash Distributions | 1,097,722 | 22,680 | 1,097,976 | 24,568 | |
Redeemed | (1,402,810) | (30,875) | (4,274,241) | (89,265) | |
Net Increase (Decrease)—Investor Shares | 506,720 | 9,340 | (1,554,501) | (30,693) | |
Admiral Shares | |||||
Issued | 3,730,062 | 46,741 | 8,286,366 | 100,452 | |
Issued in Lieu of Cash Distributions | 7,513,463 | 89,913 | 6,612,568 | 85,613 | |
Redeemed | (6,257,152) | (79,242) | (11,441,749) | (140,499) | |
Net Increase (Decrease)—Admiral Shares | 4,986,373 | 57,412 | 3,457,185 | 45,566 |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
Vanguard Marketing Corporation, Distributor.
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 | 20 |
U.S. Momentum Factor ETF | 32 |
U.S. Multifactor ETF | 47 |
U.S. Quality Factor ETF | 62 |
U.S. Value Factor ETF | 78 |
Trustees Approve Advisory Arrangements | 95 |
Liquidity Risk Management | 97 |
• | 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, 2022 | |||
Beginning Account Value 11/30/2021 | Ending Account Value 5/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
U.S. Liquidity Factor ETF | $1,000.00 | $878.50 | $0.61 |
U.S. Minimum Volatility ETF | $1,000.00 | $1,012.40 | $0.65 |
U.S. Momentum Factor ETF | $1,000.00 | $902.90 | $0.62 |
U.S. Multifactor ETF | $1,000.00 | $982.00 | $0.89 |
U.S. Quality Factor ETF | $1,000.00 | $886.60 | $0.61 |
U.S. Value Factor ETF | $1,000.00 | $1,057.40 | $0.67 |
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 | 5.0% |
Consumer Discretionary | 7.5 |
Consumer Staples | 2.9 |
Energy | 2.4 |
Financials | 25.0 |
Health Care | 18.2 |
Industrials | 23.9 |
Real Estate | 0.6 |
Technology | 11.0 |
Telecommunications | 1.9 |
Utilities | 1.6 |
Shares | Market Value• ($000) | ||
Common Stocks (99.7%) | |||
Basic Materials (5.0%) | |||
Ecolab Inc. | 1,976 | 324 | |
Dow Inc. | 4,112 | 280 | |
Air Products and Chemicals Inc. | 892 | 220 | |
Balchem Corp. | 1,100 | 137 | |
Southern Copper Corp. | 1,822 | 113 | |
UFP Industries Inc. | 1,332 | 103 | |
Reliance Steel & Aluminum Co. | 526 | 102 | |
* | RBC Bearings Inc. | 504 | 94 |
Valvoline Inc. | 2,782 | 93 | |
Timken Co. | 1,335 | 81 | |
American Vanguard Corp. | 3,193 | 79 | |
Avient Corp. | 1,562 | 77 | |
Chemours Co. | 1,621 | 70 | |
FutureFuel Corp. | 9,610 | 69 | |
Orion Engineered Carbons SA | 2,443 | 47 | |
Royal Gold Inc. | 373 | 42 | |
* | Clearwater Paper Corp. | 1,092 | 37 |
Minerals Technologies Inc. | 543 | 36 | |
Stepan Co. | 314 | 35 | |
Ryerson Holding Corp. | 1,057 | 32 | |
Ashland Global Holdings Inc. | 287 | 31 | |
* | Novagold Resources Inc. | 4,660 | 26 |
Koppers Holdings Inc. | 883 | 24 | |
* | Rayonier Advanced Materials Inc. | 6,282 | 24 |
Materion Corp. | 129 | 11 | |
Element Solutions Inc. | 478 | 10 | |
Hexcel Corp. | 175 | 10 | |
Schweitzer-Mauduit International Inc. | 386 | 10 | |
* | Univar Solutions Inc. | 337 | 10 |
Ecovyst Inc. | 1,019 | 10 | |
2,237 | |||
Consumer Discretionary (7.5%) | |||
* | Liberty Media Corp.- Liberty SiriusXM Class C | 3,155 | 130 |
AMERCO | 233 | 114 | |
* | Liberty Media Corp.-Liberty Formula One Class C | 1,788 | 111 |
* | Fox Factory Holding Corp. | 1,273 | 104 |
Lennar Corp. Class B | 1,529 | 103 | |
* | Noodles & Co. Class A | 14,799 | 98 |
Churchill Downs Inc. | 447 | 90 | |
Fox Corp. Class B | 2,413 | 79 | |
Movado Group Inc. | 2,295 | 78 | |
Carriage Services Inc. Class A | 1,897 | 77 |
Shares | Market Value• ($000) | ||
Choice Hotels International Inc. | 583 | 74 | |
* | Accel Entertainment Inc. Class A | 6,836 | 74 |
Franchise Group Inc. | 1,755 | 70 | |
* | Duluth Holdings Inc. Class B | 5,525 | 69 |
* | Vera Bradley Inc. | 10,021 | 68 |
Genuine Parts Co. | 465 | 64 | |
Service Corp. International | 914 | 64 | |
* | El Pollo Loco Holdings Inc. | 6,008 | 62 |
* | Universal Electronics Inc. | 2,301 | 62 |
* | Cooper-Standard Holdings Inc. | 10,752 | 60 |
* | Liberty Media Corp.- Liberty Braves Class C | 2,406 | 59 |
* | Stoneridge Inc. | 2,864 | 59 |
Rollins Inc. | 1,641 | 58 | |
Acushnet Holdings Corp. | 1,374 | 56 | |
* | Adient plc | 1,547 | 55 |
News Corp. Class A | 3,045 | 53 | |
* | EW Scripps Co. Class A | 3,260 | 52 |
Travel + Leisure Co. | 1,024 | 52 | |
Johnson Outdoors Inc. Class A | 765 | 50 | |
Leggett & Platt Inc. | 1,268 | 50 | |
* | Monarch Casino & Resort Inc. | 745 | 50 |
* | Full House Resorts Inc. | 6,789 | 48 |
Arko Corp. | 5,171 | 47 | |
Wyndham Hotels & Resorts Inc. | 522 | 42 | |
Scholastic Corp. | 1,086 | 41 | |
Gentex Corp. | 1,221 | 38 | |
* | Boston Omaha Corp. Class A | 1,677 | 37 |
* | Lands' End Inc. | 3,223 | 37 |
OneWater Marine Inc. Class A | 1,071 | 37 | |
* | Chuy's Holdings Inc. | 1,611 | 36 |
* | Stagwell Inc. | 4,558 | 36 |
Inter Parfums Inc. | 458 | 34 | |
* | Arlo Technologies Inc. | 4,582 | 32 |
* | Neogames SA | 2,452 | 32 |
Marriott Vacations Worldwide Corp. | 211 | 31 | |
* | Barnes & Noble Education Inc. | 11,963 | 30 |
* | Mesa Air Group Inc. | 9,948 | 30 |
* | PlayAGS Inc. | 5,118 | 30 |
RCI Hospitality Holdings Inc. | 524 | 30 | |
* | QuinStreet Inc. | 2,622 | 29 |
* | American Public Education Inc. | 1,708 | 24 |
* | O'Reilly Automotive Inc. | 37 | 24 |
National CineMedia Inc. | 19,012 | 23 | |
Tilly's Inc. Class A | 2,593 | 21 | |
* | TravelCenters of America Inc. | 539 | 21 |
Shares | Market Value• ($000) | ||
* | Viad Corp. | 683 | 20 |
* | Liquidity Services Inc. | 1,397 | 19 |
* | Scientific Games Corp. Class A | 359 | 19 |
* | Helen of Troy Ltd. | 93 | 17 |
* | Audacy Inc. Class A | 10,058 | 17 |
Rocky Brands Inc. | 391 | 15 | |
* | Clear Channel Outdoor Holdings Inc. | 8,953 | 14 |
HNI Corp. | 356 | 14 | |
* | Liberty TripAdvisor Holdings Inc. Class A | 11,315 | 12 |
* | Hilton Grand Vacations Inc. | 234 | 11 |
Matthews International Corp. Class A | 334 | 11 | |
* | Driven Brands Holdings Inc. | 369 | 11 |
Aramark | 281 | 10 | |
Clarus Corp. | 456 | 10 | |
* | Dorman Products Inc. | 104 | 10 |
* | Master Craft Boat Holdings Inc. | 413 | 10 |
* | Mattel Inc. | 384 | 10 |
Murphy USA Inc. | 42 | 10 | |
New York Times Co. Class A | 282 | 10 | |
Newell Brands Inc. | 452 | 10 | |
A-Mark Precious Metals Inc. | 136 | 10 | |
* | Bright Horizons Family Solutions Inc. | 97 | 9 |
* | Lululemon Athletica Inc. | 30 | 9 |
Aaron's Co. Inc. | 482 | 9 | |
3,332 | |||
Consumer Staples (2.9%) | |||
Flowers Foods Inc. | 7,232 | 200 | |
Philip Morris International Inc. | 1,671 | 178 | |
Brown-Forman Corp. Class A | 2,698 | 170 | |
Colgate-Palmolive Co. | 1,839 | 145 | |
Kimberly-Clark Corp. | 643 | 85 | |
Seaboard Corp. | 20 | 83 | |
Casey's General Stores Inc. | 284 | 59 | |
Altria Group Inc. | 761 | 41 | |
Andersons Inc. | 1,031 | 39 | |
Brown-Forman Corp. Class B | 596 | 39 | |
* | Whole Earth Brands Inc. | 5,731 | 39 |
* | Mission Produce Inc. | 2,932 | 39 |
Ingredion Inc. | 338 | 32 | |
* | Post Holdings Inc. | 355 | 29 |
ACCO Brands Corp. | 3,700 | 28 | |
Albertsons Cos. Inc. Class A | 853 | 26 | |
* | Vital Farms Inc. | 1,730 | 17 |
Fresh Del Monte Produce Inc. | 512 | 13 | |
National Beverage Corp. | 235 | 12 | |
John B Sanfilippo & Son Inc. | 139 | 11 | |
* | Duckhorn Portfolio Inc. | 540 | 11 |
* | USANA Health Sciences Inc. | 142 | 10 |
1,306 | |||
Energy (2.4%) | |||
Solaris Oilfield Infrastructure Inc. Class A | 8,445 | 114 | |
* | Select Energy Services Inc. Class A | 10,939 | 93 |
Berry Corp. | 7,669 | 85 | |
* | RPC Inc. | 7,857 | 73 |
EOG Resources Inc. | 501 | 69 | |
ChampionX Corp. | 2,618 | 61 | |
Texas Pacific Land Corp. | 38 | 59 | |
* | Newpark Resources Inc. | 13,490 | 58 |
Archrock Inc. | 5,642 | 57 | |
* | Oil States International Inc. | 7,322 | 57 |
Shares | Market Value• ($000) | ||
* | Expro Group Holdings NV | 3,967 | 54 |
* | Bristow Group Inc. | 1,510 | 48 |
* | MRC Global Inc. | 4,001 | 45 |
* | REX American Resources Corp. | 441 | 38 |
* | Par Pacific Holdings Inc. | 1,850 | 30 |
SunCoke Energy Inc. | 3,558 | 29 | |
* | American Superconductor Corp. | 5,301 | 28 |
* | Centrus Energy Corp. Class A | 921 | 24 |
* | Dril-Quip Inc. | 739 | 23 |
Kinetik Holdings Inc. | 164 | 14 | |
Brigham Minerals Inc. Class A | 383 | 12 | |
PDC Energy Inc. | 139 | 11 | |
1,082 | |||
Financials (24.9%) | |||
Marsh & McLennan Cos. Inc. | 3,652 | 584 | |
Moody's Corp. | 1,446 | 436 | |
Chubb Ltd. | 1,707 | 361 | |
Progressive Corp. | 2,861 | 342 | |
T Rowe Price Group Inc. | 2,243 | 285 | |
Truist Financial Corp. | 5,662 | 282 | |
Intercontinental Exchange Inc. | 2,188 | 224 | |
Bank of New York Mellon Corp. | 4,568 | 213 | |
US Bancorp | 3,368 | 179 | |
MSCI Inc. Class A | 373 | 165 | |
PNC Financial Services Group Inc. | 926 | 162 | |
Erie Indemnity Co. Class A | 949 | 159 | |
RLI Corp. | 1,280 | 155 | |
CME Group Inc. | 744 | 148 | |
SouthState Corp. | 1,824 | 147 | |
MetLife Inc. | 2,153 | 145 | |
American International Group Inc. | 2,406 | 141 | |
Brown & Brown Inc. | 2,345 | 139 | |
First Citizens BancShares Inc. Class A | 196 | 137 | |
Primerica Inc. | 1,077 | 136 | |
BlackRock Inc. | 196 | 131 | |
* | Brighthouse Financial Inc. | 2,547 | 125 |
Prosperity Bancshares Inc. | 1,707 | 124 | |
East West Bancorp Inc. | 1,647 | 121 | |
Stifel Financial Corp. | 1,877 | 120 | |
United Bankshares Inc. | 3,052 | 115 | |
Selective Insurance Group Inc. | 1,440 | 114 | |
Hanmi Financial Corp. | 4,715 | 110 | |
Glacier Bancorp Inc. | 2,199 | 106 | |
Prudential Financial Inc. | 990 | 105 | |
Morningstar Inc. | 400 | 103 | |
Popular Inc. | 1,265 | 103 | |
Hanover Insurance Group Inc. | 672 | 99 | |
ConnectOne Bancorp Inc. | 3,555 | 98 | |
Pinnacle Financial Partners Inc. | 1,184 | 96 | |
Commerce Bancshares Inc. | 1,357 | 94 | |
First Financial Bankshares Inc. | 2,261 | 93 | |
Lazard Ltd. Class A | 2,598 | 92 | |
Berkshire Hills Bancorp Inc. | 3,500 | 91 | |
Valley National Bancorp | 7,068 | 90 | |
Premier Financial Corp. | 3,272 | 89 | |
Universal Insurance Holdings Inc. | 6,664 | 86 | |
Old Republic International Corp. | 3,434 | 82 | |
Heritage Financial Corp. | 3,071 | 80 | |
* | Markel Corp. | 58 | 79 |
* | Nicolet Bankshares Inc. | 962 | 77 |
Shares | Market Value• ($000) | ||
Globe Life Inc. | 758 | 74 | |
SLM Corp. | 3,629 | 71 | |
* | StoneX Group Inc. | 950 | 71 |
QCR Holdings Inc. | 1,257 | 70 | |
TrustCo Bank Corp. NY | 2,183 | 70 | |
Washington Trust Bancorp Inc. | 1,368 | 69 | |
* | Columbia Financial Inc. | 3,203 | 67 |
Essent Group Ltd. | 1,529 | 65 | |
Blackstone Inc. | 546 | 64 | |
Provident Financial Services Inc. | 2,757 | 63 | |
Univest Financial Corp. | 2,347 | 62 | |
Stock Yards Bancorp Inc. | 1,027 | 61 | |
Central Pacific Financial Corp. | 2,425 | 59 | |
First American Financial Corp. | 969 | 59 | |
First Commonwealth Financial Corp. | 4,217 | 59 | |
Synovus Financial Corp. | 1,373 | 59 | |
Northfield Bancorp Inc. | 4,356 | 58 | |
Reinsurance Group of America Inc. | 455 | 57 | |
SEI Investments Co. | 972 | 57 | |
Federal Agricultural Mortgage Corp. Class C | 534 | 56 | |
Janus Henderson Group plc | 1,955 | 55 | |
* | Assetmark Financial Holdings Inc. | 2,567 | 54 |
TriCo Bancshares | 1,199 | 54 | |
BOK Financial Corp. | 616 | 53 | |
First Financial Bancorp | 2,517 | 53 | |
Park National Corp. | 421 | 52 | |
Loews Corp. | 785 | 51 | |
First Foundation Inc. | 2,194 | 50 | |
TFS Financial Corp. | 3,337 | 50 | |
Cullen/Frost Bankers Inc. | 392 | 49 | |
FB Financial Corp. | 1,159 | 49 | |
* | Enstar Group Ltd. | 213 | 49 |
Banner Corp. | 825 | 48 | |
HomeStreet Inc. | 1,202 | 48 | |
* | Oportun Financial Corp. | 4,266 | 48 |
American Financial Group Inc. | 330 | 47 | |
1st Source Corp. | 1,009 | 47 | |
MGIC Investment Corp. | 3,379 | 47 | |
Towne Bank | 1,606 | 47 | |
Western Alliance Bancorp | 576 | 47 | |
First Merchants Corp. | 1,108 | 46 | |
Jefferies Financial Group Inc. | 1,387 | 46 | |
Tompkins Financial Corp. | 605 | 46 | |
Peoples Bancorp Inc. | 1,563 | 45 | |
First Bancorp (XNGS) | 1,165 | 44 | |
Atlantic Union Bankshares Corp. | 1,210 | 43 | |
* | EZCorp. Inc. Class A | 5,651 | 43 |
Nelnet Inc. Class A | 505 | 43 | |
Dime Community Bancshares Inc. | 1,358 | 43 | |
ProAssurance Corp. | 1,810 | 40 | |
Cohen & Steers Inc. | 510 | 39 | |
Affiliated Managers Group Inc. | 281 | 38 | |
BancFirst Corp. | 412 | 37 | |
Preferred Bank | 537 | 37 | |
Sandy Spring Bancorp Inc. | 874 | 37 | |
National Bank Holdings Corp. Class A | 883 | 36 | |
OceanFirst Financial Corp. | 1,798 | 36 | |
S&T Bancorp Inc. | 1,231 | 36 | |
Southside Bancshares Inc. | 863 | 35 |
Shares | Market Value• ($000) | ||
Bank of NT Butterfield & Son Ltd. | 1,109 | 35 | |
City Holding Co. | 411 | 34 | |
First Bancorp Inc. (XNMS) | 1,112 | 34 | |
* | Arch Capital Group Ltd. | 718 | 34 |
Interactive Brokers Group Inc. Class A | 538 | 33 | |
Safety Insurance Group Inc. | 359 | 33 | |
Carlyle Group Inc. | 837 | 32 | |
Kinsale Capital Group Inc. | 139 | 31 | |
OFG Bancorp | 990 | 28 | |
Radian Group Inc. | 1,294 | 28 | |
First Busey Corp. | 1,136 | 27 | |
International Bancshares Corp. | 599 | 25 | |
ServisFirst Bancshares Inc. | 294 | 25 | |
Banc of California Inc. | 1,226 | 24 | |
Byline Bancorp Inc. | 966 | 24 | |
Charles Schwab Corp. | 281 | 20 | |
Kearny Financial Corp. | 1,568 | 19 | |
Curo Group Holdings Corp. | 2,029 | 18 | |
Enterprise Financial Services Corp. | 392 | 18 | |
Bank OZK | 409 | 17 | |
Heartland Financial USA Inc. | 329 | 15 | |
* | Palomar Holdings Inc. | 190 | 12 |
Amerant Bancorp Inc. | 361 | 11 | |
AMERISAFE Inc. | 214 | 11 | |
Flushing Financial Corp. | 453 | 11 | |
Hancock Whitney Corp. | 213 | 11 | |
Northern Trust Corp. | 95 | 11 | |
Oppenheimer Holdings Inc. Class A | 307 | 11 | |
Sculptor Capital Management Inc. Class A | 877 | 11 | |
Ares Management Corp. Class A | 146 | 10 | |
Cboe Global Markets Inc. | 91 | 10 | |
CNA Financial Corp. | 223 | 10 | |
HarborOne Bancorp Inc. | 725 | 10 | |
Horace Mann Educators Corp. | 255 | 10 | |
Horizon Bancorp Inc. | 565 | 10 | |
Houlihan Lokey Inc. Class A | 118 | 10 | |
Independent Bank Corp. | 507 | 10 | |
Lakeland Bancorp Inc. | 631 | 10 | |
Midland States Bancorp Inc. | 380 | 10 | |
NBT Bancorp Inc. | 277 | 10 | |
Principal Financial Group Inc. | 142 | 10 | |
Raymond James Financial Inc. | 102 | 10 | |
Regional Management Corp. | 213 | 10 | |
Renasant Corp. | 329 | 10 | |
Seacoast Banking Corp. of Florida | 293 | 10 | |
Tradeweb Markets Inc. Class A | 154 | 10 | |
UMB Financial Corp. | 111 | 10 | |
Webster Financial Corp. | 203 | 10 | |
WesBanco Inc. | 304 | 10 | |
Westamerica BanCorp. | 172 | 10 | |
Wintrust Financial Corp. | 115 | 10 | |
Argo Group International Holdings Ltd. | 242 | 10 | |
Everest Re Group Ltd. | 36 | 10 | |
Cadence Bank | 389 | 10 | |
* | Metropolitan Bank Holding Corp. | 110 | 9 |
11,104 |
Shares | Market Value• ($000) | ||
Health Care (18.2%) | |||
* | Edwards Lifesciences Corp. | 4,994 | 504 |
Stryker Corp. | 1,523 | 357 | |
HCA Healthcare Inc. | 1,650 | 347 | |
* | IQVIA Holdings Inc. | 1,539 | 331 |
Zoetis Inc. | 1,920 | 328 | |
Agilent Technologies Inc. | 2,523 | 322 | |
* | IDEXX Laboratories Inc. | 668 | 262 |
Baxter International Inc. | 2,045 | 156 | |
Ensign Group Inc. | 1,843 | 150 | |
Premier Inc. Class A | 3,434 | 128 | |
* | Acadia Healthcare Co. Inc. | 1,697 | 121 |
* | Integra LifeSciences Holdings Corp. | 1,672 | 105 |
* | STAAR Surgical Co. | 1,449 | 96 |
Chemed Corp. | 191 | 93 | |
Bruker Corp. | 1,453 | 91 | |
* | Halozyme Therapeutics Inc. | 1,918 | 88 |
* | Selecta Biosciences Inc. | 97,732 | 86 |
* | Mirum Pharmaceuticals Inc. | 3,648 | 85 |
* | Hanger Inc. | 5,106 | 81 |
* | Syneos Health Inc. | 1,096 | 81 |
* | Pennant Group Inc. | 4,223 | 81 |
Becton Dickinson and Co. | 313 | 80 | |
* | Surmodics Inc. | 1,976 | 78 |
* | Axogen Inc. | 7,936 | 77 |
* | Design Therapeutics Inc. | 6,184 | 77 |
* | Agiliti Inc. | 3,923 | 76 |
* | Boston Scientific Corp. | 1,828 | 75 |
* | CorVel Corp. | 506 | 75 |
* | Globus Medical Inc. Class A | 1,120 | 75 |
* | VistaGen Therapeutics Inc. | 65,529 | 75 |
* | AngioDynamics Inc. | 3,698 | 73 |
* | HealthEquity Inc. | 1,163 | 73 |
* | ORIC Pharmaceuticals Inc. | 20,856 | 70 |
* | Bioventus Inc. Class A | 7,135 | 70 |
* | ICU Medical Inc. | 380 | 69 |
* | Crinetics Pharmaceuticals Inc. | 4,056 | 68 |
* | LivaNova plc | 981 | 67 |
* | Personalis Inc. | 16,708 | 66 |
* | QIAGEN NV | 1,417 | 65 |
* | Annexon Inc. | 20,775 | 65 |
* | Arrowhead Pharmaceuticals Inc. | 1,933 | 64 |
* | Denali Therapeutics Inc. | 2,632 | 64 |
* | Ionis Pharmaceuticals Inc. | 1,749 | 64 |
* | Computer Programs and Systems Inc. | 1,965 | 63 |
* | Medpace Holdings Inc. | 438 | 63 |
* | Neogen Corp. | 2,317 | 61 |
* | Penumbra Inc. | 405 | 60 |
* | Aldeyra Therapeutics Inc. | 19,137 | 59 |
* | Aveanna Healthcare Holdings Inc. | 19,212 | 59 |
Atrion Corp. | 91 | 57 | |
* | Chinook Therapeutics Inc. | 3,693 | 56 |
* | Edgewise Therapeutics Inc. | 8,939 | 56 |
* | Alignment Healthcare Inc. | 5,249 | 56 |
* | Exelixis Inc. | 3,015 | 55 |
* | Illumina Inc. | 221 | 53 |
* | Phathom Pharmaceuticals Inc. | 7,404 | 53 |
* | Vaxcyte Inc. | 2,207 | 53 |
* | Silverback Therapeutics Inc. | 15,196 | 53 |
LeMaitre Vascular Inc. | 1,134 | 52 | |
* | Neuronetics Inc. | 19,228 | 52 |
* | Verastem Inc. | 40,719 | 52 |
* | NGM Biopharmaceuticals Inc. | 3,743 | 52 |
Shares | Market Value• ($000) | ||
* | Centene Corp. | 624 | 51 |
* | Ultragenyx Pharmaceutical Inc. | 1,098 | 51 |
Anthem Inc. | 98 | 50 | |
* | Treace Medical Concepts Inc. | 2,977 | 50 |
* | Akero Therapeutics Inc. | 5,605 | 48 |
* | RadNet Inc. | 2,177 | 45 |
* | HealthStream Inc. | 2,104 | 43 |
* | Novocure Ltd. | 522 | 42 |
* | Shockwave Medical Inc. | 251 | 41 |
* | Kinnate Biopharma Inc. | 5,173 | 41 |
* | Orthofix Medical Inc. | 1,444 | 40 |
* | DexCom Inc. | 130 | 39 |
* | TCR2 Therapeutics Inc. | 16,790 | 39 |
* | Omnicell Inc. | 333 | 37 |
* | Alnylam Pharmaceuticals Inc. | 287 | 36 |
* | Blueprint Medicines Corp. | 630 | 35 |
* | Artivion Inc. | 1,795 | 35 |
* | ModivCare Inc. | 369 | 35 |
* | MeiraGTx Holdings plc | 4,019 | 34 |
* | Forma Therapeutics Holdings Inc. | 6,058 | 34 |
* | Dyne Therapeutics Inc. | 6,644 | 32 |
* | Sutro Biopharma Inc. | 7,107 | 31 |
* | ViewRay Inc. | 10,502 | 30 |
* | Inspire Medical Systems Inc. | 166 | 29 |
* | CytomX Therapeutics Inc. | 16,586 | 27 |
* | Marinus Pharmaceuticals Inc. | 5,390 | 26 |
* | Amphastar Pharmaceuticals Inc. | 686 | 25 |
* | Alphatec Holdings Inc. | 2,905 | 22 |
* | Chimerix Inc. | 11,879 | 22 |
* | Keros Therapeutics Inc. | 608 | 21 |
* | Heska Corp. | 201 | 20 |
* | SI-BONE Inc. | 1,315 | 20 |
* | Precision BioSciences Inc. | 12,055 | 20 |
* | Rocket Pharmaceuticals Inc. | 1,526 | 18 |
* | Morphic Holding Inc. | 770 | 18 |
* | Rigel Pharmaceuticals Inc. | 9,455 | 17 |
* | Olema Pharmaceuticals Inc. | 5,436 | 16 |
* | Puma Biotechnology Inc. | 7,804 | 15 |
* | Tactile Systems Technology Inc. | 1,397 | 14 |
* | Kronos Bio Inc. | 3,273 | 12 |
* | Anika Therapeutics Inc. | 490 | 11 |
Cigna Corp. | 40 | 11 | |
Danaher Corp. | 40 | 11 | |
* | Eagle Pharmaceuticals Inc. | 233 | 11 |
Eli Lilly & Co. | 34 | 11 | |
* | Neurocrine Biosciences Inc. | 120 | 11 |
US Physical Therapy Inc. | 98 | 11 | |
* | Alkermes plc | 364 | 11 |
Organon & Co. | 288 | 11 | |
Abbott Laboratories | 89 | 10 | |
* | ABIOMED Inc. | 37 | 10 |
* | Aclaris Therapeutics Inc. | 800 | 10 |
* | Amneal Pharmaceuticals Inc. | 2,833 | 10 |
* | Cardiovascular Systems Inc. | 643 | 10 |
* | Collegium Pharmaceutical Inc. | 646 | 10 |
CONMED Corp. | 82 | 10 | |
* | Intuitive Surgical Inc. | 43 | 10 |
iRadimed Corp. | 308 | 10 | |
* | NextGen Healthcare Inc. | 530 | 10 |
* | Henry Schein Inc. | 121 | 10 |
Medtronic plc | 96 | 10 | |
Royalty Pharma plc Class A | 246 | 10 | |
* | Aligos Therapeutics Inc. | 8,054 | 10 |
* | Enovis Corp. | 154 | 10 |
* | AnaptysBio Inc. | 470 | 9 |
Shares | Market Value• ($000) | ||
* | DaVita Inc. | 94 | 9 |
*,1 | PDL BioPharma Inc. | 6,046 | 9 |
* | Replimune Group Inc. | 643 | 9 |
* | Xencor Inc. | 411 | 9 |
* | Immunovant Inc. | 2,236 | 9 |
* | Kiniksa Pharmaceuticals Ltd. Class A | 1,095 | 8 |
* | Kezar Life Sciences Inc. | 1,583 | 8 |
* | KalVista Pharmaceuticals Inc. | 837 | 7 |
* | Epizyme Inc. | 15,193 | 6 |
8,117 | |||
Industrials (23.8%) | |||
Illinois Tool Works Inc. | 2,709 | 564 | |
General Dynamics Corp. | 2,015 | 453 | |
Eaton Corp. plc | 2,587 | 359 | |
Emerson Electric Co. | 3,200 | 284 | |
Capital One Financial Corp. | 2,124 | 272 | |
HEICO Corp. Class A | 1,966 | 230 | |
Trane Technologies plc | 1,590 | 220 | |
Accenture plc Class A | 613 | 183 | |
Automatic Data Processing Inc. | 806 | 180 | |
Kronos Worldwide Inc. | 9,300 | 177 | |
Carrier Global Corp. | 4,332 | 170 | |
Exponent Inc. | 1,618 | 146 | |
Curtiss-Wright Corp. | 978 | 139 | |
nVent Electric plc | 3,900 | 138 | |
Sonoco Products Co. | 2,235 | 131 | |
Donaldson Co. Inc. | 2,302 | 120 | |
* | ASGN Inc. | 1,209 | 115 |
Johnson Controls International plc | 2,065 | 113 | |
MSA Safety Inc. | 882 | 112 | |
Lincoln Electric Holdings Inc. | 817 | 111 | |
Norfolk Southern Corp. | 464 | 111 | |
Helios Technologies Inc. | 1,569 | 107 | |
Tetra Tech Inc. | 787 | 106 | |
Regal Rexnord Corp. | 839 | 105 | |
Simpson Manufacturing Co. Inc. | 964 | 104 | |
Littelfuse Inc. | 380 | 103 | |
Nordson Corp. | 466 | 102 | |
Northrop Grumman Corp. | 213 | 100 | |
Resources Connection Inc. | 5,418 | 100 | |
L3Harris Technologies Inc. | 412 | 99 | |
BWX Technologies Inc. | 1,900 | 97 | |
Apogee Enterprises Inc. | 2,231 | 93 | |
* | Paylocity Holding Corp. | 524 | 92 |
AECOM | 1,224 | 86 | |
* | Donnelley Financial Solutions Inc. | 2,698 | 84 |
John Bean Technologies Corp. | 693 | 84 | |
Air Lease Corp. Class A | 2,214 | 83 | |
* | ExlService Holdings Inc. | 586 | 83 |
Crane Holdings Co. | 859 | 82 | |
Douglas Dynamics Inc. | 2,560 | 80 | |
* | Trimble Inc. | 1,169 | 80 |
* | API Group Corp. | 4,438 | 77 |
Covenant Logistics Group Inc. Class A | 3,304 | 75 | |
International Seaways Inc. | 3,091 | 75 | |
* | DXP Enterprises Inc. | 2,417 | 74 |
Maximus Inc. | 1,138 | 74 | |
EMCOR Group Inc. | 681 | 72 | |
Graco Inc. | 1,127 | 71 | |
Valmont Industries Inc. | 278 | 71 | |
* | Modine Manufacturing Co. | 5,905 | 70 |
TTEC Holdings Inc. | 1,036 | 70 |
Shares | Market Value• ($000) | ||
Myers Industries Inc. | 2,823 | 67 | |
* | International Money Express Inc. | 3,239 | 67 |
* | CBIZ Inc. | 1,589 | 65 |
Hyster-Yale Materials Handling Inc. | 1,723 | 64 | |
Kelly Services Inc. Class A | 3,219 | 64 | |
CSW Industrials Inc. | 592 | 63 | |
Griffon Corp. | 1,977 | 63 | |
* | Napco Security Technologies Inc. | 3,219 | 63 |
* | Gates Industrial Corp. plc | 4,813 | 61 |
MKS Instruments Inc. | 479 | 59 | |
RPM International Inc. | 665 | 59 | |
AptarGroup Inc. | 537 | 58 | |
* | Daseke Inc. | 7,701 | 58 |
* | Titan International Inc. | 3,204 | 58 |
Pactiv Evergreen Inc. | 5,611 | 58 | |
ITT Inc. | 769 | 57 | |
* | Advantage Solutions Inc. | 13,233 | 57 |
* | Euronet Worldwide Inc. | 463 | 56 |
* | Sterling Construction Co. Inc. | 2,270 | 56 |
Genpact Ltd. | 1,241 | 55 | |
* | BrightView Holdings Inc. | 3,971 | 52 |
Gorman-Rupp Co. | 1,737 | 52 | |
Woodward Inc. | 505 | 51 | |
Global Payments Inc. | 380 | 50 | |
Barrett Business Services Inc. | 639 | 48 | |
Wabash National Corp. | 3,091 | 47 | |
Marten Transport Ltd. | 2,597 | 46 | |
* | Astronics Corp. | 4,284 | 45 |
* | Construction Partners Inc. Class A | 1,946 | 45 |
* | CIRCOR International Inc. | 2,253 | 44 |
* | Great Lakes Dredge & Dock Corp. | 2,978 | 44 |
Kaman Corp. | 1,215 | 44 | |
Kforce Inc. | 670 | 44 | |
Zurn Water Solutions Corp. | 1,524 | 44 | |
Cognex Corp. | 894 | 43 | |
* | BTRS Holdings Inc. Class A | 8,715 | 43 |
Sensata Technologies Holding plc | 882 | 42 | |
Columbus McKinnon Corp. | 1,206 | 41 | |
Kadant Inc. | 215 | 40 | |
Quanex Building Products Corp. | 1,975 | 40 | |
Textron Inc. | 593 | 39 | |
TriMas Corp. | 1,373 | 39 | |
* | Tutor Perini Corp. | 3,799 | 39 |
EnPro Industries Inc. | 399 | 38 | |
Landstar System Inc. | 253 | 38 | |
McGrath RentCorp. | 457 | 38 | |
* | Axon Enterprise Inc. | 361 | 37 |
AAON Inc. | 693 | 37 | |
ManpowerGroup Inc. | 397 | 36 | |
Watsco Inc. | 140 | 36 | |
Carlisle Cos. Inc. | 139 | 35 | |
Eagle Materials Inc. | 267 | 35 | |
Franklin Electric Co. Inc. | 477 | 35 | |
REV Group Inc. | 2,887 | 35 | |
* | Energy Recovery Inc. | 1,670 | 34 |
* | Forrester Research Inc. | 655 | 34 |
* | Franklin Covey Co. | 888 | 34 |
Tennant Co. | 549 | 34 | |
Hubbell Inc. Class B | 175 | 33 | |
* | AMN Healthcare Services Inc. | 335 | 32 |
Shares | Market Value• ($000) | ||
* | Vectrus Inc. | 873 | 31 |
Armstrong World Industries Inc. | 359 | 30 | |
Xylem Inc. | 341 | 29 | |
* | Gibraltar Industries Inc. | 674 | 28 |
* | Manitowoc Co. Inc. | 2,167 | 28 |
Toro Co. | 334 | 28 | |
* | FARO Technologies Inc. | 830 | 27 |
Advanced Drainage Systems Inc. | 234 | 26 | |
* | Huron Consulting Group Inc. | 431 | 26 |
* | SP Plus Corp. | 788 | 25 |
Pentair plc | 503 | 25 | |
Astec Industries Inc. | 507 | 24 | |
* | Paya Holdings Inc. | 4,056 | 24 |
Sealed Air Corp. | 373 | 23 | |
* | TopBuild Corp. | 116 | 23 |
* | I3 Verticals Inc. Class A | 868 | 20 |
* | Transcat Inc. | 280 | 18 |
Acuity Brands Inc. | 96 | 17 | |
* | Ranpak Holdings Corp. Class A | 1,299 | 16 |
Heidrick & Struggles International Inc. | 409 | 14 | |
Standex International Corp. | 143 | 13 | |
* | Diversey Holdings Ltd. | 1,277 | 13 |
Sherwin-Williams Co. | 45 | 12 | |
Argan Inc. | 276 | 11 | |
Honeywell International Inc. | 58 | 11 | |
Moog Inc. Class A | 131 | 11 | |
* | PGT Innovations Inc. | 571 | 11 |
* | SPX Corp. | 221 | 11 |
* | Titan Machinery Inc. | 422 | 11 |
* | WEX Inc. | 62 | 11 |
Amcor plc | 803 | 11 | |
Alamo Group Inc. | 83 | 10 | |
American Express Co. | 60 | 10 | |
* | Atkore Inc. | 90 | 10 |
* | Berry Global Group Inc. | 176 | 10 |
Booz Allen Hamilton Holding Corp. Class A | 118 | 10 | |
Brunswick Corp. | 128 | 10 | |
* | Evo Payments Inc. Class A | 442 | 10 |
* | FTI Consulting Inc. | 62 | 10 |
Federal Signal Corp. | 295 | 10 | |
Fidelity National Information Services Inc. | 100 | 10 | |
* | Fiserv Inc. | 101 | 10 |
Heartland Express Inc. | 727 | 10 | |
Huntington Ingalls Industries Inc. | 46 | 10 | |
IDEX Corp. | 53 | 10 | |
Jacobs Engineering Group Inc. | 73 | 10 | |
Oshkosh Corp. | 107 | 10 | |
United Parcel Service Inc. Class B | 56 | 10 | |
Westinghouse Air Brake Technologies Corp. | 110 | 10 | |
Enerpac Tool Group Corp. Class A | 486 | 10 | |
* | WillScot Mobile Mini Holdings Corp. | 293 | 10 |
Vontier Corp. | 371 | 10 | |
* | Babcock & Wilcox Enterprises Inc. | 1,328 | 9 |
CSX Corp. | 293 | 9 | |
Deluxe Corp. | 376 | 9 | |
Insteel Industries Inc. | 223 | 9 | |
Lindsay Corp. | 75 | 9 |
Shares | Market Value• ($000) | ||
Mesa Laboratories Inc. | 44 | 9 | |
* | TrueBlue Inc. | 392 | 9 |
Shyft Group Inc. | 418 | 9 | |
10,648 | |||
Real Estate (0.6%) | |||
St. Joe Co. | 1,962 | 99 | |
RE/MAX Holdings Inc. Class A | 1,670 | 41 | |
Marcus & Millichap Inc. | 890 | 37 | |
* | Zillow Group Inc. Class A | 814 | 32 |
RMR Group Inc. Class A | 851 | 26 | |
Kennedy-Wilson Holdings Inc. | 464 | 10 | |
245 | |||
Technology (10.9%) | |||
Amphenol Corp. Class A | 7,568 | 536 | |
* | Synopsys Inc. | 1,334 | 426 |
Roper Technologies Inc. | 829 | 367 | |
* | Cadence Design Systems Inc. | 2,011 | 309 |
Cognizant Technology Solutions Corp. Class A | 2,202 | 165 | |
* | Sprout Social Inc. Class A | 2,687 | 137 |
National Instruments Corp. | 3,143 | 111 | |
Science Applications International Corp. | 1,105 | 96 | |
* | SPS Commerce Inc. | 884 | 95 |
* | Novanta Inc. | 750 | 92 |
* | Manhattan Associates Inc. | 752 | 91 |
Pegasystems Inc. | 1,839 | 91 | |
* | Procore Technologies Inc. | 1,983 | 90 |
Dolby Laboratories Inc. Class A | 1,120 | 87 | |
* | Alkami Technology Inc. | 5,706 | 80 |
* | Q2 Holdings Inc. | 1,504 | 79 |
* | Agilysys Inc. | 1,884 | 77 |
* | Fortinet Inc. | 234 | 69 |
Concentrix Corp. | 407 | 63 | |
American Software Inc. Class A | 3,469 | 59 | |
TD SYNNEX Corp. | 544 | 57 | |
* | Lattice Semiconductor Corp. | 1,053 | 55 |
* | CACI International Inc. Class A | 187 | 52 |
Power Integrations Inc. | 611 | 52 | |
* | Rimini Street Inc. | 8,476 | 52 |
* | Atlassian Corp. plc Class A | 289 | 51 |
* | Arrow Electronics Inc. | 417 | 50 |
Jabil Inc. | 818 | 50 | |
CTS Corp. | 1,216 | 49 | |
* | PDF Solutions Inc. | 2,041 | 49 |
Sapiens International Corp. NV | 1,930 | 49 | |
* | CEVA Inc. | 1,320 | 48 |
* | ScanSource Inc. | 1,244 | 48 |
* | Upwork Inc. | 2,650 | 48 |
KLA Corp. | 130 | 47 | |
* | NCR Corp. | 1,359 | 47 |
PC Connection Inc. | 1,047 | 47 | |
* | Globant SA | 243 | 46 |
* | Envestnet Inc. | 582 | 39 |
* | Photronics Inc. | 1,798 | 39 |
* | Semtech Corp. | 585 | 38 |
Azenta Inc. | 489 | 37 | |
* | PROS Holdings Inc. | 1,363 | 37 |
* | TrueCar Inc. | 10,113 | 34 |
* | Autodesk Inc. | 160 | 33 |
Methode Electronics Inc. | 739 | 33 | |
* | OneSpan Inc. | 2,519 | 33 |
* | Mediaalpha Inc. Class A | 3,139 | 32 |
* | Brightcove Inc. | 4,241 | 30 |
* | ePlus Inc. | 537 | 30 |
Shares | Market Value• ($000) | ||
* | Viant Technology Inc. Class A | 4,894 | 29 |
* | ChannelAdvisor Corp. | 1,947 | 27 |
* | Varonis Systems Inc. Class B | 750 | 25 |
* | Workiva Inc. Class A | 337 | 25 |
* | Blackline Inc. | 315 | 23 |
* | EMCORE Corp. | 7,029 | 23 |
* | Identiv Inc. | 1,755 | 22 |
* | nLight Inc. | 1,517 | 19 |
* | DXC Technology Co. | 338 | 12 |
Benchmark Electronics Inc. | 416 | 11 | |
Microchip Technology Inc. | 148 | 11 | |
* | Silicon Laboratories Inc. | 73 | 11 |
* | IAC/InterActiveCorp. | 125 | 11 |
Avnet Inc. | 214 | 10 | |
* | Cirrus Logic Inc. | 126 | 10 |
* | Guidewire Software Inc. | 125 | 10 |
* | PTC Inc. | 89 | 10 |
* | Qualys Inc. | 77 | 10 |
SS&C Technologies Holdings Inc. | 159 | 10 | |
* | Tenable Holdings Inc. | 194 | 10 |
* | Teradata Corp. | 251 | 10 |
Universal Display Corp. | 78 | 10 | |
Xperi Holding Corp. | 622 | 10 | |
* | Super Micro Computer Inc. | 191 | 10 |
SolarWinds Corp. | 858 | 10 | |
* | Ziff Davis Inc. | 118 | 9 |
* | Rapid7 Inc. | 128 | 9 |
* | Tyler Technologies Inc. | 26 | 9 |
* | Unisys Corp. | 785 | 9 |
Vertiv Holdings Co. Class A | 810 | 9 | |
* | Diebold Nixdorf Inc. | 2,532 | 8 |
* | New Relic Inc. | 167 | 8 |
* | Nutanix Inc. Class A | 407 | 7 |
* | Aspen Technology Inc. | 25 | 5 |
4,874 | |||
Telecommunications (1.9%) | |||
* | WideOpenWest Inc. | 4,482 | 98 |
* | Liberty Latin America Ltd. Class A | 10,257 | 98 |
* | United States Cellular Corp. | 2,689 | 83 |
* | Iridium Communications Inc. | 2,043 | 76 |
* | Harmonic Inc. | 7,324 | 70 |
* | Ribbon Communications Inc. | 23,946 | 68 |
* | Consolidated Communications Holdings Inc. | 9,323 | 62 |
Shares | Market Value• ($000) | ||
* | Digi International Inc. | 2,574 | 57 |
* | Ooma Inc. | 3,480 | 49 |
Cable One Inc. | 36 | 47 | |
ADTRAN Inc. | 2,093 | 39 | |
* | Clearfield Inc. | 521 | 32 |
Comtech Telecommunications Corp. | 1,634 | 20 | |
Shenandoah Telecommunications Co. | 489 | 11 | |
* | T-Mobile US Inc. | 80 | 11 |
* | IDT Corp. Class B | 360 | 10 |
* | Aviat Networks Inc. | 338 | 10 |
* | Cambium Networks Corp. | 631 | 9 |
* | Anterix Inc. | 196 | 8 |
858 | |||
Utilities (1.6%) | |||
Waste Management Inc. | 3,493 | 554 | |
* | Stericycle Inc. | 1,389 | 70 |
* | Clean Harbors Inc. | 690 | 64 |
* | Evoqua Water Technologies Corp. | 250 | 9 |
697 | |||
Total Common Stocks (Cost $38,657) | 44,500 | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.854% (Cost $152) | 1,518 | 152 |
Total Investments (100.0%) (Cost $38,809) | 44,652 | ||
Other Assets and Liabilities—Net (0.0%) | 7 | ||
Net Assets (100%) | 44,659 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Security value determined using significant unobservable inputs. |
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 $45,000 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 2022 | 7 | 145 | — |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $38,657) | 44,500 |
Affiliated Issuers (Cost $152) | 152 |
Total Investments in Securities | 44,652 |
Investment in Vanguard | 2 |
Cash | 1 |
Cash Collateral Pledged—Futures Contracts | 10 |
Receivables for Investment Securities Sold | 153 |
Receivables for Accrued Income | 35 |
Total Assets | 44,853 |
Liabilities | |
Payables for Investment Securities Purchased | 146 |
Collateral for Securities on Loan | 45 |
Payables to Vanguard | 2 |
Variation Margin Payable—Futures Contracts | 1 |
Total Liabilities | 194 |
Net Assets | 44,659 |
At May 31, 2022, net assets consisted of: | |
Paid-in Capital | 39,427 |
Total Distributable Earnings (Loss) | 5,232 |
Net Assets | 44,659 |
Net Assets | |
Applicable to 465,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 44,659 |
Net Asset Value Per Share | $96.04 |
Six Months Ended May 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 303 |
Interest2 | — |
Securities Lending—Net | 1 |
Total Income | 304 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 11 |
Marketing and Distribution | — |
Custodian Fees | 1 |
Shareholders’ Reports | 12 |
Trustees’ Fees and Expenses | — |
Professional Services | 8 |
Total Expenses | 32 |
Net Investment Income | 272 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 379 |
Futures Contracts | 3 |
Realized Net Gain (Loss) | 382 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (6,826) |
Futures Contracts | (2) |
Change in Unrealized Appreciation (Depreciation) | (6,828) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (6,174) |
1 | Dividends are net of foreign withholding taxes of less than $1,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were each less than $1,000. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 272 | 637 | |
Realized Net Gain (Loss) | 382 | 1,846 | |
Change in Unrealized Appreciation (Depreciation) | (6,828) | 7,648 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (6,174) | 10,131 | |
Distributions | |||
Total Distributions | (330) | (661) | |
Capital Share Transactions | |||
Issued | 1,105 | 6,433 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (1,104) | (4,935) | |
Net Increase (Decrease) from Capital Share Transactions | 1 | 1,498 | |
Total Increase (Decrease) | (6,503) | 10,968 | |
Net Assets | |||
Beginning of Period | 51,162 | 40,194 | |
End of Period | 44,659 | 51,162 |
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2022 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | ||
2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $110.02 | $89.32 | $86.44 | $78.25 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | .586 | 1.374 | 1.436 | 1.310 | 1.010 |
Net Realized and Unrealized Gain (Loss) on Investments | (13.856) | 20.757 | 2.882 | 8.047 | 2.834 |
Total from Investment Operations | (13.270) | 22.131 | 4.318 | 9.357 | 3.844 |
Distributions | |||||
Dividends from Net Investment Income | (.710) | (1.431) | (1.438) | (1.167) | (.594) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.710) | (1.431) | (1.438) | (1.167) | (.594) |
Net Asset Value, End of Period | $96.04 | $110.02 | $89.32 | $86.44 | $78.25 |
Total Return | -12.15% | 24.89% | 5.38% | 12.14% | 5.09% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $45 | $51 | $40 | $41 | $16 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.14%3 | 0.13%4,5 |
Ratio of Net Investment Income to Average Net Assets | 1.11% | 1.28% | 1.83% | 1.62% | 1.58%4 |
Portfolio Turnover Rate | 33% | 64%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 | 44,491 | — | 9 | 44,500 |
Temporary Cash Investments | 152 | — | — | 152 |
Total | 44,643 | — | 9 | 44,652 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | — | — | — | — |
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, 2022, 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 | 38,812 |
Gross Unrealized Appreciation | 7,703 |
Gross Unrealized Depreciation | (1,863) |
Net Unrealized Appreciation (Depreciation) | 5,840 |
E. | During the six months ended May 31, 2022, the fund purchased $15,771,000 of investment securities and sold $15,722,000 of investment securities, other than temporary cash investments. |
F. | Capital shares issued and redeemed were: |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 10 | 60 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (10) | (45) | |
Net Increase (Decrease) in Shares Outstanding | — | 15 |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2022, that would require recognition or disclosure in these financial statements. |
Basic Materials | 1.2% |
Consumer Discretionary | 9.9 |
Consumer Staples | 9.8 |
Energy | 4.2 |
Financials | 13.4 |
Health Care | 16.9 |
Industrials | 7.7 |
Real Estate | 1.5 |
Technology | 18.9 |
Telecommunications | 7.3 |
Utilities | 9.2 |
Shares | Market Value• ($000) | ||
Common Stocks (99.5%) | |||
Basic Materials (1.2%) | |||
Newmont Corp. | 7,636 | 518 | |
Balchem Corp. | 764 | 95 | |
Fastenal Co. | 541 | 29 | |
642 | |||
Consumer Discretionary (9.9%) | |||
Service Corp. International | 11,105 | 778 | |
Dollar General Corp. | 3,109 | 685 | |
McDonald's Corp. | 2,025 | 511 | |
H&R Block Inc. | 14,466 | 510 | |
Electronic Arts Inc. | 2,645 | 367 | |
* | Knowles Corp. | 18,141 | 349 |
Sirius XM Holdings Inc. | 45,232 | 289 | |
Laureate Education Inc. Class A | 18,854 | 240 | |
Costco Wholesale Corp. | 513 | 239 | |
Walmart Inc. | 1,619 | 208 | |
World Wrestling Entertainment Inc. Class A | 3,046 | 203 | |
* | Liberty Media Corp.- Liberty Braves Class C | 6,338 | 156 |
Target Corp. | 910 | 147 | |
Domino's Pizza Inc. | 377 | 137 | |
* | Warner Bros Discovery Inc. | 6,321 | 117 |
* | frontdoor Inc. | 4,656 | 115 |
* | Grand Canyon Education Inc. | 1,040 | 93 |
* | Liberty Media Corp.- Liberty Braves Class A | 3,567 | 90 |
* | Madison Square Garden Sports Corp. | 530 | 87 |
Hasbro Inc. | 709 | 64 | |
* | Bright Horizons Family Solutions Inc. | 259 | 23 |
5,408 | |||
Consumer Staples (9.7%) | |||
Hershey Co. | 3,542 | 750 | |
Procter & Gamble Co. | 4,917 | 727 | |
Colgate-Palmolive Co. | 8,891 | 701 | |
Church & Dwight Co. Inc. | 7,459 | 672 | |
Flowers Foods Inc. | 24,066 | 664 | |
Altria Group Inc. | 11,623 | 629 | |
Mondelez International Inc. Class A | 4,946 | 314 | |
Hormel Foods Corp. | 5,308 | 258 | |
John B Sanfilippo & Son Inc. | 2,883 | 220 | |
Kimberly-Clark Corp. | 1,343 | 179 | |
PetMed Express Inc. | 5,053 | 111 | |
PepsiCo Inc. | 369 | 62 |
Shares | Market Value• ($000) | ||
Lancaster Colony Corp. | 365 | 45 | |
5,332 | |||
Energy (4.2%) | |||
Williams Cos. Inc. | 25,613 | 949 | |
Chevron Corp. | 4,210 | 735 | |
Kinder Morgan Inc. | 23,087 | 455 | |
Cheniere Energy Inc. | 1,155 | 158 | |
2,297 | |||
Financials (13.3%) | |||
First Financial Corp. | 17,125 | 770 | |
Marsh & McLennan Cos. Inc. | 4,617 | 738 | |
Waterstone Financial Inc. | 36,878 | 638 | |
Intercontinental Exchange Inc. | 5,778 | 592 | |
* | Columbia Financial Inc. | 25,941 | 539 |
Mercury General Corp. | 10,072 | 493 | |
Broadridge Financial Solutions Inc. | 3,006 | 440 | |
Northwest Bancshares Inc. | 34,128 | 440 | |
CME Group Inc. | 1,795 | 357 | |
BancFirst Corp. | 3,256 | 295 | |
TFS Financial Corp. | 19,446 | 292 | |
Westamerica BanCorp. | 4,449 | 268 | |
Safety Insurance Group Inc. | 2,836 | 263 | |
Stock Yards Bancorp Inc. | 4,061 | 240 | |
* | Blue Foundry Bancorp | 14,743 | 176 |
Progressive Corp. | 1,286 | 153 | |
Arthur J Gallagher & Co. | 889 | 144 | |
HarborOne Bancorp Inc. | 7,286 | 104 | |
HomeTrust Bancshares Inc. | 2,870 | 77 | |
TrustCo Bank Corp. NY | 2,164 | 70 | |
Bank First Corp. | 681 | 49 | |
Bank of Marin Bancorp | 1,083 | 36 | |
Camden National Corp. | 796 | 35 | |
First of Long Island Corp. | 1,786 | 34 | |
Macatawa Bank Corp. | 3,634 | 34 | |
City Holding Co. | 337 | 28 | |
7,305 | |||
Health Care (16.8%) | |||
Eli Lilly & Co. | 2,928 | 918 | |
Bristol-Myers Squibb Co. | 11,621 | 877 | |
Amgen Inc. | 3,403 | 874 | |
Johnson & Johnson | 4,554 | 818 | |
Merck & Co. Inc. | 8,860 | 815 | |
Gilead Sciences Inc. | 12,506 | 811 | |
Becton Dickinson and Co. | 2,883 | 737 | |
Baxter International Inc. | 8,180 | 622 | |
* | Vertex Pharmaceuticals Inc. | 2,317 | 622 |
AbbVie Inc. | 3,799 | 560 |
Shares | Market Value• ($000) | ||
* | HealthStream Inc. | 19,750 | 402 |
* | NextGen Healthcare Inc. | 19,989 | 362 |
* | Computer Programs and Systems Inc. | 9,319 | 297 |
Pfizer Inc. | 2,892 | 153 | |
Perrigo Co. plc | 3,726 | 149 | |
* | Regeneron Pharmaceuticals Inc. | 123 | 82 |
Zoetis Inc. | 462 | 79 | |
Premier Inc. Class A | 1,121 | 42 | |
* | Incyte Corp. | 176 | 13 |
9,233 | |||
Industrials (7.7%) | |||
* | FTI Consulting Inc. | 5,051 | 849 |
Sonoco Products Co. | 12,619 | 738 | |
* | OSI Systems Inc. | 7,076 | 594 |
Lockheed Martin Corp. | 866 | 381 | |
Accenture plc Class A | 1,228 | 366 | |
Jack Henry & Associates Inc. | 1,910 | 359 | |
Landstar System Inc. | 1,441 | 218 | |
Illinois Tool Works Inc. | 772 | 161 | |
MSC Industrial Direct Co. Inc. Class A | 1,505 | 128 | |
AptarGroup Inc. | 843 | 90 | |
Heartland Express Inc. | 6,009 | 86 | |
National Presto Industries Inc. | 1,234 | 83 | |
Argan Inc. | 1,757 | 70 | |
Cass Information Systems Inc. | 1,278 | 44 | |
Ennis Inc. | 1,832 | 33 | |
Ball Corp. | 320 | 23 | |
4,223 | |||
Real Estate (1.5%) | |||
* | Equity Commonwealth | 30,670 | 836 |
Technology (18.8%) | |||
Amdocs Ltd. | 9,623 | 836 | |
* | Verint Systems Inc. | 16,175 | 826 |
Dolby Laboratories Inc. Class A | 10,586 | 822 | |
Apple Inc. | 5,043 | 751 | |
* | TTM Technologies Inc. | 50,159 | 717 |
Texas Instruments Inc. | 3,719 | 657 | |
Microsoft Corp. | 2,363 | 642 | |
* | Alphabet Inc. Class A | 268 | 610 |
Oracle Corp. | 8,374 | 602 | |
NortonLifeLock Inc. | 24,628 | 600 | |
International Business Machines Corp. | 3,036 | 422 | |
* | Super Micro Computer Inc. | 7,113 | 356 |
Hewlett Packard Enterprise Co. | 19,955 | 311 | |
* | Altair Engineering Inc. Class A | 5,104 | 281 |
* | Cirrus Logic Inc. | 3,302 | 269 |
Roper Technologies Inc. | 566 | 250 | |
* | Tyler Technologies Inc. | 703 | 250 |
* | Envestnet Inc. | 3,607 | 240 |
NetApp Inc. | 2,163 | 156 | |
* | Yelp Inc. Class A | 3,905 | 115 |
* | Meta Platforms Inc. Class A | 522 | 101 |
NVE Corp. | 1,703 | 84 | |
* | TrueCar Inc. | 21,155 | 71 |
SS&C Technologies Holdings Inc. | 1,066 | 68 | |
Shutterstock Inc. | 1,117 | 67 | |
Analog Devices Inc. | 352 | 59 | |
Dell Technologies Inc. Class C | 1,090 | 54 |
Shares | Market Value• ($000) | ||
* | Allscripts Healthcare Solutions Inc. | 2,444 | 42 |
* | PDF Solutions Inc. | 1,732 | 41 |
Broadcom Inc. | 35 | 20 | |
10,320 | |||
Telecommunications (7.3%) | |||
Verizon Communications Inc. | 16,280 | 835 | |
* | T-Mobile US Inc. | 6,135 | 818 |
AT&T Inc. | 26,127 | 556 | |
Shenandoah Telecommunications Co. | 14,916 | 342 | |
Cable One Inc. | 213 | 278 | |
* | Anterix Inc. | 6,071 | 260 |
* | Charter Communications Inc. Class A | 471 | 239 |
Cisco Systems Inc. | 3,668 | 165 | |
* | Liberty Broadband Corp. Class A | 1,247 | 152 |
* | United States Cellular Corp. | 3,351 | 103 |
InterDigital Inc. | 1,472 | 96 | |
* | Liberty Broadband Corp. Class C | 636 | 80 |
ATN International Inc. | 1,350 | 59 | |
Motorola Solutions Inc. | 85 | 19 | |
4,002 | |||
Utilities (9.1%) | |||
Consolidated Edison Inc. | 8,899 | 883 | |
PPL Corp. | 25,886 | 781 | |
Republic Services Inc. Class A | 5,764 | 771 | |
WEC Energy Group Inc. | 5,279 | 555 | |
Duke Energy Corp. | 4,684 | 527 | |
Waste Management Inc. | 1,678 | 266 | |
American Water Works Co. Inc. | 1,614 | 244 | |
DTE Energy Co. | 1,364 | 181 | |
American Electric Power Co. Inc. | 1,568 | 160 | |
Avista Corp. | 3,212 | 140 | |
Eversource Energy | 1,305 | 121 | |
Xcel Energy Inc. | 1,432 | 108 | |
NextEra Energy Inc. | 1,302 | 99 | |
CMS Energy Corp. | 1,022 | 73 | |
Ameren Corp. | 749 | 71 | |
American States Water Co. | 296 | 23 | |
5,003 | |||
Total Common Stocks (Cost $48,803) | 54,601 | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
1 | Vanguard Market Liquidity Fund, 0.854% (Cost $192) | 1,919 | 192 |
Total Investments (99.9%) (Cost $48,995) | 54,793 | ||
Other Assets and Liabilities—Net (0.1%) | 76 | ||
Net Assets (100%) | 54,869 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | 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 2022 | 9 | 186 | (5) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $48,803) | 54,601 |
Affiliated Issuers (Cost $192) | 192 |
Total Investments in Securities | 54,793 |
Investment in Vanguard | 2 |
Cash Collateral Pledged—Futures Contracts | 14 |
Receivables for Accrued Income | 69 |
Receivables for Capital Shares Issued | 503 |
Total Assets | 55,381 |
Liabilities | |
Payables for Investment Securities Purchased | 508 |
Payables to Vanguard | 3 |
Variation Margin Payable—Futures Contracts | 1 |
Total Liabilities | 512 |
Net Assets | 54,869 |
At May 31, 2022, net assets consisted of: | |
Paid-in Capital | 55,722 |
Total Distributable Earnings (Loss) | (853) |
Net Assets | 54,869 |
Net Assets | |
Applicable to 545,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 54,869 |
Net Asset Value Per Share | $100.68 |
Six Months Ended May 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends | 501 |
Interest1 | — |
Securities Lending—Net | 1 |
Total Income | 502 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 13 |
Marketing and Distribution | — |
Custodian Fees | 1 |
Shareholders’ Reports | 12 |
Trustees’ Fees and Expenses | — |
Professional Services | 8 |
Total Expenses | 34 |
Net Investment Income | 468 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 1,519 |
Futures Contracts | 5 |
Realized Net Gain (Loss) | 1,524 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (1,423) |
Futures Contracts | (12) |
Change in Unrealized Appreciation (Depreciation) | (1,435) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 557 |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $246,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 468 | 699 | |
Realized Net Gain (Loss) | 1,524 | 6,386 | |
Change in Unrealized Appreciation (Depreciation) | (1,435) | 896 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 557 | 7,981 | |
Distributions | |||
Total Distributions | (439) | (905) | |
Capital Share Transactions | |||
Issued | 9,127 | 1,451 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (1,505) | (18,000) | |
Net Increase (Decrease) from Capital Share Transactions | 7,622 | (16,549) | |
Total Increase (Decrease) | 7,740 | (9,473) | |
Net Assets | |||
Beginning of Period | 47,129 | 56,602 | |
End of Period | 54,869 | 47,129 |
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2022 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | ||
2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $100.28 | $87.08 | $91.10 | $81.69 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | .911 | 1.374 | 1.779 | 2.632 | 1.887 |
Net Realized and Unrealized Gain (Loss) on Investments | .359 | 13.497 | (3.776) | 8.996 | 5.677 |
Total from Investment Operations | 1.270 | 14.871 | (1.997) | 11.628 | 7.564 |
Distributions | |||||
Dividends from Net Investment Income | (.870) | (1.671) | (2.023) | (2.218) | (.874) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.870) | (1.671) | (2.023) | (2.218) | (.874) |
Net Asset Value, End of Period | $100.68 | $100.28 | $87.08 | $91.10 | $81.69 |
Total Return | 1.24% | 17.22% | -1.99% | 14.58% | 10.07% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $55 | $47 | $57 | $91 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 1.74% | 1.43% | 2.14% | 3.05% | 2.90%3 |
Portfolio Turnover Rate | 32%4 | 46%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, 2022, 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 | 48,995 |
Gross Unrealized Appreciation | 7,305 |
Gross Unrealized Depreciation | (1,512) |
Net Unrealized Appreciation (Depreciation) | 5,793 |
E. | During the six months ended May 31, 2022, the fund purchased $25,540,000 of investment securities and sold $17,928,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $1,505,000, 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, 2022 | Year Ended November 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 90 | 15 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (15) | (195) | |
Net Increase (Decrease) in Shares Outstanding | 75 | (180) |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2022, that would require recognition or disclosure in these financial statements. |
Basic Materials | 6.2% |
Consumer Discretionary | 10.3 |
Consumer Staples | 7.0 |
Energy | 21.6 |
Financials | 15.4 |
Health Care | 14.1 |
Industrials | 13.7 |
Real Estate | 0.6 |
Technology | 9.4 |
Telecommunications | 1.2 |
Utilities | 0.5 |
Shares | Market Value• ($000) | ||
Common Stocks (99.7%) | |||
Basic Materials (6.2%) | |||
Newmont Corp. | 20,330 | 1,379 | |
Freeport-McMoRan Inc. | 27,907 | 1,091 | |
Nucor Corp. | 6,932 | 918 | |
Steel Dynamics Inc. | 7,213 | 616 | |
Olin Corp. | 7,965 | 524 | |
Royal Gold Inc. | 4,486 | 507 | |
Alcoa Corp. | 7,667 | 473 | |
Westlake Corp. | 3,468 | 458 | |
Mosaic Co. | 7,107 | 445 | |
CF Industries Holdings Inc. | 4,435 | 438 | |
Sensient Technologies Corp. | 4,899 | 428 | |
* | TimkenSteel Corp. | 17,937 | 414 |
* | Univar Solutions Inc. | 13,035 | 401 |
* | Cleveland-Cliffs Inc. | 15,704 | 364 |
* | Intrepid Potash Inc. | 4,964 | 327 |
Valvoline Inc. | 9,424 | 315 | |
Ryerson Holding Corp. | 9,843 | 297 | |
Huntsman Corp. | 6,928 | 251 | |
AdvanSix Inc. | 5,281 | 245 | |
American Vanguard Corp. | 9,660 | 239 | |
Mueller Industries Inc. | 4,181 | 225 | |
Schnitzer Steel Industries Inc. Class A | 4,761 | 193 | |
* | MP Materials Corp. | 4,371 | 172 |
Materion Corp. | 1,995 | 164 | |
* | US Silica Holdings Inc. | 9,146 | 162 |
* | Livent Corp. | 5,004 | 159 |
* | Century Aluminum Co. | 13,408 | 158 |
* | Uranium Energy Corp. | 36,751 | 140 |
* | Energy Fuels Inc. | 20,851 | 134 |
Albemarle Corp. | 465 | 121 | |
Chemours Co. | 2,230 | 96 | |
Tronox Holdings plc Class A | 4,930 | 89 | |
Boise Cascade Co. | 1,037 | 80 | |
Commercial Metals Co. | 1,478 | 59 | |
US Steel Corp. | 2,303 | 58 | |
* | Ur-Energy Inc. | 44,685 | 55 |
Southern Copper Corp. | 804 | 50 | |
Reliance Steel & Aluminum Co. | 188 | 37 | |
Carpenter Technology Corp. | 919 | 32 | |
12,314 | |||
Consumer Discretionary (10.3%) | |||
Costco Wholesale Corp. | 3,692 | 1,721 | |
* | O'Reilly Automotive Inc. | 2,659 | 1,694 |
* | AutoZone Inc. | 795 | 1,637 |
* | Tesla Inc. | 1,756 | 1,332 |
Shares | Market Value• ($000) | ||
Ford Motor Co. | 67,158 | 919 | |
* | Liberty Media Corp.-Liberty Formula One Class C | 10,769 | 671 |
Yum! Brands Inc. | 4,583 | 557 | |
* | Avis Budget Group Inc. | 2,877 | 547 |
Lowe's Cos. Inc. | 2,735 | 534 | |
* | Mattel Inc. | 19,505 | 490 |
Marriott International Inc. Class A | 2,766 | 475 | |
* | BJ's Wholesale Club Holdings Inc. | 8,127 | 470 |
Macy's Inc. | 19,869 | 470 | |
Murphy USA Inc. | 1,796 | 447 | |
* | Dollar Tree Inc. | 2,685 | 431 |
Rush Enterprises Inc. Class A | 6,711 | 342 | |
Standard Motor Products Inc. | 8,150 | 326 | |
Laureate Education Inc. Class A | 23,442 | 298 | |
Dick's Sporting Goods Inc. | 3,585 | 291 | |
* | Live Nation Entertainment Inc. | 2,937 | 279 |
Interpublic Group of Cos. Inc. | 8,586 | 277 | |
Dillard's Inc. Class A | 863 | 260 | |
Service Corp. International | 3,551 | 249 | |
* | Boot Barn Holdings Inc. | 3,020 | 244 |
A-Mark Precious Metals Inc. | 3,171 | 241 | |
* | Genesco Inc. | 3,848 | 217 |
Red Rock Resorts Inc. Class A | 5,486 | 213 | |
* | Golden Entertainment Inc. | 4,477 | 212 |
* | Stagwell Inc. | 26,432 | 209 |
* | Liberty Media Corp.- Liberty Formula One Class A | 3,643 | 208 |
* | SeaWorld Entertainment Inc. | 3,633 | 197 |
International Game Technology plc | 9,207 | 197 | |
* | Chico's FAS Inc. | 37,969 | 188 |
Carriage Services Inc. Class A | 4,390 | 177 | |
RCI Hospitality Holdings Inc. | 3,022 | 175 | |
H&R Block Inc. | 4,824 | 170 | |
Movado Group Inc. | 4,728 | 160 | |
* | Clear Channel Outdoor Holdings Inc. | 99,335 | 157 |
Scholastic Corp. | 4,078 | 153 | |
Signet Jewelers Ltd. | 2,440 | 145 | |
Dollar General Corp. | 652 | 144 | |
* | Kura Sushi USA Inc. Class A | 3,723 | 140 |
* | Thryv Holdings Inc. | 5,351 | 140 |
Entravision Communications Corp. Class A | 23,223 | 121 | |
Penske Automotive Group Inc. | 967 | 111 | |
* | Full House Resorts Inc. | 15,797 | 111 |
Shares | Market Value• ($000) | ||
Advance Auto Parts Inc. | 580 | 110 | |
* | Arlo Technologies Inc. | 15,124 | 107 |
* | Hilton Grand Vacations Inc. | 2,311 | 106 |
* | Hyatt Hotels Corp. Class A | 1,178 | 104 |
Nexstar Media Group Inc. Class A | 573 | 100 | |
* | Trade Desk Inc. Class A | 1,747 | 91 |
* | Stride Inc. | 2,211 | 87 |
Interface Inc. Class A | 5,826 | 84 | |
* | TravelCenters of America Inc. | 2,101 | 82 |
Choice Hotels International Inc. | 587 | 75 | |
* | Everi Holdings Inc. | 4,094 | 73 |
* | Lululemon Athletica Inc. | 236 | 69 |
* | Monarch Casino & Resort Inc. | 966 | 66 |
Pool Corp. | 144 | 57 | |
* | Lions Gate Entertainment Corp. Class A | 5,410 | 55 |
Clarus Corp. | 2,447 | 54 | |
Franchise Group Inc. | 1,354 | 54 | |
* | Master Craft Boat Holdings Inc. | 2,267 | 53 |
Churchill Downs Inc. | 250 | 51 | |
* | Expedia Group Inc. | 396 | 51 |
Tractor Supply Co. | 263 | 49 | |
* | ODP Corp. | 1,292 | 49 |
Group 1 Automotive Inc. | 260 | 47 | |
Papa John's International Inc. | 407 | 36 | |
20,457 | |||
Consumer Staples (7.0%) | |||
CVS Health Corp. | 16,420 | 1,589 | |
Hershey Co. | 7,504 | 1,589 | |
Flowers Foods Inc. | 32,007 | 883 | |
Tyson Foods Inc. Class A | 9,392 | 842 | |
Church & Dwight Co. Inc. | 8,546 | 770 | |
PepsiCo Inc. | 4,590 | 770 | |
Ingles Markets Inc. Class A | 8,297 | 739 | |
Philip Morris International Inc. | 6,742 | 716 | |
SpartanNash Co. | 19,385 | 667 | |
McKesson Corp. | 1,700 | 559 | |
Kroger Co. | 9,775 | 518 | |
Coca-Cola Consolidated Inc. | 850 | 480 | |
* | Pilgrim's Pride Corp. | 12,974 | 432 |
Coca-Cola Co. | 6,526 | 414 | |
Albertsons Cos. Inc. Class A | 13,271 | 405 | |
Archer-Daniels-Midland Co. | 3,932 | 357 | |
Bunge Ltd. | 2,957 | 350 | |
Kellogg Co. | 4,344 | 303 | |
* | Hostess Brands Inc. Class A | 11,544 | 245 |
Weis Markets Inc. | 3,321 | 244 | |
* | United Natural Foods Inc. | 4,986 | 211 |
Cal-Maine Foods Inc. | 4,099 | 196 | |
Andersons Inc. | 5,077 | 191 | |
Spectrum Brands Holdings Inc. | 1,269 | 111 | |
Vector Group Ltd. | 8,592 | 106 | |
MGP Ingredients Inc. | 921 | 89 | |
Edgewell Personal Care Co. | 2,256 | 82 | |
* | Sprouts Farmers Market Inc. | 1,911 | 52 |
13,910 | |||
Energy (21.5%) | |||
ConocoPhillips | 25,566 | 2,873 | |
EOG Resources Inc. | 17,524 | 2,400 | |
Exxon Mobil Corp. | 23,231 | 2,230 | |
Schlumberger NV | 47,769 | 2,195 | |
Chevron Corp. | 12,279 | 2,145 | |
Pioneer Natural Resources Co. | 6,872 | 1,910 | |
Marathon Petroleum Corp. | 17,076 | 1,738 |
Shares | Market Value• ($000) | ||
Devon Energy Corp. | 14,233 | 1,066 | |
Targa Resources Corp. | 13,460 | 969 | |
Marathon Oil Corp. | 23,750 | 746 | |
Cheniere Energy Inc. | 5,435 | 743 | |
ONEOK Inc. | 10,743 | 707 | |
* | Antero Resources Corp. | 16,067 | 689 |
APA Corp. | 14,029 | 659 | |
Halliburton Co. | 16,170 | 655 | |
Patterson-UTI Energy Inc. | 31,920 | 609 | |
* | Southwestern Energy Co. | 65,472 | 597 |
Ovintiv Inc. (XNYS) | 10,518 | 589 | |
Diamondback Energy Inc. | 3,759 | 571 | |
Williams Cos. Inc. | 15,412 | 571 | |
Valero Energy Corp. | 4,298 | 557 | |
Continental Resources Inc. | 8,095 | 551 | |
Hess Corp. | 4,470 | 550 | |
* | Range Resources Corp. | 15,340 | 521 |
* | Peabody Energy Corp. | 21,373 | 505 |
Occidental Petroleum Corp. | 7,201 | 499 | |
Baker Hughes Co. Class A | 13,568 | 488 | |
* | Enphase Energy Inc. | 2,554 | 476 |
PDC Energy Inc. | 6,016 | 476 | |
* | Tidewater Inc. | 18,240 | 464 |
EQT Corp. | 9,420 | 450 | |
Coterra Energy Inc. | 13,056 | 448 | |
* | CONSOL Energy Inc. | 8,664 | 447 |
SM Energy Co. | 8,400 | 405 | |
Matador Resources Co. | 6,350 | 387 | |
1 | Arch Resources Inc. | 2,524 | 386 |
* | Denbury Inc. | 5,267 | 385 |
* | RPC Inc. | 39,485 | 370 |
Civitas Resources Inc. | 4,825 | 368 | |
Northern Oil and Gas Inc. | 11,227 | 367 | |
Murphy Oil Corp. | 8,478 | 360 | |
* | Comstock Resources Inc. | 17,599 | 340 |
* | Nabors Industries Ltd. (XNYS) | 2,006 | 335 |
* | NexTier Oilfield Solutions Inc. | 30,567 | 333 |
Oasis Petroleum Inc. | 2,064 | 328 | |
NOV Inc. | 15,049 | 301 | |
* | PBF Energy Inc. Class A | 8,714 | 289 |
Berry Corp. | 25,632 | 285 | |
* | Laredo Petroleum Inc. | 3,376 | 284 |
* | Kosmos Energy Ltd. | 36,425 | 282 |
* | Earthstone Energy Inc. Class A | 14,967 | 270 |
California Resources Corp. | 6,178 | 270 | |
Brigham Minerals Inc. Class A | 8,661 | 263 | |
* | CNX Resources Corp. | 11,747 | 255 |
Cactus Inc. Class A | 4,701 | 246 | |
* | Select Energy Services Inc. Class A | 28,645 | 243 |
Warrior Met Coal Inc. | 6,869 | 231 | |
* | Centennial Resource Development Inc. Class A | 28,980 | 230 |
* | Dril-Quip Inc. | 7,221 | 227 |
1 | HighPeak Energy Inc. | 7,119 | 227 |
* | W&T Offshore Inc. | 32,782 | 221 |
Magnolia Oil & Gas Corp. Class A | 7,884 | 218 | |
Falcon Minerals Corp. | 27,818 | 206 | |
* | Callon Petroleum Co. | 3,532 | 206 |
* | Tellurian Inc. | 39,942 | 191 |
Kinetik Holdings Inc. | 2,085 | 175 | |
* | Golar LNG Ltd. | 6,917 | 175 |
SunCoke Energy Inc. | 20,921 | 169 | |
* | TETRA Technologies Inc. | 32,621 | 164 |
Antero Midstream Corp. | 14,541 | 158 | |
CVR Energy Inc. | 3,866 | 133 |
Shares | Market Value• ($000) | ||
* | Centrus Energy Corp. Class A | 5,144 | 132 |
* | Newpark Resources Inc. | 30,083 | 129 |
* | ProPetro Holding Corp. | 9,862 | 129 |
Helmerich & Payne Inc. | 2,541 | 128 | |
* | Bristow Group Inc. | 3,882 | 123 |
* | Talos Energy Inc. | 5,318 | 115 |
Solaris Oilfield Infrastructure Inc. Class A | 7,230 | 97 | |
* | Green Plains Inc. | 2,596 | 85 |
* | Liberty Energy Inc. Class A | 5,204 | 85 |
* | Oceaneering International Inc. | 5,700 | 73 |
* | Ameresco Inc. Class A | 1,172 | 69 |
* | Aemetis Inc. | 7,869 | 64 |
* | MRC Global Inc. | 3,610 | 40 |
42,646 | |||
Financials (15.4%) | |||
Blackstone Inc. | 14,662 | 1,727 | |
American Financial Group Inc. | 11,100 | 1,568 | |
American International Group Inc. | 24,074 | 1,413 | |
Charles Schwab Corp. | 16,799 | 1,178 | |
Aon plc Class A (XNYS) | 3,473 | 957 | |
ServisFirst Bancshares Inc. | 11,423 | 952 | |
Chubb Ltd. | 4,091 | 864 | |
* | Berkshire Hathaway Inc. Class B | 2,015 | 637 |
Assured Guaranty Ltd. | 10,378 | 611 | |
Pinnacle Financial Partners Inc. | 7,057 | 575 | |
Wells Fargo & Co. | 12,420 | 568 | |
Houlihan Lokey Inc. Class A | 6,378 | 548 | |
Prudential Financial Inc. | 5,004 | 532 | |
Ares Management Corp. Class A | 7,258 | 517 | |
Kinsale Capital Group Inc. | 2,247 | 494 | |
Marsh & McLennan Cos. Inc. | 2,945 | 471 | |
* | Customers Bancorp Inc. | 11,062 | 457 |
Berkshire Hills Bancorp Inc. | 17,465 | 456 | |
Progressive Corp. | 3,726 | 445 | |
CME Group Inc. | 2,088 | 415 | |
Flushing Financial Corp. | 17,674 | 408 | |
Hope Bancorp Inc. | 26,927 | 393 | |
Signature Bank | 1,792 | 388 | |
* | Credit Acceptance Corp. | 629 | 374 |
Comerica Inc. | 4,398 | 366 | |
ConnectOne Bancorp Inc. | 13,276 | 366 | |
Bank OZK | 8,701 | 361 | |
Central Pacific Financial Corp. | 14,848 | 358 | |
Towne Bank | 10,777 | 318 | |
Safety Insurance Group Inc. | 3,404 | 316 | |
* | MBIA Inc. | 22,244 | 312 |
Brown & Brown Inc. | 5,218 | 310 | |
Jefferies Financial Group Inc. | 9,355 | 309 | |
Hanmi Financial Corp. | 13,085 | 305 | |
BancFirst Corp. | 3,348 | 304 | |
Citizens Financial Group Inc. | 7,326 | 303 | |
East West Bancorp Inc. | 4,043 | 297 | |
Employers Holdings Inc. | 7,109 | 294 | |
Nelnet Inc. Class A | 3,358 | 284 | |
Eagle Bancorp Inc. | 5,647 | 280 | |
* | Encore Capital Group Inc. | 4,548 | 278 |
Provident Financial Services Inc. | 11,987 | 276 | |
Brookline Bancorp Inc. | 18,604 | 264 | |
WesBanco Inc. | 7,273 | 248 | |
NBT Bancorp Inc. | 6,423 | 238 | |
UMB Financial Corp. | 2,530 | 234 |
Shares | Market Value• ($000) | ||
Federal Agricultural Mortgage Corp. Class C | 2,217 | 233 | |
* | Bancorp Inc. | 11,102 | 231 |
Byline Bancorp Inc. | 8,900 | 222 | |
FactSet Research Systems Inc. | 570 | 218 | |
QCR Holdings Inc. | 3,804 | 211 | |
Cullen/Frost Bankers Inc. | 1,682 | 210 | |
HomeStreet Inc. | 5,140 | 207 | |
Northfield Bancorp Inc. | 14,015 | 186 | |
OFG Bancorp | 6,565 | 186 | |
* | Metropolitan Bank Holding Corp. | 2,382 | 184 |
Navient Corp. | 11,160 | 179 | |
Hancock Whitney Corp. | 3,402 | 170 | |
American Equity Investment Life Holding Co. | 4,046 | 163 | |
Kearny Financial Corp. | 13,073 | 162 | |
Meta Financial Group Inc. | 3,887 | 162 | |
Preferred Bank | 2,367 | 162 | |
Southside Bancshares Inc. | 3,932 | 159 | |
Univest Financial Corp. | 5,892 | 156 | |
* | World Acceptance Corp. | 1,050 | 155 |
Enterprise Financial Services Corp. | 3,334 | 154 | |
Bank of NT Butterfield & Son Ltd. | 4,856 | 153 | |
* | Triumph Bancorp Inc. | 2,096 | 152 |
Horizon Bancorp Inc. | 7,941 | 143 | |
Washington Trust Bancorp Inc. | 2,805 | 141 | |
Raymond James Financial Inc. | 1,419 | 140 | |
Cboe Global Markets Inc. | 1,136 | 128 | |
Tradeweb Markets Inc. Class A | 1,886 | 128 | |
First Commonwealth Financial Corp. | 9,013 | 126 | |
Lakeland Financial Corp. | 1,726 | 125 | |
* | Silvergate Capital Corp. Class A | 1,589 | 125 |
First BanCorp. (XNYS) | 8,122 | 121 | |
* | Enova International Inc. | 3,719 | 117 |
Fifth Third Bancorp | 2,876 | 113 | |
* | LendingClub Corp. | 7,087 | 111 |
Wintrust Financial Corp. | 1,189 | 104 | |
Fulton Financial Corp. | 6,231 | 99 | |
* | EZCorp. Inc. Class A | 12,853 | 97 |
Cohen & Steers Inc. | 1,247 | 95 | |
Old Republic International Corp. | 3,978 | 95 | |
Sandy Spring Bancorp Inc. | 2,216 | 94 | |
Independent Bank Corp. | 4,590 | 91 | |
* | Mr Cooper Group Inc. | 2,029 | 88 |
1st Source Corp. | 1,626 | 76 | |
Regional Management Corp. | 1,519 | 72 | |
First Bancorp (XNGS) | 1,841 | 69 | |
Arthur J Gallagher & Co. | 407 | 66 | |
Morningstar Inc. | 254 | 65 | |
* | Nicolet Bankshares Inc. | 782 | 62 |
Stock Yards Bancorp Inc. | 1,015 | 60 | |
Dime Community Bancshares Inc. | 1,920 | 60 | |
HarborOne Bancorp Inc. | 3,444 | 49 | |
Intercontinental Exchange Inc. | 338 | 35 | |
30,479 | |||
Health Care (14.1%) | |||
UnitedHealth Group Inc. | 5,388 | 2,677 | |
* | Regeneron Pharmaceuticals Inc. | 3,283 | 2,182 |
Pfizer Inc. | 38,173 | 2,025 |
Shares | Market Value• ($000) | ||
Anthem Inc. | 3,512 | 1,790 | |
Eli Lilly & Co. | 5,589 | 1,752 | |
AbbVie Inc. | 10,923 | 1,610 | |
* | Vertex Pharmaceuticals Inc. | 5,848 | 1,571 |
* | Centene Corp. | 15,262 | 1,243 |
HCA Healthcare Inc. | 5,395 | 1,135 | |
* | Molina Healthcare Inc. | 1,875 | 544 |
* | Edwards Lifesciences Corp. | 4,924 | 497 |
* | Tenet Healthcare Corp. | 6,972 | 451 |
* | CorVel Corp. | 2,970 | 443 |
Merck & Co. Inc. | 4,386 | 404 | |
* | Prestige Consumer Healthcare Inc. | 7,245 | 404 |
* | Amphastar Pharmaceuticals Inc. | 10,484 | 389 |
Bristol-Myers Squibb Co. | 5,087 | 384 | |
* | Option Care Health Inc. | 11,926 | 362 |
Thermo Fisher Scientific Inc. | 635 | 360 | |
* | Innoviva Inc. | 21,345 | 324 |
* | Lantheus Holdings Inc. | 4,358 | 299 |
* | Intra-Cellular Therapies Inc. | 5,113 | 293 |
* | Cytokinetics Inc. | 6,656 | 266 |
* | Mirum Pharmaceuticals Inc. | 11,373 | 266 |
* | ChemoCentryx Inc. | 11,085 | 247 |
* | Prometheus Biosciences Inc. | 9,327 | 243 |
* | iRhythm Technologies Inc. | 1,511 | 213 |
* | Travere Thrapeutics Inc. | 9,077 | 212 |
* | Kezar Life Sciences Inc. | 41,547 | 210 |
* | Evolus Inc. | 16,078 | 207 |
* | Horizon Therapeutics plc | 2,270 | 204 |
West Pharmaceutical Services Inc. | 634 | 197 | |
* | NextGen Healthcare Inc. | 10,500 | 190 |
* | Karyopharm Therapeutics Inc. | 29,511 | 185 |
* | Meridian Bioscience Inc. | 6,634 | 182 |
* | IVERIC bio Inc. | 16,614 | 173 |
* | Apellis Pharmaceuticals Inc. | 4,106 | 170 |
* | Cerevel Therapeutics Holdings Inc. | 6,308 | 165 |
* | Catalyst Pharmaceuticals Inc. | 22,390 | 161 |
* | Harmony Biosciences Holdings Inc. | 3,688 | 161 |
Danaher Corp. | 576 | 152 | |
* | Evolent Health Inc. Class A | 5,302 | 149 |
* | Adicet Bio Inc. | 11,650 | 138 |
* | Surgery Partners Inc. | 3,440 | 135 |
* | Fulcrum Therapeutics Inc. | 18,626 | 133 |
* | Geron Corp. (XNGS) | 93,428 | 129 |
* | Dynavax Technologies Corp. | 10,736 | 127 |
Owens & Minor Inc. | 3,599 | 125 | |
* | Eagle Pharmaceuticals Inc. | 2,597 | 121 |
* | ACADIA Pharmaceuticals Inc. | 7,410 | 120 |
* | Enanta Pharmaceuticals Inc. | 3,001 | 120 |
* | Inspire Medical Systems Inc. | 677 | 120 |
* | Cutera Inc. | 2,598 | 117 |
* | BioCryst Pharmaceuticals Inc. | 12,431 | 116 |
* | Albireo Pharma Inc. | 5,653 | 113 |
* | Pacira BioSciences Inc. | 1,706 | 108 |
* | Tandem Diabetes Care Inc. | 1,557 | 106 |
* | Crinetics Pharmaceuticals Inc. | 5,599 | 94 |
* | Avid Bioservices Inc. | 6,895 | 92 |
* | Vaxcyte Inc. | 3,737 | 90 |
* | Chinook Therapeutics Inc. | 5,735 | 87 |
* | AnaptysBio Inc. | 3,540 | 67 |
Atrion Corp. | 91 | 57 | |
* | Prothena Corp. plc | 1,986 | 54 |
* | iTeos Therapeutics Inc. | 2,923 | 51 |
Shares | Market Value• ($000) | ||
* | Keros Therapeutics Inc. | 1,507 | 51 |
* | R1 RCM Inc. | 2,260 | 48 |
* | Corcept Therapeutics Inc. | 2,137 | 45 |
STERIS plc | 199 | 45 | |
* | Celldex Therapeutics Inc. | 1,833 | 43 |
* | Agiliti Inc. | 2,163 | 42 |
* | Anavex Life Sciences Corp. | 4,374 | 40 |
* | AngioDynamics Inc. | 1,814 | 36 |
* | Community Health Systems Inc. | 6,779 | 35 |
* | EyePoint Pharmaceuticals Inc. | 3,365 | 32 |
27,929 | |||
Industrials (13.6%) | |||
Northrop Grumman Corp. | 3,305 | 1,547 | |
Lockheed Martin Corp. | 2,837 | 1,249 | |
General Dynamics Corp. | 5,510 | 1,239 | |
Carlisle Cos. Inc. | 4,777 | 1,215 | |
L3Harris Technologies Inc. | 4,926 | 1,187 | |
American Express Co. | 6,331 | 1,069 | |
Automatic Data Processing Inc. | 2,720 | 606 | |
Robert Half International Inc. | 6,361 | 573 | |
Raytheon Technologies Corp. | 6,006 | 571 | |
Union Pacific Corp. | 2,540 | 558 | |
WW Grainger Inc. | 1,113 | 542 | |
* | WESCO International Inc. | 4,302 | 540 |
Schneider National Inc. Class B | 22,220 | 536 | |
EnPro Industries Inc. | 5,319 | 509 | |
* | ExlService Holdings Inc. | 3,333 | 474 |
Dover Corp. | 3,401 | 455 | |
Triton International Ltd. | 6,485 | 414 | |
Zurn Water Solutions Corp. | 14,182 | 409 | |
Scorpio Tankers Inc. | 11,956 | 395 | |
* | WillScot Mobile Mini Holdings Corp. | 10,994 | 393 |
Accenture plc Class A | 1,306 | 390 | |
Eagle Bulk Shipping Inc. | 5,151 | 377 | |
* | Veritiv Corp. | 2,407 | 350 |
Old Dominion Freight Line Inc. | 1,336 | 345 | |
* | AMN Healthcare Services Inc. | 3,474 | 337 |
SFL Corp. Ltd. | 29,220 | 329 | |
Applied Industrial Technologies Inc. | 3,174 | 328 | |
* | Builders FirstSource Inc. | 4,931 | 321 |
Costamare Inc. | 20,105 | 286 | |
nVent Electric plc | 7,959 | 282 | |
Paychex Inc. | 2,253 | 279 | |
Genco Shipping & Trading Ltd. | 11,020 | 278 | |
United Parcel Service Inc. Class B | 1,491 | 272 | |
* | Atkore Inc. | 2,464 | 268 |
Sealed Air Corp. | 4,304 | 268 | |
* | Titan International Inc. | 14,618 | 266 |
Acuity Brands Inc. | 1,469 | 257 | |
* | Air Transport Services Group Inc. | 7,949 | 240 |
Dorian LPG Ltd. | 13,977 | 238 | |
Safe Bulkers Inc. | 49,549 | 236 | |
* | Allegheny Technologies Inc. | 8,463 | 233 |
* | CBIZ Inc. | 5,654 | 232 |
Quanta Services Inc. | 1,954 | 232 | |
* | AAR Corp. | 4,755 | 229 |
CRA International Inc. | 2,637 | 226 | |
* | Cross Country Healthcare Inc. | 12,678 | 224 |
Encore Wire Corp. | 1,743 | 218 | |
* | CoreCivic Inc. | 16,811 | 216 |
International Seaways Inc. | 8,966 | 216 |
Shares | Market Value• ($000) | ||
* | Bill.com Holdings Inc. | 1,620 | 192 |
* | BlueLinx Holdings Inc. | 2,221 | 184 |
Kforce Inc. | 2,707 | 178 | |
* | Donnelley Financial Solutions Inc. | 5,500 | 171 |
Textainer Group Holdings Ltd. | 5,227 | 170 | |
* | Transcat Inc. | 2,622 | 166 |
* | International Money Express Inc. | 7,799 | 161 |
* | MYR Group Inc. | 1,714 | 157 |
* | Triumph Group Inc. | 9,458 | 145 |
Herc Holdings Inc. | 1,213 | 142 | |
Curtiss-Wright Corp. | 976 | 139 | |
Resources Connection Inc. | 7,392 | 137 | |
Belden Inc. | 2,368 | 136 | |
Korn Ferry | 2,081 | 128 | |
* | NV5 Global Inc. | 1,022 | 126 |
Standex International Corp. | 1,341 | 125 | |
Regal Rexnord Corp. | 933 | 117 | |
Covenant Logistics Group Inc. Class A | 4,982 | 113 | |
Matson Inc. | 1,164 | 105 | |
* | Forrester Research Inc. | 1,990 | 104 |
Tetra Tech Inc. | 754 | 102 | |
* | Chart Industries Inc. | 576 | 101 |
Gorman-Rupp Co. | 3,216 | 96 | |
HEICO Corp. | 638 | 91 | |
* | Sterling Construction Co. Inc. | 3,657 | 90 |
Wabash National Corp. | 5,482 | 84 | |
Shyft Group Inc. | 3,765 | 84 | |
Advanced Drainage Systems Inc. | 735 | 80 | |
Heidrick & Struggles International Inc. | 2,203 | 76 | |
Kadant Inc. | 408 | 75 | |
* | Fluor Corp. | 2,601 | 73 |
* | Kirby Corp. | 972 | 66 |
Cintas Corp. | 162 | 65 | |
ArcBest Corp. | 841 | 64 | |
* | Energy Recovery Inc. | 3,083 | 62 |
Greenbrier Cos. Inc. | 1,352 | 56 | |
* | Saia Inc. | 286 | 56 |
* | Aspen Aerogels Inc. | 2,995 | 52 |
* | Atlas Air Worldwide Holdings Inc. | 731 | 51 |
* | Paylocity Holding Corp. | 286 | 50 |
* | API Group Corp. | 2,685 | 47 |
* | TrueBlue Inc. | 1,859 | 41 |
* | FTI Consulting Inc. | 241 | 40 |
* | Daseke Inc. | 4,380 | 33 |
26,985 | |||
Real Estate (0.5%) | |||
* | Jones Lang LaSalle Inc. | 2,215 | 437 |
Kennedy-Wilson Holdings Inc. | 12,654 | 266 | |
Newmark Group Inc. Class A | 15,773 | 175 | |
* | Cushman & Wakefield plc | 8,126 | 152 |
Marcus & Millichap Inc. | 1,203 | 50 | |
1,080 | |||
Technology (9.4%) | |||
* | Palo Alto Networks Inc. | 3,571 | 1,795 |
Broadcom Inc. | 2,691 | 1,561 | |
* | Fortinet Inc. | 3,157 | 929 |
Apple Inc. | 6,026 | 897 | |
* | Gartner Inc. | 2,894 | 759 |
NVIDIA Corp. | 4,033 | 753 | |
Marvell Technology Inc. | 12,543 | 742 |
Shares | Market Value• ($000) | ||
* | Perficient Inc. | 6,552 | 642 |
* | Advanced Micro Devices Inc. | 5,679 | 578 |
QUALCOMM Inc. | 3,786 | 542 | |
* | Alphabet Inc. Class C | 213 | 486 |
* | ON Semiconductor Corp. | 7,530 | 457 |
* | Qualys Inc. | 3,458 | 452 |
* | Rambus Inc. | 16,028 | 402 |
Dell Technologies Inc. Class C | 7,016 | 350 | |
Microsoft Corp. | 1,273 | 346 | |
* | Pure Storage Inc. Class A | 12,782 | 303 |
* | PDF Solutions Inc. | 12,126 | 290 |
* | Datadog Inc. Class A | 2,869 | 274 |
KBR Inc. | 5,074 | 253 | |
* | Allscripts Healthcare Solutions Inc. | 14,017 | 240 |
* | Globant SA | 1,166 | 221 |
* | New Relic Inc. | 4,671 | 219 |
* | Arrow Electronics Inc. | 1,810 | 218 |
* | Limelight Networks Inc. | 59,785 | 216 |
* | Synaptics Inc. | 1,417 | 210 |
Entegris Inc. | 1,803 | 200 | |
* | Tenable Holdings Inc. | 3,975 | 200 |
Concentrix Corp. | 1,270 | 197 | |
* | Axcelis Technologies Inc. | 3,148 | 195 |
* | Veeco Instruments Inc. | 8,994 | 193 |
* | Photronics Inc. | 7,881 | 171 |
* | Super Micro Computer Inc. | 3,363 | 168 |
* | Alpha & Omega Semiconductor Ltd. | 3,621 | 159 |
A10 Networks Inc. | 9,959 | 153 | |
* | Avid Technology Inc. | 5,150 | 151 |
NortonLifeLock Inc. | 6,128 | 149 | |
* | Aspen Technology Inc. | 761 | 147 |
* | Alphabet Inc. Class A | 64 | 146 |
* | MongoDB Inc. Class A | 616 | 146 |
* | Wolfspeed Inc. | 1,858 | 140 |
* | MaxLinear Inc. | 3,396 | 134 |
* | Zscaler Inc. | 787 | 120 |
* | Sitime Corp. | 547 | 117 |
* | Cadence Design Systems Inc. | 750 | 115 |
KLA Corp. | 303 | 111 | |
* | Box Inc. Class A | 3,975 | 104 |
* | Cloudflare Inc. Class A | 1,833 | 103 |
* | MACOM Technology Solutions Holdings Inc. Class H | 1,673 | 91 |
* | FormFactor Inc. | 2,160 | 89 |
Monolithic Power Systems Inc. | 197 | 89 | |
* | CACI International Inc. Class A | 288 | 81 |
* | Lattice Semiconductor Corp. | 1,427 | 74 |
* | Asana Inc. Class A | 3,394 | 74 |
* | Cargurus Inc. | 2,747 | 70 |
American Software Inc. Class A | 3,865 | 66 | |
Oracle Corp. | 873 | 63 | |
* | SPS Commerce Inc. | 587 | 63 |
HP Inc. | 1,458 | 57 | |
NetApp Inc. | 793 | 57 | |
* | Impinj Inc. | 1,203 | 56 |
* | Synopsys Inc. | 158 | 50 |
CSG Systems International Inc. | 777 | 48 | |
Shutterstock Inc. | 716 | 43 | |
* | DigitalOcean Holdings Inc. | 884 | 43 |
* | TechTarget Inc. | 594 | 42 |
* | SMART Global Holdings Inc. | 1,688 | 42 |
18,652 |
Shares | Market Value• ($000) | ||
Telecommunications (1.2%) | |||
* | Arista Networks Inc. | 4,464 | 457 |
Motorola Solutions Inc. | 1,447 | 318 | |
* | WideOpenWest Inc. | 14,027 | 308 |
Juniper Networks Inc. | 7,617 | 234 | |
* | Clearfield Inc. | 3,251 | 201 |
* | Anterix Inc. | 4,545 | 194 |
* | Gogo Inc. | 8,498 | 172 |
* | Calix Inc. | 3,119 | 115 |
* | Extreme Networks Inc. | 10,388 | 103 |
* | Harmonic Inc. | 7,945 | 77 |
Ubiquiti Inc. | 249 | 65 | |
* | Infinera Corp. | 4,974 | 28 |
2,272 | |||
Utilities (0.5%) | |||
Waste Management Inc. | 4,595 | 728 | |
* | Evoqua Water Technologies Corp. | 9,593 | 342 |
1,070 | |||
Total Common Stocks (Cost $181,367) | 197,794 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.854% (Cost $610) | 6,104 | 610 |
Total Investments (100.0%) (Cost $181,977) | 198,404 | ||
Other Assets and Liabilities—Net (0.0%) | 93 | ||
Net Assets (100%) | 198,497 | ||
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 $361,000. |
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 $386,000 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 2022 | 2 | 413 | (22) |
Micro E-mini S&P 500 Index | June 2022 | 10 | 207 | 2 |
(20) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $181,367) | 197,794 |
Affiliated Issuers (Cost $610) | 610 |
Total Investments in Securities | 198,404 |
Investment in Vanguard | 7 |
Cash | 241 |
Cash Collateral Pledged—Futures Contracts | 36 |
Receivables for Accrued Income | 313 |
Total Assets | 199,001 |
Liabilities | |
Payables for Investment Securities Purchased | 103 |
Collateral for Securities on Loan | 386 |
Payables to Vanguard | 11 |
Variation Margin Payable—Futures Contracts | 4 |
Total Liabilities | 504 |
Net Assets | 198,497 |
1 Includes $361 of securities on loan. | |
At May 31, 2022, net assets consisted of: | |
Paid-in Capital | 190,626 |
Total Distributable Earnings (Loss) | 7,871 |
Net Assets | 198,497 |
Net Assets | |
Applicable to 1,675,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 198,497 |
Net Asset Value Per Share | $118.51 |
Six Months Ended May 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 1,612 |
Interest2 | 1 |
Securities Lending—Net | 7 |
Total Income | 1,620 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 76 |
Management and Administrative | 14 |
Marketing and Distribution | 3 |
Custodian Fees | 6 |
Shareholders’ Reports | 16 |
Trustees’ Fees and Expenses | — |
Professional Services | 8 |
Total Expenses | 123 |
Net Investment Income | 1,497 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (4,477) |
Futures Contracts | (24) |
Realized Net Gain (Loss) | (4,501) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (15,416) |
Futures Contracts | (36) |
Change in Unrealized Appreciation (Depreciation) | (15,452) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (18,456) |
1 | Dividends are net of foreign withholding taxes of less than $1,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $6,331,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,497 | 1,153 | |
Realized Net Gain (Loss) | (4,501) | 47 | |
Change in Unrealized Appreciation (Depreciation) | (15,452) | 16,403 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (18,456) | 17,603 | |
Distributions | |||
Total Distributions | (1,317) | (717) | |
Capital Share Transactions | |||
Issued | 52,402 | 124,004 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (25,048) | (8,454) | |
Net Increase (Decrease) from Capital Share Transactions | 27,354 | 115,550 | |
Total Increase (Decrease) | 7,581 | 132,436 | |
Net Assets | |||
Beginning of Period | 190,916 | 58,480 | |
End of Period | 198,497 | 190,916 |
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2022 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | ||
2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $132.12 | $106.33 | $85.18 | $76.73 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | .971 | 1.227 | .552 | .985 | .538 |
Net Realized and Unrealized Gain (Loss) on Investments | (13.725) | 25.325 | 21.279 | 8.336 | 1.489 |
Total from Investment Operations | (12.754) | 26.552 | 21.831 | 9.321 | 2.027 |
Distributions | |||||
Dividends from Net Investment Income | (.856) | (.762) | (.681) | (.871) | (.297) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.856) | (.762) | (.681) | (.871) | (.297) |
Net Asset Value, End of Period | $118.51 | $132.12 | $106.33 | $85.18 | $76.73 |
Total Return | -9.71% | 25.01% | 25.91% | 12.25% | 2.67% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $198 | $191 | $58 | $32 | $33 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 1.42% | 0.95% | 0.62% | 1.24% | 0.83%3 |
Portfolio Turnover Rate | 61%4 | 103%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, 2022, 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 | 181,982 |
Gross Unrealized Appreciation | 25,330 |
Gross Unrealized Depreciation | (8,928) |
Net Unrealized Appreciation (Depreciation) | 16,402 |
E. | During the six months ended May 31, 2022, the fund purchased $169,769,000 of investment securities and sold $142,057,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $25,039,000, 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, 2022 | Year Ended November 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 430 | 960 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (200) | (65) | |
Net Increase (Decrease) in Shares Outstanding | 230 | 895 |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2022, that would require recognition or disclosure in these financial statements. |
Basic Materials | 5.1% |
Consumer Discretionary | 16.0 |
Consumer Staples | 8.5 |
Energy | 14.6 |
Financials | 19.2 |
Health Care | 13.5 |
Industrials | 11.9 |
Real Estate | 0.1 |
Technology | 9.8 |
Telecommunications | 1.3 |
Shares | Market Value• ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (5.1%) | |||
Freeport-McMoRan Inc. | 32,629 | 1,275 | |
CF Industries Holdings Inc. | 6,184 | 611 | |
Steel Dynamics Inc. | 6,000 | 512 | |
Reliance Steel & Aluminum Co. | 2,536 | 493 | |
Olin Corp. | 7,447 | 490 | |
Nucor Corp. | 3,602 | 477 | |
UFP Industries Inc. | 4,744 | 366 | |
AdvanSix Inc. | 7,411 | 343 | |
Boise Cascade Co. | 4,316 | 334 | |
Chemours Co. | 7,599 | 327 | |
Mosaic Co. | 5,067 | 318 | |
Southern Copper Corp. | 4,100 | 253 | |
Newmont Corp. | 3,680 | 250 | |
Commercial Metals Co. | 4,667 | 185 | |
Celanese Corp. Class A | 1,166 | 183 | |
Huntsman Corp. | 4,863 | 176 | |
Mueller Industries Inc. | 2,948 | 159 | |
Tronox Holdings plc Class A | 8,022 | 145 | |
Timken Co. | 1,804 | 110 | |
US Steel Corp. | 3,794 | 95 | |
Dow Inc. | 1,303 | 89 | |
Materion Corp. | 899 | 74 | |
Stepan Co. | 619 | 69 | |
Cabot Corp. | 890 | 67 | |
Fastenal Co. | 1,052 | 56 | |
International Paper Co. | 733 | 36 | |
Valvoline Inc. | 1,029 | 34 | |
7,527 | |||
Consumer Discretionary (16.0%) | |||
H&R Block Inc. | 30,231 | 1,065 | |
Lowe's Cos. Inc. | 5,196 | 1,015 | |
Costco Wholesale Corp. | 1,678 | 782 | |
* | O'Reilly Automotive Inc. | 1,152 | 734 |
Ford Motor Co. | 47,482 | 650 | |
Target Corp. | 3,820 | 618 | |
Scholastic Corp. | 14,995 | 563 | |
Dillard's Inc. Class A | 1,852 | 558 | |
* | AutoNation Inc. | 4,115 | 492 |
* | AutoZone Inc. | 238 | 490 |
LKQ Corp. | 8,294 | 426 | |
Travel + Leisure Co. | 7,488 | 383 | |
Fox Corp. Class A | 10,425 | 370 | |
* | Perdoceo Education Corp. | 33,646 | 367 |
Omnicom Group Inc. | 4,862 | 363 | |
Dick's Sporting Goods Inc. | 4,328 | 352 | |
Genuine Parts Co. | 2,375 | 325 |
Shares | Market Value• ($000) | ||
Nexstar Media Group Inc. Class A | 1,856 | 325 | |
Ralph Lauren Corp. Class A | 3,166 | 320 | |
Movado Group Inc. | 9,260 | 314 | |
Oxford Industries Inc. | 3,315 | 302 | |
Macy's Inc. | 12,672 | 300 | |
Boyd Gaming Corp. | 4,758 | 280 | |
Whirlpool Corp. | 1,486 | 274 | |
Service Corp. International | 3,753 | 263 | |
Rush Enterprises Inc. Class A | 5,018 | 256 | |
Interpublic Group of Cos. Inc. | 7,752 | 250 | |
Penske Automotive Group Inc. | 2,166 | 249 | |
Williams-Sonoma Inc. | 1,938 | 248 | |
International Game Technology plc | 11,546 | 247 | |
* | BJ's Wholesale Club Holdings Inc. | 4,205 | 243 |
Ethan Allen Interiors Inc. | 10,337 | 240 | |
* | Monarch Casino & Resort Inc. | 3,505 | 238 |
* | SeaWorld Entertainment Inc. | 4,181 | 227 |
Advance Auto Parts Inc. | 1,163 | 221 | |
Tapestry Inc. | 6,387 | 220 | |
Hibbett Inc. | 4,259 | 216 | |
* | Cars.com Inc. | 20,597 | 213 |
* | ODP Corp. | 5,234 | 200 |
Kohl's Corp. | 4,818 | 194 | |
* | Expedia Group Inc. | 1,467 | 190 |
Signet Jewelers Ltd. | 3,196 | 190 | |
Lithia Motors Inc. Class A | 589 | 179 | |
Group 1 Automotive Inc. | 993 | 178 | |
* | Funko Inc. Class A | 8,682 | 177 |
eBay Inc. | 3,614 | 176 | |
Lennar Corp. Class A | 2,151 | 173 | |
Shoe Carnival Inc. | 6,235 | 170 | |
Entravision Communications Corp. Class A | 31,846 | 167 | |
* | Tri Pointe Homes Inc. | 7,875 | 166 |
* | MarineMax Inc. | 3,718 | 154 |
* | Conn's Inc. | 11,467 | 151 |
Gentex Corp. | 4,755 | 148 | |
* | Knowles Corp. | 7,701 | 148 |
Rent-A-Center Inc. | 5,282 | 145 | |
Acushnet Holdings Corp. | 3,499 | 142 | |
* | Deckers Outdoor Corp. | 524 | 141 |
Hanesbrands Inc. | 11,848 | 141 | |
* | Skyline Champion Corp. | 2,622 | 139 |
Buckle Inc. | 4,070 | 134 | |
Standard Motor Products Inc. | 3,363 | 134 | |
Sonic Automotive Inc. Class A | 2,910 | 133 |
Shares | Market Value• ($000) | ||
Bath & Body Works Inc. | 3,230 | 133 | |
PulteGroup Inc. | 2,914 | 132 | |
Academy Sports & Outdoors Inc. | 3,901 | 131 | |
* | Lululemon Athletica Inc. | 441 | 129 |
* | Vera Bradley Inc. | 18,744 | 128 |
* | Abercrombie & Fitch Co. Class A | 6,069 | 124 |
Aaron's Co. Inc. | 6,114 | 120 | |
* | Helen of Troy Ltd. | 643 | 119 |
* | Duluth Holdings Inc. Class B | 9,426 | 118 |
* | NVR Inc. | 26 | 116 |
* | Zumiez Inc. | 3,548 | 116 |
* | Capri Holdings Ltd. | 2,318 | 113 |
Inter Parfums Inc. | 1,499 | 111 | |
* | Gentherm Inc. | 1,592 | 110 |
Tilly's Inc. Class A | 12,850 | 106 | |
* | Central Garden & Pet Co. Class A | 2,465 | 104 |
A-Mark Precious Metals Inc. | 1,366 | 104 | |
* | Asbury Automotive Group Inc. | 567 | 103 |
* | Malibu Boats Inc. Class A | 1,765 | 103 |
Century Communities Inc. | 1,878 | 102 | |
Garmin Ltd. | 967 | 102 | |
HNI Corp. | 2,630 | 100 | |
Steven Madden Ltd. | 2,682 | 100 | |
PVH Corp. | 1,397 | 99 | |
* | Ulta Beauty Inc. | 230 | 97 |
Cato Corp. Class A | 7,377 | 96 | |
* | Cavco Industries Inc. | 410 | 91 |
* | Master Craft Boat Holdings Inc. | 3,900 | 91 |
* | Stride Inc. | 2,325 | 91 |
Best Buy Co. Inc. | 1,087 | 89 | |
Tractor Supply Co. | 451 | 85 | |
Laureate Education Inc. Class A | 6,580 | 84 | |
News Corp. Class B | 4,799 | 84 | |
* | Accel Entertainment Inc. Class A | 7,465 | 81 |
* | GoPro Inc. Class A | 11,375 | 79 |
Kontoor Brands Inc. | 1,968 | 79 | |
Interface Inc. Class A | 5,447 | 78 | |
Matthews International Corp. Class A | 2,400 | 78 | |
Newell Brands Inc. | 3,606 | 77 | |
Haverty Furniture Cos. Inc. | 2,652 | 75 | |
Walmart Inc. | 575 | 74 | |
Johnson Outdoors Inc. Class A | 1,115 | 73 | |
John Wiley & Sons Inc. Class A | 1,285 | 68 | |
* | Crocs Inc. | 1,156 | 64 |
Murphy USA Inc. | 257 | 64 | |
Winnebago Industries Inc. | 1,251 | 62 | |
* | Meritage Homes Corp. | 709 | 61 |
* | Citi Trends Inc. | 1,912 | 57 |
* | Sally Beauty Holdings Inc. | 3,652 | 55 |
* | Copart Inc. | 414 | 47 |
News Corp. Class A | 2,698 | 47 | |
Carter's Inc. | 527 | 41 | |
* | Boot Barn Holdings Inc. | 499 | 40 |
* | Universal Electronics Inc. | 1,416 | 38 |
* | American Axle & Manufacturing Holdings Inc. | 4,485 | 36 |
La-Z-Boy Inc. | 1,089 | 28 | |
23,802 | |||
Consumer Staples (8.4%) | |||
Altria Group Inc. | 41,482 | 2,244 | |
McKesson Corp. | 4,353 | 1,431 | |
Philip Morris International Inc. | 12,980 | 1,379 |
Shares | Market Value• ($000) | ||
Tyson Foods Inc. Class A | 10,657 | 955 | |
CVS Health Corp. | 9,865 | 954 | |
Kroger Co. | 16,504 | 874 | |
SpartanNash Co. | 22,439 | 772 | |
Vector Group Ltd. | 51,901 | 639 | |
Ingles Markets Inc. Class A | 7,083 | 631 | |
Weis Markets Inc. | 8,061 | 593 | |
Albertsons Cos. Inc. Class A | 10,078 | 308 | |
Flowers Foods Inc. | 9,911 | 274 | |
Coca-Cola Consolidated Inc. | 445 | 251 | |
Archer-Daniels-Midland Co. | 2,559 | 232 | |
* | Monster Beverage Corp. | 2,012 | 179 |
AmerisourceBergen Corp. Class A | 1,081 | 167 | |
Kraft Heinz Co. | 3,592 | 136 | |
* | USANA Health Sciences Inc. | 1,850 | 130 |
* | Pilgrim's Pride Corp. | 3,558 | 119 |
* | Sprouts Farmers Market Inc. | 2,847 | 77 |
Casey's General Stores Inc. | 354 | 74 | |
Edgewell Personal Care Co. | 1,652 | 60 | |
* | Hain Celestial Group Inc. | 2,070 | 55 |
John B Sanfilippo & Son Inc. | 591 | 45 | |
12,579 | |||
Energy (14.5%) | |||
Chevron Corp. | 11,997 | 2,095 | |
Exxon Mobil Corp. | 20,098 | 1,929 | |
EOG Resources Inc. | 13,711 | 1,878 | |
Pioneer Natural Resources Co. | 4,076 | 1,133 | |
ConocoPhillips | 9,628 | 1,082 | |
Marathon Oil Corp. | 26,679 | 839 | |
Cheniere Energy Inc. | 5,429 | 743 | |
Civitas Resources Inc. | 9,361 | 715 | |
Northern Oil and Gas Inc. | 17,634 | 576 | |
Occidental Petroleum Corp. | 8,094 | 561 | |
* | CONSOL Energy Inc. | 10,533 | 543 |
PDC Energy Inc. | 6,528 | 517 | |
* | W&T Offshore Inc. | 73,695 | 496 |
Oasis Petroleum Inc. | 2,944 | 467 | |
* | ProPetro Holding Corp. | 34,307 | 448 |
Falcon Minerals Corp. | 56,788 | 421 | |
SunCoke Energy Inc. | 51,924 | 420 | |
California Resources Corp. | 9,334 | 408 | |
* | Antero Resources Corp. | 9,135 | 392 |
* | Range Resources Corp. | 10,719 | 364 |
Targa Resources Corp. | 5,005 | 360 | |
Continental Resources Inc. | 4,807 | 327 | |
Warrior Met Coal Inc. | 9,022 | 303 | |
ChampionX Corp. | 11,905 | 277 | |
* | Comstock Resources Inc. | 14,315 | 276 |
Ovintiv Inc. (XNYS) | 4,918 | 275 | |
Baker Hughes Co. Class A | 7,514 | 270 | |
* | Talos Energy Inc. | 12,520 | 270 |
Marathon Petroleum Corp. | 2,593 | 264 | |
Coterra Energy Inc. | 7,635 | 262 | |
* | Southwestern Energy Co. | 26,844 | 245 |
APA Corp. | 4,921 | 231 | |
Diamondback Energy Inc. | 1,352 | 206 | |
Antero Midstream Corp. | 18,841 | 205 | |
Magnolia Oil & Gas Corp. Class A | 6,519 | 180 | |
Schlumberger NV | 3,457 | 159 | |
* | Earthstone Energy Inc. Class A | 8,123 | 146 |
* | REX American Resources Corp. | 1,655 | 144 |
Berry Corp. | 12,724 | 142 | |
* | PBF Energy Inc. Class A | 3,881 | 129 |
Valero Energy Corp. | 999 | 129 |
Shares | Market Value• ($000) | ||
* | Dril-Quip Inc. | 3,560 | 112 |
* | Newpark Resources Inc. | 24,261 | 104 |
Murphy Oil Corp. | 2,409 | 102 | |
Brigham Minerals Inc. Class A | 3,207 | 97 | |
* | Helix Energy Solutions Group Inc. | 20,409 | 95 |
* | Denbury Inc. | 1,163 | 85 |
* | Bristow Group Inc. | 2,489 | 79 |
Arch Resources Inc. | 363 | 56 | |
* | Centrus Energy Corp. Class A | 1,980 | 51 |
Hess Corp. | 324 | 40 | |
21,648 | |||
Financials (19.1%) | |||
Bank of New York Mellon Corp. | 23,448 | 1,093 | |
* | Berkshire Hathaway Inc. Class B | 3,354 | 1,060 |
Wells Fargo & Co. | 21,749 | 995 | |
MetLife Inc. | 14,756 | 994 | |
Aon plc Class A (XNYS) | 2,969 | 818 | |
* | Enstar Group Ltd. | 3,242 | 752 |
Morgan Stanley | 7,809 | 673 | |
* | PRA Group Inc. | 15,631 | 578 |
CNO Financial Group Inc. | 27,797 | 572 | |
First Financial Corp. | 12,488 | 562 | |
Fidelity National Financial Inc. | 12,311 | 521 | |
Hope Bancorp Inc. | 34,124 | 498 | |
Allstate Corp. | 3,401 | 465 | |
HomeStreet Inc. | 11,521 | 464 | |
Associated Banc-Corp. | 22,384 | 463 | |
First BanCorp. (XNYS) | 30,886 | 461 | |
* | Credit Acceptance Corp. | 747 | 445 |
First Financial Bancorp | 20,320 | 426 | |
First Commonwealth Financial Corp. | 30,276 | 424 | |
SLM Corp. | 21,600 | 423 | |
Jefferies Financial Group Inc. | 12,744 | 421 | |
Popular Inc. | 4,999 | 408 | |
Hartford Financial Services Group Inc. | 5,581 | 405 | |
OFG Bancorp | 14,297 | 405 | |
Voya Financial Inc. | 5,775 | 396 | |
Ameriprise Financial Inc. | 1,357 | 375 | |
Central Pacific Financial Corp. | 15,426 | 372 | |
Comerica Inc. | 4,132 | 344 | |
* | Mr Cooper Group Inc. | 7,928 | 344 |
Northwest Bancshares Inc. | 26,096 | 336 | |
City Holding Co. | 4,061 | 333 | |
Kearny Financial Corp. | 25,737 | 319 | |
Hilltop Holdings Inc. | 10,574 | 317 | |
Dime Community Bancshares Inc. | 9,854 | 310 | |
HarborOne Bancorp Inc. | 21,192 | 303 | |
WesBanco Inc. | 8,687 | 296 | |
Byline Bancorp Inc. | 11,548 | 288 | |
Aflac Inc. | 4,670 | 283 | |
Sandy Spring Bancorp Inc. | 6,424 | 272 | |
Midland States Bancorp Inc. | 10,046 | 270 | |
Eagle Bancorp Inc. | 5,235 | 259 | |
Heritage Financial Corp. | 9,898 | 258 | |
Washington Federal Inc. | 7,740 | 251 | |
Hanmi Financial Corp. | 10,576 | 247 | |
* | Encore Capital Group Inc. | 3,950 | 241 |
First American Financial Corp. | 3,967 | 240 | |
BOK Financial Corp. | 2,762 | 238 | |
Stifel Financial Corp. | 3,504 | 225 | |
Bank of America Corp. | 5,961 | 222 | |
Fulton Financial Corp. | 13,975 | 222 |
Shares | Market Value• ($000) | ||
JPMorgan Chase & Co. | 1,657 | 219 | |
NBT Bancorp Inc. | 5,898 | 218 | |
First Citizens BancShares Inc. Class A | 305 | 214 | |
QCR Holdings Inc. | 3,677 | 204 | |
Houlihan Lokey Inc. Class A | 2,362 | 203 | |
Bank of NT Butterfield & Son Ltd. | 6,299 | 199 | |
Piper Sandler Cos. | 1,451 | 191 | |
Virtus Investment Partners Inc. | 991 | 191 | |
Employers Holdings Inc. | 4,410 | 183 | |
Navient Corp. | 11,288 | 181 | |
Federal Agricultural Mortgage Corp. Class C | 1,687 | 177 | |
Principal Financial Group Inc. | 2,421 | 177 | |
Federated Hermes Inc. | 4,854 | 165 | |
Moody's Corp. | 546 | 165 | |
Stewart Information Services Corp. | 2,939 | 163 | |
Nelnet Inc. Class A | 1,908 | 162 | |
Virtu Financial Inc. Class A | 5,830 | 152 | |
Northfield Bancorp Inc. | 10,810 | 144 | |
Zions Bancorp NA | 2,456 | 140 | |
Primerica Inc. | 1,086 | 137 | |
Brookline Bancorp Inc. | 9,371 | 133 | |
Provident Financial Services Inc. | 5,702 | 131 | |
Prudential Financial Inc. | 1,156 | 123 | |
Carlyle Group Inc. | 3,050 | 118 | |
Preferred Bank | 1,685 | 115 | |
1st Source Corp. | 2,422 | 114 | |
Home BancShares Inc. | 5,004 | 113 | |
ServisFirst Bancshares Inc. | 1,355 | 113 | |
Affiliated Managers Group Inc. | 812 | 108 | |
UMB Financial Corp. | 1,174 | 108 | |
HCI Group Inc. | 1,520 | 103 | |
Flushing Financial Corp. | 4,312 | 100 | |
Raymond James Financial Inc. | 1,002 | 99 | |
Park National Corp. | 792 | 98 | |
Equitable Holdings Inc. | 3,094 | 94 | |
* | Columbia Financial Inc. | 4,370 | 91 |
Southside Bancshares Inc. | 2,089 | 84 | |
BankUnited Inc. | 1,911 | 80 | |
Trustmark Corp. | 2,735 | 80 | |
Cathay General Bancorp | 1,838 | 76 | |
Origin Bancorp Inc. | 1,815 | 71 | |
FNB Corp. | 5,531 | 67 | |
Horizon Bancorp Inc. | 3,662 | 66 | |
Washington Trust Bancorp Inc. | 1,302 | 65 | |
Banner Corp. | 1,085 | 63 | |
Cohen & Steers Inc. | 787 | 60 | |
Independent Bank Corp. | 3,018 | 60 | |
Franklin Resources Inc. | 1,786 | 48 | |
Merchants Bancorp | 1,757 | 45 | |
Oppenheimer Holdings Inc. Class A | 1,242 | 44 | |
Radian Group Inc. | 1,996 | 43 | |
State Street Corp. | 581 | 42 | |
* | Arch Capital Group Ltd. | 877 | 42 |
KeyCorp | 2,034 | 41 | |
Evercore Inc. Class A | 336 | 38 | |
Hanover Insurance Group Inc. | 247 | 36 | |
TrustCo Bank Corp. NY | 1,018 | 33 | |
Walker & Dunlop Inc. | 300 | 32 | |
First Bancorp (XNGS) | 795 | 30 | |
28,479 |
Shares | Market Value• ($000) | ||
Health Care (13.4%) | |||
Pfizer Inc. | 40,238 | 2,134 | |
Bristol-Myers Squibb Co. | 27,999 | 2,113 | |
* | Regeneron Pharmaceuticals Inc. | 2,332 | 1,550 |
AbbVie Inc. | 9,323 | 1,374 | |
Anthem Inc. | 2,666 | 1,359 | |
HCA Healthcare Inc. | 5,400 | 1,136 | |
Gilead Sciences Inc. | 16,112 | 1,045 | |
UnitedHealth Group Inc. | 1,929 | 958 | |
* | Vertex Pharmaceuticals Inc. | 3,191 | 857 |
Merck & Co. Inc. | 8,611 | 793 | |
* | Hologic Inc. | 8,688 | 654 |
Organon & Co. | 15,237 | 578 | |
* | Molina Healthcare Inc. | 1,590 | 461 |
Johnson & Johnson | 2,423 | 435 | |
* | Innoviva Inc. | 24,573 | 373 |
Quest Diagnostics Inc. | 2,469 | 348 | |
Eli Lilly & Co. | 1,033 | 324 | |
Premier Inc. Class A | 7,655 | 286 | |
* | Tenet Healthcare Corp. | 4,010 | 260 |
* | Biogen Inc. | 1,295 | 259 |
* | United Therapeutics Corp. | 1,113 | 256 |
* | Centene Corp. | 2,999 | 244 |
* | Catalyst Pharmaceuticals Inc. | 33,701 | 243 |
Laboratory Corp. of America Holdings | 940 | 232 | |
QuidelOrtho Corp. | 2,301 | 219 | |
* | iTeos Therapeutics Inc. | 10,515 | 184 |
* | Medpace Holdings Inc. | 1,133 | 162 |
* | Eagle Pharmaceuticals Inc. | 2,896 | 135 |
* | CorVel Corp. | 857 | 128 |
* | Amphastar Pharmaceuticals Inc. | 3,283 | 122 |
West Pharmaceutical Services Inc. | 334 | 104 | |
Patterson Cos. Inc. | 3,192 | 101 | |
* | DaVita Inc. | 1,005 | 98 |
* | Moderna Inc. | 620 | 90 |
* | Corcept Therapeutics Inc. | 3,854 | 80 |
* | Henry Schein Inc. | 709 | 61 |
Abbott Laboratories | 456 | 54 | |
* | AngioDynamics Inc. | 2,774 | 54 |
* | Meridian Bioscience Inc. | 1,887 | 52 |
* | Computer Programs and Systems Inc. | 1,578 | 50 |
* | ICU Medical Inc. | 277 | 50 |
* | ModivCare Inc. | 327 | 31 |
20,047 | |||
Industrials (11.9%) | |||
Northrop Grumman Corp. | 2,181 | 1,021 | |
American Express Co. | 5,965 | 1,007 | |
Louisiana-Pacific Corp. | 6,446 | 445 | |
Resources Connection Inc. | 20,909 | 386 | |
SFL Corp. Ltd. | 34,273 | 386 | |
Accenture plc Class A | 1,266 | 378 | |
Dorian LPG Ltd. | 21,314 | 362 | |
General Dynamics Corp. | 1,506 | 339 | |
* | FTI Consulting Inc. | 2,004 | 337 |
Encore Wire Corp. | 2,390 | 299 | |
* | AMN Healthcare Services Inc. | 2,929 | 284 |
Paychex Inc. | 2,185 | 271 | |
Insteel Industries Inc. | 6,318 | 262 | |
Covenant Logistics Group Inc. Class A | 11,315 | 256 | |
Robert Half International Inc. | 2,754 | 248 | |
Genco Shipping & Trading Ltd. | 9,809 | 248 |
Shares | Market Value• ($000) | ||
Old Dominion Freight Line Inc. | 928 | 240 | |
* | MYR Group Inc. | 2,565 | 235 |
AGCO Corp. | 1,828 | 234 | |
Kforce Inc. | 3,553 | 233 | |
Johnson Controls International plc | 4,275 | 233 | |
Matson Inc. | 2,584 | 232 | |
Acuity Brands Inc. | 1,318 | 231 | |
Heidrick & Struggles International Inc. | 6,620 | 229 | |
* | ExlService Holdings Inc. | 1,601 | 228 |
Ryder System Inc. | 2,808 | 225 | |
Simpson Manufacturing Co. Inc. | 2,028 | 220 | |
* | Titan Machinery Inc. | 7,996 | 211 |
Crown Holdings Inc. | 1,935 | 202 | |
* | Hub Group Inc. Class A | 2,744 | 200 |
Regal Rexnord Corp. | 1,592 | 199 | |
ICF International Inc. | 1,918 | 196 | |
ManpowerGroup Inc. | 2,192 | 196 | |
ArcBest Corp. | 2,495 | 189 | |
* | TopBuild Corp. | 931 | 184 |
* | CoreCivic Inc. | 14,181 | 182 |
Snap-on Inc. | 812 | 180 | |
* | United Rentals Inc. | 576 | 172 |
Apogee Enterprises Inc. | 4,083 | 170 | |
Safe Bulkers Inc. | 35,657 | 170 | |
Werner Enterprises Inc. | 4,105 | 167 | |
Cummins Inc. | 769 | 161 | |
Eagle Materials Inc. | 1,226 | 160 | |
* | Saia Inc. | 797 | 157 |
Textainer Group Holdings Ltd. | 4,806 | 156 | |
EMCOR Group Inc. | 1,451 | 153 | |
* | Great Lakes Dredge & Dock Corp. | 10,306 | 151 |
Schneider National Inc. Class B | 6,242 | 151 | |
* | Atlas Air Worldwide Holdings Inc. | 2,140 | 149 |
* | Zebra Technologies Corp. Class A | 438 | 148 |
* | TrueBlue Inc. | 6,620 | 146 |
* | Cross Country Healthcare Inc. | 7,996 | 141 |
Dover Corp. | 1,041 | 139 | |
CSW Industrials Inc. | 1,232 | 131 | |
Owens Corning | 1,373 | 131 | |
Quanta Services Inc. | 1,092 | 130 | |
Insperity Inc. | 1,257 | 126 | |
Myers Industries Inc. | 5,223 | 124 | |
* | TriNet Group Inc. | 1,506 | 118 |
Marten Transport Ltd. | 6,257 | 110 | |
Quanex Building Products Corp. | 5,365 | 109 | |
Emerson Electric Co. | 1,126 | 100 | |
Watts Water Technologies Inc. Class A | 766 | 100 | |
Westrock Co. | 2,054 | 100 | |
Triton International Ltd. | 1,557 | 99 | |
* | Generac Holdings Inc. | 394 | 97 |
* | Keysight Technologies Inc. | 667 | 97 |
Landstar System Inc. | 622 | 94 | |
WW Grainger Inc. | 191 | 93 | |
JB Hunt Transport Services Inc. | 540 | 93 | |
Costamare Inc. | 6,543 | 93 | |
Heartland Express Inc. | 6,474 | 92 | |
Hubbell Inc. Class B | 485 | 92 | |
Franklin Electric Co. Inc. | 1,238 | 91 | |
Oshkosh Corp. | 967 | 90 | |
Crane Holdings Co. | 919 | 88 |
Shares | Market Value• ($000) | ||
A O Smith Corp. | 1,426 | 86 | |
CRA International Inc. | 994 | 85 | |
* | Berry Global Group Inc. | 1,403 | 82 |
Kadant Inc. | 415 | 77 | |
Korn Ferry | 1,193 | 73 | |
* | Sterling Construction Co. Inc. | 2,867 | 71 |
Federal Signal Corp. | 1,960 | 69 | |
* | Beacon Roofing Supply Inc. | 1,112 | 68 |
United Parcel Service Inc. Class B | 342 | 62 | |
Watsco Inc. | 241 | 62 | |
Zurn Water Solutions Corp. | 2,107 | 61 | |
* | Atkore Inc. | 547 | 60 |
EVERTEC Inc. | 1,574 | 60 | |
Argan Inc. | 1,478 | 59 | |
Badger Meter Inc. | 729 | 58 | |
* | Mohawk Industries Inc. | 393 | 56 |
Caterpillar Inc. | 256 | 55 | |
* | Masonite International Corp. | 604 | 55 |
Sealed Air Corp. | 879 | 55 | |
Shyft Group Inc. | 2,379 | 53 | |
* | Modine Manufacturing Co. | 4,386 | 52 |
* | WESCO International Inc. | 385 | 48 |
ABM Industries Inc. | 958 | 46 | |
* | MasTec Inc. | 539 | 45 |
Knight-Swift Transportation Holdings Inc. | 905 | 44 | |
Standex International Corp. | 449 | 42 | |
Automatic Data Processing Inc. | 186 | 41 | |
Brunswick Corp. | 541 | 41 | |
Comfort Systems USA Inc. | 381 | 34 | |
Moog Inc. Class A | 422 | 34 | |
Packaging Corp. of America | 214 | 34 | |
* | Vectrus Inc. | 901 | 32 |
* | XPO Logistics Inc. | 548 | 29 |
17,726 | |||
Real Estate (0.2%) | |||
* | Jones Lang LaSalle Inc. | 920 | 181 |
* | CBRE Group Inc. Class A | 671 | 56 |
237 | |||
Technology (9.7%) | |||
* | Alphabet Inc. Class A | 546 | 1,242 |
Micron Technology Inc. | 13,367 | 987 | |
Broadcom Inc. | 1,613 | 936 | |
Jabil Inc. | 11,451 | 704 | |
HP Inc. | 17,471 | 679 | |
Cognizant Technology Solutions Corp. Class A | 8,353 | 624 | |
KLA Corp. | 1,596 | 582 | |
* | Arrow Electronics Inc. | 3,611 | 436 |
Applied Materials Inc. | 3,592 | 421 | |
* | Photronics Inc. | 18,432 | 401 |
Dell Technologies Inc. Class C | 7,556 | 377 | |
* | Alphabet Inc. Class C | 159 | 363 |
Concentrix Corp. | 2,215 | 343 | |
NortonLifeLock Inc. | 13,446 | 327 | |
QUALCOMM Inc. | 2,066 | 296 | |
Apple Inc. | 1,836 | 273 | |
CSG Systems International Inc. | 3,922 | 244 | |
* | Gartner Inc. | 908 | 238 |
Xperi Holding Corp. | 13,281 | 219 | |
* | Fortinet Inc. | 733 | 216 |
NVIDIA Corp. | 1,148 | 214 | |
NetApp Inc. | 2,832 | 204 | |
* | Diodes Inc. | 2,568 | 198 |
* | Synaptics Inc. | 1,300 | 193 |
Shares | Market Value• ($000) | ||
Amkor Technology Inc. | 9,104 | 186 | |
* | Sanmina Corp. | 4,232 | 186 |
Teradyne Inc. | 1,680 | 184 | |
Texas Instruments Inc. | 1,011 | 179 | |
Amdocs Ltd. | 1,993 | 173 | |
Kulicke & Soffa Industries Inc. | 3,048 | 165 | |
Microsoft Corp. | 572 | 155 | |
Intel Corp. | 3,311 | 147 | |
* | Avid Technology Inc. | 4,734 | 139 |
International Business Machines Corp. | 897 | 125 | |
* | Lattice Semiconductor Corp. | 2,401 | 125 |
* | TechTarget Inc. | 1,673 | 119 |
* | CACI International Inc. Class A | 409 | 115 |
* | Axcelis Technologies Inc. | 1,818 | 113 |
* | Box Inc. Class A | 4,273 | 112 |
Vishay Intertechnology Inc. | 5,459 | 112 | |
Hewlett Packard Enterprise Co. | 6,945 | 108 | |
* | FormFactor Inc. | 2,487 | 102 |
* | Qorvo Inc. | 899 | 100 |
CTS Corp. | 2,407 | 98 | |
* | Meta Platforms Inc. Class A | 508 | 98 |
Shutterstock Inc. | 1,609 | 97 | |
* | ePlus Inc. | 1,626 | 92 |
* | SMART Global Holdings Inc. | 3,750 | 92 |
* | NetScout Systems Inc. | 2,651 | 91 |
A10 Networks Inc. | 5,594 | 86 | |
Methode Electronics Inc. | 1,787 | 80 | |
* | Perficient Inc. | 809 | 79 |
Oracle Corp. | 882 | 63 | |
* | Onto Innovation Inc. | 766 | 62 |
* | Fabrinet | 660 | 57 |
* | F5 Inc. | 336 | 55 |
PC Connection Inc. | 1,181 | 53 | |
* | Cirrus Logic Inc. | 371 | 30 |
14,495 | |||
Telecommunications (1.3%) | |||
Cisco Systems Inc. | 20,216 | 911 | |
* | Ciena Corp. | 4,400 | 223 |
Juniper Networks Inc. | 6,707 | 206 | |
* | Clearfield Inc. | 2,144 | 132 |
* | WideOpenWest Inc. | 4,793 | 105 |
ADTRAN Inc. | 5,393 | 100 | |
* | Arista Networks Inc. | 896 | 92 |
* | Lumentum Holdings Inc. | 815 | 70 |
* | EchoStar Corp. Class A | 2,525 | 61 |
Lumen Technologies Inc. | 4,419 | 54 | |
* | Telesat Corp. | 1,364 | 23 |
1,977 | |||
Total Common Stocks (Cost $126,803) | 148,517 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
1 | Vanguard Market Liquidity Fund, 0.854% (Cost $337) | 3,367 | 337 |
Total Investments (99.8%) (Cost $127,140) | 148,854 | ||
Other Assets and Liabilities—Net (0.2%) | 362 | ||
Net Assets (100%) | 149,216 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | 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 2022 | 31 | 640 | 8 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $126,803) | 148,517 |
Affiliated Issuers (Cost $337) | 337 |
Total Investments in Securities | 148,854 |
Investment in Vanguard | 5 |
Cash | 11 |
Cash Collateral Pledged—Futures Contracts | 28 |
Receivables for Accrued Income | 332 |
Total Assets | 149,230 |
Liabilities | |
Payables to Vanguard | 11 |
Variation Margin Payable—Futures Contracts | 3 |
Total Liabilities | 14 |
Net Assets | 149,216 |
At May 31, 2022, net assets consisted of: | |
Paid-in Capital | 143,704 |
Total Distributable Earnings (Loss) | 5,512 |
Net Assets | 149,216 |
Net Assets | |
Applicable to 1,480,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 149,216 |
Net Asset Value Per Share | $100.82 |
Six Months Ended May 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 1,468 |
Interest2 | — |
Securities Lending—Net | — |
Total Income | 1,468 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 56 |
Management and Administrative | 45 |
Marketing and Distribution | 2 |
Custodian Fees | 1 |
Shareholders’ Reports | 13 |
Trustees’ Fees and Expenses | — |
Professional Services | 8 |
Total Expenses | 125 |
Net Investment Income | 1,343 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (983) |
Futures Contracts | (50) |
Realized Net Gain (Loss) | (1,033) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (2,569) |
Futures Contracts | 5 |
Change in Unrealized Appreciation (Depreciation) | (2,564) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,254) |
1 | Dividends are net of foreign withholding taxes of $1,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, less than $1,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $828,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,343 | 1,364 | |
Realized Net Gain (Loss) | (1,033) | 3,068 | |
Change in Unrealized Appreciation (Depreciation) | (2,564) | 15,645 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,254) | 20,077 | |
Distributions | |||
Total Distributions | (1,137) | (1,170) | |
Capital Share Transactions | |||
Issued | 45,387 | 31,503 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (3,060) | (2,076) | |
Net Increase (Decrease) from Capital Share Transactions | 42,327 | 29,427 | |
Total Increase (Decrease) | 38,936 | 48,334 | |
Net Assets | |||
Beginning of Period | 110,280 | 61,946 | |
End of Period | 149,216 | 110,280 |
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2022 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | ||
2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $103.55 | $79.93 | $79.60 | $76.07 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | .992 | 1.534 | 1.191 | 1.340 | 1.007 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.802) | 23.442 | .372 | 3.458 | .543 |
Total from Investment Operations | (1.810) | 24.976 | 1.563 | 4.798 | 1.550 |
Distributions | |||||
Dividends from Net Investment Income | (.920) | (1.356) | (1.233) | (1.268) | (.480) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.920) | (1.356) | (1.233) | (1.268) | (.480) |
Net Asset Value, End of Period | $100.82 | $103.55 | $79.93 | $79.60 | $76.07 |
Total Return | -1.80% | 31.43% | 2.35% | 6.46% | 2.03% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $149 | $110 | $62 | $90 | $76 |
Ratio of Total Expenses to Average Net Assets | 0.18% | 0.18% | 0.19%3 | 0.19%3 | 0.18%4 |
Ratio of Net Investment Income to Average Net Assets | 1.79% | 1.56% | 1.66% | 1.79% | 1.59%4 |
Portfolio Turnover Rate | 26%5 | 75%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, 2022, 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 | 127,140 |
Gross Unrealized Appreciation | 25,714 |
Gross Unrealized Depreciation | (3,992) |
Net Unrealized Appreciation (Depreciation) | 21,722 |
E. | During the six months ended May 31, 2022, the fund purchased $81,047,000 of investment securities and sold $38,706,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $3,060,000, 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, 2022 | Year Ended November 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 445 | 315 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (30) | (25) | |
Net Increase (Decrease) in Shares Outstanding | 415 | 290 |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2022, that would require recognition or disclosure in these financial statements. |
Basic Materials | 3.5% |
Consumer Discretionary | 18.9 |
Consumer Staples | 5.2 |
Energy | 4.2 |
Financials | 15.9 |
Health Care | 15.8 |
Industrials | 15.8 |
Real Estate | 0.1 |
Technology | 19.0 |
Telecommunications | 1.6 |
Shares | Market Value• ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (3.5%) | |||
Freeport-McMoRan Inc. | 53,478 | 2,090 | |
Fastenal Co. | 7,723 | 414 | |
Southern Copper Corp. | 6,625 | 409 | |
Alcoa Corp. | 6,388 | 394 | |
CF Industries Holdings Inc. | 3,494 | 345 | |
* | TimkenSteel Corp. | 12,444 | 288 |
Innospec Inc. | 2,684 | 274 | |
Reliance Steel & Aluminum Co. | 1,191 | 232 | |
US Steel Corp. | 8,268 | 207 | |
Olin Corp. | 3,024 | 199 | |
Mueller Industries Inc. | 3,508 | 189 | |
Steel Dynamics Inc. | 2,052 | 175 | |
Boise Cascade Co. | 2,124 | 164 | |
Nucor Corp. | 1,226 | 162 | |
American Vanguard Corp. | 5,535 | 137 | |
* | Clearwater Paper Corp. | 3,301 | 113 |
* | Ingevity Corp. | 1,540 | 107 |
UFP Industries Inc. | 1,314 | 102 | |
AdvanSix Inc. | 2,119 | 98 | |
Balchem Corp. | 631 | 79 | |
Schnitzer Steel Industries Inc. Class A | 1,856 | 75 | |
Orion Engineered Carbons SA | 3,368 | 65 | |
Commercial Metals Co. | 1,370 | 54 | |
* | Univar Solutions Inc. | 1,302 | 40 |
6,412 | |||
Consumer Discretionary (18.9%) | |||
Costco Wholesale Corp. | 4,618 | 2,153 | |
* | Lululemon Athletica Inc. | 7,159 | 2,095 |
* | Booking Holdings Inc. | 782 | 1,754 |
Walmart Inc. | 12,859 | 1,654 | |
Target Corp. | 7,337 | 1,188 | |
NIKE Inc. Class B | 8,626 | 1,025 | |
TJX Cos. Inc. | 12,947 | 823 | |
* | Ulta Beauty Inc. | 1,438 | 608 |
Ross Stores Inc. | 6,346 | 540 | |
Oxford Industries Inc. | 5,845 | 533 | |
Estee Lauder Cos. Inc. Class A | 2,029 | 517 | |
Movado Group Inc. | 14,944 | 507 | |
* | Deckers Outdoor Corp. | 1,816 | 488 |
* | Capri Holdings Ltd. | 9,527 | 464 |
Genuine Parts Co. | 3,190 | 436 | |
Tapestry Inc. | 12,438 | 429 | |
Signet Jewelers Ltd. | 7,043 | 420 | |
Rollins Inc. | 11,695 | 415 | |
* | AutoNation Inc. | 3,414 | 408 |
Shares | Market Value• ($000) | ||
Best Buy Co. Inc. | 4,852 | 398 | |
Macy's Inc. | 16,475 | 390 | |
New York Times Co. Class A | 10,973 | 378 | |
* | Monarch Casino & Resort Inc. | 5,178 | 351 |
Caleres Inc. | 11,936 | 340 | |
Acushnet Holdings Corp. | 8,238 | 335 | |
* | PROG Holdings Inc. | 11,276 | 329 |
* | Perdoceo Education Corp. | 29,868 | 326 |
* | YETI Holdings Inc. | 6,986 | 320 |
Lennar Corp. Class B | 4,748 | 319 | |
* | Revolve Group Inc. | 10,842 | 319 |
* | Skyline Champion Corp. | 5,979 | 318 |
* | Under Armour Inc. Class A | 29,325 | 310 |
* | Grand Canyon Education Inc. | 3,453 | 308 |
Ralph Lauren Corp. Class A | 3,023 | 306 | |
Buckle Inc. | 9,092 | 299 | |
Rent-A-Center Inc. | 10,621 | 293 | |
* | Expedia Group Inc. | 2,207 | 285 |
Aaron's Co. Inc. | 14,017 | 274 | |
* | NVR Inc. | 60 | 267 |
Ethan Allen Interiors Inc. | 11,146 | 259 | |
* | BJ's Wholesale Club Holdings Inc. | 4,449 | 257 |
Gentex Corp. | 8,100 | 252 | |
* | Abercrombie & Fitch Co. Class A | 12,063 | 247 |
Choice Hotels International Inc. | 1,931 | 247 | |
Shoe Carnival Inc. | 8,998 | 245 | |
* | Funko Inc. Class A | 11,700 | 238 |
Hanesbrands Inc. | 19,587 | 233 | |
* | Under Armour Inc. Class C | 23,893 | 232 |
Carter's Inc. | 2,963 | 228 | |
* | Chico's FAS Inc. | 45,690 | 226 |
Hasbro Inc. | 2,420 | 217 | |
Steven Madden Ltd. | 5,839 | 217 | |
Designer Brands Inc. Class A | 13,661 | 212 | |
HNI Corp. | 5,466 | 208 | |
Omnicom Group Inc. | 2,771 | 207 | |
Red Rock Resorts Inc. Class A | 5,302 | 205 | |
* | Golden Entertainment Inc. | 4,306 | 204 |
Tilly's Inc. Class A | 24,424 | 202 | |
* | Children's Place Inc. | 4,230 | 201 |
Columbia Sportswear Co. | 2,569 | 200 | |
PVH Corp. | 2,779 | 197 | |
* | Fossil Group Inc. | 26,481 | 194 |
Hibbett Inc. | 3,780 | 192 | |
* | Liquidity Services Inc. | 13,200 | 179 |
Group 1 Automotive Inc. | 987 | 177 | |
* | Genesco Inc. | 3,107 | 175 |
Shares | Market Value• ($000) | ||
* | Malibu Boats Inc. Class A | 2,960 | 173 |
* | G-III Apparel Group Ltd. | 6,854 | 172 |
* | Zumiez Inc. | 5,236 | 172 |
* | Spotify Technology SA | 1,503 | 170 |
Haverty Furniture Cos. Inc. | 5,944 | 168 | |
VF Corp. | 3,267 | 165 | |
* | ODP Corp. | 4,313 | 165 |
John Wiley & Sons Inc. Class A | 3,011 | 159 | |
* | Accel Entertainment Inc. Class A | 14,692 | 159 |
Advance Auto Parts Inc. | 783 | 149 | |
* | Gannett Co. Inc. | 36,632 | 144 |
* | Duluth Holdings Inc. Class B | 11,484 | 143 |
Scholastic Corp. | 3,578 | 134 | |
* | Figs Inc. Class A | 14,737 | 131 |
Kontoor Brands Inc. | 2,984 | 120 | |
* | Cars.com Inc. | 11,358 | 118 |
Guess? Inc. | 5,662 | 118 | |
* | Vera Bradley Inc. | 17,087 | 116 |
Pool Corp. | 277 | 110 | |
La-Z-Boy Inc. | 4,163 | 106 | |
* | Master Craft Boat Holdings Inc. | 4,439 | 104 |
Kohl's Corp. | 2,351 | 95 | |
Tractor Supply Co. | 499 | 94 | |
Standard Motor Products Inc. | 2,311 | 92 | |
* | Mattel Inc. | 3,637 | 91 |
Polaris Inc. | 858 | 91 | |
* | MarineMax Inc. | 2,167 | 90 |
* | Gentherm Inc. | 1,272 | 88 |
LKQ Corp. | 1,721 | 88 | |
* | Corsair Gaming Inc. | 5,491 | 88 |
Garmin Ltd. | 806 | 85 | |
Tempur Sealy International Inc. | 3,185 | 84 | |
* | Crocs Inc. | 1,467 | 82 |
* | Universal Electronics Inc. | 2,999 | 80 |
* | National Vision Holdings Inc. | 2,814 | 79 |
* | Thryv Holdings Inc. | 2,970 | 78 |
* | Burlington Stores Inc. | 457 | 77 |
* | LL Flooring Holdings Inc. | 6,250 | 75 |
Rush Enterprises Inc. Class A | 1,469 | 75 | |
Bloomin' Brands Inc. | 3,405 | 72 | |
* | Sonos Inc. | 3,258 | 72 |
Entravision Communications Corp. Class A | 13,574 | 71 | |
* | Cavco Industries Inc. | 314 | 70 |
Interface Inc. Class A | 4,869 | 70 | |
* | Take-Two Interactive Software Inc. | 562 | 70 |
* | Container Store Group Inc. | 8,666 | 67 |
* | Sally Beauty Holdings Inc. | 4,429 | 67 |
Murphy USA Inc. | 263 | 66 | |
* | Dorman Products Inc. | 622 | 63 |
* | Lands' End Inc. | 5,381 | 62 |
Whirlpool Corp. | 333 | 61 | |
* | Helen of Troy Ltd. | 305 | 57 |
Inter Parfums Inc. | 713 | 53 | |
Matthews International Corp. Class A | 1,641 | 53 | |
World Wrestling Entertainment Inc. Class A | 796 | 53 | |
Dick's Sporting Goods Inc. | 635 | 52 | |
* | elf Beauty Inc. | 1,971 | 52 |
Johnson Outdoors Inc. Class A | 782 | 51 | |
* | American Axle & Manufacturing Holdings Inc. | 6,007 | 49 |
* | Skechers USA Inc. Class A | 1,226 | 48 |
* | Dollar Tree Inc. | 295 | 47 |
Shares | Market Value• ($000) | ||
1 | JOANN Inc. | 5,840 | 47 |
* | GoPro Inc. Class A | 6,603 | 46 |
* | VOXX International Corp. Class A | 5,457 | 46 |
Sonic Automotive Inc. Class A | 881 | 40 | |
Dillard's Inc. Class A | 130 | 39 | |
* | Visteon Corp. | 336 | 38 |
Academy Sports & Outdoors Inc. | 1,139 | 38 | |
* | iRobot Corp. | 738 | 35 |
34,956 | |||
Consumer Staples (5.2%) | |||
Colgate-Palmolive Co. | 29,335 | 2,312 | |
Kimberly-Clark Corp. | 6,805 | 905 | |
Procter & Gamble Co. | 4,215 | 623 | |
Kroger Co. | 9,953 | 527 | |
* | USANA Health Sciences Inc. | 7,136 | 502 |
Clorox Co. | 3,060 | 445 | |
* | Monster Beverage Corp. | 4,598 | 410 |
SpartanNash Co. | 10,897 | 375 | |
Flowers Foods Inc. | 13,363 | 369 | |
National Beverage Corp. | 6,818 | 338 | |
Coca-Cola Consolidated Inc. | 553 | 313 | |
Albertsons Cos. Inc. Class A | 8,469 | 259 | |
John B Sanfilippo & Son Inc. | 3,272 | 250 | |
Weis Markets Inc. | 3,256 | 239 | |
PepsiCo Inc. | 1,385 | 232 | |
Ingles Markets Inc. Class A | 2,562 | 228 | |
Medifast Inc. | 1,365 | 228 | |
Brown-Forman Corp. Class B | 3,282 | 217 | |
J & J Snack Foods Corp. | 1,485 | 190 | |
Nu Skin Enterprises Inc. Class A | 3,408 | 159 | |
Lancaster Colony Corp. | 1,130 | 138 | |
Walgreens Boots Alliance Inc. | 2,602 | 114 | |
* | United Natural Foods Inc. | 2,458 | 104 |
Tyson Foods Inc. Class A | 1,145 | 103 | |
Casey's General Stores Inc. | 433 | 91 | |
9,671 | |||
Energy (4.1%) | |||
EOG Resources Inc. | 15,473 | 2,119 | |
Texas Pacific Land Corp. | 462 | 724 | |
* | Comstock Resources Inc. | 24,280 | 469 |
* | ProPetro Holding Corp. | 34,092 | 445 |
PDC Energy Inc. | 5,008 | 396 | |
* | Denbury Inc. | 5,282 | 386 |
Coterra Energy Inc. | 10,374 | 356 | |
Occidental Petroleum Corp. | 5,070 | 351 | |
* | Talos Energy Inc. | 14,808 | 320 |
Magnolia Oil & Gas Corp. Class A | 9,124 | 252 | |
SM Energy Co. | 4,996 | 241 | |
* | Dril-Quip Inc. | 7,012 | 221 |
SunCoke Energy Inc. | 24,198 | 196 | |
Warrior Met Coal Inc. | 5,599 | 188 | |
* | CONSOL Energy Inc. | 3,207 | 165 |
* | NOW Inc. | 12,971 | 143 |
Oasis Petroleum Inc. | 795 | 126 | |
Falcon Minerals Corp. | 16,719 | 124 | |
CVR Energy Inc. | 3,263 | 112 | |
Continental Resources Inc. | 1,402 | 96 | |
* | REX American Resources Corp. | 1,108 | 96 |
ChampionX Corp. | 4,110 | 96 | |
* | RPC Inc. | 7,229 | 68 |
7,690 |
Shares | Market Value• ($000) | ||
Financials (15.8%) | |||
Aon plc Class A (XNYS) | 9,079 | 2,503 | |
Ameriprise Financial Inc. | 3,169 | 876 | |
SLM Corp. | 40,141 | 786 | |
OFG Bancorp | 25,309 | 717 | |
Discover Financial Services | 6,286 | 713 | |
OneMain Holdings Inc. | 15,118 | 666 | |
Evercore Inc. Class A | 5,724 | 654 | |
Moody's Corp. | 2,073 | 625 | |
PennyMac Financial Services Inc. | 12,272 | 602 | |
Navient Corp. | 35,246 | 564 | |
* | Mr Cooper Group Inc. | 12,112 | 525 |
Meta Financial Group Inc. | 12,013 | 499 | |
Virtu Financial Inc. Class A | 17,568 | 459 | |
Bank of New York Mellon Corp. | 9,822 | 458 | |
Federated Hermes Inc. | 13,173 | 448 | |
Brightsphere Investment Group Inc. | 21,779 | 444 | |
Allstate Corp. | 3,239 | 443 | |
First BanCorp. (XNYS) | 29,393 | 439 | |
Ally Financial Inc. | 9,652 | 425 | |
City Holding Co. | 5,080 | 417 | |
Dime Community Bancshares Inc. | 13,139 | 413 | |
WesBanco Inc. | 11,738 | 400 | |
Voya Financial Inc. | 5,762 | 395 | |
* | Enova International Inc. | 12,288 | 388 |
HomeStreet Inc. | 9,561 | 385 | |
Affiliated Managers Group Inc. | 2,803 | 375 | |
BankUnited Inc. | 8,861 | 369 | |
Wells Fargo & Co. | 7,996 | 366 | |
Regional Management Corp. | 7,285 | 347 | |
Washington Federal Inc. | 10,579 | 343 | |
Lazard Ltd. Class A | 9,700 | 342 | |
1 | Rocket Cos. Inc. Class A | 36,467 | 331 |
Comerica Inc. | 3,886 | 323 | |
Fidelity National Financial Inc. | 7,243 | 306 | |
Sandy Spring Bancorp Inc. | 7,075 | 300 | |
CNO Financial Group Inc. | 14,452 | 297 | |
Atlantic Union Bankshares Corp. | 7,848 | 277 | |
SEI Investments Co. | 4,722 | 276 | |
Piper Sandler Cos. | 2,076 | 274 | |
First Financial Corp. | 5,904 | 266 | |
Hilltop Holdings Inc. | 8,805 | 264 | |
* | Enstar Group Ltd. | 1,138 | 264 |
Cathay General Bancorp | 6,139 | 252 | |
Central Pacific Financial Corp. | 9,458 | 228 | |
Tompkins Financial Corp. | 2,969 | 226 | |
Lakeland Financial Corp. | 3,098 | 224 | |
PJT Partners Inc. Class A | 2,959 | 224 | |
Kearny Financial Corp. | 17,789 | 221 | |
WisdomTree Investments Inc. | 35,633 | 212 | |
Banner Corp. | 3,553 | 207 | |
Premier Financial Corp. | 7,540 | 205 | |
Assured Guaranty Ltd. | 3,450 | 203 | |
BOK Financial Corp. | 2,295 | 198 | |
Bank of NT Butterfield & Son Ltd. | 6,046 | 191 | |
1st Source Corp. | 3,949 | 186 | |
LPL Financial Holdings Inc. | 950 | 186 | |
Popular Inc. | 2,271 | 186 | |
Trustmark Corp. | 6,298 | 183 | |
Oppenheimer Holdings Inc. Class A | 5,012 | 179 | |
Heritage Financial Corp. | 6,826 | 178 |
Shares | Market Value• ($000) | ||
BancFirst Corp. | 1,947 | 177 | |
KeyCorp | 8,856 | 177 | |
Equitable Holdings Inc. | 5,828 | 177 | |
* | Open Lending Corp. Class A | 13,416 | 177 |
First Financial Bancorp | 8,380 | 176 | |
Virtus Investment Partners Inc. | 902 | 174 | |
Hanmi Financial Corp. | 7,353 | 172 | |
* | Encore Capital Group Inc. | 2,727 | 167 |
FactSet Research Systems Inc. | 436 | 166 | |
Houlihan Lokey Inc. Class A | 1,804 | 155 | |
Zions Bancorp NA | 2,722 | 155 | |
Radian Group Inc. | 7,096 | 153 | |
Berkshire Hills Bancorp Inc. | 5,381 | 141 | |
* | PRA Group Inc. | 3,772 | 140 |
Curo Group Holdings Corp. | 16,009 | 139 | |
* | Bancorp Inc. | 6,359 | 132 |
First American Financial Corp. | 2,128 | 129 | |
Associated Banc-Corp. | 5,764 | 119 | |
Jefferies Financial Group Inc. | 3,581 | 118 | |
Byline Bancorp Inc. | 4,569 | 114 | |
HarborOne Bancorp Inc. | 7,939 | 113 | |
First Commonwealth Financial Corp. | 7,688 | 108 | |
Washington Trust Bancorp Inc. | 2,078 | 104 | |
* | Axos Financial Inc. | 2,624 | 101 |
Park National Corp. | 804 | 99 | |
National Bank Holdings Corp. Class A | 2,390 | 97 | |
Employers Holdings Inc. | 2,295 | 95 | |
Southside Bancshares Inc. | 2,308 | 93 | |
Fifth Third Bancorp | 2,336 | 92 | |
First Hawaiian Inc. | 2,969 | 76 | |
Hope Bancorp Inc. | 5,227 | 76 | |
Artisan Partners Asset Management Inc. Class A | 1,814 | 70 | |
Synovus Financial Corp. | 1,531 | 65 | |
Provident Financial Services Inc. | 2,608 | 60 | |
Preferred Bank | 857 | 59 | |
Walker & Dunlop Inc. | 558 | 59 | |
* | Credit Acceptance Corp. | 98 | 58 |
Commerce Bancshares Inc. | 786 | 54 | |
Ameris Bancorp | 1,163 | 53 | |
* | Brighthouse Financial Inc. | 1,075 | 53 |
Federal Agricultural Mortgage Corp. Class C | 502 | 53 | |
Primerica Inc. | 412 | 52 | |
Cohen & Steers Inc. | 652 | 50 | |
Northern Trust Corp. | 424 | 47 | |
Northfield Bancorp Inc. | 3,500 | 47 | |
* | Customers Bancorp Inc. | 1,113 | 46 |
Independent Bank Corp. | 2,119 | 42 | |
* | World Acceptance Corp. | 266 | 39 |
* | Columbia Financial Inc. | 1,701 | 35 |
29,307 | |||
Health Care (15.8%) | |||
* | Moderna Inc. | 13,368 | 1,943 |
* | Vertex Pharmaceuticals Inc. | 6,249 | 1,679 |
Johnson & Johnson | 8,973 | 1,611 | |
* | Regeneron Pharmaceuticals Inc. | 2,293 | 1,524 |
Pfizer Inc. | 27,134 | 1,439 | |
* | Biogen Inc. | 6,667 | 1,333 |
* | Align Technology Inc. | 4,675 | 1,298 |
Abbott Laboratories | 9,459 | 1,111 | |
Gilead Sciences Inc. | 16,360 | 1,061 | |
AbbVie Inc. | 6,462 | 952 |
Shares | Market Value• ($000) | ||
Chemed Corp. | 1,942 | 941 | |
Eli Lilly & Co. | 2,895 | 907 | |
Merck & Co. Inc. | 8,779 | 808 | |
* | Veeva Systems Inc. Class A | 4,344 | 740 |
* | Edwards Lifesciences Corp. | 6,294 | 635 |
* | ABIOMED Inc. | 2,015 | 531 |
Bristol-Myers Squibb Co. | 6,639 | 501 | |
* | Molina Healthcare Inc. | 1,724 | 500 |
Cardinal Health Inc. | 7,730 | 435 | |
* | Masimo Corp. | 3,025 | 425 |
QuidelOrtho Corp. | 4,140 | 393 | |
* | Henry Schein Inc. | 4,405 | 377 |
* | CorVel Corp. | 2,458 | 367 |
* | Catalyst Pharmaceuticals Inc. | 50,414 | 363 |
* | iTeos Therapeutics Inc. | 18,306 | 320 |
Bruker Corp. | 5,086 | 318 | |
* | Hologic Inc. | 4,206 | 317 |
Atrion Corp. | 488 | 307 | |
* | Corcept Therapeutics Inc. | 14,506 | 302 |
* | Exelixis Inc. | 16,053 | 294 |
* | Incyte Corp. | 3,301 | 251 |
* | NextGen Healthcare Inc. | 13,835 | 251 |
* | Vanda Pharmaceuticals Inc. | 24,502 | 241 |
* | Lantheus Holdings Inc. | 3,463 | 237 |
* | Eagle Pharmaceuticals Inc. | 5,030 | 235 |
ResMed Inc. | 1,108 | 225 | |
* | Medpace Holdings Inc. | 1,544 | 221 |
* | OptimizeRx Corp. | 8,294 | 212 |
Quest Diagnostics Inc. | 1,456 | 205 | |
* | Maravai LifeSciences Holdings Inc. Class A | 6,308 | 197 |
* | LivaNova plc | 2,858 | 195 |
* | IDEXX Laboratories Inc. | 475 | 186 |
Agilent Technologies Inc. | 1,427 | 182 | |
* | Joint Corp. | 9,918 | 165 |
West Pharmaceutical Services Inc. | 523 | 162 | |
Patterson Cos. Inc. | 4,950 | 156 | |
* | Myriad Genetics Inc. | 7,378 | 142 |
* | Meridian Bioscience Inc. | 5,018 | 138 |
* | STAAR Surgical Co. | 1,935 | 128 |
* | AngioDynamics Inc. | 5,896 | 116 |
* | Avanos Medical Inc. | 3,867 | 111 |
* | Merit Medical Systems Inc. | 1,795 | 110 |
* | Alkermes plc | 3,694 | 110 |
* | Haemonetics Corp. | 1,723 | 109 |
Laboratory Corp. of America Holdings | 436 | 108 | |
* | Seagen Inc. | 794 | 108 |
* | ACADIA Pharmaceuticals Inc. | 6,554 | 106 |
* | Inogen Inc. | 4,023 | 103 |
LeMaitre Vascular Inc. | 2,241 | 103 | |
* | Prothena Corp. plc | 3,624 | 99 |
* | Orthofix Medical Inc. | 3,270 | 90 |
Owens & Minor Inc. | 2,418 | 84 | |
* | Globus Medical Inc. Class A | 1,071 | 71 |
* | Organogenesis Holdings Inc. Class A | 11,941 | 67 |
* | United Therapeutics Corp. | 286 | 66 |
*,1 | Retractable Technologies Inc. | 13,508 | 63 |
iRadimed Corp. | 1,676 | 55 | |
* | Innoviva Inc. | 3,567 | 54 |
* | Amedisys Inc. | 379 | 44 |
29,238 | |||
Industrials (15.7%) | |||
American Express Co. | 9,787 | 1,652 | |
Automatic Data Processing Inc. | 5,656 | 1,261 |
Shares | Market Value• ($000) | ||
Capital One Financial Corp. | 7,297 | 933 | |
Paychex Inc. | 7,316 | 906 | |
Robert Half International Inc. | 8,692 | 784 | |
Jack Henry & Associates Inc. | 3,850 | 724 | |
Accenture plc Class A | 2,399 | 716 | |
Sherwin-Williams Co. | 2,294 | 615 | |
Insperity Inc. | 5,494 | 550 | |
Synchrony Financial | 14,464 | 536 | |
Landstar System Inc. | 3,503 | 530 | |
3M Co. | 3,429 | 512 | |
* | Trex Co. Inc. | 7,916 | 504 |
Louisiana-Pacific Corp. | 6,899 | 476 | |
* | Donnelley Financial Solutions Inc. | 14,100 | 439 |
* | Veritiv Corp. | 2,852 | 415 |
* | AMN Healthcare Services Inc. | 4,206 | 408 |
Kforce Inc. | 5,782 | 380 | |
Badger Meter Inc. | 4,769 | 377 | |
Toro Co. | 4,463 | 368 | |
A O Smith Corp. | 5,975 | 359 | |
ManpowerGroup Inc. | 3,793 | 340 | |
WW Grainger Inc. | 685 | 334 | |
Watts Water Technologies Inc. Class A | 2,450 | 321 | |
Watsco Inc. | 1,174 | 300 | |
Western Union Co. | 16,455 | 299 | |
* | MYR Group Inc. | 3,218 | 295 |
Graco Inc. | 4,645 | 294 | |
Lincoln Electric Holdings Inc. | 2,164 | 294 | |
Simpson Manufacturing Co. Inc. | 2,658 | 288 | |
Marten Transport Ltd. | 15,800 | 277 | |
Donaldson Co. Inc. | 5,091 | 266 | |
Cognex Corp. | 5,475 | 265 | |
* | Forrester Research Inc. | 5,068 | 265 |
* | Zebra Technologies Corp. Class A | 780 | 264 |
* | Franklin Covey Co. | 6,741 | 258 |
CH Robinson Worldwide Inc. | 2,324 | 252 | |
Heartland Express Inc. | 17,515 | 250 | |
Nordson Corp. | 1,078 | 235 | |
Crane Holdings Co. | 2,373 | 227 | |
Acuity Brands Inc. | 1,276 | 223 | |
Insteel Industries Inc. | 5,386 | 223 | |
Oshkosh Corp. | 2,337 | 217 | |
Old Dominion Freight Line Inc. | 832 | 215 | |
Heidrick & Struggles International Inc. | 6,090 | 210 | |
Allison Transmission Holdings Inc. | 5,182 | 207 | |
* | Mettler-Toledo International Inc. | 160 | 206 |
Apogee Enterprises Inc. | 4,849 | 202 | |
* | TriNet Group Inc. | 2,555 | 201 |
Snap-on Inc. | 898 | 199 | |
Cintas Corp. | 482 | 192 | |
Encore Wire Corp. | 1,508 | 189 | |
Illinois Tool Works Inc. | 909 | 189 | |
Quanex Building Products Corp. | 8,851 | 180 | |
* | NV5 Global Inc. | 1,424 | 175 |
Exponent Inc. | 1,922 | 174 | |
Allegion plc | 1,553 | 173 | |
* | Cross Country Healthcare Inc. | 9,734 | 172 |
EMCOR Group Inc. | 1,629 | 172 | |
* | Saia Inc. | 866 | 171 |
* | Keysight Technologies Inc. | 1,142 | 166 |
Shares | Market Value• ($000) | ||
JB Hunt Transport Services Inc. | 948 | 164 | |
Astec Industries Inc. | 3,455 | 162 | |
* | Atlanticus Holdings Corp. | 4,129 | 161 |
Emerson Electric Co. | 1,806 | 160 | |
Owens Corning | 1,654 | 158 | |
Pentair plc | 3,009 | 151 | |
Covenant Logistics Group Inc. Class A | 6,544 | 148 | |
CRA International Inc. | 1,717 | 147 | |
* | Napco Security Technologies Inc. | 7,479 | 147 |
* | ExlService Holdings Inc. | 1,021 | 145 |
Albany International Corp. Class A | 1,704 | 144 | |
* | Modine Manufacturing Co. | 11,637 | 138 |
* | Conduent Inc. | 25,935 | 137 |
AGCO Corp. | 1,018 | 130 | |
Hillenbrand Inc. | 3,064 | 128 | |
ABM Industries Inc. | 2,571 | 124 | |
* | XPO Logistics Inc. | 2,278 | 122 |
UniFirst Corp. | 740 | 121 | |
REV Group Inc. | 9,814 | 120 | |
* | Beacon Roofing Supply Inc. | 1,908 | 117 |
Expeditors International of Washington Inc. | 1,057 | 115 | |
* | Atkore Inc. | 1,008 | 110 |
* | Gibraltar Industries Inc. | 2,645 | 110 |
Brunswick Corp. | 1,444 | 109 | |
Ryder System Inc. | 1,361 | 109 | |
MSC Industrial Direct Co. Inc. Class A | 1,271 | 108 | |
Schneider National Inc. Class B | 4,452 | 108 | |
* | Titan Machinery Inc. | 4,091 | 108 |
Pitney Bowes Inc. | 22,436 | 105 | |
National Presto Industries Inc. | 1,420 | 96 | |
Resources Connection Inc. | 4,943 | 91 | |
Myers Industries Inc. | 3,773 | 90 | |
* | Builders FirstSource Inc. | 1,371 | 89 |
Standex International Corp. | 950 | 88 | |
CSW Industrials Inc. | 822 | 87 | |
Eagle Materials Inc. | 657 | 86 | |
* | Resideo Technologies Inc. | 3,632 | 86 |
* | TrueBlue Inc. | 3,890 | 86 |
* | GMS Inc. | 1,638 | 82 |
* | Trimble Inc. | 1,191 | 81 |
Comfort Systems USA Inc. | 887 | 80 | |
* | Dycom Industries Inc. | 850 | 79 |
Enerpac Tool Group Corp. Class A | 3,950 | 77 | |
Brady Corp. Class A | 1,513 | 73 | |
H&E Equipment Services Inc. | 2,053 | 73 | |
Tennant Co. | 1,169 | 73 | |
EVERTEC Inc. | 1,874 | 71 | |
Matson Inc. | 793 | 71 | |
Applied Industrial Technologies Inc. | 673 | 70 | |
ArcBest Corp. | 841 | 64 | |
Shyft Group Inc. | 2,893 | 64 | |
Kadant Inc. | 337 | 62 | |
Franklin Electric Co. Inc. | 824 | 61 | |
* | Mohawk Industries Inc. | 418 | 59 |
Cummins Inc. | 271 | 57 | |
Hubbell Inc. Class B | 295 | 56 | |
* | FTI Consulting Inc. | 330 | 55 |
* | Waters Corp. | 162 | 53 |
Argan Inc. | 1,291 | 52 | |
Barrett Business Services Inc. | 695 | 52 |
Shares | Market Value• ($000) | ||
Packaging Corp. of America | 279 | 44 | |
* | Vicor Corp. | 610 | 41 |
* | Hub Group Inc. Class A | 528 | 39 |
* | Masonite International Corp. | 414 | 38 |
Dover Corp. | 277 | 37 | |
AAON Inc. | 676 | 36 | |
* | Aersale Corp. | 2,586 | 36 |
29,166 | |||
Real Estate (0.1%) | |||
Marcus & Millichap Inc. | 4,091 | 171 | |
Technology (18.9%) | |||
* | Cadence Design Systems Inc. | 15,373 | 2,363 |
* | Fortinet Inc. | 7,318 | 2,153 |
* | Advanced Micro Devices Inc. | 19,635 | 2,000 |
* | Adobe Inc. | 4,747 | 1,977 |
* | Meta Platforms Inc. Class A | 8,335 | 1,614 |
Applied Materials Inc. | 10,980 | 1,288 | |
Texas Instruments Inc. | 7,282 | 1,287 | |
* | Synopsys Inc. | 3,670 | 1,171 |
* | Alphabet Inc. Class C | 507 | 1,156 |
Lam Research Corp. | 1,928 | 1,003 | |
* | Manhattan Associates Inc. | 7,650 | 925 |
* | Alphabet Inc. Class A | 400 | 910 |
KLA Corp. | 2,352 | 858 | |
* | Qualys Inc. | 6,074 | 794 |
Apple Inc. | 4,901 | 729 | |
Cognizant Technology Solutions Corp. Class A | 9,304 | 695 | |
* | Teradata Corp. | 17,229 | 662 |
* | Sprout Social Inc. Class A | 11,841 | 603 |
QUALCOMM Inc. | 3,279 | 470 | |
* | CommVault Systems Inc. | 7,000 | 427 |
* | Cargurus Inc. | 16,703 | 423 |
* | Gartner Inc. | 1,600 | 420 |
* | EPAM Systems Inc. | 1,054 | 357 |
Power Integrations Inc. | 4,229 | 357 | |
Teradyne Inc. | 3,213 | 351 | |
Monolithic Power Systems Inc. | 774 | 349 | |
NetApp Inc. | 4,543 | 327 | |
* | Cirrus Logic Inc. | 3,771 | 307 |
Dolby Laboratories Inc. Class A | 3,787 | 294 | |
National Instruments Corp. | 8,280 | 292 | |
* | SPS Commerce Inc. | 2,647 | 283 |
CTS Corp. | 6,938 | 282 | |
* | Paycom Software Inc. | 980 | 279 |
Dell Technologies Inc. Class C | 5,298 | 265 | |
* | Axcelis Technologies Inc. | 3,995 | 248 |
* | DocuSign Inc. Class A | 2,812 | 236 |
* | Pinterest Inc. Class A | 11,915 | 234 |
* | Allegro MicroSystems Inc. | 8,989 | 231 |
* | Yelp Inc. Class A | 7,635 | 225 |
Amdocs Ltd. | 2,554 | 222 | |
* | Smartsheet Inc. Class A | 5,576 | 199 |
* | DXC Technology Co. | 5,544 | 195 |
* | Semtech Corp. | 3,039 | 195 |
A10 Networks Inc. | 12,561 | 194 | |
* | Aspen Technology Inc. | 954 | 185 |
Advanced Energy Industries Inc. | 2,242 | 183 | |
* | Agilysys Inc. | 4,438 | 181 |
Universal Display Corp. | 1,416 | 179 | |
* | Vimeo Inc. | 20,570 | 179 |
* | ON Semiconductor Corp. | 2,848 | 173 |
Xperi Holding Corp. | 10,422 | 172 | |
Microsoft Corp. | 629 | 171 |
Shares | Market Value• ($000) | ||
American Software Inc. Class A | 9,459 | 162 | |
* | F5 Inc. | 989 | 161 |
* | TrueCar Inc. | 47,771 | 159 |
Hackett Group Inc. | 7,615 | 156 | |
Intuit Inc. | 375 | 155 | |
Vishay Intertechnology Inc. | 7,583 | 155 | |
* | Qorvo Inc. | 1,356 | 152 |
* | OneSpan Inc. | 11,286 | 149 |
* | Cohu Inc. | 4,519 | 137 |
* | Lattice Semiconductor Corp. | 2,599 | 135 |
* | MaxLinear Inc. | 3,254 | 129 |
Amkor Technology Inc. | 6,261 | 128 | |
* | Onto Innovation Inc. | 1,595 | 128 |
* | LiveRamp Holdings Inc. | 4,552 | 117 |
* | Pure Storage Inc. Class A | 4,851 | 115 |
* | Yext Inc. | 22,719 | 115 |
CSG Systems International Inc. | 1,738 | 108 | |
* | FormFactor Inc. | 2,578 | 106 |
* | SecureWorks Corp. Class A | 8,615 | 103 |
* | Dynatrace Inc. | 2,683 | 101 |
* | Brightcove Inc. | 13,272 | 93 |
Shutterstock Inc. | 1,466 | 88 | |
* | PDF Solutions Inc. | 3,527 | 84 |
* | ChannelAdvisor Corp. | 6,058 | 83 |
* | CEVA Inc. | 2,101 | 76 |
* | TechTarget Inc. | 997 | 71 |
Simulations Plus Inc. | 1,464 | 69 | |
* | Verint Systems Inc. | 1,312 | 67 |
* | ScanSource Inc. | 1,670 | 65 |
* | MACOM Technology Solutions Holdings Inc. Class H | 1,140 | 62 |
* | ePlus Inc. | 1,060 | 60 |
* | Arrow Electronics Inc. | 454 | 55 |
Avnet Inc. | 1,143 | 55 | |
PC Connection Inc. | 1,043 | 47 | |
* | Zuora Inc. Class A | 4,584 | 46 |
Jabil Inc. | 661 | 41 | |
Sapiens International Corp. NV | 1,625 | 41 | |
* | Diodes Inc. | 480 | 37 |
Shares | Market Value• ($000) | ||
*,2 | Yandex NV Class A | 1,459 | — |
35,084 | |||
Telecommunications (1.6%) | |||
Cisco Systems Inc. | 29,217 | 1,316 | |
* | Clearfield Inc. | 4,760 | 294 |
* | IDT Corp. Class B | 9,535 | 263 |
ADTRAN Inc. | 10,798 | 200 | |
* | Extreme Networks Inc. | 18,218 | 181 |
* | Ciena Corp. | 2,997 | 152 |
* | Arista Networks Inc. | 1,269 | 130 |
* | Cambium Networks Corp. | 8,222 | 118 |
* | Viavi Solutions Inc. | 7,857 | 114 |
* | Calix Inc. | 2,353 | 87 |
* | Ribbon Communications Inc. | 22,033 | 62 |
2,917 | |||
Total Common Stocks (Cost $184,873) | 184,612 | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.854% (Cost $802) | 8,018 | 802 |
Total Investments (100.0%) (Cost $185,675) | 185,414 | ||
Other Assets and Liabilities—Net (0.0%) | (89) | ||
Net Assets (100%) | 185,325 | ||
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 $142,000. |
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. |
4 | Collateral of $157,000 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 2022 | 1 | 207 | (5) |
Micro E-mini S&P 500 Index | June 2022 | 19 | 392 | (24) |
(29) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $184,873) | 184,612 |
Affiliated Issuers (Cost $802) | 802 |
Total Investments in Securities | 185,414 |
Investment in Vanguard | 7 |
Cash Collateral Pledged—Futures Contracts | 35 |
Receivables for Accrued Income | 173 |
Total Assets | 185,629 |
Liabilities | |
Due to Custodian | 132 |
Payables for Investment Securities Purchased | 1 |
Collateral for Securities on Loan | 157 |
Payables to Vanguard | 10 |
Variation Margin Payable—Futures Contracts | 4 |
Total Liabilities | 304 |
Net Assets | 185,325 |
1 Includes $142 of securities on loan. | |
At May 31, 2022, net assets consisted of: | |
Paid-in Capital | 182,142 |
Total Distributable Earnings (Loss) | 3,183 |
Net Assets | 185,325 |
Net Assets | |
Applicable to 1,720,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 185,325 |
Net Asset Value Per Share | $107.75 |
Six Months Ended May 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 1,263 |
Interest2 | 1 |
Securities Lending—Net | 4 |
Total Income | 1,268 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 74 |
Management and Administrative | 20 |
Marketing and Distribution | 3 |
Custodian Fees | — |
Shareholders’ Reports | 13 |
Trustees’ Fees and Expenses | — |
Professional Services | 8 |
Total Expenses | 118 |
Net Investment Income | 1,150 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 3,322 |
Futures Contracts | (21) |
Realized Net Gain (Loss) | 3,301 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (27,221) |
Futures Contracts | (28) |
Change in Unrealized Appreciation (Depreciation) | (27,249) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (22,798) |
1 | Dividends are net of foreign withholding taxes of $2,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $5,577,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,150 | 1,098 | |
Realized Net Gain (Loss) | 3,301 | 2,545 | |
Change in Unrealized Appreciation (Depreciation) | (27,249) | 14,521 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (22,798) | 18,164 | |
Distributions | |||
Total Distributions | (1,025) | (932) | |
Capital Share Transactions | |||
Issued | 83,129 | 74,754 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (17,563) | (2,908) | |
Net Increase (Decrease) from Capital Share Transactions | 65,566 | 71,846 | |
Total Increase (Decrease) | 41,743 | 89,078 | |
Net Assets | |||
Beginning of Period | 143,582 | 54,504 | |
End of Period | 185,325 | 143,582 |
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2022 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | ||
2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $122.20 | $94.79 | $84.21 | $78.58 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | .725 | 1.403 | 1.291 | 1.199 | .899 |
Net Realized and Unrealized Gain (Loss) on Investments | (14.499) | 27.292 | 10.428 | 5.559 | 3.266 |
Total from Investment Operations | (13.774) | 28.695 | 11.719 | 6.758 | 4.165 |
Distributions | |||||
Dividends from Net Investment Income | (.676) | (1.285) | (1.139) | (1.128) | (.585) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.676) | (1.285) | (1.139) | (1.128) | (.585) |
Net Asset Value, End of Period | $107.75 | $122.20 | $94.79 | $84.21 | $78.58 |
Total Return | -11.34% | 30.42% | 14.29% | 8.75% | 5.52% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $185 | $144 | $55 | $21 | $18 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13% | 0.13%3,4 |
Ratio of Net Investment Income to Average Net Assets | 1.18% | 1.21% | 1.59% | 1.52% | 1.40%3 |
Portfolio Turnover Rate | 24%5 | 56%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 | 184,612 | — | — | 184,612 |
Temporary Cash Investments | 802 | — | — | 802 |
Total | 185,414 | — | — | 185,414 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 29 | — | — | 29 |
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, 2022, 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 | 185,676 |
Gross Unrealized Appreciation | 14,780 |
Gross Unrealized Depreciation | (15,071) |
Net Unrealized Appreciation (Depreciation) | (291) |
E. | During the six months ended May 31, 2022, the fund purchased $125,925,000 of investment securities and sold $60,367,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $17,556,000, 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, 2022 | Year Ended November 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 700 | 625 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (155) | (25) | |
Net Increase (Decrease) in Shares Outstanding | 545 | 600 |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2022, that would require recognition or disclosure in these financial statements. |
Basic Materials | 6.4% |
Consumer Discretionary | 17.7 |
Consumer Staples | 4.8 |
Energy | 10.4 |
Financials | 24.7 |
Health Care | 8.2 |
Industrials | 15.2 |
Real Estate | 0.3 |
Technology | 8.0 |
Telecommunications | 4.2 |
Utilities | 0.1 |
Shares | Market Value• ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (6.4%) | |||
Dow Inc. | 76,611 | 5,208 | |
Freeport-McMoRan Inc. | 116,241 | 4,543 | |
Reliance Steel & Aluminum Co. | 19,306 | 3,753 | |
LyondellBasell Industries NV Class A | 19,666 | 2,247 | |
International Paper Co. | 44,008 | 2,132 | |
Newmont Corp. | 30,727 | 2,085 | |
US Steel Corp. | 81,089 | 2,033 | |
Mosaic Co. | 29,392 | 1,841 | |
* | Cleveland-Cliffs Inc. | 73,109 | 1,695 |
Steel Dynamics Inc. | 19,326 | 1,650 | |
Huntsman Corp. | 44,778 | 1,623 | |
Nucor Corp. | 11,534 | 1,528 | |
Olin Corp. | 19,470 | 1,281 | |
Commercial Metals Co. | 30,578 | 1,215 | |
Schnitzer Steel Industries Inc. Class A | 29,633 | 1,204 | |
UFP Industries Inc. | 15,491 | 1,196 | |
Timken Co. | 17,624 | 1,076 | |
CF Industries Holdings Inc. | 10,630 | 1,050 | |
Tronox Holdings plc Class A | 57,356 | 1,033 | |
Westlake Corp. | 7,505 | 992 | |
Alcoa Corp. | 15,326 | 946 | |
* | TimkenSteel Corp. | 37,323 | 862 |
Koppers Holdings Inc. | 28,956 | 785 | |
Schweitzer-Mauduit International Inc. | 28,269 | 767 | |
Trinseo plc | 15,806 | 747 | |
* | Intrepid Potash Inc. | 11,266 | 742 |
* | Clearwater Paper Corp. | 18,004 | 618 |
Chemours Co. | 13,925 | 600 | |
AdvanSix Inc. | 12,544 | 581 | |
Boise Cascade Co. | 7,039 | 544 | |
Minerals Technologies Inc. | 8,124 | 538 | |
* | Constellium SE Class A | 29,927 | 505 |
Ashland Global Holdings Inc. | 4,399 | 471 | |
GrafTech International Ltd. | 51,711 | 449 | |
Mueller Industries Inc. | 7,401 | 399 | |
Glatfelter Corp. | 45,860 | 395 | |
FutureFuel Corp. | 53,377 | 384 | |
* | Coeur Mining Inc. | 87,992 | 342 |
* | Univar Solutions Inc. | 10,738 | 330 |
Eastman Chemical Co. | 2,670 | 294 | |
* | Alto Ingredients Inc. | 38,140 | 170 |
Cabot Corp. | 2,154 | 163 |
Shares | Market Value• ($000) | ||
Element Solutions Inc. | 7,562 | 161 | |
Orion Engineered Carbons SA | 8,257 | 159 | |
* | Gatos Silver Inc. | 42,119 | 130 |
51,467 | |||
Consumer Discretionary (17.6%) | |||
* | General Motors Co. | 161,022 | 6,228 |
Ford Motor Co. | 427,170 | 5,844 | |
PVH Corp. | 40,714 | 2,885 | |
AMERCO | 5,439 | 2,665 | |
Lennar Corp. Class A | 30,414 | 2,441 | |
BorgWarner Inc. (XNYS) | 59,030 | 2,380 | |
Fox Corp. Class A | 64,791 | 2,301 | |
Fox Corp. Class B | 68,847 | 2,252 | |
Macy's Inc. | 92,996 | 2,199 | |
* | Goodyear Tire & Rubber Co. | 169,133 | 2,185 |
Toll Brothers Inc. | 38,682 | 1,952 | |
* | Alaska Air Group Inc. | 38,893 | 1,877 |
Foot Locker Inc. | 56,699 | 1,870 | |
Nexstar Media Group Inc. Class A | 10,624 | 1,862 | |
Lithia Motors Inc. Class A | 5,564 | 1,694 | |
Thor Industries Inc. | 22,193 | 1,686 | |
Travel + Leisure Co. | 32,311 | 1,651 | |
PulteGroup Inc. | 36,028 | 1,631 | |
Kohl's Corp. | 39,452 | 1,591 | |
* | AutoZone Inc. | 718 | 1,479 |
* | Perdoceo Education Corp. | 133,171 | 1,453 |
* | AutoNation Inc. | 12,021 | 1,437 |
* | Capri Holdings Ltd. | 29,368 | 1,431 |
* | G-III Apparel Group Ltd. | 56,421 | 1,414 |
* | Penn National Gaming Inc. | 43,830 | 1,401 |
* | Tri Pointe Homes Inc. | 66,279 | 1,397 |
Penske Automotive Group Inc. | 11,895 | 1,370 | |
Bath & Body Works Inc. | 33,361 | 1,368 | |
* | Taylor Morrison Home Corp. Class A | 44,405 | 1,286 |
Qurate Retail Inc. Series A | 348,314 | 1,257 | |
Whirlpool Corp. | 6,731 | 1,240 | |
Gap Inc. | 112,082 | 1,236 | |
* | Brinker International Inc. | 40,631 | 1,233 |
* | Avis Budget Group Inc. | 6,369 | 1,212 |
eBay Inc. | 24,770 | 1,206 | |
Harley-Davidson Inc. | 34,209 | 1,203 | |
News Corp. Class A | 67,732 | 1,179 | |
* | SkyWest Inc. | 43,103 | 1,162 |
Gray Television Inc. | 56,703 | 1,118 | |
* | MarineMax Inc. | 26,680 | 1,105 |
Shares | Market Value• ($000) | ||
Tapestry Inc. | 31,818 | 1,098 | |
Lowe's Cos. Inc. | 5,576 | 1,089 | |
Haverty Furniture Cos. Inc. | 37,469 | 1,059 | |
Sinclair Broadcast Group Inc. Class A | 41,799 | 1,013 | |
Dine Brands Global Inc. | 13,674 | 1,005 | |
* | EW Scripps Co. Class A | 63,248 | 1,004 |
Sonic Automotive Inc. Class A | 21,919 | 1,000 | |
* | American Axle & Manufacturing Holdings Inc. | 120,904 | 981 |
Group 1 Automotive Inc. | 5,463 | 981 | |
Aaron's Co. Inc. | 49,780 | 974 | |
* | Beazer Homes USA Inc. | 59,716 | 968 |
* | Container Store Group Inc. | 122,942 | 947 |
La-Z-Boy Inc. | 36,977 | 944 | |
Dick's Sporting Goods Inc. | 11,614 | 943 | |
* | WW International Inc. | 131,927 | 935 |
* | TravelCenters of America Inc. | 23,841 | 931 |
* | Allegiant Travel Co. | 6,159 | 920 |
* | Urban Outfitters Inc. | 43,061 | 906 |
* | Adtalem Global Education Inc. | 27,705 | 904 |
* | Children's Place Inc. | 18,970 | 901 |
Signet Jewelers Ltd. | 14,771 | 880 | |
* | ODP Corp. | 22,974 | 877 |
* | Crocs Inc. | 15,535 | 866 |
Omnicom Group Inc. | 11,613 | 866 | |
* | Six Flags Entertainment Corp. | 29,198 | 857 |
Hibbett Inc. | 16,808 | 853 | |
Dana Inc. | 51,463 | 852 | |
Graham Holdings Co. Class B | 1,380 | 846 | |
* | Cars.com Inc. | 81,617 | 845 |
OneWater Marine Inc. Class A | 24,575 | 840 | |
* | Genesco Inc. | 14,632 | 824 |
* | Asbury Automotive Group Inc. | 4,534 | 821 |
1 | Big 5 Sporting Goods Corp. | 64,218 | 819 |
* | GoPro Inc. Class A | 116,030 | 802 |
Shoe Carnival Inc. | 29,090 | 793 | |
* | Fossil Group Inc. | 107,651 | 790 |
* | Conn's Inc. | 59,447 | 785 |
Designer Brands Inc. Class A | 48,540 | 754 | |
Winnebago Industries Inc. | 14,950 | 739 | |
Big Lots Inc. | 29,907 | 732 | |
Rent-A-Center Inc. | 26,542 | 731 | |
* | Sleep Number Corp. | 15,925 | 731 |
Matthews International Corp. Class A | 22,511 | 728 | |
* | Vera Bradley Inc. | 106,844 | 728 |
* | M/I Homes Inc. | 15,385 | 719 |
Boyd Gaming Corp. | 12,017 | 706 | |
* | Gannett Co. Inc. | 178,809 | 703 |
Newell Brands Inc. | 31,805 | 682 | |
Jack in the Box Inc. | 9,845 | 672 | |
* | Southwest Airlines Co. | 14,529 | 666 |
Ralph Lauren Corp. Class A | 6,529 | 660 | |
Movado Group Inc. | 19,101 | 648 | |
Lear Corp. | 4,539 | 640 | |
* | Chegg Inc. | 32,661 | 636 |
Caleres Inc. | 21,751 | 619 |
Shares | Market Value• ($000) | ||
* | Central Garden & Pet Co. Class A | 14,616 | 619 |
Franchise Group Inc. | 15,246 | 605 | |
Rush Enterprises Inc. Class A | 11,782 | 601 | |
Target Corp. | 3,715 | 601 | |
Scholastic Corp. | 15,620 | 586 | |
* | AMC Networks Inc. Class A | 14,330 | 563 |
LKQ Corp. | 10,919 | 561 | |
MDC Holdings Inc. | 14,684 | 561 | |
Guess? Inc. | 26,675 | 556 | |
Ethan Allen Interiors Inc. | 23,319 | 542 | |
* | Funko Inc. Class A | 26,334 | 536 |
* | Abercrombie & Fitch Co. Class A | 25,170 | 514 |
Williams-Sonoma Inc. | 3,944 | 505 | |
Tilly's Inc. Class A | 59,654 | 494 | |
* | JetBlue Airways Corp. | 45,643 | 490 |
* | Lazydays Holdings Inc. | 31,353 | 487 |
* | Universal Electronics Inc. | 17,985 | 482 |
* | SeaWorld Entertainment Inc. | 8,865 | 480 |
* | Knowles Corp. | 24,498 | 471 |
Buckle Inc. | 14,173 | 466 | |
Strategic Education Inc. | 7,045 | 464 | |
* | Citi Trends Inc. | 15,474 | 462 |
* | Lands' End Inc. | 38,951 | 452 |
* | Meritage Homes Corp. | 5,304 | 452 |
* | Malibu Boats Inc. Class A | 7,264 | 426 |
Murphy USA Inc. | 1,704 | 425 | |
American Eagle Outfitters Inc. | 31,680 | 384 | |
* | Zumiez Inc. | 11,696 | 384 |
* | Chico's FAS Inc. | 76,654 | 379 |
Century Communities Inc. | 6,943 | 378 | |
* | Playtika Holding Corp. | 25,345 | 375 |
* | Audacy Inc. Class A | 214,519 | 373 |
* | Hilton Grand Vacations Inc. | 8,105 | 371 |
* | Sally Beauty Holdings Inc. | 23,238 | 352 |
Marriott Vacations Worldwide Corp. | 2,357 | 348 | |
* | KAR Auction Services Inc. | 20,030 | 320 |
Standard Motor Products Inc. | 7,155 | 286 | |
* | Copa Holdings SA Class A | 4,039 | 286 |
*,1 | Kirkland's Inc. | 47,969 | 278 |
Academy Sports & Outdoors Inc. | 8,037 | 269 | |
DR Horton Inc. | 3,468 | 261 | |
Interpublic Group of Cos. Inc. | 7,938 | 256 | |
* | Mesa Air Group Inc. | 81,908 | 251 |
Dillard's Inc. Class A | 819 | 247 | |
Lennar Corp. Class B | 3,633 | 244 | |
KB Home | 6,380 | 220 | |
* | VOXX International Corp. Class A | 25,062 | 210 |
Best Buy Co. Inc. | 2,541 | 209 | |
Oxford Industries Inc. | 2,282 | 208 | |
Paramount Global Inc. Class B | 5,580 | 192 | |
* | Party City Holdco Inc. | 130,370 | 188 |
* | Green Brick Partners Inc. | 7,480 | 182 |
A-Mark Precious Metals Inc. | 2,379 | 181 | |
* | Stride Inc. | 4,287 | 168 |
Interface Inc. Class A | 11,445 | 165 | |
Cato Corp. Class A | 10,663 | 139 |
Shares | Market Value• ($000) | ||
International Game Technology plc | 6,012 | 129 | |
142,228 | |||
Consumer Staples (4.8%) | |||
Altria Group Inc. | 112,305 | 6,075 | |
CVS Health Corp. | 52,189 | 5,049 | |
Philip Morris International Inc. | 25,445 | 2,704 | |
Kraft Heinz Co. | 70,113 | 2,652 | |
McKesson Corp. | 6,393 | 2,101 | |
* | Herbalife Nutrition Ltd. | 82,248 | 1,792 |
Molson Coors Beverage Co. Class B | 30,722 | 1,715 | |
Walgreens Boots Alliance Inc. | 35,299 | 1,547 | |
Archer-Daniels-Midland Co. | 14,549 | 1,321 | |
SpartanNash Co. | 37,145 | 1,278 | |
ACCO Brands Corp. | 167,342 | 1,262 | |
Tyson Foods Inc. Class A | 13,712 | 1,229 | |
Kroger Co. | 21,081 | 1,117 | |
Universal Corp. | 13,530 | 862 | |
* | TreeHouse Foods Inc. | 18,498 | 761 |
Weis Markets Inc. | 10,271 | 755 | |
* | United Natural Foods Inc. | 14,801 | 628 |
Ingles Markets Inc. Class A | 6,617 | 589 | |
J M Smucker Co. | 4,549 | 570 | |
Vector Group Ltd. | 44,908 | 553 | |
Edgewell Personal Care Co. | 14,731 | 536 | |
Fresh Del Monte Produce Inc. | 16,823 | 430 | |
* | Pilgrim's Pride Corp. | 12,387 | 413 |
Albertsons Cos. Inc. Class A | 13,307 | 407 | |
Seaboard Corp. | 97 | 402 | |
* | Darling Ingredients Inc. | 4,190 | 335 |
Andersons Inc. | 6,733 | 253 | |
Ingredion Inc. | 2,411 | 228 | |
Keurig Dr Pepper Inc. | 6,225 | 216 | |
* | Hostess Brands Inc. Class A | 10,097 | 215 |
Conagra Brands Inc. | 6,479 | 213 | |
* | US Foods Holding Corp | 5,866 | 194 |
Corteva Inc. | 2,083 | 130 | |
38,532 | |||
Energy (10.3%) | |||
Exxon Mobil Corp. | 53,241 | 5,111 | |
Marathon Petroleum Corp. | 48,600 | 4,947 | |
Pioneer Natural Resources Co. | 17,659 | 4,908 | |
ConocoPhillips | 40,318 | 4,530 | |
EOG Resources Inc. | 28,024 | 3,838 | |
Chevron Corp. | 20,830 | 3,638 | |
APA Corp. | 54,561 | 2,565 | |
* | CONSOL Energy Inc. | 42,044 | 2,168 |
EQT Corp. | 45,262 | 2,160 | |
* | Southwestern Energy Co. | 210,157 | 1,917 |
* | Antero Resources Corp. | 40,362 | 1,731 |
Matador Resources Co. | 28,297 | 1,723 | |
Phillips 66 | 17,005 | 1,714 | |
* | Comstock Resources Inc. | 85,769 | 1,655 |
Marathon Oil Corp. | 52,226 | 1,642 | |
Diamondback Energy Inc. | 10,744 | 1,633 | |
Ovintiv Inc. (XNYS) | 27,627 | 1,547 | |
SM Energy Co. | 32,010 | 1,545 | |
Kinder Morgan Inc. | 73,964 | 1,456 | |
* | PBF Energy Inc. Class A | 43,233 | �� 1,435 |
Shares | Market Value• ($000) | ||
Valero Energy Corp. | 11,014 | 1,427 | |
* | Range Resources Corp. | 40,095 | 1,361 |
PDC Energy Inc. | 16,365 | 1,295 | |
Cheniere Energy Inc. | 9,294 | 1,271 | |
* | Talos Energy Inc. | 58,748 | 1,269 |
Murphy Oil Corp. | 28,464 | 1,207 | |
* | Kosmos Energy Ltd. | 144,917 | 1,122 |
Coterra Energy Inc. | 32,521 | 1,116 | |
Devon Energy Corp. | 14,850 | 1,112 | |
* | Centennial Resource Development Inc. Class A | 132,998 | 1,056 |
HF Sinclair Corp. | 21,127 | 1,037 | |
* | Peabody Energy Corp. | 43,129 | 1,018 |
Civitas Resources Inc. | 11,747 | 897 | |
SunCoke Energy Inc. | 107,168 | 867 | |
* | Helix Energy Solutions Group Inc. | 183,588 | 852 |
Continental Resources Inc. | 11,752 | 800 | |
Kinetik Holdings Inc. | 8,980 | 755 | |
* | Callon Petroleum Co. | 12,689 | 742 |
* | Centrus Energy Corp. Class A | 28,947 | 741 |
* | Newpark Resources Inc. | 171,775 | 739 |
* | Laredo Petroleum Inc. | 8,726 | 735 |
Schlumberger NV | 15,555 | 715 | |
Archrock Inc. | 69,837 | 701 | |
* | CNX Resources Corp. | 31,959 | 694 |
Occidental Petroleum Corp. | 9,998 | 693 | |
Warrior Met Coal Inc. | 19,480 | 655 | |
Berry Corp. | 57,707 | 642 | |
1 | Arch Resources Inc. | 4,101 | 627 |
* | W&T Offshore Inc. | 92,664 | 624 |
* | Bristow Group Inc. | 19,161 | 609 |
* | Nabors Industries Ltd. (XNYS) | 2,666 | 445 |
* | Golar LNG Ltd. | 17,069 | 432 |
ONEOK Inc. | 5,998 | 395 | |
California Resources Corp. | 8,969 | 392 | |
Targa Resources Corp. | 5,157 | 371 | |
Magnolia Oil & Gas Corp. Class A | 13,322 | 368 | |
Northern Oil and Gas Inc. | 10,772 | 352 | |
Antero Midstream Corp. | 28,418 | 309 | |
Equitrans Midstream Corp. | 37,538 | 295 | |
Oasis Petroleum Inc. | 1,851 | 294 | |
Brigham Minerals Inc. Class A | 7,398 | 224 | |
* | National Energy Services Reunited Corp. | 27,349 | 204 |
* | MRC Global Inc. | 14,641 | 164 |
Arcosa Inc. | 2,460 | 130 | |
* | First Solar Inc. | 1,623 | 115 |
83,732 | |||
Financials (24.6%) | |||
Citigroup Inc. | 91,184 | 4,870 | |
Bank of New York Mellon Corp. | 91,214 | 4,251 | |
Truist Financial Corp. | 81,164 | 4,037 | |
MetLife Inc. | 59,198 | 3,989 | |
JPMorgan Chase & Co. | 29,775 | 3,937 | |
US Bancorp | 69,228 | 3,674 | |
American International Group Inc. | 61,701 | 3,621 | |
Prudential Financial Inc. | 34,031 | 3,616 | |
PNC Financial Services Group Inc. | 20,585 | 3,611 | |
Bank of America Corp. | 94,035 | 3,498 |
Shares | Market Value• ($000) | ||
Wells Fargo & Co. | 73,978 | 3,386 | |
Goldman Sachs Group Inc. | 10,003 | 3,269 | |
Morgan Stanley | 37,153 | 3,200 | |
T Rowe Price Group Inc. | 22,554 | 2,866 | |
Essent Group Ltd. | 63,305 | 2,709 | |
Aflac Inc. | 38,608 | 2,338 | |
Chubb Ltd. | 10,690 | 2,259 | |
CNA Financial Corp. | 42,340 | 1,941 | |
OceanFirst Financial Corp. | 92,858 | 1,873 | |
* | Riot Blockchain Inc. | 255,773 | 1,839 |
Prosperity Bancshares Inc. | 24,663 | 1,788 | |
Heartland Financial USA Inc. | 40,126 | 1,775 | |
Charles Schwab Corp. | 24,433 | 1,713 | |
* | Enstar Group Ltd. | 7,169 | 1,663 |
MGIC Investment Corp. | 118,851 | 1,656 | |
Radian Group Inc. | 75,953 | 1,634 | |
* | Unum Group | 44,376 | 1,617 |
S&T Bancorp Inc. | 53,272 | 1,567 | |
Invesco Ltd. | 80,626 | 1,559 | |
* | LendingClub Corp. | 97,099 | 1,526 |
Ally Financial Inc. | 34,122 | 1,503 | |
Washington Federal Inc. | 46,103 | 1,496 | |
Franklin Resources Inc. | 54,539 | 1,477 | |
PacWest Bancorp | 46,304 | 1,462 | |
Allstate Corp. | 10,582 | 1,446 | |
*,1 | Marathon Digital Holdings Inc. | 139,263 | 1,425 |
FNB Corp. | 117,159 | 1,423 | |
Hancock Whitney Corp. | 27,948 | 1,393 | |
Cowen Inc. Class A | 52,399 | 1,391 | |
Home BancShares Inc. | 61,412 | 1,387 | |
Provident Financial Services Inc. | 58,971 | 1,356 | |
* | Brighthouse Financial Inc. | 27,573 | 1,354 |
Affiliated Managers Group Inc. | 9,983 | 1,334 | |
Dime Community Bancshares Inc. | 42,138 | 1,325 | |
WesBanco Inc. | 37,678 | 1,283 | |
Renasant Corp. | 41,220 | 1,275 | |
Enterprise Financial Services Corp. | 27,476 | 1,272 | |
Towne Bank | 42,633 | 1,257 | |
Hope Bancorp Inc. | 85,361 | 1,245 | |
Reinsurance Group of America Inc. | 9,884 | 1,244 | |
Jefferies Financial Group Inc. | 36,370 | 1,201 | |
* | Berkshire Hathaway Inc. Class B | 3,795 | 1,199 |
Axis Capital Holdings Ltd. | 20,034 | 1,173 | |
Lincoln National Corp. | 20,057 | 1,162 | |
Regions Financial Corp. | 52,400 | 1,157 | |
Cadence Bank | 43,240 | 1,156 | |
Equitable Holdings Inc. | 36,940 | 1,123 | |
RenaissanceRe Holdings Ltd. | 7,308 | 1,122 | |
Webster Financial Corp. | 22,387 | 1,099 | |
PennyMac Financial Services Inc. | 22,169 | 1,087 | |
Citizens Financial Group Inc. | 26,251 | 1,086 | |
First Citizens BancShares Inc. Class A | 1,539 | 1,078 | |
Bank OZK | 25,963 | 1,077 | |
Everest Re Group Ltd. | 3,766 | 1,064 | |
OneMain Holdings Inc. | 24,092 | 1,061 | |
Ameris Bancorp | 23,211 | 1,058 |
Shares | Market Value• ($000) | ||
First Financial Bancorp | 50,399 | 1,057 | |
* | Genworth Financial Inc. Class A | 255,093 | 1,033 |
Trustmark Corp. | 35,461 | 1,032 | |
Pacific Premier Bancorp Inc. | 31,562 | 1,028 | |
Janus Henderson Group plc | 35,940 | 1,010 | |
Travelers Cos. Inc. | 5,560 | 995 | |
Zions Bancorp NA | 17,306 | 987 | |
Fidelity National Financial Inc. | 23,311 | 986 | |
* | NMI Holdings Inc. Class A | 52,709 | 981 |
NBT Bancorp Inc. | 25,695 | 950 | |
Pinnacle Financial Partners Inc. | 11,621 | 946 | |
Synovus Financial Corp. | 22,177 | 946 | |
Old Republic International Corp. | 38,792 | 928 | |
Western Alliance Bancorp | 11,356 | 924 | |
Stifel Financial Corp. | 14,354 | 921 | |
Nelnet Inc. Class A | 10,682 | 905 | |
Valley National Bancorp | 69,627 | 885 | |
Northwest Bancshares Inc. | 67,913 | 875 | |
Sandy Spring Bancorp Inc. | 20,337 | 861 | |
First Merchants Corp. | 20,756 | 854 | |
American Equity Investment Life Holding Co. | 20,789 | 837 | |
Simmons First National Corp. Class A | 32,455 | 834 | |
First Busey Corp. | 35,337 | 829 | |
KeyCorp | 41,277 | 824 | |
SouthState Corp. | 10,007 | 809 | |
First American Financial Corp. | 13,309 | 806 | |
UMB Financial Corp. | 8,727 | 806 | |
Cathay General Bancorp | 19,357 | 796 | |
Lakeland Bancorp Inc. | 49,818 | 773 | |
BlackRock Inc. | 1,128 | 755 | |
Atlantic Union Bankshares Corp. | 21,182 | 747 | |
* | Encore Capital Group Inc. | 12,150 | 742 |
First Bancorp (XNGS) | 19,654 | 736 | |
OFG Bancorp | 25,686 | 728 | |
BOK Financial Corp. | 8,333 | 718 | |
Popular Inc. | 8,692 | 710 | |
TriCo Bancshares | 15,637 | 709 | |
Huntington Bancshares Inc. | 50,994 | 708 | |
Principal Financial Group Inc. | 9,630 | 702 | |
Navient Corp. | 42,543 | 681 | |
Globe Life Inc. | 6,969 | 680 | |
* | Enova International Inc. | 21,430 | 677 |
1st Source Corp. | 14,327 | 674 | |
Fulton Financial Corp. | 42,375 | 672 | |
Univest Financial Corp. | 25,324 | 671 | |
Flushing Financial Corp. | 28,933 | 668 | |
Old National Bancorp | 41,998 | 668 | |
United Bankshares Inc. | 17,792 | 668 | |
New York Community Bancorp Inc. | 66,626 | 665 | |
Eagle Bancorp Inc. | 13,300 | 659 | |
ConnectOne Bancorp Inc. | 23,144 | 638 | |
Hilltop Holdings Inc. | 21,151 | 635 | |
First Financial Corp. | 14,019 | 631 | |
First Commonwealth Financial Corp. | 44,507 | 623 | |
CNO Financial Group Inc. | 30,251 | 622 | |
Premier Financial Corp. | 22,901 | 622 |
Shares | Market Value• ($000) | ||
* | Mr Cooper Group Inc. | 14,081 | 611 |
Peoples Bancorp Inc. | 21,291 | 608 | |
Associated Banc-Corp. | 29,283 | 606 | |
Raymond James Financial Inc. | 6,068 | 598 | |
Hartford Financial Services Group Inc. | 8,235 | 597 | |
* | Customers Bancorp Inc. | 14,429 | 596 |
Columbia Banking System Inc. | 19,479 | 587 | |
Meta Financial Group Inc. | 14,045 | 584 | |
Stewart Information Services Corp. | 10,502 | 583 | |
Universal Insurance Holdings Inc. | 45,037 | 581 | |
Voya Financial Inc. | 8,472 | 581 | |
Brookline Bancorp Inc. | 39,839 | 564 | |
Banc of California Inc. | 28,867 | 555 | |
SLM Corp. | 28,281 | 554 | |
TrustCo Bank Corp. NY | 16,848 | 543 | |
Heritage Financial Corp. | 20,714 | 541 | |
* | StoneX Group Inc. | 7,124 | 535 |
Argo Group International Holdings Ltd. | 12,342 | 523 | |
Comerica Inc. | 6,174 | 514 | |
* | Nicolet Bankshares Inc. | 6,399 | 511 |
M&T Bank Corp. | 2,773 | 499 | |
* | Arch Capital Group Ltd. | 10,431 | 495 |
Horace Mann Educators Corp. | 12,095 | 489 | |
Horizon Bancorp Inc. | 26,766 | 481 | |
Independent Bank Group Inc. | 6,486 | 474 | |
Hanmi Financial Corp. | 20,008 | 467 | |
* | Credit Acceptance Corp. | 737 | 439 |
BankUnited Inc. | 10,429 | 434 | |
HarborOne Bancorp Inc. | 29,919 | 427 | |
Bank of NT Butterfield & Son Ltd. | 13,254 | 419 | |
Banner Corp. | 7,190 | 418 | |
Berkshire Hills Bancorp Inc. | 15,855 | 414 | |
Discover Financial Services | 3,610 | 410 | |
* | Axos Financial Inc. | 10,378 | 401 |
* | Texas Capital Bancshares Inc. | 6,989 | 395 |
Evercore Inc. Class A | 3,237 | 370 | |
* | PRA Group Inc. | 9,529 | 353 |
Northfield Bancorp Inc. | 25,040 | 333 | |
Ameriprise Financial Inc. | 1,198 | 331 | |
Assurant Inc. | 1,811 | 320 | |
HomeStreet Inc. | 7,879 | 318 | |
James River Group Holdings Ltd. | 12,393 | 317 | |
* | Bancorp Inc. | 15,103 | 315 |
First BanCorp. (XNYS) | 20,424 | 305 | |
State Street Corp. | 4,178 | 303 | |
Carlyle Group Inc. | 7,833 | 302 | |
Progressive Corp. | 2,488 | 297 | |
Central Pacific Financial Corp. | 11,690 | 282 | |
Park National Corp. | 2,219 | 274 | |
American Financial Group Inc. | 1,863 | 263 | |
Northern Trust Corp. | 2,299 | 257 | |
* | Markel Corp. | 181 | 248 |
Fifth Third Bancorp | 6,205 | 245 | |
BGC Partners Inc. Class A | 70,635 | 230 | |
Cullen/Frost Bankers Inc. | 1,831 | 229 |
Shares | Market Value• ($000) | ||
Employers Holdings Inc. | 5,521 | 229 | |
Southside Bancshares Inc. | 5,643 | 228 | |
Wintrust Financial Corp. | 2,613 | 228 | |
* | SiriusPoint Ltd. | 39,208 | 220 |
Assured Guaranty Ltd. | 3,716 | 219 | |
Heritage Commerce Corp. | 19,052 | 218 | |
Primerica Inc. | 1,723 | 217 | |
Selective Insurance Group Inc. | 2,669 | 212 | |
East West Bancorp Inc. | 2,865 | 211 | |
Signature Bank | 951 | 206 | |
Federal Agricultural Mortgage Corp. Class C | 1,941 | 204 | |
First Foundation Inc. | 8,797 | 198 | |
Washington Trust Bancorp Inc. | 3,382 | 170 | |
Hanover Insurance Group Inc. | 1,077 | 158 | |
Apollo Global Management Inc. | 2,687 | 155 | |
Preferred Bank | 1,921 | 132 | |
Veritex Holdings Inc. | 3,664 | 126 | |
* | World Acceptance Corp. | 734 | 109 |
198,726 | |||
Health Care (8.2%) | |||
Bristol-Myers Squibb Co. | 75,321 | 5,683 | |
* | Moderna Inc. | 36,990 | 5,376 |
Cigna Corp. | 18,869 | 5,062 | |
HCA Healthcare Inc. | 21,992 | 4,627 | |
Gilead Sciences Inc. | 71,128 | 4,613 | |
Pfizer Inc. | 83,704 | 4,440 | |
* | Centene Corp. | 42,229 | 3,439 |
Anthem Inc. | 6,068 | 3,092 | |
* | Regeneron Pharmaceuticals Inc. | 4,074 | 2,708 |
Merck & Co. Inc. | 20,823 | 1,916 | |
* | Jazz Pharmaceuticals plc | 10,188 | 1,525 |
Organon & Co. | 39,627 | 1,504 | |
QuidelOrtho Corp. | 14,494 | 1,377 | |
* | Novavax Inc. | 23,997 | 1,328 |
* | AdaptHealth Corp. Class A | 64,482 | 1,160 |
Universal Health Services Inc. Class B | 9,227 | 1,150 | |
AbbVie Inc. | 7,442 | 1,097 | |
* | United Therapeutics Corp. | 4,692 | 1,081 |
Premier Inc. Class A | 26,273 | 983 | |
DENTSPLY SIRONA Inc. | 21,880 | 866 | |
Humana Inc. | 1,754 | 797 | |
* | Emergent BioSolutions Inc. | 23,275 | 767 |
* | Biogen Inc. | 3,713 | 743 |
* | Fulgent Genetics Inc. | 12,872 | 702 |
* | Multiplan Corp. | 138,376 | 692 |
Select Medical Holdings Corp. | 27,412 | 667 | |
Medtronic plc | 6,479 | 649 | |
* | Innoviva Inc. | 41,139 | 624 |
Quest Diagnostics Inc. | 4,411 | 622 | |
* | Endo International plc | 1,168,321 | 617 |
Laboratory Corp. of America Holdings | 2,494 | 615 | |
Encompass Health Corp. | 8,958 | 587 | |
* | Amneal Pharmaceuticals Inc. | 151,001 | 548 |
* | Prestige Consumer Healthcare Inc. | 9,372 | 523 |
* | Avanos Medical Inc. | 17,925 | 514 |
* | Hologic Inc. | 5,652 | 425 |
Shares | Market Value• ($000) | ||
PerkinElmer Inc. | 2,692 | 403 | |
* | Catalyst Pharmaceuticals Inc. | 49,268 | 355 |
* | MEDNAX Inc. | 17,786 | 344 |
* | Tenet Healthcare Corp. | 5,304 | 343 |
Zimmer Biomet Holdings Inc. | 2,425 | 291 | |
* | Computer Programs and Systems Inc. | 8,974 | 286 |
National HealthCare Corp. | 3,731 | 262 | |
* | Collegium Pharmaceutical Inc. | 15,500 | 242 |
* | Acadia Healthcare Co. Inc. | 3,067 | 218 |
Perrigo Co. plc | 4,716 | 188 | |
* | DaVita Inc. | 1,268 | 124 |
Owens & Minor Inc. | 3,185 | 111 | |
66,286 | |||
Industrials (15.1%) | |||
FedEx Corp. | 27,865 | 6,258 | |
Capital One Financial Corp. | 43,602 | 5,575 | |
Global Payments Inc. | 35,642 | 4,671 | |
Fidelity National Information Services Inc. | 39,992 | 4,179 | |
* | StoneCo. Ltd. Class A | 306,890 | 3,081 |
Westrock Co. | 60,357 | 2,927 | |
* | Fiserv Inc. | 28,389 | 2,844 |
General Dynamics Corp. | 12,247 | 2,754 | |
Bread Financial Holdings Inc. | 46,714 | 2,574 | |
Ryder System Inc. | 31,668 | 2,534 | |
* | Mohawk Industries Inc. | 16,112 | 2,279 |
* | Atlas Air Worldwide Holdings Inc. | 25,978 | 1,811 |
* | Paysafe Ltd. | 640,436 | 1,748 |
3M Co. | 11,406 | 1,703 | |
Knight-Swift Transportation Holdings Inc. | 34,690 | 1,687 | |
Schneider National Inc. Class B | 65,034 | 1,570 | |
Scorpio Tankers Inc. | 46,283 | 1,530 | |
Owens Corning | 15,962 | 1,526 | |
* | Berry Global Group Inc. | 25,316 | 1,477 |
ManpowerGroup Inc. | 15,907 | 1,425 | |
* | Builders FirstSource Inc. | 20,331 | 1,323 |
Synchrony Financial | 35,674 | 1,321 | |
Louisiana-Pacific Corp. | 18,455 | 1,275 | |
Air Lease Corp. Class A | 31,081 | 1,169 | |
Norfolk Southern Corp. | 4,777 | 1,145 | |
Raytheon Technologies Corp. | 11,816 | 1,124 | |
MDU Resources Group Inc. | 40,176 | 1,100 | |
* | XPO Logistics Inc. | 19,841 | 1,060 |
* | Gates Industrial Corp. plc | 82,336 | 1,051 |
Triton International Ltd. | 15,147 | 966 | |
L3Harris Technologies Inc. | 3,924 | 945 | |
* | Conduent Inc. | 177,091 | 939 |
Moog Inc. Class A | 11,484 | 935 | |
* | BrightView Holdings Inc. | 70,611 | 918 |
SFL Corp. Ltd. | 81,181 | 913 | |
* | CoreCivic Inc. | 69,143 | 890 |
Costamare Inc. | 62,503 | 889 | |
* | Resideo Technologies Inc. | 37,469 | 885 |
* | O-I Glass Inc. | 53,787 | 885 |
* | American Woodmark Corp. | 16,839 | 877 |
Deluxe Corp. | 36,038 | 862 | |
Oshkosh Corp. | 9,246 | 859 | |
* | United Rentals Inc. | 2,871 | 856 |
Shares | Market Value• ($000) | ||
ArcBest Corp. | 11,255 | 851 | |
Genco Shipping & Trading Ltd. | 33,553 | 847 | |
ADT Inc. | 110,717 | 828 | |
* | Summit Materials Inc. Class A | 29,902 | 817 |
* | BlueLinx Holdings Inc. | 9,858 | 815 |
Safe Bulkers Inc. | 170,692 | 812 | |
Graphic Packaging Holding Co. | 36,249 | 807 | |
Brunswick Corp. | 10,589 | 797 | |
* | Veritiv Corp. | 5,393 | 784 |
Textron Inc. | 11,937 | 779 | |
Altra Industrial Motion Corp. | 19,571 | 767 | |
* | Titan Machinery Inc. | 28,976 | 765 |
Allison Transmission Holdings Inc. | 19,095 | 764 | |
Matson Inc. | 8,476 | 762 | |
* | Yellow Corp. | 194,929 | 737 |
REV Group Inc. | 59,753 | 733 | |
Dorian LPG Ltd. | 43,064 | 732 | |
Covenant Logistics Group Inc. Class A | 32,056 | 727 | |
* | WESCO International Inc. | 5,777 | 725 |
Masco Corp. | 12,629 | 716 | |
* | Manitowoc Co. Inc. | 54,756 | 713 |
Encore Wire Corp. | 5,697 | 712 | |
* | Sterling Construction Co. Inc. | 28,155 | 693 |
Patrick Industries Inc. | 11,470 | 689 | |
* | Atkore Inc. | 6,170 | 672 |
Quanex Building Products Corp. | 32,713 | 665 | |
Werner Enterprises Inc. | 15,934 | 646 | |
MKS Instruments Inc. | 5,047 | 623 | |
* | Modine Manufacturing Co. | 52,283 | 618 |
Sensata Technologies Holding plc | 12,780 | 614 | |
Primoris Services Corp. | 25,231 | 613 | |
* | Green Dot Corp. Class A | 21,184 | 611 |
Johnson Controls International plc | 11,014 | 600 | |
Greif Inc. Class A | 9,895 | 588 | |
Kelly Services Inc. Class A | 29,405 | 587 | |
Textainer Group Holdings Ltd. | 17,369 | 563 | |
* | Air Transport Services Group Inc. | 18,609 | 562 |
United Parcel Service Inc. Class B | 3,065 | 559 | |
* | Advantage Solutions Inc. | 124,115 | 534 |
Cummins Inc. | 2,550 | 533 | |
* | AMN Healthcare Services Inc. | 5,182 | 502 |
PACCAR Inc. | 5,692 | 494 | |
nVent Electric plc | 13,779 | 488 | |
Griffon Corp. | 14,997 | 481 | |
* | JELD-WEN Holding Inc. | 25,326 | 477 |
* | Hub Group Inc. Class A | 6,459 | 471 |
Fortune Brands Home & Security Inc. | 6,734 | 467 | |
* | GMS Inc. | 9,335 | 465 |
Korn Ferry | 7,517 | 462 | |
Acuity Brands Inc. | 2,636 | 461 | |
* | Masonite International Corp. | 4,896 | 450 |
Resources Connection Inc. | 24,285 | 449 | |
Eagle Bulk Shipping Inc. | 5,981 | 438 |
Shares | Market Value• ($000) | ||
* | MasTec Inc. | 5,184 | 433 |
AGCO Corp. | 3,267 | 419 | |
Vontier Corp. | 15,367 | 412 | |
* | DXP Enterprises Inc. | 13,157 | 404 |
Quanta Services Inc. | 3,371 | 401 | |
Hillenbrand Inc. | 9,266 | 388 | |
Herc Holdings Inc. | 3,289 | 386 | |
* | Tutor Perini Corp. | 35,964 | 365 |
ABM Industries Inc. | 7,414 | 358 | |
* | Kirby Corp. | 5,224 | 353 |
* | Teekay Corp. | 102,483 | 346 |
Barnes Group Inc. | 8,803 | 317 | |
Marten Transport Ltd. | 17,742 | 312 | |
* | Frontline Ltd. | 31,951 | 309 |
Trinity Industries Inc. | 12,172 | 303 | |
Crane Holdings Co. | 3,095 | 296 | |
* | AAR Corp. | 5,710 | 275 |
Emerson Electric Co. | 3,013 | 267 | |
Kronos Worldwide Inc. | 13,813 | 263 | |
* | MYR Group Inc. | 2,792 | 256 |
DuPont de Nemours Inc. | 3,622 | 246 | |
DHT Holdings Inc. | 40,125 | 239 | |
* | Beacon Roofing Supply Inc. | 3,814 | 234 |
Snap-on Inc. | 1,054 | 234 | |
Regal Rexnord Corp. | 1,862 | 233 | |
* | TrueBlue Inc. | 10,217 | 225 |
* | FTI Consulting Inc. | 1,335 | 224 |
International Seaways Inc. | 9,298 | 224 | |
Westinghouse Air Brake Technologies Corp. | 2,165 | 205 | |
EMCOR Group Inc. | 1,892 | 200 | |
Insteel Industries Inc. | 4,833 | 200 | |
* | Fluor Corp. | 6,716 | 190 |
GATX Corp. | 1,628 | 176 | |
American Express Co. | 1,036 | 175 | |
* | Ducommun Inc. | 3,806 | 174 |
Apogee Enterprises Inc. | 3,959 | 165 | |
Maxar Technologies Inc. | 5,413 | 162 | |
Huntington Ingalls Industries Inc. | 725 | 153 | |
Kaman Corp. | 3,491 | 126 | |
Packaging Corp. of America | 804 | 126 | |
Greenbrier Cos. Inc. | 2,854 | 119 | |
* | US Xpress Enterprises Inc. Class A | 38,729 | 115 |
Silgan Holdings Inc. | 2,597 | 114 | |
122,527 | |||
Real Estate (0.3%) | |||
* | Realogy Holdings Corp. | 76,624 | 949 |
* | GEO Group Inc. | 110,608 | 786 |
* | Jones Lang LaSalle Inc. | 1,753 | 346 |
Newmark Group Inc. Class A | 22,332 | 247 | |
EPR Properties | 2,965 | 152 | |
VICI Properties Inc. | 4,835 | 149 | |
2,629 | |||
Technology (8.0%) | |||
Micron Technology Inc. | 78,301 | 5,782 | |
Intel Corp. | 120,139 | 5,337 | |
International Business Machines Corp. | 22,971 | 3,189 | |
* | Meta Platforms Inc. Class A | 15,114 | 2,927 |
Hewlett Packard Enterprise Co. | 156,358 | 2,439 | |
HP Inc. | 60,605 | 2,354 |
Shares | Market Value• ($000) | ||
Dell Technologies Inc. Class C | 41,898 | 2,092 | |
Amkor Technology Inc. | 96,653 | 1,976 | |
* | DXC Technology Co. | 54,262 | 1,911 |
Cognizant Technology Solutions Corp. Class A | 24,363 | 1,820 | |
Vishay Intertechnology Inc. | 85,994 | 1,758 | |
Microchip Technology Inc. | 23,261 | 1,690 | |
Oracle Corp. | 23,194 | 1,668 | |
* | Western Digital Corp. | 25,138 | 1,526 |
* | Magnite Inc. | 134,375 | 1,477 |
* | Arrow Electronics Inc. | 11,326 | 1,366 |
* | Ziff Davis Inc. | 13,395 | 1,023 |
* | Photronics Inc. | 45,907 | 998 |
* | TTM Technologies Inc. | 69,820 | 998 |
Jabil Inc. | 16,206 | 997 | |
* | Rackspace Technology Inc. | 101,217 | 934 |
* | Alpha & Omega Semiconductor Ltd. | 20,986 | 922 |
* | NCR Corp. | 26,418 | 916 |
* | Qorvo Inc. | 8,183 | 914 |
* | Ultra Clean Holdings Inc. | 27,116 | 910 |
* | CACI International Inc. Class A | 3,230 | 906 |
Xperi Holding Corp. | 53,345 | 878 | |
QUALCOMM Inc. | 5,961 | 854 | |
Science Applications International Corp. | 9,028 | 781 | |
* | II-VI Inc. | 12,251 | 766 |
* | Sanmina Corp. | 17,344 | 761 |
* | Unisys Corp. | 62,804 | 749 |
* | Upland Software Inc. | 54,964 | 724 |
* | ScanSource Inc. | 18,157 | 703 |
* | Dropbox Inc. Class A | 32,189 | 671 |
Skyworks Solutions Inc. | 6,125 | 667 | |
TD SYNNEX Corp. | 6,334 | 658 | |
Amdocs Ltd. | 7,223 | 628 | |
* | Cohu Inc. | 20,493 | 624 |
Broadcom Inc. | 997 | 578 | |
SS&C Technologies Holdings Inc. | 8,812 | 564 | |
Ebix Inc. | 18,606 | 542 | |
SolarWinds Corp. | 45,542 | 530 | |
* | Cerence Inc. | 15,985 | 508 |
*,1 | Cleanspark Inc. | 83,852 | 494 |
* | Rimini Street Inc. | 62,574 | 387 |
* | Kimball Electronics Inc. | 19,309 | 367 |
Xerox Holdings Corp. | 19,374 | 365 | |
Concentrix Corp. | 1,942 | 301 | |
* | NetScout Systems Inc. | 8,692 | 298 |
Avnet Inc. | 5,575 | 270 | |
NortonLifeLock Inc. | 10,287 | 250 | |
NXP Semiconductors NV | 1,086 | 206 | |
Methode Electronics Inc. | 3,851 | 173 | |
Applied Materials Inc. | 1,321 | 155 | |
* | Allscripts Healthcare Solutions Inc. | 7,935 | 136 |
* | SMART Global Holdings Inc. | 5,244 | 129 |
* | Diebold Nixdorf Inc. | 30,229 | 94 |
64,641 | |||
Telecommunications (4.2%) | |||
Verizon Communications Inc. | 144,580 | 7,415 | |
AT&T Inc. | 322,811 | 6,873 | |
Comcast Corp. Class A | 133,667 | 5,919 | |
* | Altice USA Inc. Class A | 237,963 | 2,708 |
Shares | Market Value• ($000) | ||
* | DISH Network Corp. Class A | 79,285 | 1,810 |
Lumen Technologies Inc. | 138,291 | 1,693 | |
* | CommScope Holding Co. Inc. | 174,686 | 1,312 |
* | United States Cellular Corp. | 36,373 | 1,117 |
* | Liberty Latin America Ltd. Class C | 115,311 | 1,097 |
Cisco Systems Inc. | 16,324 | 735 | |
* | Charter Communications Inc. Class A | 1,384 | 701 |
Telephone and Data Systems Inc. | 37,621 | 667 | |
* | Liberty Latin America Ltd. Class A | 48,014 | 457 |
* | Lumentum Holdings Inc. | 4,768 | 410 |
Juniper Networks Inc. | 12,094 | 371 | |
* | EchoStar Corp. Class A | 14,848 | 357 |
* | Consolidated Communications Holdings Inc. | 41,540 | 275 |
* | ViaSat Inc. | 6,561 | 259 |
34,176 | |||
Utilities (0.1%) | |||
National Fuel Gas Co. | 5,073 | 373 | |
Exelon Corp. | 3,719 | 183 |
Shares | Market Value• ($000) | ||
FirstEnergy Corp. | 3,498 | 150 | |
706 | |||
Total Common Stocks (Cost $717,875) | 805,650 | ||
Temporary Cash Investments (0.5%) | |||
Money Market Fund (0.5%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.854% (Cost $4,249) | 42,491 | 4,249 |
Total Investments (100.1%) (Cost $722,124) | 809,899 | ||
Other Assets and Liabilities—Net (-0.1%) | (967) | ||
Net Assets (100%) | 808,932 | ||
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 $1,776,000. |
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 $1,955,000 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 2022 | 13 | 2,685 | (47) |
Micro E-mini S&P 500 Index | June 2022 | 9 | 186 | (10) |
(57) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $717,875) | 805,650 |
Affiliated Issuers (Cost $4,249) | 4,249 |
Total Investments in Securities | 809,899 |
Investment in Vanguard | 21 |
Cash | 6 |
Cash Collateral Pledged—Futures Contracts | 158 |
Receivables for Accrued Income | 1,370 |
Receivables for Capital Shares Issued | 5,797 |
Total Assets | 817,251 |
Liabilities | |
Payables for Investment Securities Purchased | 6,303 |
Collateral for Securities on Loan | 1,955 |
Payables to Vanguard | 44 |
Variation Margin Payable—Futures Contracts | 17 |
Total Liabilities | 8,319 |
Net Assets | 808,932 |
1 Includes $1,776 of securities on loan. | |
At May 31, 2022, net assets consisted of: | |
Paid-in Capital | 721,238 |
Total Distributable Earnings (Loss) | 87,694 |
Net Assets | 808,932 |
Net Assets | |
Applicable to 7,735,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 808,932 |
Net Asset Value Per Share | $104.58 |
Six Months Ended May 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 6,118 |
Interest2 | 4 |
Securities Lending—Net | 5 |
Total Income | 6,127 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 205 |
Management and Administrative | 122 |
Marketing and Distribution | 11 |
Custodian Fees | — |
Shareholders’ Reports | 18 |
Trustees’ Fees and Expenses | — |
Other Expenses | 9 |
Total Expenses | 365 |
Net Investment Income | 5,762 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 7,942 |
Futures Contracts | (13) |
Realized Net Gain (Loss) | 7,929 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 16,654 |
Futures Contracts | (106) |
Change in Unrealized Appreciation (Depreciation) | 16,548 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,239 |
1 | Dividends are net of foreign withholding taxes of $3,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $9,158,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 5,762 | 6,528 | |
Realized Net Gain (Loss) | 7,929 | 7,659 | |
Change in Unrealized Appreciation (Depreciation) | 16,548 | 52,714 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,239 | 66,901 | |
Distributions | |||
Total Distributions | (4,941) | (5,430) | |
Capital Share Transactions | |||
Issued | 359,908 | 273,133 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (24,538) | (19,466) | |
Net Increase (Decrease) from Capital Share Transactions | 335,370 | 253,667 | |
Total Increase (Decrease) | 360,668 | 315,138 | |
Net Assets | |||
Beginning of Period | 448,264 | 133,126 | |
End of Period | 808,932 | 448,264 |
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2022 | Year Ended November 30, | February 13, 20181 to November 30, 2018 | ||
2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $99.84 | $73.96 | $75.51 | $74.35 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | 1.068 | 1.923 | 1.689 | 1.671 | 1.276 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.671 | 25.644 | (1.634) | 1.053 | (1.295) |
Total from Investment Operations | 5.739 | 27.567 | .055 | 2.724 | (.019) |
Distributions | |||||
Dividends from Net Investment Income | (.999) | (1.687) | (1.605) | (1.564) | (.631) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.999) | (1.687) | (1.605) | (1.564) | (.631) |
Net Asset Value, End of Period | $104.58 | $99.84 | $73.96 | $75.51 | $74.35 |
Total Return | 5.74% | 37.51% | 0.70% | 3.83% | -0.08% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $809 | $448 | $133 | $81 | $37 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.14%3 | 0.14%3 | 0.13%4 |
Ratio of Net Investment Income to Average Net Assets | 1.96% | 1.98% | 2.68% | 2.32% | 2.05%4 |
Portfolio Turnover Rate | 27%5 | 43%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. |
D. | As of May 31, 2022, 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 | 722,142 |
Gross Unrealized Appreciation | 108,338 |
Gross Unrealized Depreciation | (20,638) |
Net Unrealized Appreciation (Depreciation) | 87,700 |
E. | During the six months ended May 31, 2022, the fund purchased $514,532,000 of investment securities and sold $179,528,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $24,530,000, 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, 2022 | Year Ended November 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 3,475 | 2,895 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (230) | (205) | |
Net Increase (Decrease) in Shares Outstanding | 3,245 | 2,690 |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2022, that would require recognition or disclosure in these financial statements. |
All rights reserved.
U.S. Patent Nos. 6,879,964.
Vanguard Marketing Corporation, Distributor.
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangement | 18 |
Liquidity Risk Management | 20 |
• | 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, 2022 | |||
U.S. Multifactor Fund | Beginning Account Value 11/30/2021 | Ending Account Value 5/31/2022 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $995.60 | $0.90 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.03 | 0.91 |
Basic Materials | 5.0% |
Consumer Discretionary | 15.0 |
Consumer Staples | 8.8 |
Energy | 15.3 |
Financials | 18.9 |
Health Care | 13.3 |
Industrials | 13.1 |
Real Estate | 0.2 |
Technology | 9.4 |
Telecommunications | 1.0 |
Utilities | 0.0 |
Shares | Market Value• ($000) | ||
Common Stocks (98.3%) | |||
Basic Materials (4.9%) | |||
Freeport-McMoRan Inc. | 10,284 | 402 | |
Newmont Corp. | 3,170 | 215 | |
CF Industries Holdings Inc. | 1,785 | 176 | |
Olin Corp. | 2,382 | 157 | |
Nucor Corp. | 1,134 | 150 | |
Reliance Steel & Aluminum Co. | 756 | 147 | |
LyondellBasell Industries NV Class A | 1,067 | 122 | |
Mosaic Co. | 1,906 | 119 | |
Steel Dynamics Inc. | 1,359 | 116 | |
UFP Industries Inc. | 1,477 | 114 | |
Southern Copper Corp. | 1,727 | 107 | |
Huntsman Corp. | 2,846 | 103 | |
Commercial Metals Co. | 2,470 | 98 | |
AdvanSix Inc. | 2,026 | 94 | |
Chemours Co. | 1,888 | 81 | |
Dow Inc. | 1,098 | 75 | |
Boise Cascade Co. | 954 | 74 | |
Mueller Industries Inc. | 1,160 | 62 | |
Timken Co. | 823 | 50 | |
American Vanguard Corp. | 1,423 | 35 | |
Fastenal Co. | 556 | 30 | |
Schnitzer Steel Industries Inc. Class A | 633 | 26 | |
Eastman Chemical Co. | 216 | 24 | |
Element Solutions Inc. | 783 | 17 | |
Valvoline Inc. | 412 | 14 | |
Innospec Inc. | 115 | 12 | |
FutureFuel Corp. | 1,383 | 10 | |
Haynes International Inc. | 278 | 10 | |
2,640 | |||
Consumer Discretionary (14.7%) | |||
H&R Block Inc. | 8,342 | 294 | |
Target Corp. | 1,819 | 294 | |
* | AutoNation Inc. | 1,978 | 236 |
* | Perdoceo Education Corp. | 21,587 | 236 |
Ford Motor Co. | 16,800 | 230 | |
* | O'Reilly Automotive Inc. | 350 | 223 |
Scholastic Corp. | 5,728 | 215 | |
Dillard's Inc. Class A | 533 | 161 | |
eBay Inc. | 3,009 | 146 | |
Signet Jewelers Ltd. | 2,266 | 135 | |
Interpublic Group of Cos. Inc. | 3,762 | 121 | |
Macy's Inc. | 5,125 | 121 | |
Movado Group Inc. | 3,434 | 117 | |
* | AutoZone Inc. | 56 | 115 |
Shares | Market Value• ($000) | ||
Omnicom Group Inc. | 1,526 | 114 | |
Walmart Inc. | 873 | 112 | |
* | Deckers Outdoor Corp. | 412 | 111 |
* | Monarch Casino & Resort Inc. | 1,627 | 110 |
Dick's Sporting Goods Inc. | 1,339 | 109 | |
Lennar Corp. Class A | 1,353 | 109 | |
* | Capri Holdings Ltd. | 2,209 | 108 |
Travel + Leisure Co. | 2,100 | 107 | |
Kohl's Corp. | 2,482 | 100 | |
LKQ Corp. | 1,936 | 100 | |
Costco Wholesale Corp. | 210 | 98 | |
Williams-Sonoma Inc. | 760 | 97 | |
Group 1 Automotive Inc. | 537 | 96 | |
* | SeaWorld Entertainment Inc. | 1,772 | 96 |
Lowe's Cos. Inc. | 486 | 95 | |
Entravision Communications Corp. Class A | 18,021 | 94 | |
* | Cars.com Inc. | 8,659 | 90 |
Acushnet Holdings Corp. | 2,169 | 88 | |
Oxford Industries Inc. | 966 | 88 | |
Advance Auto Parts Inc. | 450 | 85 | |
Genuine Parts Co. | 582 | 80 | |
PulteGroup Inc. | 1,747 | 79 | |
Nexstar Media Group Inc. Class A | 419 | 73 | |
* | Vera Bradley Inc. | 10,706 | 73 |
Matthews International Corp. Class A | 2,219 | 72 | |
Penske Automotive Group Inc. | 629 | 72 | |
Shoe Carnival Inc. | 2,554 | 70 | |
Bath & Body Works Inc. | 1,665 | 68 | |
* | BJ's Wholesale Club Holdings Inc. | 1,143 | 66 |
Buckle Inc. | 2,019 | 66 | |
Ethan Allen Interiors Inc. | 2,834 | 66 | |
Gentex Corp. | 2,058 | 64 | |
Hibbett Inc. | 1,270 | 64 | |
Whirlpool Corp. | 346 | 64 | |
Century Communities Inc. | 1,137 | 62 | |
* | MarineMax Inc. | 1,486 | 62 |
* | NVR Inc. | 13 | 58 |
* | Gentherm Inc. | 825 | 57 |
John Wiley & Sons Inc. Class A | 1,070 | 57 | |
Standard Motor Products Inc. | 1,396 | 56 | |
Tapestry Inc. | 1,629 | 56 | |
Academy Sports & Outdoors Inc. | 1,612 | 54 | |
Best Buy Co. Inc. | 646 | 53 | |
* | Golden Entertainment Inc. | 1,113 | 53 |
Shares | Market Value• ($000) | ||
HNI Corp. | 1,379 | 53 | |
* | ODP Corp. | 1,370 | 52 |
* | Asbury Automotive Group Inc. | 275 | 50 |
Ralph Lauren Corp. Class A | 497 | 50 | |
* | Duluth Holdings Inc. Class B | 3,949 | 49 |
Rush Enterprises Inc. Class A | 954 | 49 | |
* | Genesco Inc. | 853 | 48 |
* | Malibu Boats Inc. Class A | 802 | 47 |
Johnson Outdoors Inc. Class A | 700 | 46 | |
International Game Technology plc | 2,168 | 46 | |
Jack in the Box Inc. | 653 | 45 | |
* | Expedia Group Inc. | 338 | 44 |
PVH Corp. | 611 | 43 | |
Sonic Automotive Inc. Class A | 936 | 43 | |
* | American Axle & Manufacturing Holdings Inc. | 4,891 | 40 |
* | Master Craft Boat Holdings Inc. | 1,709 | 40 |
Aaron's Co. Inc. | 2,059 | 40 | |
Murphy USA Inc. | 155 | 39 | |
Hanesbrands Inc. | 3,123 | 37 | |
* | Meritage Homes Corp. | 430 | 37 |
* | Conn's Inc. | 2,724 | 36 |
* | Tri Pointe Homes Inc. | 1,659 | 35 |
* | Cavco Industries Inc. | 152 | 34 |
Newell Brands Inc. | 1,558 | 33 | |
News Corp. Class A | 1,913 | 33 | |
* | Skyline Champion Corp. | 626 | 33 |
* | Zumiez Inc. | 1,019 | 33 |
Fox Corp. Class A | 876 | 31 | |
* | Abercrombie & Fitch Co. Class A | 1,464 | 30 |
Haverty Furniture Cos. Inc. | 1,066 | 30 | |
* | GoPro Inc. Class A | 4,069 | 28 |
* | Funko Inc. Class A | 1,312 | 27 |
Rent-A-Center Inc. | 998 | 27 | |
* | Central Garden & Pet Co. Class A | 615 | 26 |
Boyd Gaming Corp. | 387 | 23 | |
Kontoor Brands Inc. | 581 | 23 | |
Tractor Supply Co. | 125 | 23 | |
Garmin Ltd. | 205 | 22 | |
News Corp. Class B | 1,114 | 20 | |
* | Crocs Inc. | 342 | 19 |
Lithia Motors Inc. Class A | 63 | 19 | |
Strategic Education Inc. | 289 | 19 | |
New York Times Co. Class A | 511 | 18 | |
* | Citi Trends Inc. | 566 | 17 |
* | Grand Canyon Education Inc. | 181 | 16 |
* | Sleep Number Corp. | 351 | 16 |
* | Universal Electronics Inc. | 591 | 16 |
PriceSmart Inc. | 190 | 15 | |
Inter Parfums Inc. | 173 | 13 | |
Interface Inc. Class A | 903 | 13 | |
* | Lions Gate Entertainment Corp. Class A | 1,159 | 12 |
Steven Madden Ltd. | 312 | 12 | |
* | Helen of Troy Ltd. | 67 | 12 |
* | Victoria's Secret & Co. | 248 | 10 |
7,868 | |||
Consumer Staples (8.6%) | |||
Altria Group Inc. | 12,041 | 651 | |
McKesson Corp. | 1,468 | 483 | |
Ingles Markets Inc. Class A | 5,013 | 446 | |
CVS Health Corp. | 4,252 | 411 | |
Philip Morris International Inc. | 3,444 | 366 | |
Kroger Co. | 5,555 | 294 |
Shares | Market Value• ($000) | ||
Tyson Foods Inc. Class A | 3,162 | 283 | |
SpartanNash Co. | 7,091 | 244 | |
Procter & Gamble Co. | 1,518 | 225 | |
Weis Markets Inc. | 2,322 | 171 | |
Molson Coors Beverage Co. Class B | 2,518 | 141 | |
Vector Group Ltd. | 11,027 | 136 | |
Flowers Foods Inc. | 4,280 | 118 | |
Coca-Cola Consolidated Inc. | 200 | 113 | |
AmerisourceBergen Corp. Class A | 534 | 83 | |
Kraft Heinz Co. | 2,206 | 83 | |
PepsiCo Inc. | 424 | 71 | |
Albertsons Cos. Inc. Class A | 2,339 | 71 | |
Casey's General Stores Inc. | 332 | 70 | |
ACCO Brands Corp. | 3,874 | 29 | |
Edgewell Personal Care Co. | 591 | 22 | |
* | Sprouts Farmers Market Inc. | 725 | 20 |
* | Monster Beverage Corp. | 206 | 18 |
* | Darling Ingredients Inc. | 197 | 16 |
J M Smucker Co. | 131 | 16 | |
* | Hain Celestial Group Inc. | 549 | 15 |
Medifast Inc. | 62 | 10 | |
4,606 | |||
Energy (15.0%) | |||
EOG Resources Inc. | 7,071 | 968 | |
Exxon Mobil Corp. | 6,541 | 628 | |
ConocoPhillips | 5,554 | 624 | |
Chevron Corp. | 2,263 | 395 | |
Cheniere Energy Inc. | 2,735 | 374 | |
Oasis Petroleum Inc. | 2,262 | 359 | |
Continental Resources Inc. | 4,770 | 325 | |
* | Antero Resources Corp. | 7,131 | 306 |
Occidental Petroleum Corp. | 3,889 | 270 | |
Northern Oil and Gas Inc. | 7,679 | 251 | |
* | W&T Offshore Inc. | 35,864 | 241 |
Ovintiv Inc. (XNYS) | 4,236 | 237 | |
* | CONSOL Energy Inc. | 4,076 | 210 |
Schlumberger NV | 4,053 | 186 | |
Marathon Oil Corp. | 5,522 | 174 | |
Coterra Energy Inc. | 4,890 | 168 | |
PDC Energy Inc. | 1,887 | 149 | |
Valero Energy Corp. | 1,128 | 146 | |
Civitas Resources Inc. | 1,887 | 144 | |
Diamondback Energy Inc. | 918 | 140 | |
Matador Resources Co. | 2,167 | 132 | |
EQT Corp. | 2,541 | 121 | |
* | Range Resources Corp. | 3,536 | 120 |
* | Comstock Resources Inc. | 5,374 | 104 |
Targa Resources Corp. | 1,379 | 99 | |
Murphy Oil Corp. | 2,321 | 98 | |
Pioneer Natural Resources Co. | 350 | 97 | |
* | Talos Energy Inc. | 4,472 | 97 |
Magnolia Oil & Gas Corp. Class A | 3,381 | 93 | |
Devon Energy Corp. | 1,145 | 86 | |
SunCoke Energy Inc. | 9,260 | 75 | |
California Resources Corp. | 1,713 | 75 | |
* | Denbury Inc. | 925 | 68 |
Warrior Met Coal Inc. | 1,984 | 67 | |
* | ProPetro Holding Corp. | 5,036 | 66 |
Arch Resources Inc. | 420 | 64 | |
* | Southwestern Energy Co. | 6,041 | 55 |
* | Bristow Group Inc. | 1,719 | 55 |
* | Newpark Resources Inc. | 11,483 | 49 |
* | Earthstone Energy Inc. Class A | 2,678 | 48 |
Shares | Market Value• ($000) | ||
* | Helix Energy Solutions Group Inc. | 10,056 | 47 |
* | REX American Resources Corp. | 334 | 29 |
8,040 | |||
Financials (18.6%) | |||
Aon plc Class A (XNYS) | 1,437 | 396 | |
* | Berkshire Hathaway Inc. Class B | 1,131 | 357 |
Prudential Financial Inc. | 2,650 | 282 | |
Wells Fargo & Co. | 5,883 | 269 | |
Kearny Financial Corp. | 17,153 | 213 | |
* | PRA Group Inc. | 5,754 | 213 |
Jefferies Financial Group Inc. | 6,188 | 204 | |
Popular Inc. | 2,480 | 203 | |
* | Enstar Group Ltd. | 873 | 202 |
Bank of New York Mellon Corp. | 4,159 | 194 | |
First BanCorp. (XNYS) | 12,671 | 189 | |
Allstate Corp. | 1,352 | 185 | |
CNO Financial Group Inc. | 8,587 | 177 | |
First Financial Corp. | 3,820 | 172 | |
American International Group Inc. | 2,867 | 168 | |
HarborOne Bancorp Inc. | 11,630 | 166 | |
SLM Corp. | 8,259 | 162 | |
Fidelity National Financial Inc. | 3,718 | 157 | |
Ameriprise Financial Inc. | 519 | 143 | |
* | Credit Acceptance Corp. | 231 | 137 |
Dime Community Bancshares Inc. | 4,296 | 135 | |
Navient Corp. | 7,411 | 119 | |
Voya Financial Inc. | 1,724 | 118 | |
Fifth Third Bancorp | 2,962 | 117 | |
Primerica Inc. | 894 | 113 | |
Midland States Bancorp Inc. | 4,038 | 109 | |
Comerica Inc. | 1,295 | 108 | |
Chubb Ltd. | 513 | 108 | |
Hartford Financial Services Group Inc. | 1,457 | 106 | |
Affiliated Managers Group Inc. | 783 | 105 | |
MetLife Inc. | 1,561 | 105 | |
HomeStreet Inc. | 2,579 | 104 | |
Employers Holdings Inc. | 2,451 | 101 | |
* | Mr Cooper Group Inc. | 2,278 | 99 |
Zions Bancorp NA | 1,738 | 99 | |
KeyCorp | 4,925 | 98 | |
Hilltop Holdings Inc. | 3,238 | 97 | |
First Citizens BancShares Inc. Class A | 137 | 96 | |
Safety Insurance Group Inc. | 1,013 | 94 | |
Travelers Cos. Inc. | 519 | 93 | |
Nelnet Inc. Class A | 1,054 | 89 | |
TrustCo Bank Corp. NY | 2,707 | 87 | |
Independent Bank Corp. | 4,338 | 86 | |
Flushing Financial Corp. | 3,659 | 85 | |
* | Encore Capital Group Inc. | 1,382 | 84 |
OFG Bancorp | 2,962 | 84 | |
Associated Banc-Corp. | 4,006 | 83 | |
Aflac Inc. | 1,349 | 82 | |
Stifel Financial Corp. | 1,260 | 81 | |
Equitable Holdings Inc. | 2,592 | 79 | |
Everest Re Group Ltd. | 276 | 78 | |
Byline Bancorp Inc. | 2,774 | 69 | |
Federated Hermes Inc. | 2,007 | 68 | |
Morningstar Inc. | 263 | 68 | |
S&T Bancorp Inc. | 2,280 | 67 | |
Premier Financial Corp. | 2,472 | 67 | |
BancFirst Corp. | 696 | 63 |
Shares | Market Value• ($000) | ||
Hanmi Financial Corp. | 2,664 | 62 | |
Park National Corp. | 505 | 62 | |
Sandy Spring Bancorp Inc. | 1,427 | 60 | |
Trustmark Corp. | 2,035 | 59 | |
Hanover Insurance Group Inc. | 398 | 58 | |
Cathay General Bancorp | 1,333 | 55 | |
Preferred Bank | 779 | 53 | |
Bank of America Corp. | 1,411 | 52 | |
First Commonwealth Financial Corp. | 3,659 | 51 | |
Raymond James Financial Inc. | 517 | 51 | |
Northern Trust Corp. | 449 | 50 | |
BOK Financial Corp. | 567 | 49 | |
First American Financial Corp. | 811 | 49 | |
Federal Agricultural Mortgage Corp. Class C | 461 | 48 | |
First Financial Bancorp | 2,249 | 47 | |
1st Source Corp. | 999 | 47 | |
Eagle Bancorp Inc. | 925 | 46 | |
Washington Trust Bancorp Inc. | 910 | 46 | |
Hope Bancorp Inc. | 3,065 | 45 | |
JPMorgan Chase & Co. | 335 | 44 | |
Morgan Stanley | 506 | 44 | |
WesBanco Inc. | 1,282 | 44 | |
Home BancShares Inc. | 1,919 | 43 | |
Provident Financial Services Inc. | 1,808 | 42 | |
Cincinnati Financial Corp. | 314 | 40 | |
Virtu Financial Inc. Class A | 1,547 | 40 | |
Walker & Dunlop Inc. | 373 | 40 | |
ServisFirst Bancshares Inc. | 465 | 39 | |
Washington Federal Inc. | 1,157 | 38 | |
Bank of NT Butterfield & Son Ltd. | 1,190 | 38 | |
East West Bancorp Inc. | 487 | 36 | |
Towne Bank | 1,210 | 36 | |
Brookline Bancorp Inc. | 2,481 | 35 | |
City Holding Co. | 430 | 35 | |
PacWest Bancorp | 1,117 | 35 | |
Regions Financial Corp. | 1,563 | 35 | |
NBT Bancorp Inc. | 908 | 34 | |
QCR Holdings Inc. | 595 | 33 | |
First Bancorp (XNGS) | 856 | 32 | |
Evercore Inc. Class A | 269 | 31 | |
* | Axos Financial Inc. | 787 | 30 |
Lakeland Financial Corp. | 396 | 29 | |
CNA Financial Corp. | 611 | 28 | |
Origin Bancorp Inc. | 712 | 28 | |
Southside Bancshares Inc. | 584 | 24 | |
Diamond Hill Investment Group Inc. | 121 | 23 | |
* | Brighthouse Financial Inc. | 445 | 22 |
WSFS Financial Corp. | 519 | 22 | |
Atlantic Union Bankshares Corp. | 587 | 21 | |
* | Columbia Financial Inc. | 1,027 | 21 |
Heritage Financial Corp. | 790 | 21 | |
Artisan Partners Asset Management Inc. Class A | 500 | 19 | |
FNB Corp. | 1,557 | 19 | |
Oppenheimer Holdings Inc. Class A | 521 | 19 | |
First Hawaiian Inc. | 698 | 18 | |
* | SVB Financial Group | 37 | 18 |
UMB Financial Corp. | 194 | 18 | |
Horizon Bancorp Inc. | 950 | 17 | |
Central Pacific Financial Corp. | 662 | 16 |
Shares | Market Value• ($000) | ||
Tompkins Financial Corp. | 210 | 16 | |
Bank OZK | 356 | 15 | |
Banner Corp. | 262 | 15 | |
First Foundation Inc. | 658 | 15 | |
BankUnited Inc. | 314 | 13 | |
Houlihan Lokey Inc. Class A | 139 | 12 | |
B Riley Financial Inc. | 202 | 11 | |
OceanFirst Financial Corp. | 561 | 11 | |
Northwest Bancshares Inc. | 81 | 1 | |
Northfield Bancorp Inc. | 36 | — | |
9,939 | |||
Health Care (13.1%) | |||
Bristol-Myers Squibb Co. | 8,470 | 639 | |
* | Regeneron Pharmaceuticals Inc. | 811 | 539 |
Anthem Inc. | 1,048 | 534 | |
Pfizer Inc. | 9,912 | 526 | |
AbbVie Inc. | 3,262 | 481 | |
HCA Healthcare Inc. | 1,982 | 417 | |
Merck & Co. Inc. | 4,215 | 388 | |
* | Vertex Pharmaceuticals Inc. | 1,443 | 388 |
Gilead Sciences Inc. | 5,061 | 328 | |
UnitedHealth Group Inc. | 465 | 231 | |
* | Hologic Inc. | 2,627 | 198 |
Organon & Co. | 5,196 | 197 | |
Johnson & Johnson | 1,053 | 189 | |
* | Biogen Inc. | 877 | 175 |
Premier Inc. Class A | 3,900 | 146 | |
Eli Lilly & Co. | 451 | 141 | |
* | United Therapeutics Corp. | 593 | 137 |
* | Molina Healthcare Inc. | 462 | 134 |
Quest Diagnostics Inc. | 899 | 127 | |
* | Henry Schein Inc. | 1,485 | 127 |
* | Tenet Healthcare Corp. | 1,536 | 99 |
* | Innoviva Inc. | 6,044 | 92 |
Laboratory Corp. of America Holdings | 345 | 85 | |
QuidelOrtho Corp. | 857 | 81 | |
* | Catalyst Pharmaceuticals Inc. | 10,602 | 76 |
* | Collegium Pharmaceutical Inc. | 3,349 | 52 |
* | iTeos Therapeutics Inc. | 2,725 | 48 |
* | CorVel Corp. | 305 | 46 |
* | DaVita Inc. | 460 | 45 |
* | Medpace Holdings Inc. | 262 | 38 |
* | Corcept Therapeutics Inc. | 1,733 | 36 |
* | Computer Programs and Systems Inc. | 1,054 | 34 |
West Pharmaceutical Services Inc. | 96 | 30 | |
Abbott Laboratories | 247 | 29 | |
* | NextGen Healthcare Inc. | 1,577 | 29 |
* | ModivCare Inc. | 262 | 25 |
* | Centene Corp. | 297 | 24 |
* | Acadia Healthcare Co. Inc. | 259 | 18 |
* | ICU Medical Inc. | 93 | 17 |
* | Meridian Bioscience Inc. | 631 | 17 |
* | Moderna Inc. | 83 | 12 |
Cardinal Health Inc. | 180 | 10 | |
6,985 | |||
Industrials (12.9%) | |||
American Express Co. | 2,235 | 377 | |
Northrop Grumman Corp. | 590 | 276 | |
Louisiana-Pacific Corp. | 3,078 | 213 | |
Lockheed Martin Corp. | 400 | 176 | |
L3Harris Technologies Inc. | 640 | 154 | |
* | Atkore Inc. | 1,344 | 146 |
Shares | Market Value• ($000) | ||
* | Builders FirstSource Inc. | 2,109 | 137 |
Moog Inc. Class A | 1,459 | 119 | |
Resources Connection Inc. | 6,279 | 116 | |
Accenture plc Class A | 374 | 112 | |
AGCO Corp. | 858 | 110 | |
Ryder System Inc. | 1,333 | 107 | |
Eaton Corp. plc | 761 | 105 | |
General Dynamics Corp. | 449 | 101 | |
* | Zebra Technologies Corp. Class A | 298 | 101 |
Crane Holdings Co. | 1,052 | 101 | |
Deere & Co. | 277 | 99 | |
Acuity Brands Inc. | 562 | 98 | |
Genco Shipping & Trading Ltd. | 3,785 | 96 | |
Kronos Worldwide Inc. | 4,949 | 94 | |
Quanta Services Inc. | 782 | 93 | |
United Parcel Service Inc. Class B | 513 | 93 | |
Encore Wire Corp. | 715 | 89 | |
Paychex Inc. | 706 | 87 | |
Emerson Electric Co. | 959 | 85 | |
ManpowerGroup Inc. | 949 | 85 | |
* | AMN Healthcare Services Inc. | 863 | 84 |
Crown Holdings Inc. | 796 | 83 | |
Regal Rexnord Corp. | 661 | 83 | |
Johnson Controls International plc | 1,517 | 83 | |
* | MYR Group Inc. | 896 | 82 |
* | Titan Machinery Inc. | 3,063 | 81 |
Insteel Industries Inc. | 1,931 | 80 | |
Heidrick & Struggles International Inc. | 2,238 | 77 | |
* | Hub Group Inc. Class A | 1,044 | 76 |
Snap-on Inc. | 334 | 74 | |
* | CoreCivic Inc. | 5,469 | 70 |
Cummins Inc. | 324 | 68 | |
Kforce Inc. | 1,003 | 66 | |
Marten Transport Ltd. | 3,756 | 66 | |
* | Saia Inc. | 334 | 66 |
Triton International Ltd. | 1,023 | 65 | |
Covenant Logistics Group Inc. Class A | 2,715 | 62 | |
Owens Corning | 649 | 62 | |
Textainer Group Holdings Ltd. | 1,852 | 60 | |
Knight-Swift Transportation Holdings Inc. | 1,207 | 59 | |
Matson Inc. | 651 | 58 | |
Old Dominion Freight Line Inc. | 220 | 57 | |
Badger Meter Inc. | 703 | 56 | |
Brunswick Corp. | 739 | 56 | |
* | United Rentals Inc. | 189 | 56 |
ArcBest Corp. | 725 | 55 | |
* | Beacon Roofing Supply Inc. | 902 | 55 |
Simpson Manufacturing Co. Inc. | 508 | 55 | |
* | Generac Holdings Inc. | 206 | 51 |
Hubbell Inc. Class B | 270 | 51 | |
Robert Half International Inc. | 561 | 51 | |
Watts Water Technologies Inc. Class A | 380 | 50 | |
* | TriNet Group Inc. | 608 | 48 |
JB Hunt Transport Services Inc. | 271 | 47 | |
Quanex Building Products Corp. | 2,298 | 47 | |
WW Grainger Inc. | 94 | 46 | |
Landstar System Inc. | 301 | 46 | |
Apogee Enterprises Inc. | 1,051 | 44 | |
Packaging Corp. of America | 264 | 41 |
Shares | Market Value• ($000) | ||
* | Forrester Research Inc. | 757 | 40 |
Kadant Inc. | 215 | 40 | |
Franklin Electric Co. Inc. | 516 | 38 | |
Graphic Packaging Holding Co. | 1,693 | 38 | |
Costamare Inc. | 2,586 | 37 | |
* | Cross Country Healthcare Inc. | 1,962 | 35 |
* | Masonite International Corp. | 380 | 35 |
Watsco Inc. | 132 | 34 | |
Werner Enterprises Inc. | 789 | 32 | |
* | TrueBlue Inc. | 1,425 | 31 |
nVent Electric plc | 876 | 31 | |
* | Berry Global Group Inc. | 510 | 30 |
Valmont Industries Inc. | 115 | 30 | |
Zurn Water Solutions Corp. | 1,036 | 30 | |
CRA International Inc. | 342 | 29 | |
Myers Industries Inc. | 1,162 | 28 | |
* | MasTec Inc. | 326 | 27 |
Safe Bulkers Inc. | 5,469 | 26 | |
Ennis Inc. | 1,394 | 25 | |
* | FTI Consulting Inc. | 146 | 25 |
Kelly Services Inc. Class A | 1,256 | 25 | |
Textron Inc. | 373 | 24 | |
* | Atlas Air Worldwide Holdings Inc. | 335 | 23 |
Caterpillar Inc. | 107 | 23 | |
* | Franklin Covey Co. | 594 | 23 |
Greif Inc. Class A | 380 | 23 | |
Primoris Services Corp. | 950 | 23 | |
Argan Inc. | 544 | 22 | |
Eagle Materials Inc. | 169 | 22 | |
EMCOR Group Inc. | 195 | 21 | |
* | ASGN Inc. | 214 | 20 |
ITT Inc. | 264 | 19 | |
* | Sterling Construction Co. Inc. | 782 | 19 |
ABM Industries Inc. | 403 | 19 | |
* | Construction Partners Inc. Class A | 762 | 17 |
Shyft Group Inc. | 771 | 17 | |
* | API Group Corp. | 960 | 17 |
Sonoco Products Co. | 276 | 16 | |
* | Modine Manufacturing Co. | 1,283 | 15 |
* | XPO Logistics Inc. | 284 | 15 |
ADT Inc. | 2,004 | 15 | |
* | GXO Logistics Inc. | 284 | 15 |
* | Mohawk Industries Inc. | 102 | 14 |
Comfort Systems USA Inc. | 150 | 13 | |
McGrath RentCorp. | 153 | 13 | |
6,901 | |||
Real Estate (0.2%) | |||
St. Joe Co. | 779 | 39 | |
* | GEO Group Inc. | 4,482 | 32 |
* | Jones Lang LaSalle Inc. | 72 | 14 |
85 | |||
Technology (9.3%) | |||
Cognizant Technology Solutions Corp. Class A | 5,260 | 393 | |
* | Alphabet Inc. Class A | 171 | 389 |
Micron Technology Inc. | 3,703 | 273 | |
Broadcom Inc. | 442 | 256 | |
KLA Corp. | 696 | 254 | |
HP Inc. | 6,029 | 234 | |
* | Alphabet Inc. Class C | 80 | 183 |
Applied Materials Inc. | 1,495 | 175 | |
NortonLifeLock Inc. | 6,095 | 148 | |
Amdocs Ltd. | 1,573 | 137 | |
* | NetScout Systems Inc. | 3,806 | 131 |
Shares | Market Value• ($000) | ||
* | ON Semiconductor Corp. | 2,122 | 129 |
Dell Technologies Inc. Class C | 2,398 | 120 | |
Hackett Group Inc. | 5,319 | 109 | |
Concentrix Corp. | 649 | 101 | |
Texas Instruments Inc. | 567 | 100 | |
Jabil Inc. | 1,583 | 97 | |
* | Photronics Inc. | 4,126 | 90 |
* | Arrow Electronics Inc. | 739 | 89 |
Xerox Holdings Corp. | 4,704 | 89 | |
Amkor Technology Inc. | 3,702 | 76 | |
Oracle Corp. | 1,053 | 76 | |
CSG Systems International Inc. | 1,207 | 75 | |
Hewlett Packard Enterprise Co. | 4,752 | 74 | |
* | Avid Technology Inc. | 2,434 | 71 |
NetApp Inc. | 955 | 69 | |
Kulicke & Soffa Industries Inc. | 1,178 | 64 | |
* | Axcelis Technologies Inc. | 1,009 | 63 |
Seagate Technology Holdings plc | 700 | 59 | |
PC Connection Inc. | 1,235 | 55 | |
International Business Machines Corp. | 375 | 52 | |
TD SYNNEX Corp. | 494 | 51 | |
Xperi Holding Corp. | 2,902 | 48 | |
* | Rambus Inc. | 1,780 | 45 |
* | Teradata Corp. | 1,148 | 44 |
TE Connectivity Ltd. | 342 | 44 | |
* | DXC Technology Co. | 1,143 | 40 |
* | TechTarget Inc. | 534 | 38 |
Methode Electronics Inc. | 734 | 33 | |
* | ePlus Inc. | 558 | 32 |
* | Sanmina Corp. | 735 | 32 |
Vishay Intertechnology Inc. | 1,566 | 32 | |
A10 Networks Inc. | 1,932 | 30 | |
* | Gartner Inc. | 103 | 27 |
* | Fortinet Inc. | 83 | 24 |
Shutterstock Inc. | 392 | 24 | |
* | Box Inc. Class A | 895 | 23 |
* | Manhattan Associates Inc. | 192 | 23 |
* | Plexus Corp. | 250 | 21 |
* | Qualys Inc. | 156 | 20 |
* | Diodes Inc. | 244 | 19 |
* | SMART Global Holdings Inc. | 788 | 19 |
* | F5 Inc. | 104 | 17 |
* | Ziff Davis Inc. | 224 | 17 |
* | Onto Innovation Inc. | 205 | 17 |
CTS Corp. | 387 | 16 | |
4,967 | |||
Telecommunications (1.0%) | |||
Cisco Systems Inc. | 2,516 | 113 | |
* | WideOpenWest Inc. | 3,968 | 87 |
Juniper Networks Inc. | 2,473 | 76 | |
Lumen Technologies Inc. | 4,434 | 54 | |
* | Arista Networks Inc. | 388 | 40 |
* | Telesat Corp. | 2,397 | 40 |
* | Lumentum Holdings Inc. | 371 | 32 |
* | Ciena Corp. | 501 | 25 |
* | EchoStar Corp. Class A | 1,055 | 25 |
ADTRAN Inc. | 1,270 | 24 | |
* | NETGEAR Inc. | 870 | 17 |
533 | |||
Utilities (0.0%) | |||
* | Evoqua Water Technologies Corp. | 428 | 15 |
Total Common Stocks (Cost $42,905) | 52,579 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (1.4%) | |||
Money Market Fund (1.4%) | |||
1 | Vanguard Market Liquidity Fund 0.854% (Cost $729) | 7,292 | 729 |
Total Investments (99.7%) (Cost $43,634) | 53,308 | ||
Other Assets and Liabilities—Net (0.3%) | 154 | ||
Net Assets (100%) | 53,462 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | 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 2022 | 42 | 868 | 25 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $42,905) | 52,579 |
Affiliated Issuers (Cost $729) | 729 |
Total Investments in Securities | 53,308 |
Investment in Vanguard | 2 |
Cash Collateral Pledged—Futures Contracts | 48 |
Receivables for Investment Securities Sold | 178 |
Receivables for Accrued Income | 95 |
Receivables for Capital Shares Issued | 3 |
Total Assets | 53,634 |
Liabilities | |
Due to Custodian | 1 |
Payables for Investment Securities Purchased | 112 |
Payables for Capital Shares Redeemed | 51 |
Payables to Vanguard | 4 |
Variation Margin Payable—Futures Contracts | 4 |
Total Liabilities | 172 |
Net Assets | 53,462 |
At May 31, 2022, net assets consisted of: | |
Paid-in Capital | 47,431 |
Total Distributable Earnings (Loss) | 6,031 |
Net Assets | 53,462 |
Net Assets | |
Applicable to 1,641,609 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 53,462 |
Net Asset Value Per Share | $32.57 |
Six Months Ended May 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 518 |
Interest2 | 1 |
Total Income | 519 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 23 |
Marketing and Distribution | — |
Custodian Fees | 3 |
Shareholders’ Reports | 13 |
Trustees’ Fees and Expenses | — |
Professional Services | 8 |
Total Expenses | 47 |
Net Investment Income | 472 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | (1,272) |
Futures Contracts | (118) |
Realized Net Gain (Loss) | (1,390) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 399 |
Futures Contracts | 38 |
Change in Unrealized Appreciation (Depreciation) | 437 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (481) |
1 | Dividends are net of foreign withholding taxes of $1,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, less than $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 472 | 571 | |
Realized Net Gain (Loss) | (1,390) | 3,018 | |
Change in Unrealized Appreciation (Depreciation) | 437 | 4,974 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (481) | 8,563 | |
Distributions | |||
Total Distributions | (428) | (509) | |
Capital Share Transactions | |||
Issued | 15,939 | 30,399 | |
Issued in Lieu of Cash Distributions | 354 | 417 | |
Redeemed | (9,858) | (17,122) | |
Net Increase (Decrease) from Capital Share Transactions | 6,435 | 13,694 | |
Total Increase (Decrease) | 5,526 | 21,748 | |
Net Assets | |||
Beginning of Period | 47,936 | 26,188 | |
End of Period | 53,462 | 47,936 |
For a Share Outstanding Throughout Each Period | Six Months Ended May 31, 2022 | Year Ended November 30, | February 15, 20181 to November 30, 2018 | ||
2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $32.99 | $25.47 | $25.70 | $24.53 | $25.00 |
Investment Operations | |||||
Net Investment Income2 | .302 | .466 | .382 | .425 | .333 |
Net Realized and Unrealized Gain (Loss) on Investments | (.438) | 7.485 | (.214) | 1.143 | (.598) |
Total from Investment Operations | (.136) | 7.951 | .168 | 1.568 | (.265) |
Distributions | |||||
Dividends from Net Investment Income | (.284) | (.431) | (.398) | (.398) | (.205) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.284) | (.431) | (.398) | (.398) | (.205) |
Net Asset Value, End of Period | $32.57 | $32.99 | $25.47 | $25.70 | $24.53 |
Total Return3 | -0.44% | 31.39% | 0.97% | 6.54% | -1.11% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $53 | $48 | $26 | $33 | $36 |
Ratio of Total Expenses to Average Net Assets | 0.18% | 0.18% | 0.18% | 0.18% | 0.18%4 |
Ratio of Net Investment Income to Average Net Assets | 1.68% | 1.48% | 1.66% | 1.76% | 1.64%4 |
Portfolio Turnover Rate | 33% | 62% | 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 and 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, 2022, 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 | 43,634 |
Gross Unrealized Appreciation | 10,503 |
Gross Unrealized Depreciation | (804) |
Net Unrealized Appreciation (Depreciation) | 9,699 |
E. | During the six months ended May 31, 2022, the fund purchased $22,726,000 of investment securities and sold $16,607,000 of investment securities, other than temporary cash investments. |
F. | Capital shares issued and redeemed were: |
Six Months Ended May 31, 2022 | Year Ended November 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 480 | 960 | |
Issued in Lieu of Cash Distributions | 10 | 14 | |
Redeemed | (301) | (549) | |
Net Increase (Decrease) in Shares Outstanding | 189 | 425 |
G. | Management has determined that no events or transactions occurred subsequent to May 31, 2022, that would require recognition or disclosure in these financial statements. |
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. There were no 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 25, 2022
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 25, 2022
VANGUARD WELLINGTON FUND | |||
BY: | /s/ CHRISTINE BUCHANAN* | ||
CHRISTINE BUCHANAN | |||
CHIEF FINANCIAL OFFICER |
Date: July 25, 2022
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on November 29, 2021 (see File Number 33-64845), a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.